{"version":"1.0","provider_name":"Fortune Insight","provider_url":"https:\/\/prime.fortuneinsight.com\/web","author_name":"\u9322\u741b","author_url":"https:\/\/prime.fortuneinsight.com\/web\/posts\/author\/chinshun","title":"\u300a\u8a08\u91cf\u5206\u6790\u300b\u4e00\u5929\u5167\u751a\u9ebc\u6642\u9593\u7092\u80a1\u6700\u503c\u535a\uff1f - Fortune Insight","type":"rich","width":600,"height":338,"html":"<blockquote class=\"wp-embedded-content\"><a href=\"https:\/\/prime.fortuneinsight.com\/web\/posts\/518386\">\u300a\u8a08\u91cf\u5206\u6790\u300b\u4e00\u5929\u5167\u751a\u9ebc\u6642\u9593\u7092\u80a1\u6700\u503c\u535a\uff1f<\/a><\/blockquote>\n<script type='text\/javascript'>\n<!--\/\/--><![CDATA[\/\/><!--\n\t\t!function(c,d){\"use strict\";var e=!1,n=!1;if(d.querySelector)if(c.addEventListener)e=!0;if(c.wp=c.wp||{},!c.wp.receiveEmbedMessage)if(c.wp.receiveEmbedMessage=function(e){var t=e.data;if(t)if(t.secret||t.message||t.value)if(!\/[^a-zA-Z0-9]\/.test(t.secret)){for(var r,a,i,s=d.querySelectorAll('iframe[data-secret=\"'+t.secret+'\"]'),n=d.querySelectorAll('blockquote[data-secret=\"'+t.secret+'\"]'),o=0;o<n.length;o++)n[o].style.display=\"none\";for(o=0;o<s.length;o++)if(r=s[o],e.source===r.contentWindow){if(r.removeAttribute(\"style\"),\"height\"===t.message){if(1e3<(i=parseInt(t.value,10)))i=1e3;else if(~~i<200)i=200;r.height=i}if(\"link\"===t.message)if(a=d.createElement(\"a\"),i=d.createElement(\"a\"),a.href=r.getAttribute(\"src\"),i.href=t.value,i.host===a.host)if(d.activeElement===r)c.top.location.href=t.value}}},e)c.addEventListener(\"message\",c.wp.receiveEmbedMessage,!1),d.addEventListener(\"DOMContentLoaded\",t,!1),c.addEventListener(\"load\",t,!1);function t(){if(!n){n=!0;for(var e,t,r=-1!==navigator.appVersion.indexOf(\"MSIE 10\"),a=!!navigator.userAgent.match(\/Trident.*rv:11\\.\/),i=d.querySelectorAll(\"iframe.wp-embedded-content\"),s=0;s<i.length;s++){if(!(e=i[s]).getAttribute(\"data-secret\"))t=Math.random().toString(36).substr(2,10),e.src+=\"#?secret=\"+t,e.setAttribute(\"data-secret\",t);if(r||a)(t=e.cloneNode(!0)).removeAttribute(\"security\"),e.parentNode.replaceChild(t,e)}}}}(window,document);\n\/\/--><!]]>\n<\/script><iframe sandbox=\"allow-scripts\" security=\"restricted\" src=\"https:\/\/prime.fortuneinsight.com\/web\/posts\/518386\/embed\" width=\"600\" height=\"338\" title=\"&#8220;\u300a\u8a08\u91cf\u5206\u6790\u300b\u4e00\u5929\u5167\u751a\u9ebc\u6642\u9593\u7092\u80a1\u6700\u503c\u535a\uff1f&#8221; &#8212; Fortune Insight\" frameborder=\"0\" marginwidth=\"0\" marginheight=\"0\" scrolling=\"no\" class=\"wp-embedded-content\"><\/iframe>","thumbnail_url":"https:\/\/prime.fortuneinsight.com\/web\/wp-content\/uploads\/2021\/03\/cn_inr_onr_r.png","thumbnail_width":640,"thumbnail_height":478,"description":"\u725b\u5e02\u7576\u524d\uff0c\u8eab\u908a\u672c\u4f86\u4e0d\u61c2\u7092\u91ce\u7684\u670b\u53cb\u4e5f\u8b8a\u6210day trader\uff0c\u6bcf\u65e5\u958b\u5e02\u5c31\u770b\u8457broker app\uff0c\u9032\u884c\u4efb\u610f\u4ea4\u6613\u3002\u5f9e\u8cea\u5316\u8207\u91cf\u5316\u5c64\u9762\uff0c\u9019\u7a2e\u7092\u6cd5\u90fd\u6c92\u7528\u3002\u6b64\u6b04\u60f3\u63a2\u8a0e\u591a\u4e00\u4e9b\u91cf\u5316\u539f\u56e0\uff0c\u4ee5\u53ca\u5728\u54ea\u4e9b\u6642\u9593\u7092\u91ce\u8f03\u503c\u535a\u3002 \u9019\u6b21\u8a0e\u8ad6\u6703\u547c\u61c9\u4e0a\u6b21\u7684seasonality analysis\u8a0e\u8ad6\uff0c\u4f7f\u7528\u4e00\u4e9b\u76f8\u95dc\u601d\u7dad\u3002\u4e0a\u6b21\u8a0e\u8ad6\u904e\u865b\u64ec\u8ca8\u5e63\u7684weekday\/weekend\/\u6708\u4efd\u7684seasonality\uff0c\u4eca\u6b21\u5247\u6703\u4ecb\u7d39intraday\u7684calendar anomaly\u3002 \u4e00\u5929\u7684\u56de\u5831\uff0c\u5176\u5be6\u53ef\u4ee5\u88ab\u5206\u6210\u5169\u500b\u90e8\u4efd\uff1a\u65e5\u5167\u56de\u5831\uff08intraday return\/inr\uff09\u4ee5\u53ca\u9694\u591c\u56de\u5831\uff08overnight return\/onr\uff09\u3002\u524d\u8005\u662f\u5373\u65e5\u6536\u5e02\u8207\u958b\u5e02\u9593\u7684\u56de\u5831\uff0c\u5373close(t)\/open(t)-1\uff0c\u5f8c\u8005\u5247\u70ba\u4e0b\u4e00\u4ea4\u6613\u65e5\u958b\u5e02\u8207\u672c\u4ea4\u6613\u65e5\u6536\u5e02\u671f\u9593\u7684\u56de\u5831\uff0c\u5373open(t+1)\/close(t)-1\u3002 \u985e\u4f3c\u7684\u8a0e\u8ad6\uff0c\u4ee5\u524d\u6559\u73ed\/\u65b0\u66f8\u4e2d\u4e5f\u6709\u8a0e\u8ad6\u904e\uff0c\u4f46\u672a\u6709\u6642\u9593\u8a73\u7d30\u89e3\u91cb\u53ca\u6bd4\u8f03\u4e0d\u540c\u5e02\u5834\u7684\u56de\u5831component\u3002\u4e0b\u6587\u6703\u518d\u7d66\u5927\u5bb6\u591a\u4e00\u9ede\u555f\u793a\u3002 \u5148\u770b\u770b\u7f8e\u3001\u6e2f\u3001\u4e2d\u4e09\u500b\u80a1\u5e02\u7684inr\u3001onr\u53ca\u6536\u5e02\u50f9\u5c0d\u6536\u5e02\u50f9\u56de\u5831\uff08close to close return\/c_to_c_r\uff09\u8868\u73fe\u3002\u7f8e\u3001\u6e2f\u3001\u4e2d\u80a1\u5e02\u56de\u5831\u5206\u5225\u4ee5SPY\u30012800\u548c2822\u7684\u56de\u5831\u91cf\u5ea6\u3002\u9019\u500b\u73fe\u8c61\u5728long run\u8f03\u660e\u986f\uff0c\u6240\u4ee5\u8981\u7528\u8f03\u9577\u7684time horizon\u3002\u7f8e\u3001\u6e2f\u7684\u65e5\u56de\u5831\u6578\u64da\u90fd\u670921\u5e74\u5de6\u53f3\uff0c\u4e2d\u570b\u80a1\u5e02\u7684\u5247\u67098\u5e74\u591a\u3002\u5c07\u4e0d\u540c\u80a1\u5e02\u7684c_to_c_r\u5206\u6210inr\u53caonr\u5f8c\uff0c\u5206\u5225\u8a08\u7b97\u4e09\u8005\u7684\u7d2f\u8a08geometric\u56de\u5831\uff08\u7528geometric\u6703\u5047\u8a2d\u6709\u518d\u6295\u8cc7\/reinvestment\uff09\uff0c\u5716\u7247\u5982\u4e0b\uff1a SPY\uff1a 2800: 2822: \u5716\u4e2d\u7d2f\u8a08\u56de\u5831\u90fd\u75311\u958b\u59cb\u8a08\u8d77\uff0c\u5c07y axis\u6578\u503c\u6e1b1\u5c31\u80fd\u5f97\u51fa\u7d2f\u8a08\u56de\u5831\u6578\u5b57\u3002\u6240\u4ee5\uff0c\u5716\u7684\u8d77\u59cb\u503c\u70ba1-1=0\uff0c\u5373\u6c92\u6709\u4efb\u4f55\u76c8\u8667\u3002\u518d\u4ee5\u4e2d\u80a1\u5e02\u5834\u70ba\u4f8b\uff0c\u75312012\u5e74\u81f3\u4eca\u7684\u7d2f\u8a08onr\uff08\u4e0d\u8a08\u4ea4\u6613\u6210\u672c\uff09\u56de\u5831\u5927\u7d04\u70ba5-1=4=400%\uff0c\u8dd1\u8d0f\u4e86inr\u53cac_to_c_r\u3002 \u5404\u4f4d\u4e0d\u96e3\u767c\u73fe\uff0c\u5728\u7f8e\u80a1\u53ca\u4e2d\u80a1\u5e02\u5834\u4e2d\uff0conr\u7684\u7d2f\u8a08\u56de\u5831\u90fd\u5728\u5927\u90e8\u4efd\u6642\u9593\u8dd1\u8d0f\uff0c\u5728\u4e2d\u80a1\u5e02\u5834\u7684\u9019\u500b\u73fe\u50cf\u5c24\u70ba\u660e\u986f\u3002 \u6709\u4e0d\u5c11\u5b78\u8853\u7814\u7a76\u90fd\u6709\u89e3\u91cb\u73fe\u50cf\u80cc\u5f8c\u7684\u539f\u56e0\u3002\u5176\u4e2d\u4e00\u500b\u5408\u7406\u89e3\u91cb\uff0c\u662f\u65e5\u5167\u4ea4\u6613\u6642\u6bb5\u671f\u9593\u8f03\u591a\u4ea4\u6295\uff0c\u8f03\u6613\u89f8\u767c\u6b62\u8755\u76e4\u53ca\u4e4b\u5f8c\u7684\u8cc7\u7522\u50f9\u683c\u53cd\u61c9\uff0c\u4ee4\u4ea4\u6613\u74b0\u5883\u66f4noisy\uff0c\u4ee4onr\u52dd\u65bcinr\u3002 \u76f8\u53cd\uff0c\u6e2f\u80a1\u5e02\u5834\u5247\u6c92\u6709\u9019\u500b\u73fe\u50cf\uff0c\u5f9e\u7d2f\u8a08\u56de\u5831\u5716\u7247\u53ef\u8f15\u6613\u770b\u5230\u3002\u91d1\u878d\u73fe\u50cf\u5c31\u7b97\u6709\u5408\u7406\u89e3\u91cb\uff0c\u4e5f\u672a\u5fc5\u5728\u6240\u6709\u5e02\u5834\u901a\u7528\uff0c\u6b63\u5982\u518dscalable\u7684\u7b56\u7565\uff0c\u4e5f\u6709\u53ef\u80fd\u96e3\u4ee5\u61c9\u7528\u5728\u7279\u5b9a\u5e02\u5834\u4e0a\u3002\u5c0f\u5f1f\u6709\u500b\u908f\u8f2fscalable\u7684\u7b56\u7565\uff0c\u5728\u6e2f\u80a1\u5e02\u5834\u7372\u5229\u80fd\u529b\u4e0d\u5dee\uff0c\u4f46\u5728\u65e5\u672c\u80a1\u5e02\u5247\u4e0d\u53ca\u683c\u3002 \u5728\u7f8e\u4e2d\u80a1\u5e02\u4e2donr\u8dd1\u8d0finr\u53cac_to_c_r\u7684\u73fe\u50cf\u518d\u63a8\u8ad6\uff0c\u7531\u65bcinr\u8f03noisy\uff0conr\u6703\u8f03inr\u53ca\u5305\u542binr\u7684c_to_c_r\u5bb9\u6613\u9810\u6e2c\uff0c\u5404\u4f4d\u56de\u6e2c\u7f8e\/\u4e2d\u80a1\u5e02\u7b56\u7565\u6642\uff0c\u4e0d\u59a8focus\u591a\u9ede\u5728onr\u4e0a\u3002\u7576\u7136\uff0c\u4ee5onr\u4f5c\u56de\u5831\u7684base\uff0c\u4ea4\u6613\u6210\u672c\u5c31\u8981\u76f8\u61c9\u8abf\u6574\uff0c\u4e0b\u6b21\u518d\u8b1b\u4f8b\u5b50\u3002 \u9019\u500btopic\u9084\u6709\u4e00\u4e9b\u555f\u793a\uff0c\u53ef\u4ee5\u8a0e\u8ad6\u5f97\u66f4\u6df1\u5165\uff0c\u5404\u4f4d\u6709\u8208\u8da3\u7684\u8a71\uff0c\u6211\u6703\u518d\u5beb\u3002"}