{"id":1353,"date":"2024-08-21T07:20:00","date_gmt":"2024-08-20T23:20:00","guid":{"rendered":"https:\/\/blog.laoyulaoyu.top\/?p=1353"},"modified":"2024-08-14T09:21:55","modified_gmt":"2024-08-14T01:21:55","slug":"%e5%9b%9e%e6%ba%af%e5%ad%a6%e6%9c%af%e8%ae%ba%e6%96%87%e9%87%8c%e7%9a%84%e6%b3%a2%e5%8a%a8%e6%80%a7%e7%ad%96%e7%95%a5%ef%bc%8c%e6%96%a9%e8%8e%b7%e5%9b%9b%e5%80%8d%e5%b8%82%e5%9c%ba%e6%94%b6%e7%9b%8a","status":"publish","type":"post","link":"https:\/\/laoyulaoyu.com\/index.php\/2024\/08\/21\/%e5%9b%9e%e6%ba%af%e5%ad%a6%e6%9c%af%e8%ae%ba%e6%96%87%e9%87%8c%e7%9a%84%e6%b3%a2%e5%8a%a8%e6%80%a7%e7%ad%96%e7%95%a5%ef%bc%8c%e6%96%a9%e8%8e%b7%e5%9b%9b%e5%80%8d%e5%b8%82%e5%9c%ba%e6%94%b6%e7%9b%8a\/","title":{"rendered":"\u56de\u6eaf\u5b66\u672f\u8bba\u6587\u91cc\u7684\u6ce2\u52a8\u6027\u7b56\u7565\uff0c\u65a9\u83b7\u56db\u500d\u5e02\u573a\u6536\u76ca"},"content":{"rendered":"\n<p>\u4f5c\u8005\uff1a<a href=\"https:\/\/www.laoyulaoyu.com\/\" target=\"_blank\" rel=\"noreferrer noopener\">\u8001\u4f59\u635e\u9c7c<\/a><\/p>\n\n\n\n<p><strong><mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-cyan-bluish-gray-color\">\u539f\u521b\u4e0d\u6613\uff0c\u8f6c\u8f7d\u8bf7\u6807\u660e\u51fa\u5904\u53ca\u539f\u4f5c\u8005\u3002<\/mark><\/strong><\/p>\n\n\n\n<figure class=\"wp-block-image size-full\"><img decoding=\"async\" src=\"https:\/\/www.laoyulaoyu.com\/wp-content\/uploads\/2024\/08\/CVWS7GWR59H2K4GX1ANX78W0N0.webp\" alt=\"\" class=\"wp-image-1448\"\/><\/figure>\n\n\n\n<blockquote class=\"wp-block-quote is-layout-flow wp-block-quote-is-layout-flow\">\n<pre class=\"wp-block-verse\"><strong>\u5199\u5728\u524d\u9762\u7684\u8bdd\uff1a<\/strong>\u672c\u6587\u4e3b\u8981\u4ecb\u7ecd\u4e86\u5982\u4f55\u901a\u8fc7\u56de\u6eaf\u6d4b\u8bd5\u5b66\u672f\u8bba\u6587\u4e2d\u7684\u6ce2\u52a8\u6027\u7b56\u7565\uff0c<mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-vivid-cyan-blue-color\">\u5b9e\u73b0\u4ee54\u500d\u7684\u4f18\u52bf\u6218\u80dc\u5e02\u573a<\/mark>\uff0c\u5e76\u8be6\u7ec6\u8bf4\u660e\u4e86\u8fd9\u4e00\u7b56\u7565\u7684\u5b9e\u65bd\u8fc7\u7a0b\u548c\u6548\u679c\u3002<\/pre>\n<\/blockquote>\n\n\n\n<p><\/p>\n\n\n\n<p id=\"9b4e\">\u6211\u6700\u8fd1\u5bf9\u827e\u4f26-\u83ab\u96f7\u62c9\uff08Alan Moreira\uff09\u548c\u6cf0\u52d2-\u7f2a\u5c14\uff08Tyler Muir\uff092017 \u5e74\u53d1\u8868\u7684\u8bba\u6587\u300a\u6ce2\u52a8\u7387\u7ba1\u7406\u6295\u8d44\u7ec4\u5408\u300b\u4e2d\u7684 &#8220;\u6ce2\u52a8\u7387\u7ba1\u7406\u7b56\u7565 &#8220;\u8fdb\u884c\u4e86\u56de\u6eaf\u6d4b\u8bd5\u3002\u6211\u7684\u7ed3\u679c\u8868\u660e\uff0c\u5728\u8fc7\u53bb\u7684\u5341\u51e0\u5e74\u4e2d\uff0c\u6309\u7167\u4ed6\u4eec\u7684\u65b9\u6cd5\u64cd\u4f5c\uff0c\u4f1a\u5927\u5927\u8dd1\u8d62\u5e02\u573a\u3002<\/p>\n\n\n\n<h2 class=\"wp-block-heading\" id=\"f419\"><strong>\u4e00\u3001\u56de\u6eaf\u6d4b\u8bd5\u7ed3\u679c\uff08Backtest results\uff09<\/strong><\/h2>\n\n\n\n<p>\u5177\u4f53\u6765\u8bf4\uff0c\u4ece 2010 \u5e74\u5f00\u59cb\uff0c\u6ce2\u52a8\u7387\u7ba1\u7406\u7b56\u7565\u7684\u603b\u56de\u62a5\u7387\u662f\u4e70\u5165\u5e76\u6301\u6709\u7b56\u7565\u7684\u56db\u500d\u591a\u3002\u6362\u53e5\u8bdd\u8bf4\uff0c2010 \u5e74\u6295\u8d44\u4e8e\u4e0a\u8ff0\u7b56\u7565\u7684 100 \u7f8e\u5143\u5982\u4eca\u5c06\u53d8\u6210 1700 \u591a\u7f8e\u5143\uff0c\u800c\u6295\u8d44\u4e8e\u4e70\u5165\u5e76\u6301\u6709\u7b56\u7565\u7684 100 \u7f8e\u5143\u4ec5\u4e3a 480 \u7f8e\u5143\u3002\u66f4\u5999\u7684\u662f\uff0c\u6563\u6237\u4f3c\u4e4e\u53ef\u4ee5\u901a\u8fc7 ETF \u76f8\u5bf9\u5bb9\u6613\u5730\u4f7f\u7528\u8fd9\u4e00\u7b56\u7565\uff1aspy\u3001upro \u548c vgsh\u3002\u56de\u6eaf\u6d4b\u8bd5\u7ed3\u679c\u5982\u4e0b\u56fe\u6240\u793a\uff0c\u5177\u4f53\u60c5\u51b5\u8bf7\u5927\u5bb6\u7ee7\u7eed\u5f80\u4e0b\u9605\u8bfb\u3002<\/p>\n\n\n\n<figure class=\"wp-block-image\" id=\"eb0f\"><img decoding=\"async\" src=\"https:\/\/cdn-images-1.readmedium.com\/v2\/resize:fit:800\/0*cCw8BdFmj9XutnWE.png\" alt=\"\"\/><\/figure>\n\n\n\n<h2 class=\"wp-block-heading\" id=\"4a0b\"><strong>\u4e8c\u3001TLDR<\/strong><\/h2>\n\n\n\n<p id=\"0406\">\u8be5\u7b56\u7565\u80cc\u540e\u7684\u603b\u4f53\u601d\u8def\u662f\uff0c\u6839\u636e\u5e02\u573a\u6ce2\u52a8\u60c5\u51b5\u8fdb\u51fa SPY\uff08\u6807\u51c6\u666e\u5c14 500 \u6307\u6570\u7684 ETF\uff09\u3002\u5982\u679c\u5e02\u573a\u6ce2\u52a8\u5267\u70c8\uff0c\u6211\u4eec\u5c31\u7ee7\u7eed\u6301\u6709\u5b89\u5168\u7684\u7f8e\u56fd\u653f\u5e9c\u503a\u5238\uff08VGSH\uff0c\u77ed\u671f\u7f8e\u56fd\u56fd\u503a ETF\uff09\uff1b\u5982\u679c\u5e02\u573a\u5e73\u9759\uff0c\u6211\u4eec\u5c31\u5229\u7528\u6760\u6746\u4e70\u5165 SPY\u3002<\/p>\n\n\n\n<p id=\"656d\">\u8fd9\u6837\u505a\u7684\u539f\u56e0\u662f\uff0c\u7f8e\u56fd\u80a1\u5e02\u901a\u5e38\u4f1a\u4e0a\u6da8\uff0c\u5c24\u5176\u662f\u5728\u4f4e\u6ce2\u52a8\u7387\u65f6\u671f\uff0c\u800c\u4f4e\u6ce2\u52a8\u7387\u4e5f\u5927\u5927\u964d\u4f4e\u4e86\u6760\u6746\u6210\u672c\u3002\u6211\u4eec\u53ef\u4ee5\u901a\u8fc7\u8ba1\u7b97\u8fd1\u671f SPY \u4ef7\u683c\u7684\u65b9\u5dee\u6765\u8861\u91cf\u5e02\u573a\u6ce2\u52a8\u6027\u3002<\/p>\n\n\n\n<p id=\"a309\">\u4ee5\u4e0b\u662f\u6d41\u7a0b\u7684\u9ad8\u5ea6\u6982\u62ec\uff1a<\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li>\u5982\u679c SPY \u7684\u65b9\u5dee\u4f4e\u4e8e\u67d0\u4e2a\u4e34\u754c\u503c\uff08\u4f4e\u6ce2\u52a8\u7387\uff09\uff1a<\/li>\n\n\n\n<li>\u5229\u7528\u6760\u6746\u6295\u8d44 SPY\uff1b<\/li>\n\n\n\n<li>\u5982\u679c SPY \u7684\u65b9\u5dee\u8d85\u8fc7\u67d0\u4e2a\u4e34\u754c\u503c\uff08\u9ad8\u6ce2\u52a8\u7387\uff09\uff1a<\/li>\n\n\n\n<li>\u6295\u8d44\u5b89\u5168\u7684\u7f8e\u56fd\u653f\u5e9c\u503a\u5238\uff1b<\/li>\n<\/ul>\n\n\n\n<h2 class=\"wp-block-heading\" id=\"edf5\"><strong>\u4e09\u3001\u6df1\u5165\u4e86\u89e3\uff08Diving Just a Bit Deeper\uff09<\/strong><\/h2>\n\n\n\n<p id=\"8c3c\">\u83ab\u96f7\u62c9\u548c\u7f2a\u5c14\u5728\u4ed6\u4eec\u7684\u8bba\u6587\u4e2d\u6307\u51fa\uff0c\u5728\u8fc7\u53bb\u7ea6 100 \u5e74\u4e2d\uff0c\u6295\u8d44\u8005\u53ef\u4ee5\u901a\u8fc7\u6839\u636e\u5df2\u5b9e\u73b0\u6ce2\u52a8\u7387\u7684\u6ce2\u52a8\u5b9a\u671f\u8c03\u6574\u80a1\u7968\u6295\u8d44\u6765\u5b9e\u73b0\u6295\u8d44\u7ec4\u5408\u7684\u6b63\u963f\u5c14\u6cd5\u3002\u5728\u4f4e\u6ce2\u52a8\u7387\u65f6\u671f\uff0c\u4f60\u5e0c\u671b\u6295\u8d44\u4e8e\u6807\u51c6\u666e\u5c14 500 \u6307\u6570\u5e76\u4f7f\u7528\u6760\u6746\uff08\u4f4e\u6ce2\u52a8\u7387\u610f\u5473\u7740\u66f4\u4fbf\u5b9c\u3001\u66f4\u5b89\u5168\u7684\u6760\u6746\uff09\uff0c\u800c\u5728\u9ad8\u6ce2\u52a8\u7387\u65f6\u671f\uff0c\u5219\u6295\u8d44\u4e8e\u5b89\u5168\u7684\u7f8e\u56fd\u56fd\u503a\u3002<\/p>\n\n\n\n<p id=\"2fcc\">\u6211\u4eec\u7684\u56de\u6eaf\u6d4b\u8bd5\u8868\u660e\uff0c\u5728\u5927\u591a\u6570\u60c5\u51b5\u4e0b\uff0c\u4f7f\u7528\u8fd9\u4e00\u7b56\u7565\uff0c\u4f60\u4f1a\u5728\u6807\u51c6\u666e\u5c14 500 \u6307\u6570\u4e0a\u83b7\u5f97\u6760\u6746\u6536\u76ca\u3002\u8fd9\u662f\u56e0\u4e3a\u8fc7\u53bb\u5341\u5e74\u7684\u6ce2\u52a8\u7387\u975e\u5e38\u4f4e\u3002<\/p>\n\n\n\n<p id=\"1898\">\u8fd9\u7bc7\u8bba\u6587\u5199\u4e8e 2017 \u5e74\uff0c\u4f46\u4ed6\u4eec\u63d0\u51fa\u7684\u7b56\u7565\u5728 COVID \u671f\u95f4\u5374\u53d1\u6325\u4e86\u4ee4\u4eba\u96be\u4ee5\u7f6e\u4fe1\u7684\u4f5c\u7528\u3002\u8be5\u7b56\u7565\u5728\u5927\u6d41\u884c\u4e4b\u521d\u51e0\u4e4e\u5c06\u98ce\u9669\u5168\u90e8\u8f6c\u79fb\u5230\u4e86\u7f8e\u56fd\u56fd\u503a\u4e0a\uff0c\u5e76\u4e00\u76f4\u7ef4\u6301\u5230 6 \u6708\u5de6\u53f3\uff0c\u7136\u540e\u624d\u6062\u590d\u5230\u6b63\u5e38\u7684\u6760\u6746\u5934\u5bf8\uff0c\u4ece\u800c\u5229\u7528\u4e86\u5f53\u5e74\u4e0b\u534a\u5e74\u51fa\u73b0\u7684\u725b\u5e02\u884c\u60c5\u3002<\/p>\n\n\n\n<p id=\"2669\">\u4e3a\u4e86\u5c06\u5176\u4ed8\u8bf8\u5b9e\u8df5\uff0c\u5e76\u4f7f\u6563\u6237\u6295\u8d44\u8005\u6613\u4e8e\u4f7f\u7528\uff0c\u6211\u4eec\u9009\u62e9\u4f7f\u7528 3 \u79cd ETF\uff1aSPY\u3001UPRO \u548c VGSH\u3002\u4e3a\u4e86\u7b80\u5355\u4fbf\u5b9c\u5730\u5229\u7528\u6807\u51c6\u666e\u5c14 500 \u6307\u6570\uff0c\u6211\u4eec\u6df7\u5408\u4f7f\u7528 SPY \u548c UPRO\uff083 \u500d\u6760\u6746\u6807\u51c6\u666e\u5c14 500 ETF\uff09\u3002\u4e0d\u8fc7\uff0c\u8fd9\u4e5f\u610f\u5473\u7740\u60a8\u6700\u591a\u53ea\u80fd\u4f7f\u7528 3 \u500d\u6760\u6746\uff0c\u4f46\u8fd9\u5e94\u8be5\u8db3\u591f\u4e86\u3002<\/p>\n\n\n\n<p id=\"414b\">\u8fd9\u79cd\u5b9e\u7528\u7684\u7b56\u7565\u4e0e\u8bba\u6587\u4e2d\u7684\u7406\u60f3\u7b56\u7565\u975e\u5e38\u63a5\u8fd1\uff0c\u53ea\u662f\u8868\u73b0\u7a0d\u5dee\u3002<\/p>\n\n\n\n<h2 class=\"wp-block-heading\"><strong>\u56db\u3001\u89c2\u70b9\u56de\u987e<\/strong><\/h2>\n\n\n\n<ul class=\"wp-block-list\">\n<li><strong>\u6ce2\u52a8\u6027\u7b56\u7565\u53ef\u4ee5\u663e\u8457\u8d85\u8d8a\u5e02\u573a\u8868\u73b0<\/strong>\uff1a\u56de\u6eaf\u6d4b\u8bd5\u7ed3\u679c\u8868\u660e\uff0c\u6309\u7167\u8bba\u6587\u4e2d\u7684\u65b9\u6cd5\u64cd\u4f5c\uff0c\u53ef\u4ee5\u5b9e\u73b0\u4ee54\u500d\u7684\u4f18\u52bf\u6218\u80dc\u5e02\u573a\u3002<br><mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-white-color\">\u3002<\/mark><\/li>\n\n\n\n<li><strong>\u6295\u8d44\u7b56\u7565\u5e94\u6839\u636e\u5e02\u573a\u6ce2\u52a8\u6027\u8c03\u6574<\/strong>\uff1a\u5728\u4f4e\u6ce2\u52a8\u6027\u65f6\u671f\u5229\u7528\u6760\u6746\u6295\u8d44SPY\uff0c\u5728\u9ad8\u6ce2\u52a8\u6027\u65f6\u671f\u8f6c\u5411\u5b89\u5168\u7684\u7f8e\u56fd\u653f\u5e9c\u503a\u5238\u3002<br><mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-white-color\">\u3002<\/mark><\/li>\n\n\n\n<li><strong>\u7f8e\u56fd\u80a1\u5e02\u7684\u957f\u671f\u4e0a\u6da8\u8d8b\u52bf\u548c\u4f4e\u6ce2\u52a8\u6027\u671f\u95f4\u7684\u5b89\u5168\u6760\u6746\u6210\u672c<\/strong>\uff1a\u8fd9\u4e9b\u56e0\u7d20\u662f\u8be5\u7b56\u7565\u6210\u529f\u7684\u5173\u952e\u3002<\/li>\n\n\n\n<li><strong>\u7b56\u7565\u7684\u5b9e\u7528\u6027<\/strong>\uff1a\u901a\u8fc7SPY\u3001UPRO\u548cVGSH\u7b49ETF\uff0c\u6563\u6237\u6295\u8d44\u8005\u53ef\u4ee5\u76f8\u5bf9\u5bb9\u6613\u5730\u5b9e\u65bd\u8fd9\u4e00\u7b56\u7565\u3002<br><mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-white-color\">\u3002<\/mark><\/li>\n\n\n\n<li><strong>\u7b56\u7565\u5728\u6781\u7aef\u5e02\u573a\u6761\u4ef6\u4e0b\u7684\u9002\u5e94\u6027<\/strong>\uff1a\u4f8b\u5982\u5728COVID\u5927\u6d41\u884c\u671f\u95f4\uff0c\u7b56\u7565\u80fd\u591f\u53ca\u65f6\u8c03\u6574\uff0c\u4fdd\u6301\u5728\u7f8e\u56fd\u56fd\u503a\u4e2d\uff0c\u968f\u540e\u518d\u6b21\u56de\u5230\u6760\u6746\u5934\u5bf8\u4ee5\u5229\u7528\u5e02\u573a\u53cd\u5f39\u3002<\/li>\n<\/ul>\n\n\n\n<p><mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-white-color\">\u3002<\/mark><\/p>\n\n\n\n<p><\/p>\n\n\n\n<p><\/p>\n\n\n\n<div class=\"wp-block-group\"><div class=\"wp-block-group__inner-container is-layout-constrained wp-block-group-is-layout-constrained\">\n<p><strong>\u672c\u6587\u6d89\u53ca\u8bba\u6587\u539f\u6587\uff1a<\/strong>\u300aVolatility-Managed Portfolios\u300b\uff0c Alan Moreira&amp;Tyler Muir<\/p>\n\n\n\n<p><strong>\u8bba\u6587\u5730\u5740\uff1a<\/strong><a href=\"http:\/\/onlinelibrary.wiley.com\/doi\/10.1111\/jofi.12513\/full\">http:\/\/onlinelibrary.wiley.com\/doi\/10.1111\/jofi.12513\/full<\/a><\/p>\n<\/div><\/div>\n\n\n\n<hr class=\"wp-block-separator has-alpha-channel-opacity\"\/>\n\n\n\n<p><\/p>\n\n\n\n<p><\/p>\n\n\n\n<p><\/p>\n\n\n\n<p><\/p>\n\n\n\n<p class=\"has-text-align-center\"><strong><mark style=\"background-color:#ffffff\" class=\"has-inline-color has-cyan-bluish-gray-color\">\u672c\u6587\u5185\u5bb9\u4ec5\u4ec5\u662f\u6280\u672f\u63a2\u8ba8\u548c\u5b66\u4e60\uff0c\u5e76\u4e0d\u6784\u6210\u4efb\u4f55\u6295\u8d44\u5efa\u8bae\u3002<br>\u8f6c\u53d1\u8bf7\u6ce8\u660e\u539f\u4f5c\u8005<\/mark><\/strong><\/p>\n","protected":false},"excerpt":{"rendered":"<p>\u4f5c\u8005\uff1a\u8001\u4f59\u635e\u9c7c \u539f\u521b\u4e0d\u6613\uff0c\u8f6c\u8f7d\u8bf7\u6807\u660e\u51fa\u5904\u53ca\u539f\u4f5c\u8005\u3002&#8230;<\/p>\n<div class=\"more-link-wrapper\"><a 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