投資

真的假的? 1個年複利報酬60%的懶人美股及美股ETF投資組合!?

by yyp20
written by yyp20

緣起:

2021/11/14 補注: 請注意本篇在撰寫當時的假設是用MTUM的”現有持股”去做回測, 但MTUM每半年都會換股, 建議到黑石的網站找每月的持股來回測, 結果會大不同.

https://www.blackrock.com/americas-offshore/en/products/251614/ishares-msci-usa-momentum-factor-etf

這週阿批心血來潮, 想到一個美股相關的投資策略點子, 融合兩個絕讚的因子:

  1. 應用冠軍策略, 也稱加速雙動能, Accelerating Dual Momentum, 由Gary Antonacci的雙動能系統演化而來,是阿批去Hahow上”小資族ETF狠會賺投資法“學來的. 冠軍策略本身的邏輯是: 在一堆個股中挑最強的持有, 如果都不強就出場, 每個月底用Portfolio visualizer檢查一次, 依訊號作投資組合的切換, 即可獲得超越大盤的獲利.
  2. 動能因子ETF, 就是把市場裡過去一段時間表現最強的股票挑出來湊成一堆變一支ETF, 可能一次持有個100支, 每一段時間會重新計算挑選. 實際上去看ETF的持股, 裡面還是有強有弱, 所以只要去動能ETF裡去挑最強的強勢股持有, 不就有專業經理團隊, 用Smart beta的技術幫忙先篩選出最強的強勢股了嗎?

Over time. individual factors have delivered outperformance relative to the market. Since March 2009, the MSCI World Momentum index has been the leading performer amongst the factor indexes. Over the period 2001-2016, despite there being a number of momentum crashes, the momentum index has recovered swiftly and outperformed the five other factors discussed in this brochure series. MSCI WORLD FACTOR INDEXES 200' 2002 2003 2005 zoos 2008 2m' 2010 zon 2012 2013 20" 201s From a longer-term perspective. the simulated MSCI World Momentum Index has generated an annualized return of more than 13% during a LO-year period (see chart below). In comparison to other factor indexes over the same period. the momentum factor index tends to be at the higher end Of the risk/return spectrum. MSCLCOM MSCI
根據MSCI的研究, 動能因子被證實為可以在長期獲得超額報酬的因子, 有動能因子ETF也不奇怪.

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由於冠軍策略自帶擇強持有+閃過崩盤的屬性, 原始的冠軍策略, 使用指數型ETF, 在2000年及2008年那種環境都是賺錢的(如下圖),如果使用強勢股中的強勢股, 那不是開外掛了?所以阿批決定來實驗這個策略.

原始版的冠軍策略在歷次股災中都是以正報酬作收.

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實驗使用的ETF:

1. MTUM:

iShares MSCI美國動能因子ETF, 追蹤MSCI USA Momentum SR Variant Index, 在美國大型股及中型股中, 從過去6個月及12個月的股價表現中挑出相對強勢的個股, 給它一個動能分數, 再由動能分數以市值加權去算出要買多大比例, 每半年會再平衡一次,  換句話說, 強勢的大型股, 或是非常強勢但不那麼大的中型股就會是MTUM的核心持股, 每半年他會重新算一次, 調整持股.

MTUM前十大持股:

Top 10 Holdings as ot 02'01'2021 Holding Weightings Sym" TS_VA MSFT AMZN NVPA pypL PHR Q%Øptiqn Tesla Inc Apple Inc Microsoft Corp Amazon.com Inc NVIDIA Corp PayPal Holdings Inc Thermo Fisher Scientific Inc Adobe Inc Danaher Corp Alphabet Inc Class C % of Net Assets 7.6% 4.8% 3.9% 3.0% 2.7% 2.5% Consumer Disc. Communication. -3.6% % of portfolio in top 10 holdings: 41.28%
MTUM的前幾大持股都是大家耳熟能詳的大公司

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2. XMMO:

Invesco標普中型股動能組合ETF, 這支是美國中型股動能ETF, 追蹤MSCI中型400指數中過去12個月股價相對強勢的個股, 給一個動能分數, 再以市價加權決定要買多少.

https://www.moneydj.com/etf/x/basic/basic0003.xdjhtm?etfid=xmmo

XMMO前十大持股:

Top 10 Holdings of 02/020021 Holding Weightings Today:s.Price-Pertormance Synm MPWR SAM MAS] CG_NX QescLi&n Generac Holdings Inc SolarEdge Technologies Inc Monolithic Power Systems Inc Boston Beer Co Inc Class A Masimo Corp Cognex Corp Quidel Corp Charles River Laboratories Internationa... Bio -Techne Corp Cable One Inc % of Net Assets. 4.4% 3.3% 2.6% 2.3% 2.3% Industrials Tecnnology % Of portfolio in top 10 holdings: 28.32% -3.8% -0.1% -3.6% .318% -7.8% Al_LHQlßings
美國的中型強勢股看起來就陌生不少了吧? 漲起來一點也不輸大型股.

4. VGLT:

Vanguard發行的美國長期國債ETF, 基上和TLT是類似的組成, 為這次冠軍策略的出場持有資產.

https://www.moneydj.com/etf/x/basic/basic0003.xdjhtm?etfid=vglt

5. VOO

Vanguard標普500指數ETF,這次用為單一絕對動能開關股.

https://www.moneydj.com/etf/x/basic/basic0003.xdjhtm?etfid=voo

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實驗開始囉!

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實驗一: MTUM+冠軍策略(股票數9, 持股1, 出場持有VGLT, 一個月看一次, 不使用單一絕對動能)

把MTUM持股的前十名(不含PYPL, 因為可回測時間太短, 先拉掉)丟到冠軍策略裡面, 持股數設1, 可以看到如下的鬼神表現, 不過我覺這樣有點後照鏡, 誰都知道最近幾年FANG+強得跟鬼一樣, 特別是Tesla, 2020年一年漲了700%, 所以再進行實驗二, 用XMMO的表現也一樣嗎?

TSLA AAPL MSFT AMZN NVDA TMO ADBE DHR GOOG

Dual Mornentum Model Equal Wetght Portfolio Vanguard 500 Index Investor 5100.000 SIO,ooo sl.ooo 2012 Initial $10,000 $10,000 $10,000 2013 Final Balance $219,006 $35,817 — Dual Model CAGR 87.17% 3581% 13.49% Stdev 5806% 1892% 13.50% Best Year 74344% 10258% 3218% Worst Year 12.45% 2017 Max. Drawdown -40 o -1637% -1963% 2019 1.33 1.70 Sortino Ratio 1.57 US Mkt Correlation 042 079 Portfolio Growth 2015 2016 — Equal Weight Portfolio — Vanguard 500 Investor
Model Simulation Results (Jan 2011 - Jan 2021) C?Link EPDF RExcel ıssave Sumrnaıy Metncs Annual Returns Monthly Returns Rolling Returns TırnilW Periods Dual Momentum Equal Weiaht Portfolio Vanauard 500 Index Investor Year 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 Inflation 1.14% 1.50% 0.73% 207% 211% ı.gı% 229* 0.00% Return 2998% 2362% 13951% 1673% 3210% 22644% 3376% 29B9% 7394% 74344% 1245% Balance S12,998 616,069 638,487 644,925 $194,020 6259,520 6331,091 6586,319 Return 2.58% 22.67% 7322% 18.12% 33.31% 22.57% 4927% 10.65% 51.04% 102.58% 3.02% Balance Sıo,258 S12,583 621,796 625,745 642,066 $ 104,944 6212,594 6219,006 Return 1.97% 32.18% 13.51% 125% -4.52% -1.02% Balance Sıo,191 Sıı,810 S15,610 S17,719 S17,94Û 520,060 524,407 523,302 530,602 536.187 535,817 Tesla (TSLA) 344 _ 7.91% -10.97% 45.70% Apple Inc, (AAPL) 2556% 3259% 806% 4062% -302% 1248% 4848% -539% 8897% 8231% -055% Corporation (MSFT) 5.84% 4428% 27.54% 22.709 1507% 40.72% 20.80% 57.57% 42.53% 429% Amazon.com, Inc, (AMZN) -22.18% 117.78% NVIDIA Corporation (NVDA) -10.00% -10.97% 33.52% 27.409 67.109 226.94% 81.98% -30.82% 76.95% -0.50% Thermo Fisher Scientific Inc (TMO) -1871% 4316% 7578% 1307% 1375% -012% 3503% 1821% 4555% 4371% 943% Adobe SystemS Incorporated (ADBE) -8.15% 3329% 21.41% 2922% 9.599 7022% 29.109 45.78% 51.64% -8.27% Danaher Corporation (OHRİ -009% 1906% 3831% 1159% 904 % 1126% 2001% 11 4955% 4532% Alpha bet Inc, (GOOG) 58.43% -5.97% ı.Tı% 2910% Vanguard Long-Term Treasury ETF (VGLT) 29.17% 3.30% -12.45% 25.199 -1.41% 122% B.64% -1.53% 17.57% -3.52% Annuaı return tor 2021 is 'rom 01/0112021 01/31,2021
這個年報酬真的很殺, 光Tesla一支就夠本了.

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實驗二: XMMO+冠軍策略(股票數10, 持股1, 出場持有VGLT, 一個月看一次不使用單一絕對動能)

把XMMO的前十名持股放進冠軍策略, 一樣持股數設1, 看到的是與MTUM前十名完全不同的光景, 拉回變得很大, 績效還不如平均持股, 由於XMMO是比較新的ETF, 資料只有到2016.

很顯然這個系統在持股單一的狀況下, 會受到個股表現影響而有很大的波動, 甚至會不如平均配置.

GNRC SEDG MPWR SAM MASI CGNX QDEL CRL TECH CABO

portfolio Dual Momentum Model Equal Weight Portfolio Vanguard 500 Index I nvestor 550.000 S2-o.oco 50.000 Jan 2016 Initial Balance $10,000 $10,000 $10,000 Final Balance $34,079 $72,837 $19,965 Jul 2017 — Dual Momentum Model 27.28% 47.79% 14.57% 49.69% 19.69% 15.17% St Yea r 75.80% 112.32% 31.33% Worst Year 211% 452% 2019 'e 2019 Max. Drawdown _49.66% O -18.28% O -19.63% O Jan 2020 Ratio 071 205 Jul 2020 o Rae o 1.19 5.25 2021 LIS Mkt Correlation Jul 2016 Portfolio Growth JL. 2018 — Equal weignt Ponrol'o — Vanguard 500 Index Investor

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實驗三: MTUM+冠軍策略(股票數9, 持股4, 出場持有VGLT, 一個月看一次,不使用單一絕對動能)

那….試著把持股變成群組, 改成4試試, 一整組的績效應該要比較平滑一點.

如下圖, 從2011年起, 年化40.85%, 最大拉回-21.94%, 和實驗一相比, 績效有比較低, 不過拉回也平穩得多.

MTUM:TSLA AAPL MSFT AMZN NVDA TMO ADBE DHR GOOG

年報酬這樣很可以.

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實驗四: XMMO+冠軍策略(股票數10, 持股4, 出場持有VGLT, 一個月看一次,不使用單一絕對動能)

XMMO的實驗顯示出類似的結果, 拉回變得比實驗二的-49.66%平穩許多, 年化報酬也從27.28%來到49.79%, 整體結果和平均持股(Equal weight Portfolio)是接近的.

XMMO: GNRC SEDG MPWR SAM MASI CGNX QDEL CRL TECH CABO

Portfolio Dual Momentum Model Equal Weight portfolio Vanguard 500 Index Investor $100,000 so. 000 S60,ooo "0.000 S20.ooo 2016 Jul 2016 Initial Balance $10,000 Jan 2017 Final Balance $77.99g $72,837 $19,965 Jul 2017 CAGR 49, 4779% 1457% 2487% 1517% Best Year 14923% 11232% 3103% Worst Year -3.02% 4.52% Jan 2019 Max. Drawdown -21.53% O -18128% O -1963% o Jan 2020 Sharpe Ratio Jul 2020 Sortino Ratio 4.69 5.25 1.41 2021 US Wt Correlation 0,43 o, 72 1,00 portfolio Growth Jan 2018 Jul 2018 Jul 2019
Model Simulation Results (Jan 2016 -Jan 2021) esave Summary Metrics Annual Returns Monthly Returns Drawdowns Rolling Returns Timing Periods Dual Momentum Equal Weight Portfolio Year Inflation Vanguard 500 Index Investor Bal 2016 2017 2018 2019 2020 2021 207% 2M1% 1.91% 229% 1.36% 0.00% Return 1066% 82 699% 49.67% 149.23% -302% Bal S11.056 $20.151 $21,560 532.269 $80,424 $77999 Re turn 5464% 8.71% 7M7% 11202% $11 ,616 $17,951 $19,514 $33,598 $71,335 1182% 2167% 4.52 % 3103% 18.25% -102% $11,182 $13.605 $12,989 $17,058 $20,171 $19,965 Gene rac HOI dl ings Inc. (GNRC) 21 102.39% 126.08% SolarEdge Technologies, Inc. (SEDG) -5598% 20282% _6.52% 170.91% 235.60% Power Systems, Inc. (MPWR) 3004% 3822% 4.49% 54.79% 107.46% Boston Beer Company, Inc. (SAM) -1588% 1251% 2603% 163.14% -7.78% Ma simo Corporation (MASI) 62.37% 25.82% 26.62% 47.21% _464% Cognex Corporation (CGNX) 8968% 9291% -3653% 4564% 47.58% 2.29% Qui del Corporation (QOEL) 10238% 12.62% 139.44% 39.70% Charles River Laboratories International, Inc. (CRL) -522% 4365% 3.41% 34.97% 6356% 368% Bio- Techne Corp (TECH) 15.75% 27 I % 12.61% 52.67% 4509% 2.32% Cable One, Inc. (CABO) 45.13% 1421% 1777% 8281% 50.43% -1022% Vanguard Long •Term Treasury ETF (VGLT) 122% 8.64% -1.53% 1431% 1767% -382% Annual return for 2021 is 01/01/2021 to 01/31/2021

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實驗五: XMMO前5名+MTUM前5名+冠軍策略(股票數10, 持股4, 出場持有VGLT, 一個月看一次,不使用單一絕對動能)

那麼, 如果今天大型股威風不再, 輪到中型股當家了呢? 或者反過來, 只用大型股或只用中型股的策略不就吃虧了?

我們試著把二支ETF的前五大持股放在一起實驗, 看能不能兼顧到大中型股.

MTUM 前5名+XMMO前5名, 持股4支: TSLA AAPL MSFT NVDA TMO GNRC SEDG MPWR SAM MASI

結果看起來滿殺的, 波動也不會太誇張,

Portfolio Dual Momentum Model equal weight portf01i0 Vanguard 500 Index Investor Sloo.ooo S30,coo .coo ,coo ,coo SIO.ooo Jan 2016 Jul 2016 Initial Balance $10,000 $10,000 $10,000 Jan 2017 Final Balance $117,264 $89,627 $19,065 Jul 2017 CAGR 62.30% 53.94% 14.57% Stdev 27 2130% 15.17% Best Year 241 87% 152 31 33% Worst Year _940% 084% -462% Jan 2019 Max. Drawdown -24.72% o o -1776% o -19.63% Jan 2020 Sharpe Ratio 1,87 2.10 080 Jul 2020 Sortino Ratio 4, 93 5.71 141 Jan 2021 US Mkt Correlation 0.59 0 78 1.00 Portfolio Growth Jan 2018 Jul 2018 Year — Equal Weight Portfolio Jul 2019 — Dual Momentum Model — Vanguard 500 Index Investor

2018和2020年初的拉回, 要有大幅震盪的心理準備, 如果在資產配置裡只放個10%, 其實也不會很痛.

PORTFOLİO VİSUALIZER Duaı Equaı wejght Year 2018 2018 2018 2018 2019 2019 2019 2019 2019 2019 2019 2019 2019 2019 2019 2019 2020 2020 2020 Month 10 11 12 2 3 4 5 6 7 8 9 10 11 12 2 3 Momentum Model Return -2 4996 _9 _ 100/6 3_42% -3.25% -2,6796 2.64% 11 16.08% -16.96% Portfolio Retum -10.30% 424% _664% vanguard 500 Index Investor Return _6.8596 1.86% 3,6296 00596 -resıa Inc (TSLA) -1223% 27 39096 -775% 4.19% -1251% -1471% -72 20.68% .6.62% 47796 2.6896 -21 Apple Inc- (AAPL) -305% -18.12% 4.48 % g.70% -12.42% 13.05% 7 x34% 730% 11.01% 775% g.88% 5.40% _6.98% Microsoft Corporation (MSFT) 1.82% _6ffi1% 4.27% -8 4096 7.14% 5.28% 10.13% _4.9596 8.31% 172% 1.51% 3.12% 4.17% 795% -4.57% -Th5% NVIDIA Corporation (NVDA) -74 989/0 -224096 -18 1640% OBO% -75 21 .0.62% 15.48% 7.90% 8.56% 14.30% Thermo Fisher Scİentİfic Inc (TMO) 2.15% 6.81% -10 g.78% 5 66% 5.53% 10.07% 3.38% 3.68% 3.96% 3.54% -3.60% Generac Holdlings Inc, (GNRC) -10 122096 -12 6.5096 -2.59% -0.64% 7.34% 0.29% 25.86% 4M6% 23.28% 2.1296 -0.58% Exampıes SoıarEdge Technologies, Inc. (SEDG) 2.87% 0.52% _9 84 % 24.76% -3.49% -IOR4% 17.57% 20VJ% 16.57% 4430/0 25.50% 16.52% 2.91% 27.45% _34.350/0 FAQ contact Monolithic Power Systems, Inc- (MPWR) 11.81% -11.15% 14 9296 -25.21% 1.62% 3ffi3% 7M8% -3.85% 5.88% Boston Beer Company, Inc. (SAM) -5.16% -10E6% -12 3.45% 25.45% -570% 5.18% 20.19% 11 .75% -16.96% 2.85% -5.68% 4.04% e My Models Masimo Corporation (MAŞI) 5.64% -7M8% -4 4896 15.85% 5.54% 5.33% -588% 045% 13.83% .291% -2.91% 7.93% -4 2696 Yen-peng • Vanguard Long- Term Treasury ETE (VGLT) -2.85% -1_92% -25796 -013896 1.29% 642%
Model Simulation Results (Jan 2016 - Jan 2021) Summary Metncs Annual Returns Monthly Returns Drawdowns Rolling Returns T•rnirW Periods Dual Momentum Equal Weight Portfolio Vanguard 500 Index Investor Year 2016 2017 2018 2019 2020 2021 Inflation 2.07% 211% 181% 229% 0.00% Re tum 3322% 6532% 70.46% 24187% 084% Balance S13,322 S22.024 $19,954 $34,013 $116,282 $117,264 Retum 1909% 53 10.11% 75 15207% Balance sli,gog S13,236 $35,260 $88,879 $89,627 Re tum 1182% 2167% 31 1825% -102% Balance $11,182 $13,605 $12,989 $17.05d $20.171 $19,965 Inc (TSA) -1097% 4570% 689% 25.70% 1245% Apple Inc. (AAPL) 1248% 4848% 38.97% 82.31% -055% Microsoft Corporation (MSFT) 15.07% 40.72% 20.80% 57S7% 42.53% 429% NVIDIA Corporation (NVDA) 22694% 3198% 12230% -050% Fisher Scientific Inc (TMO) -0.12% 1821% 45 43.71% 9.43% Gene rac Holdlings Inc. (GNRC) 3685% 2155% 102.39% 12608% 8.36% Technologies, Inc. (SEDG) -5598% 20282% 170.91% 23560% Monolithic Power Systems, Inc. (MPWR) 3004% 107 Boston r Company, Inc. (SAM) -1588% 12.51% 26.03% 5689% 16314% -778% Masimo Corporation (MAS') 6237% 2582% 2662% 4721% 6980% 464% Vanguard Long- Term Treasury ETF (VGLT) 122% 8.64% -1S3% 1401% 1767% -3.52% Annual return for 2021 is trom 01/012021 to

持股內容看起來滿平衡的, 每個月抱4支, 也不會很難換.

Dual 57 56 55 54 53 52 51 Start Feb 2021 Jan 2021 Dec 2020 oct 2020 sep 2020 Aug 2020 Jul 2020 End Feb 2021 Jan 2021 Dec 2020 NOV 2020 sep 2020 Aug 2020 Jul 2020 Month s 2 Assets Apple Inc. (A.APL) Generac HOIdljngs Inc. (GNRC) 25 SolarEdge Technologies, Inc. (SEDG) Tesla Inc (TSLA) Generac HOIdlings Inc. (GNRC) Boston Beer Company, (SAM) solarE-dge Technologies, Inc. (SEDG) Tesla Inc (TSLA) 2500% Generac Holdlings Inc. (GNRC) 2500% MonolithiC power Systems, Ina (MPWR) soar€ge Technologies, Inc. (SEDG) Tesla Inc (TSLA) Generac HOIdlings Inc. (GNRC) Boston Beer Company, Inc. (SAM) SolarEdge Technologies, Inc. (SEDG) 2500% Tesla Inc (TSLA) Generac HOIdlings Inc. (GNRC) 25.00% NVIDIA Corporation (NVDA) 25,00% Boston Beer Company, Inc. (SAM) Tesla Inc (TSLA) 2500% Generac Holdlings Inc. (GNRC) 2500% Boston Beer Company, Inc., (SAM) solare-dge Technologies, Inc. (SEDG) 2500% Tesla Inc (TSLA) 25.00% Monolithic Power Systems, Inc. (MPWR) NVIDIA Corporation (NVDA) SolarEdge Technologies, Inc. (SEDG) Tesla Inc (TSLA) Asset Performance GNRC: 8.36% SAM- -778% SEDGI -g 65% TSLA: CNRCI 5.48% MPWR 14 SEDGI TSLA: GNRC: 11 „34% SAMI SEDG: 1663% TSLA. 32.30% GNRCI 183% NVDA: SAM TSLA: CNRC: 20 56% SAM SEDGI TSLA: MPVVR 1182% NVDA SEDC: TSUA 32 Momentum Model 0.84% 1481% -2.66% 32.46% Equal Weight Portfolio 084% 845% 1067% 066% 19.05% Vanguard 500 Index Investor 384% 7,97% -381% 7.18% 5.63%

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實驗六: XMMO前10名+MTUM前10名+冠軍策略(股票數19, 持股4, 出場持有VGLT, 一個月看一次,不使用單一絕對動能)

結果跟實驗五差不多.

GNRC SEDG MPWR SAM MASI CGNX QDEL CRL TECH CABO TSLA AAPL MSFT AMZN NVDA TMO ADBE DHR GOOG

PO MONO Duel Momentum Model Equal Weight Portfolio Vanguard 500 IMex Investor S200,ooo SIOO,OOO SB0,ooo S40,ooo 20,000 se.ooo S6.ooo Jan 2016 SIO,ooo SIO.OOO SIO,ooo Jan Final Balance $111,498 S6g.60g Sig,965 Jul 201' CAGR 6070% 4648% 14.57% 28.63% 1867% 15.17% Be St Year 217.01% 10927% 31.33% Worst Year 2.54% Jan 2019 Max. Drawdown -201% O -1707% O -1963% O Sharpe Ratio 178 210 2020 Sortino o 4.15 5.02 Jan 2021 US Mkt Correlation Jul 20 '6 Portfolio Growth Jan 2018 Jul 2018 — Equal Weight portfolio 2019 — Dual Momentum Model — Vanguara SOO Index Investor

拉回的時候對心性是大考驗.

Dual Momen tu m , Company, Year 2018 2018 2018 2018 2018 2018 2018 2019 2019 2019 2019 2019 2019 2019 2019 2019 2019 Mon th Model Retum 1.90% -368% 3.24% -2M3% -6.06% -106% _6.24% 4.09% 13.01% 4.40% 8.04% Equal Portfolio Retum 231% _646% -1064% 347% 179% 5,03% Vanguard 500 Index Investor Retum 0.61% 3.25% 0.55% 2.03% 8.00% 320% 1.94% -6.36% 703% 143% 186% 2.15% Generac Holdlings Inca (GNRC) 3,24% -1268% -2sg% 704% 707% 23,28% Sola Technologies, Inc. (SEDG) 1129% _g.95% -2148% 2.87% 0.52% 2476% 17.57% 20.95% 16.57% 4.43% 2559% 148% Monolithic (MPWR) _0.74% 12.96% 1181% -11 887% 5.97% 133% 14,92% -2521% 16.95% 9.12% 162% 363% Boston Inc. (SAM) -1228% 3.45% 5,18% 1.38% 20, 3.85% 11,75% 285% Corpora ti on (MAS') -141% 181% 564% -276% 15.85% 5,54% 0.45% 607% -2,91% Corpo raton (CGNX) -241% 18.31% 375% -2325% -1215% 1766% 1747% _476% -085% -1940% 18.18% Quidel Corporation (QOEL) 205% -15.23% -19.73% 18.87% 1298% -234% -13.51% 7,27% 0.49% -270% -725% International , Inc. (CRL) 10.73% 8.93% 10.70% 1311% 0.89% -181% Bio- Corp (TECH) 8.58% 6,21% -1783% 11 2.40% 5,27% 0.80% 6.39% Cable Inc. (CABO) 12,95% -129% 1,37% 754% 3,41% 5,52% 4,83% Inc (TSLA) 20,45% IMB% -12,23% 27 -775% -12,51% -1471% -22,43% 3074% Inc. (AAPL) -18'2% -1167% 5,52% -164% 7.30% 1107% Corporaton (MSFT) -023% 788% 182% 427% 774% 528% 1073% 485% 172% Amazon.com, Inc. (AMZN) 4,57% 13,24% _048% -2022% -11'3% -142% -2,27% NVIDIA Corporaton (NVDA) 1469% -2498% -2240% -1831% 768% 742% 2124% 2,73%
Model Simulation Results (Jan 2016 - Jan 2021) Summary Metrics Annual Returns Monthly Returns Drawdowns ESave Rolling Returns Periods Momentum Equal Weight Portfolio Vanguard 500 Generac Index Investor Year 2016 2017 2018 2019 2020 2021 Inflation 2.07% 211% 1.91% 220% 136% 0.00% Re tum 3281% 8803% -635% 4014% 21701% 084% Balance S13,281 s24,g72 93,386 S34,877 Silo,564 $111,498 Retum 19.35% 52.36% 9.94% 62.25% 109.27% 2.54% Balance sli,g35 S18,185 S19,g94 92,439 S67,887 S69,609 Re tum 1182% 2167% 452% 3133% 1825% .102% Balance $11,182 $13,605 $12,989 S171058 S201171 Sig1965 Holdlings Inc. (GNRC) 36.85% 2185% 102.30% 126.08% dge Technologies, Inc. (SEDG) -5598% 20282% -652% 17091% 23560% .065% Monolithic (MPWR) 3004% 3822% 5479% 10746% .299% Boston Inc. (SAM) -1588% 12.51% 26.03% 56.80% 163.14% m78% Masimo Corporation (MAS') 6237% 2582% 2662% 4721% 6080% 464% Cog Corporation (CGNX) 92.91% 45.54% 47.58% Qui del Corporation (QDEL) 104% 102.38% 12.62% 53.60% 139.44% 39.70% Charles River Laboratories Intemati on al, Inc. (CRL) -522% 4365% 341% 3497% 6356% 368% Bio- Tech Corp (TECH) 15.75% 2741% 12.61% 52.67% 45.39% 2.32% cable (CABO) 45.13% 1421% 17.77% 82.81% 50 _ Tesla (TSLA) -1097% 45.70% 6.80% 25.70% 74344% 12.45% Apple Inc. (AAPL) 12.48% 48.48% -5.39% 88.97% 82.31% .0.55% Corporation Am (MSFT) Ir 1507% 4072% 2080% 5787% 4253% 429% Annual return for 2021 is from 01/012021 to

1

實驗七: XMMO前10名+MTUM前10名+冠軍策略(股票數19, 持股8, 出場持有VGLT, 一個月看一次,不使用單一絕對動能)

持股數可以不要4支嗎? 為了讓差異明顯一點, 我們直接把持股數*2變成8, 結果看起來也不錯,特別沒有一年是賠錢的,  但這樣每個月要比對跟再平衡8支個股, 也是一番工夫.

GNRC SEDG MPWR SAM MASI CGNX QDEL CRL TECH CABO TSLA AAPL MSFT AMZN NVDA TMO ADBE DHR GOOG

portfolio Dual Momentum Model Equal Weight Portfolio Vanguard 5m Index Investor COO Jan 2016 Initial Balance $10,000 $10,000 $10,000 2017 Final Balance $89,131 $69,609 $19,965 2017 — Dual CAGR 53.78% 46.48% 14.57% Std" 22.21% 18.67% 15.17% Be St Year 162.70% 109.27% 31.33% Worst Year Sharpe Ratio 2.10 Jul 2020 Sortino Ratio 073% 264% 452% Jul 2019 -19.20% O -17.37% O -19.63% O Jan 2020 US '"t Correlation 0.84 1.00 Jul 2016 Portfolio Growth 2018 Jul 2018 — Equal 2019 — Vanguard 500 Investor
Start 61 Feb 2021 60 Jan 2021 59 Dec 2020 58 Nov 2020 Fob 2021 Jan 2021 Dec 2020 Nov 2020 Month s Assets 1 12.50% Apple Inc (AAPL) 12 Corporation (CGNX) 12.50% Charles River Laboratones International, Inc 12.50% Generac Holdings Inc (GNRC) 1250% Monolithic power Systems. Inc. (MPWR) 12.50% SolarEdge Technologies, Inc. (SEOG) 12.50% Bio-Techne corp (TECH) 12.50% Tesla Inc (TSA) 12.50% Apple Inc (AAPL) 12.50% Cognex Corporation (CGNX) 12.50% Charles River Laboratories Intemational, Inc 12.50% Generac Holdings Inc (GNRC) 12.50% Monolithic Power Systems, Inc. (MPWR) 12.50% Boston Beer Company, Inc (SAM) 12.50% solarEdge Technologies, Inc (SEDG) 12.50% Tesla Inc (TSGA) 1 12.50% Cognex Corporation (CGNX) 1250% Generac Holdings Inc (GNRC) 12.50% Monolithic Power systems. Inc. (MPWR) 12.50% NVIDIA corporation (NVOA) 1250% Boston Beer Company. Inc (SAM) 12.50% so.arEdge Technologies. Inc (SEDG) 12.50% Bio.Techne corp (TECH) 12.50% Tesla Inc (TSLA) 1250% Charles River Laboratories International. Inc. 12.50% Generac Holdllngs Inc (CNRC) 12.50% Monolithic Power Systems, Inc. (MPWR) 1260% NVIDIA corporation (NVDA) 12.50% Ou.del corporation (OOEL) 12.50% Boston Beer Company, Inc (SAM) (CRL) (CRL) (CRL) A sset Perfo rmance AAPL: (y CGNX 229% CRL: 368% GNRC 836% -299% SAM: -7 SEDG: -965% TSLA 1245% CGNX: 964% GNRCT 548% MPWR: 1462% NVDA: -2.56% SAM- 682% SEDG: 1480% TECH: TSIA 2433% 300% GNRC: 269% 011% NVDA- 692% ODEL: -2130% SAM: .1043% Dual Momentum Model 0.73% g. 73% 363% Equal Weight Portfolio 264% Vanguard 500 Index Investor 3.84% 1094%
Model Simulation Results (Jan 2016 - Jan 2021) PDF Excel Save Systems, Company, Summary Metrics Annual Retums Monthly Retums Drawdowns Rolling Returns SolarEdge Technologies, Inc. (SEDG) -5598% 20282% ÆS2% 17091% 23560% .965% Timing Periods Dual Momentum Equal Weight Vanguard 500 Index Investor Year 2016 2017 2018 2019 2020 2021 Inflation 207% 211% 191% 229% 136% 000% Return 23.52% 67.26% 9.03% 49.55% 162.70% 0.73% Balance S12,352 S20,659 S22,524 93,685 98,489 S89, 131 Return 19.35% 52.36% 9.04% 62.25% 109.27% 2.54% Balance Sli,935 S18,185 S19,994 92,439 $67,887 $69,609 Return 1182% 2167% 452% 3133% 1825% .102% Balance Sli,182 $13,605 $12,989 $17,058 $20,171 $19,965 Holdlings Inc. (GNRC) 36.85% 21.55% 102.39% Monolithic Power (MPWR) 3004% 3822% 5479% 10746% 299% BOS Inc. (SAM) 12.51% 26.03% 56.89% 163.14% Masimo Corporation (MAS" 6237% 2582% 26.62% 4721% 6980% 464% Cogn ex Corporation (CGNX) 8958% 9291% .36.53% 4564% 4758% Quidel Corporation (ODEL) 102.38% 12.62% 13944% Charles River Laboratories International, Inc. (CRL) 8.22% 43.65% 3.41% 3497% 63.56% 3.68% Bio- Techne Corp (TECH) 1575% 2741% 1261% 5267% 4539% 232% Cable one, Inc. (CABO) 4513% 1421% 1777% 8281% 5043% .1022% Tesla Inc (TSLA) 45.70% 6.89% 25.70% 743 _ 12.45% Apple Inc. (AAPL) 12.48% 48.48% 88.97% 82.31% 055% Microsoft Corporaüon Am' (MSFT) In 15.07% 40.72% 20.80% 5787% 42.53% 420% Annual return for 2021 is from to 01/31/2021

1

實驗八: XMMO前10名+MTUM前10名+冠軍策略(股票數19, 持股4, 出場持有VGLT, 一個月看一次,使用單一絕對動能:VOO) 就是它了!!

加入單一絕對動能當作總開關, 只要VOO(SP500)不好, 就全部持股換成VGLT.

由結果來看可以閃得掉大盤反轉時的輪跌, 拉回幅度變得比大盤還要小的-14.43%, 年複利報酬率62.99%.

GNRC SEDG MPWR SAM MASI CGNX QDEL CRL TECH CABO TSLA AAPL MSFT AMZN NVDA TMO ADBE DHR GOOG

Duel Momentum Model Equal Weight Portfolio Vanguard 500 Investor S200.000 Sloc.ooo swooo S60.ooo s20,ooo SIO,ooo se,ooo Jn 2016 Balance $10,000 SIO.ooo $10,000 Jan 2017 Final Sli9,821 $69,609 $19,965 h" 2017 CAGR 6299% 4648% 146/ % 2267% 1867% 1517% Best r 18035% 10927% 3133% Worst Year 0.84% 264% Jan 2019 Max. Drawdown -1443% O o -1137% o -19.63% Jan 2020 Sharpe Rado 2.10 Jul 2020 Sortino Ratio 681 502 US Wt Correlation 023 0.84 1.00 Portfolio Growth Jan 2018 Jul 2018 Jul 2019 — Dual Momentum Model — Equal Weight Portfolio — 500 Index Investor

這幾年沒有大空頭, 不過在SP500大盤賠的2018年, 實驗八仍然是獲利的.

Model Simulation Results (Jan 2016 - Jan 2021) esave Summary 'vletrics Annual Returns Monthly Returns Drawdowns Rolling Returns Timing periods Dual Momentum Equal Weight Portfolio Vanguard 500 Index Investor Year Inflation 2016 2017 2018 2019 2020 2021 207% 2.11% 1.91% 2.29% 1.36% 0.00% Return 33.67% 88.03% 11.96% 50.61% 180.35% 0.84% $13,367 $25,135 $28,141 $42, 382 Re turn 1935% 5236% 6225% ,935 $18,185 $32,439 $69,609 1182% 2161% 452% 31.33% 18.25% -1.02% Bal $11,182 $13,605 $12,989 7,058 $20,171 Slg,965 Gene rac HOI dl ings Inc. (GNRC) 3685% 2155% 0.36% 10239% 126.08% 8.36% SolarEdge Technologies, Inc. (SEDG) -55.98% 202.82% -6.52% 170.91% 235.60% $118,818 10927% S11g,821 264% Monolithic Systems, (MPWR) 30.04% 38.22% 4.49% 54.19% -2.99% Bos ton Company, Inc. (SAM) -1588% 1261% 2603% 5689% 16314% -1.78% Ma simo Corporation 62.37% 25.82% 26.62% 47.21% _464% Cognex Corporation (CGNX) 8968% 9291% -3653% 4554% 4768% 2.29% Qui del Corporation (QDEL) 10238% 1262% 5369% 13044% 3970% Charles River Laboratories Intemational, Inc. (CRL) -5.22% 43.65% 3.41% 34 _ 63.56% 3.68% Bio- Techne Corp (TECH) 1575% 2741% 1261% 5267% 45.39% 2.32% One, (CABO) 4513% 1421% 17.77% 8281% 50.43% -10.22% Tesl a Inc (TSLA) -1097% 4570% 689% 2570% 14344% 1245% Apple Microsoft Inc. Corporation Anu 1248% 4848% -539% 8897% 8231% -055% (MSFT) In 1507% 57.57% Annual return for 2021 is 01/01/2021 to 01/312021

實驗六中2018年9月到2019月的拉回在實驗八得到大幅改善, 因為持股換成VGLT, 閃過了下跌.

Systems, Company, 2018 2018 2018 2018 2018 2018 2018 2018 2018 2019 2019 2019 2019 2019 2019 2019 2019 Momen tu m Model 507% 188% 190% .368% 324% .213% .1207% 562% 0.48% 973% 540% -187% .624% 100% 40996 1301% Equal Weight Portfolio 1.60% 6.24% 2.31% 7.99% .10.64% 1.89% 7.03% 12.48% 2.32% 500 1 ndex Investor 037% 23996 061% 371% 325% 055% .6B5% 203% .904% 32096 194% .636% 703% 143% 159% G e nerac Holdlinas Inc_ (GNRC) .196% 1129% 3.27% 3.90% 3.24% .ıom% 12.20% .1268% 6.50% .2.59% 064% 7.34% 0.29% 25.86% 4.16% SolarEdge Technologies, Inc. (SEDG) JiD% 608% .1432% 112996 .995% .21.48% 287% 0.52% .984% 2476% .349% .ıo.84% 1757% 2095% 1657% 2559% Monolithic (MPWR) V15% 1256% 164% .o.74% 1296% .16.04% Boston Inc_ SAM) 13.25% 1806% .826% 1026% -516% 688% .1066% .1228% Mas i mo Corporati on (MAŞI) 10.39% .ı.41% 1.81% 1858% 5.64% .7.18% .2.76% 15.85% 5.54% 1383% .2.91% Cognex Corporation (CGNX) 17.47% Quidel Corporation (QDEL) 944 % 1058% 205% 1329% .1523% .124% .550% .1973% 18B7% 1298% .014% .234% .1351% 727% .049% 6B1% Rİver La bora tori es International, Inc. (CRL) 3.2D% 4.41 % 10.73% .o.64% 8.93% .9.45% 10.7D% .16.07% 8.84% 15.41% 2.17% .ıo.69% .5.19% BİO- Techne Corp ( TECH) .o.09% 1.58% 8.58% 19.84% 6.21% .17.83% .3.58% .ıo.35% 20.55% 11.33% 2.4D% 3.04% 5.27% o.8D% .8.69% Cable One , Inc, (CABO) 12.95% 16.02% 5.48% 1.37% 7.83% 7.54% 8.07% 5.52% 4.83% Tesla (TSLA) 10.43% 20 .13.07% 1.18% .12 27 3.90% 5.04% 20.68% .6. Apple Inc, (AAPL) 1.50% 13.51% 2.80% 20 .o.83% .18.12% .ıı.67% 5.52% 9.7D% 5.64% 13.05% 1.64% Microsoft Corporation (MSFT) 2.47% .023% .6.61% 427% .8.40% 528% .495% Amazomcom, Inc. (AMZN) 4.57% 13.24% 1181% .ıı.75% 8.87% 597% 1.33% 1492% .25.21% 1695% 9.12% 162% 3.45% 2545% .570% 518% 2019% 3.85% 1175% NVIDIA Corporaton (NVDA) .2B9% 1220% 14.69% 0.12% .24.98% .22.40% .18.31% 7.68% 16.40% 0.80% 2124% .o.62%

2020年初也是安全下椿, 看來就是這個了!

Systems, Company, 2020 2020 2020 2020 2020 2020 2020 2020 2020 2020 2020 2020 2021 Mon th Momen tu m Model 1608% 277% 6.42% 097% -173% 1481% 11 1481% 084% Equal Weight Portfolio -2.12% 424% 21.57% 10.ge% 6.91% 15.09% 1063% -OQI% 6.49% 6.09% 2.54% 500 1 ndeX Investor .005% -824% -1237% 1281% 476% 198% -381% -2.67% 384% -1.02% Generac Holdlings Inc. (CNRC) 2.98% 058% -953% 458% 1419% 953% 2924% 2056% 5.48% e.36% SolarEdge Technologies, Inc. (SEDG) 291% 2745% -3435% 3628% 2T16% -220% 787% 14.80% Monolithic (MPWR) -385% 588% 1324% 1182% -2.99% Boston Inc. SAM) -568% 404 % -087% 2692% 2105% _497% 5102% et3% 1764% Mas i mo Corpora on (MASO 793% 844% 2077% 1229% -345% 176% 454% Cognex Corporation (CGNX) 30.84% 5.25% 11.97% -5.91% 1.23% 2.29% Quidel Corporation (QOEL) 057% 2663% 2590% 2785% 2625% 24.63% 22.29% 39.70% Charles River La bora tori es International, Inc. (CRL) 1.19% 064% -18.87% 1463% 1003% 0.55% 3.00% 36B% Tech ne Corp (TECH) 435% 0.39% 1866% 1783% -02B% -705% 1.89% 20.29% 4.59% 2.32% C able One , Inc. (CABO) 14.48% -757% 4.51% 1635% -1.23% -594% -10.22% Tesla Inc (TSLA) 55.52% 268% -21. 4921% 6.79% 29 3250% 74M5% 12.45% Apple Inc. (AAPL) 5.40% .11.47% -6.08% 1554% 1474% 1651% 2166% -1025% 9.55% 11.46% -0.55% Microsoft Corporation (MSFT) 7.95% 457% .2.65% 13.63% 2.54% 11.06% 0.74% 10.23% -6.74% 6.01% 3.90% 429% Amazon.com, Inc. (AMZN) 8.71% -6.22% -1.23% 1296% 1471% 4.34% 2.31% NVIOIA Corporaton (NVDA) 0.48% 14.30% -2.40% 10.88% 21.47% 11.76% 26.00% -736% 6.92% -256% -0.50%

結論

  1.  MTUM和XMMO分別是美國大型及中型的動能型投資ETF, 選股的邏輯是買市場中表現最強勢的股票, 每半年重算一次, 善用的話可以省去大把選股的時間, 採用的話要注意上官網看再平衡後前10名的持股有沒有更換.
  2. 冠軍策略用在個股可能表現差異會很大, 因為少數個股相較於指數ETF更不容易掌握, 不過是以一個群組的方式持有, 就可以中和掉個股的波動.
  3. 阿批個人偏向用實驗八, 有夠多的股票來自大型股及中型股, 去給冠軍策略選, 分散性較好, 萬一有幾支同時狀況不好, 有夠大的樣本可以換, 持股4支就好, 不然每個月光重新平衡就要花一番心力, 再來個股波動較指數ETF為大, 使用單一絕對動能, SP500表現不好時全部換成VGLT, 減少心臟病發的機會.
  4. 執行時的價位一定會有誤差, 因為沒有人能真的用當月的收盤價進場(訊號還沒出來), 再來實際執行時會有滑價和買不滿整股的問題, 還有若是個股成交量很小, 有可能會換股不會那麼順利(若資本28億美金的XMMO都買得滿部位, 沒道理小散戶會有流動性問題才是), 若有能力用程式處理更佳.
  5. 使用時需算好部位的風險, 拉回的金額要是自己能承受的才行, 對阿批來說, 任何新的投資, 不管再有把握, 會投的資金都會控制在10%左右, 這樣就算失敗不會造成大的資產減損, 成功向上的空間滿可觀.
  6. Portfolio visualizer的訊號要付一個月19 USD給它, 可以自己去網路爬蟲來複製, 不過不建議就是了, 畢竟一個資金規模以上, 只要一個轉換時機不一樣, 差的數就會遠遠大過一個月 19 USD, 不要因小失大比較好.
  7. 以上只是個人的實驗, 並非投資買賣的建議, 再著過去的績效不代表未來, 回測模型的結果也可能只是幻覺, 如果要依此模式進場, 還需自行研究過喔.
  8. 如果各位看倌有耐心看到這裡, 想必也發現了, 一個組合裡只有4支持股, 在沒有漲跌幅限制的美股還是有他的風險在, 下面這篇, 看過了老師的推薦書目, 針對這個部份做了回測及修正, 有興趣也可看一下.

延伸閱讀: [賺贏大盤的動能投資法] 讀書心得及實驗

一堂必上的課

對於有在投資美股ETF的人, 阿批會強烈建議你一定要去上Cash和Jimmy的這堂”小資族ETF狠會賺投資法“, 原因是Cash 接觸程式交易、智能交易長達數十年，已協助超過百組客戶架構交易系統，也在多所大學與期貨商擔任講師。 Jimmy 擁有多年量化操盤經驗，開發過破百隻期貨，外匯交易策略，對策略管理與交易系統整合有深入研究，操作千萬以上資金。

這樣的人看待ETF投資的觀點, 肯定和市面上普遍告訴大家要被動投資、賺取市場報酬有非常有趣的差異, 看看做量化交易的人如何看待投資也是挺有意思.

阿批原來也只是抱著看看的心情, 看了之後才發現, “原來ETF可以這樣做….那麼簡單, 一個月才看一次, 報酬可以超越市場, 風險才一半..”

哇靠….我報酬率每年多幾個百分點, 還可以閃過金融海嘯….學費算什麼…

而且原來Portfolio visualizer還能這樣用…Timing Model那個選項之前想都沒想過..原來可以這樣做..

就算沒想要做比較進階的模型, 學到冠軍策略的原始版也夠本了!!

投資自己的腦袋, 不會錯!

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熱愛學習、投資、交易 滿腦子都是錢又愛冒險的金牛座

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讀書心得與摘要—FIRE財務自由 Financial Freedom - YYP on FIRE 5 2 月, 2021 - 1:01 上午

[…] 延伸閱讀: 真的假的? 1個年複利報酬60%的懶人美股及美股ETF投資組合!? […]

[賺贏大盤的動能投資法] 讀書心得及實驗 - YYP on FIRE 20 2 月, 2021 - 12:44 上午

[…] 延伸閱讀: 真的假的? 真的假的? 1個年複利報酬60%的懶人美股及美股ETF投資組合!? […]

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