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賺贏大盤的動能投資法

投資

如何建立一個戰勝大盤的動能投資組合?

by yyp20

在<<賺贏大盤的動能投資法>>裡, 身為避險基金經理人的作者Andreas F. Clenow示範了如何製作一個用個股組成的動能投資組合:

  1. 要有一個選股池, 作者用S&P 500–>這裡阿批會用MTUM這支Smart-beta ETF.
  2. 有一個篩選準則, 作者用近90天漲最多的前30名.–>由於MTUM已經是近12個月及近6個月漲最多的個股挑出來, 並經過波動處理, 給予動能分數並加權的結果, 所以我們就直接挑每月前10支就好了.
  3. 決定要買多少: 作者用ATR去調整權數, 這裡阿批就直接每支給他10%.
  4. 再平衡: 作者是每月再平衡, 阿批也是, 每個月第一個交易日, 依照前月底公告的持股前十名調整持股.
  5. 閃避系統性風險的某種機制: 書中是用200日均線, 破線就只出不進; 在這裡阿批用冠軍策略(Accelerating momentum, ADM)的絕對動能, 以MTUM為單一絕對動能, 達到條件時十支個股直接出場, 改持有出場資產, 可以是現金, 也可以是與股市負相關的資產, 像是美國國債, 這回我們用TMF(3倍作多的20年國債), 讓組合在股市有系統性風險時也可以賺一筆.
  6. 個股賣出機制: 作者有用100日均線做個股的賣出機制, 這裡阿批不用.

作者有避險資金的資料源、程式能力, 可以找到得到S&P500過去20年, 每90天漲最多的個股, 還計入分割、配息、下市等資訊….

阿批只有Excel、Portfolio visualizer和網路上的公開資料, 也能行.

延伸閱讀: [賺贏大盤的動能投資法] 讀書心得及實驗

關於什麼是冠軍策略(Accelerating dual momentum, ADM), 可以讀下面這篇:

延伸閱讀: [雙動能投資]-讀書心得及摘要

為什麼用TMF可以讀這篇:

延伸閱讀: [諾貝爾獎得主的獲利公式LIFE CYCLE INVESTING]讀書心得+一個低風險(?)的槓桿投資組合

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具體作法:

1. 先找到MTUM過往每月的持股前10名資料: 到Black Rock網站, 有MTUM每月的持股資料, 全部都給他抓下來.

https://reurl.cc/pmlW1Q

iShares MSCI USA Momentum Factor ETF prospectus Fact Sheet Download Overview Top Holdings May 6, 2021 6 202'_ performance All Holdings CORP 0M INC LDINGS INC INC CLASS C Key Facts Characteristi Asset Class Equity Eq u ity Equity Eq u ity Equity Eq u ity Equity Eq u ity Eq u ity Eq u ity Holdings Custom Columns Weight Notional Value AAP pyp GO apr 30, 2021 Mar 31, 2021 Feb 26.2021 Jan 29. 2021 Dec 31, 2020 Nov 30.2020 Oct 30.2020 sep 30. 2020 Aug 31. 2020 Jul 31, 2020 Jun 30.2020 May 29, 2020 Apr 30.2020 Mar 31. 2020 Feb 28, 2020 Jan 31.2020 Dec 31. 2019 Nov 29.2019 Oct 31. 2019 GOOGL AOBE 1 to IOOf 128 ALPHABET INC CLASS A ADOBE INC THERMO FISHER SCIENTIFIC INC 607 5.27 4.89 4.81 4.74 4.10 3.04 2.98 2_84 2.77 362.793099.52 748.645.838.33 695.557.806.58 684.336.540.24 673.68280661 582.415.951.82 432.307.897.6S 423.887.771.90 403.402.314.28 393.372.719.96 4 . 13 L iteratu re Filter list by Sector Consu mer Discretionary Information Technology Information Technology Information Technology Consu mer Discretionary Information Technology Communication Communication Information Technology Health Care a Show All Download Holdings O Holdings are subject to Change
2021/5/7 09:01 2021/5/7 09:01 2021/5/7 FF- 09:02 2021/5/7 09:02 2021/5/7 FF- 09:02 2021/5/7 09:03 2021/5/7 09:03 2021/5/7 FF- 09:03 2021/5/7 09:04 2021/5/7 FF- 09:04 2021/5/7 09:04 2021/5/7 09:05 2021/5/7 FF- 09:05 2021/5/7 09:05 2021/5/7 FF- 0906 2021/5/7 09:06 2021/5/7 09:07 2021/5/7 FF- 09:07 2021/5/7 09:07 Microsoft Excel Microsoft Excel Microsoft Excel Microsoft Excel Microsoft Excel Microsoft Excel Microsoft Excel Microsoft Excel Microsoft Excel Microsoft Excel Microsoft Excel Microsoft Excel Microsoft Excel Microsoft Excel Microsoft Excel Microsoft Excel Microsoft Excel Microsoft Excel Microsoft Excel 22 KB 22 KB 22 KB 21 KB 21 KB 21 KB 21 KB 21 KB 21 KB 21 KB 21 KB 21 KB 21 KB 21 KB 21 KB 21 KB 21 KB 21 KB 21 KB

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2. 打開下載的檔案, 找出每月的前十大持股, 如下2021/3/31的持股前十名是TSLA, MSFT, NVDA, AMZN, AAPL, PYPL, GOOG, GOOGL, ADBE, TMO.

但GOOG和GOOGL其實都是Google, 只是一個有投票權, 一個沒有, 兩個都選會變成Google在組合中的權重比其它股多一倍, 所以剔掉其中任一個, 由第11名的DHR遞補.

iShares MSCI USA Momentum Factor ETF Fund Holdings as of Inception Date Shares Outstanding Bond cash Issuer Ticker TSLA MSFT AAPL AMZN NVDA PYPL ADBE TMO GOOG GOOGL DKR CRM 31-Mar-21 16-Apr-13 Name TESLA INC Asset Clas Weight (7 Price Equity MICROSOFT CEquity APPLE INC Equity AMAZON COL Equity NVIDIA CORP Equity PAYPAL HOLIEquity ADOBE INC Equity THERMO FISH Equity ALPHABET IN' Equity ALPHABET Equity [F]NAHER CO Equity SALESFORCE.(Equity 6.33 5.15 4.77 4.59 4.58 4.09 2.69 2.78 2.74 2.72 2.39 2.17 667.93 235." # 122.15 # 3,094.08 533.93 # 24284 # 475.3? 456.33 # 2,068.63 2,062.52 # 211.67

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3.打開Portfolio visualizer–>Backtest Portfolio

PORTFOLIO VISUALIZER PORTFOLIO VISUALIZER Portfolio Visualizer is an online software platform for portfolio and investment analytics to help you make informed decisions when comparing and analyzing portfolios and investment products. Our suite of quantitative tools covers portfolio modeling and backtesting, Monte Carlo simulations, portfolio optimization, factor models, and tactical asset allocation models. VIEW EXAMPLES • Backtest Portfolio Backtest a portfolio asset allocation and compare historical aru± realized returns and risk characteristics against various portfolios Backtest Asset Allocation Backtest s Backtest Dynamic Allocation Factor Run regression analysis using Fanta-Fren assets or a portfolio to analyze returns agi Factor Regression Risk Factor Amocation Match Factor Exposures principal Component Factor Statistics Fund Factor Regressions Fund Performance Attribution

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4. 把前十名的個股放進去, 把Portfolio#1旁選單點開來, 選Equal weight, 持股比例就會自動平均分配, 然後按Analyze portfolios即可.

iShares MSCI USA Momentum Factor ETF Fund Holt 31-Mar-21 16-Apr-13 Inception Shares ou 66300,coo.oo PORTFOLIO VISUALIZER Reinvest Dividends O Shares Market Vi Notio Q Q Q Q Q Q Q Q Q Q Analvzc Portfolios Examples Portfolio 10 10 10 10 10 10 10 10 10 10 Cancel FAQ Stock Bond Other Isuer Tick Name Display Factor Regression O Benchmark O P ortfolio Names O Portfolio Assets Asset I Asset 2 Asset 5 Asset 8 Asset 10 (,evdd More) Total None Contact Portfolio Asset Clas Weight (Z Price TSLA MSFT AAPL AMZN NVDA PYPL ADBE TMO GOOG GOOGL DHR CRM NFLX NKE QCOM UPS LOW TESLA INC Equity MICROSOFT (Equity APPLE [NC Equity AMAZON CO. Equity NVIDIA CORI Equity PAYPAL HOL Equity ADOBE Equity THERMO Equity ALPHABET ALPHABET Equity DANAHER C(Eauity SALESFORCE Equity NETFLIX INC Equity NIKE INC Cl.' Equity QUALCOMM Equity UNITED LOWES COM] Equity 6.33 5.15 4.77 4.09 2.74 2.39 2.17 1.81 1.76 1.72 67.93 122.15 242.84 225.08 190.18 MSFT GOOG DHR

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5.一秒鐘後結果出來, 選擇Monthly Returns.

Summary Exposures Portfolio Allocations Name Tesla Inc Metrics Annual Retums Monthly Returns Drawdowns Allocati•n 1000% 1000% 10.00% 1000% 10.00% 1000% 1000% 1000% 1000% 10.00% Drawdown -1685% O ets Roling Retums MSFT AOBE TMO DHR Microsoft Corporation Amazon.com. Inc. N A Corporatio n PayPal Holdings, Inc. Adobe Systems Incorporated Thermo Fisher Scientific Inc Alphabet Inc Danaher Corporation Save portfolio portfolio Returns T SLA Sharpe US Mkt Correlation Portfolio Portfolio 1 Initial SIO,ooo Balance 91.67 0 CAGR 48.19% Stdev 2347% Year 135.50% Year 922%

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6.把2021年4月的結果Copy到Excel工作表上

啊不是用2021/3/31的持股, 怎麼會是取4月的結果?

因為這個策略是每月1日依上月底公佈的持股前10名來決定下月的持股, 因此是取4月

就這樣不斷重複, 把2013~2021的結果都填上去, 可以視自己的需求加上備註, 像阿批有註記某些持股已經不在了的註記和每個月的持股明細, 還有補上S&P 500、MTUM、MTUM-TMF冠軍策略組合的報酬, 來看看是不是真的有比較好.

PORTFOLİO VİSUALIZER Amazon.com, Corporation Exampıes FAQ Corporation (MSFT) 151% O.8S% 595 % 417% 795% -4ş7% -265% 1363% 1106% 1028% _674% -374% 601% 390% 429% 0.41% 116% 696% Tools Adobe Ş y ş tems Incorporated IADBE) 143% 480% -290% 061% 1137% 655% 34796 -171% .779% 11M2% 932% 1260% 207% 1555% 702% 452% 0.20% 312% 694% stock_20210507 Month 10 11 a Portfolio I Return 123% 5.60% 5.76% 664% 9.83% 219% 12.19% 1435% _610% _413% 16.19% 986% 2.72% 0.00% Balance $26,405 526,047 526,367 $27,843 529,448 $31,105 534,491 533,325 530,763 537,399 $d0,577 545,525 564,844 560,436 $57,942 567,322 $73,959 575,971 $74450 $71,451 581 ,467 Inc (J SLA) .662% 6.76% 3074% 477% 2679% 5552% 2.68% .2156% 4921% 679% 2932% 7415% -1391% -955% 4627% 1245% -1427% 621% Apple Inc. (AAPL) .V64% ıvop,'. 775% 988% 540% -1147% .698% 1554% 350% 1474% 216696 -1025% -600% 11 .OEE% -797% 073% 762% DİA (NVDA) .062% 3.92% 1518% 790% 356% 048% 1430% -210% 1088% 2117% 706% 2600% 1.20% -736% 592% -256% .050% -26496 1245% Paypaı Holdings, Inc. (PYPL) .122% -501% 019% 376% 115% 529% -1134% 2847% 2602% 1240% 4.12% -348% -553% 1504% 938% 10596 -655% 301% Thermo Fishet n tifİc (TMO) -515% 3.51% .3.60% 18.01% 3_83% 1424% 2.98% -172% 022% -11 3.03% bet Inc. (GOOG) .235% 260% 3.37% 3.56% 216% 7.27% .1318% 1598% 5.95% .107% 10.20% -1107% 10.30% 8.62% -050% 4.79% 1096% 16.51% Cory Inc. (AMZN) -112% 485% -227% 235% v36% 261% 371% _622% 350% 2689% -128% 1296% 1471% 905% -376% -358% 4.34% 281% .156% 0049'. 1107% B c E 2019 2019 2019 2019 2019 2019 2020 2020 2020 2020 2020 2020 2020 2020 2020 2020 2020 2020 2021 2021 2021 Year MTUMIO 500 Month Rama rk Return Return Goog duplicated , üşe DHR p Holdings TSLA Q MSFT AAPL AMZI

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7.當把每個月前十檔的績效的報酬填入Excel工作表後, 就可以得到”每個月持有MTUM前十名持股”的長期報酬, 其實就已經不錯了, 是同期S&P 500的二倍.

說填這個麻煩嘛? 也還好, 就幾個小時的工罷了….比起在市場裡的金錢損失, 這沒什麼, 再說長期報酬率真能提升個幾個百分點, 那數字也是滿可觀.

2014 2015 2016 2017 2018 2019 2020 MDD MTUMIO% 14.73% 16.51% 8.67% 43.06% 3.09% 22.63% 79.85% 24.84% -16.12% sap 500 % 13.49% 1.26% 11.81% 21.65% -4.53% 31.34% 18.27% 12.76%
MTtJM10 SAP 500 DM MTuM_TMF ishares MTIJMIO_TMF PFE 2013 2013 2013 2013 2013 2013 2014 2014 2014 2014 2014 2014 2014 2014 _OMY% 449% 622% 308% -242% 4 SC% -400% _023% 443% CSS% 106% 620% 293% _202% 2.33% 312% 2.51 % 082% 072% 233% _lßl% _0.26% CELG not available, use lith Biib CELG not available , use lith WMT CELG not available, use Ilth Biib CELG not available, use Ilth HD use Ilth HD CELG not CELG not available, use lith saUX -2.32% CELG not available, use Ilth MA 6.72% CELG not available, use Ilth MA -3.42% CELG ,PCLNnot available, use Ilth MA,MCK -0.99% CELG ,PCLNnot available, use Ilth MA, MCK CELG ,PCLN, GGQ7not available, use 13th MA 2.07% CELG not available, use lith MA -1.04% AGN not available, use HPQ 4.60% AGN not available, use MMM AGN not use MMM, LMT AGN not available, use MMM, LMT AGN not available , use LMT -0.81% 5.43% -1.05% .1.04% ACT, KRET not available, use LOW,MO 3.79% AGN, KRET not available, use LOW,W3A -6.00% AGN, KHcnot avaiÄble, use LOW,WBA S.10% AGN, KHCnot available, use MO -1.73% AGNnot available, use UNH AGNnot available, use AG -0-13% Goog duplicated, use LINH -3.81% Goog duplicated, use UNH 8.71% Goog duplicated, use UNH -064% Goon dunljcatprt Performance I @ PFE GILD GILD GILD GILD GOOGL JNJ GOOGL JNJ GOOGL FB• GOOGL GOOGL FB vz GILD GILD GILD JNJ GILD GILD JNJ MRK WF-c WFC Corpo rati on INTC MSFT GILD JNJ GILD DIS AAPL cvs AAPL V A"7N HD WMT GILD JNJ GILD BA MRK JNJ JNJ MRK JNJ INTC JNJ GILD INTC cvs cvs MPL cvs LLY SBIJX SBUX MRK MRK BA BA GILD PFE PFE AMZN AMZN AMZN AMZN BMY AMZN BRKB BRKB BRKB BRKB BRKB BMY BMY BMY AMZN DIS DIS DIS CELG DIS CELG CELG CELG CELG BRKB -2.32% 6.72% -3.42% -0.99% 4.07% 2.07% .1.04% -0.67% -0.81% -0-69% 5.43% -1.05% .1.04% 3.36% -0-34% 3.79% 7.32% -3.81% .1.28% 1% JNJ JNJ , (FBI Apple (AAPL) AAPL A.APL AAPL AAPL AAPL AMZN DIS AMZN AMZN AMZN GOOGL BRKB AMGN AMGN CELG CELG CELG HD DIS Bild CELG Bild MM M BRKB MMM BRKB MMM BRKB BRKB MMM CELG GGQ7 MMM AMZN CELG AGN MMM cvs AGN cvs AGN cvs AGN d Muti" Corpmti (MMM) Hathaway BRKB cvs cvs BRKB UNP cvs cvs BRKB cvs BRKB MDT KRFT KRET MDT MDT KHC MDT LOW GOOGL AGN Bild SBUX MA MA PCLN PCLN CELG MA LMT LMT LMT LMT LOW LOW LOW KHC UNH AIG MA MCK PCLN AGN MMM MMM MMM WBA MO UNH UNH AGN MCK MA MA HPQ HPQ HPQ HPQ MDLZ MCK SBUX GOOGL BRKB -271% _002% -173% _064% WFC WFC MRK JNJ Corporati on MSFT GILD MSFT MSFT MSFT AAPL AMZN DIS DIS AMZN AMZN 8RKB BRKB GILD GILD Inc AMGN JNJ INTC AMGN JNJ UNH UNH UNH UNH SBUX SBUX S8UX GILD GILD BRKB BRKB Hattmy (AWG') GILD AMGN AMGN INTC AMGN HD NKE MO MO MO BMY UNP AGN AGN AGN UNP DIS ACT SBUX SBIJX AGN NKE LLY NKE MCD MCD rur.n MMM cvs UNP UNP UNP Hntth Co PE i Tic Corpo rati UNP DIS DIS SBUX AGN AGN SBUX MDLZ GOOGL AGN MDLZ MCD NKE NKE NKF GOOGL GOOG AGN GOOG GOOGLAGN GOOG GOOGL UNH r:nnGl anna I INH 2 PV MTUM TMF

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8. 而阿批要的是在大盤有系統性風險時會有MTUM當作單一絕對動能開關, 去將整個投資組合轉換成TMF, 因此我們要需要:

(1)MTUM-TMF的冠軍策略(ADM)組合的轉換Timing, 這可由Portfolio visulizer–>Timing models–>Dual Memntum去創建MTUM-TMF的組合, 然後取得Timing時間.

Model Simulation Results (Jan 2014 - Apr 2021) Summary Metrics Signal Date 05/07/2021 Stan u May 2021 13 May 2020 12 Mar 2020 11 Apr 2019 10 Mar 2019 g Feb 2019 8 Nov2018 7 Feb 2017 6 oec2016 5 Apr2016 4 Feb 2016 3 Nov201S 2 sep2015 Jan 2014 Annual Returns Monthly Returns Drawdowns Rolling Retums Timig Periods 100.00% Shares MSCI USA Momentum Factor ETF (MTUM) Asset MTUM MTUM: 4581% TMF: 1481% MTUM: 9.02% TMF: 17 MTUM: 3.39% TMF: 24 06% MTUM_ 39 TMF: 0.49% MTUM• 3 TMF: 8.01% MTLIM: -342% TMF: 3.23% MTUM: 18.10% I -month -0.32% 0.00% -3.04% 0.01% o nth 1170% 0.03% Dual Momentum Model 4581% 1491% 902% 1700% 339% 2406% 3975% 0.49% 386% 8.01% -342% 328% 18.10% Weighted 287% 0112% 287% 002% May 2021 Apr 2021 2020 Feb 2020 Mar 2019 Feb 2019 Jan 2019 oct2018 Jan 2017 Nov 2016 Mar 2016 Jan 2016 oct2015 Aug 201S Assets Months 10000% Shares MSCI USA Momentum Factor ETF (MTUM) 12 10000% Shares MSCI USA Momentum Factor ETF (MTL.'M) 2 100.00% Direxion (IMF) 11 10000% •shares MSCI USA Momentum Factor ETF (MTUM) 100.00% Direxion Daily 20. ETF (TMF) 10010% Shares MSCI USA Momentum Factor ETF (MTLJM) 3 10000% Direxion Daily 204 YrTrsyBu11 3X ETF (TMF) 21 10010% Shares MSCI LISA Momentum Factor ETF (MTUM) 2 10000% Direxion Daibi 204 YrTrsyBu11 ETF (TMS) 8 100.00% Momentum Factor ETF (MTUM) 2 10000% Direxion Daily ETF (TMS) 3 10000% iShares MSCI USA Momentum Factor ETF (MTUM) 2 10000% Direxion Daily (TMF) 10000% Shares MSCI LISA Momentum Factor ETF (MTUM) 20 Equal Weight Portfolio 4581% -1M9% 902% 2.12% 3975% 386% 1810%

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(2) 同期間TMF的報酬率, 這也可以從MTUM-TMF的回測資料中得到, 可以直接Copy或Download Excel檔.

Model Simulation Results (Jan 2014 - Apr 2021) Summary Metrics Annual Returns Monthly Returns Drawdowns Rolling Returns Timing Periods
2014 2014 2014 2이4 2014 2014 2014 2014 2014 2014 2014 2014 2015 2이5 2015 2015 2이5 2015 2015 2015 2015 2이5 2015 2015 2016 2016 2016 2016 이|4| Momentum M예el Retum -232% 672% -312% •0뜨9% 44786 207% •1℃4% 440% •0죠7% 230%. 375% •021% -169% •1 05% -104% 136% -134% 5.10% •173% •321% 8.71% •0죠4% •063'石 Balance 510,425 510.068 510.374 510,588 510,478 510.960 510,887 511.137 5111555 511,461 511.382 512,000 511.875 511.751 512,147 512.105 512,564 511.810 $14413 512,197 512.262 512,246 511,780 SI기805 512,723 512.643 Equal Weight P에tf혜0 Retum -232% 672읽, -342% •0S9% 4.07% •1t4% 440% •0죠7% 230%. 375% •181% -069% •145% -1 04% 136% -034% 379% •F00% -1 89% 732% 0.53% -113% -1 28% 531% •163% Balance 59,768 510.425 510.068 510.374 510 588 510.478 510 960 510.887 511,137 511,555 511,461 511.382 512,000 511.875 511.751 512.147 SI기105 512 564 511.810 511.587 512.435 SI기501 512,485 512.009 511.856 512 485 512.407 iShares MSCI USA Momentum Factor ETV (MTUM) 672% -342% •까99% 447% •1t4% 460% •167% 230% 375% 요81% -069% 543% -1 04% 336% -034% 379% •F00% 0.53% -113% 321% -128% 531% •0 63% Direxion Dai* 20• Yr Trsy Bull 3X ETV (TMF) 163% 176% 596% 879% 151% 1442% •6뚀5% 846% 908% 938% 31.01% •17晷7% 257% -1030% •7S1% -1249% 1340% 275% 5.10% -271% 1774% 8.71% •0-64% -239%

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9. 在原先填寫報酬的Excel工作表, 貼上TMF的報酬率, 並加上絕對動能的欄位, 就可以得到每月MTUM前10名的持股, 用MTUM當絕對動能去切換成TMF這個組合的報酬率.

K30 A 29 30 31 32 33 34 35 36 37 38 39 B c MTUMIO ishares MW USA Factor ETF .1.89% 7.32% -0.13% -3.81% .1.28% s.31% -0.63% 2.95% Bun Erg 13.40% .2.75% 5.10% -I. 73% -2.71% -2.41% 17.74% 8.71% TMF -0.64% TMF -2.39% MTUMIO_TW retur n st0% -064%

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10. 接下來是要算每年的報酬率, 但不是用每個月的報酬率去直接加喔!

這裡應該是幾何平均報酬, 懶得帶公式的玩法就是先把報酬率換成每月的帳戶餘額.

LIO Year 10 11 12 13 14 15 16 B Month c .242% 400% -023% 0.58% momentu GIOCOJX(I+KIO) MTUMIO TMF MTUMIO IMF 2014 2014 2014 20 u 2014 20M 2014 -0.23% 443% 9,758 10,197 9,789 9767 10,199 10.255 10,364 Remark CELG n CELG n CELG CELG CELG CELG n AGN nc
Lil Year 10 11 12 13 14 15 16 17 B Month c MTUMIO J 2014 2014 2014 2014 20 u 2014 2014 momentu 400% -023% 620% MTUMIO TMF MTUMIO TMF .242% -023% 820% g. Iss 9,789 9.767 10.199 10.2" 10.364 11.007 Remark CELG not CELG not CELG ,PCLN CELG ,PCLN CELG ,PCLN CELG not AGN not AGN not avi

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11. 再用樞紐分析表去抓每年12月底的帳戶餘額.

Month 2013 2014 2015 2016 2017 2018 2019 2020 12 ЖЕ - ОМ МТИМ10 TMF balance 11,473 12,632 13,800 19,575 26,385 35,345 69,381

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12. 比較和前期的差額比率就是年報酬率了.

сз 2 з 4 5 7 8 2014 2015 2016 2017 2018 2019 2020 в мтикпо balance 11,473 13,368 14,527 20,781 21,423 26,272 47,252 с мтим10% 14.73% 16.51% 8.67% 43.06% 3.09% 22.63% 79.85% 13.49% 1.26% 11.81% 21.65% 453% 31,3496

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13. 也可以依自己的需要加上需要的數字, 像阿批會看年複利成長率CAGR, 就公式帶一下囉….

最大回撤(MDD)是阿批很在意的, 通常我會從月報表上每個去細看找出來.

其它的比率像是Sharp ratio, Sortino ratio, 要去找每年的無風險利率, 比較麻煩, 有時就大概看一下標準差和CARG的比較, 心裡有底就好了.

2 2014 з 2015 4 2016 5 2017 2018 7 2019 8 2020 9 10 CAGR 11 MDD в мтимш Ьа[.псе 11.473 13,368 14,527 20,781 21,423 26,272 47,252 с катим 14.73% 16.51% 8.67% 43.06% 22.63% 79.85% 24.84% -16.12% 500 % 13.49% 1.2696 11.81% 21.65% 4.53 % 31.34% 18.27% 12.76% -19.63%

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14. 最後的結果長這樣, 每月從MTUM挑前10名, 以MTUM為絕對動能, 切換TMF的組合, CAGR是31.88%, 同期S&P 500的報酬率是12.76%, 回撤也比較大.

與直接持有MTUM、直接持有每月前十名及使用MTUM-TMF冠軍策略(ADM)組合的比較, 也是較佳.

這樣算是親自驗證了<<賺贏大盤的動能投資法>>的投資方式了, 的確有效.

不過, 這樣的回測期間也還是算比較短的, 也不能忽略實務上每月再平衡是會因為買不滿整股或是損益金額太小無法再平衡的, 再加上進倉的滑價, 多少會有一點誤差啦,

再來, 持股10支, 要承受的個股風險也需要考量, 不過仍然是一個不錯的組合.

мтикпоммтим) мтим_тм; % 2015 2016 2017 2018 2019 2020 моо мтим10% 14.73% 16.51% 8.67% 43.06% 3.09% 22.63% 79.85% 24.84% 46.12% мтим% 14.61% 8.93% 37.50% 27.25% 29.85% 16.59% -17.90% 14.73% 10.1096 9.25% 41М% 34.79% 33.96% 963096 31.88% -13.66% 14.61% 6.84% 6.84% 35.29% 29.52% 37.52% 51.01% и.97% 1.26% 11.81% 21.65% .4.53% 31.34% 18.27% 12.76% 49.63%

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以上僅是個人的研究思考, 不是投資建議, 想要進場仍需自行做好功課.

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[賺贏大盤的動能投資法] 讀書心得及實驗

by yyp20

讀書心得

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

“要打敗市場如此簡單, 你確定還要指數報酬嗎?“

<賺贏大盤的動能投資法>這本書裡最狂的一句話……

作者Andreas F. Clenow是避險基金經理人, 在這本著作裡, 示範如何回測並建構一支動能交易策略, 並打敗大盤.

書中在建構模型的過程非常強調”資料的正確性“回測大盤最好要考慮現金股利、下市, 和股票分拆.”及持股的分散性, 大概20~30支, 作者覺得差不多, 再多就會和大盤表現貼近, 若太少5~10支則容易受到個股的風險影響(美股沒有漲跌幅限制的….有可能會殺很大..)

“S&P500本身就是一個動能策略“

蛤? 我看錯了嗎? 作者說, 因為要入S&P500必須市值成長到53億美元以上(也就是漲很久了..), 並且在NASDAQ或NYSE掛牌交易, 也就是要漲一段時間才會被選入, 這點也就是動能策略的主要元素”買進上漲中的股票.“

注意”趨勢策略(Trend following)”和”動能策略(Momentum)”還是不同的, 趨勢策略通常會有一條或二條或三條均線去給他當基準, 而均線在盤整時是會失效的, 因此比較適合放在多個相關性低的市場, 互相Cover,

而動能策略就主要是把最會漲的挑出來, 然後加上一個大盤大跌的卡關, 避免大盤走空的時候還持續買股.

作者策略是這樣的:

  1. 用90日漲幅、迴歸斜率及R2找出S&P500中的動能前30名.(也可以是S&P 400, S&P600, 總之要有一個股票池.)
  2. 取前20支持有, 部位大小以ATR決定.
  3. 如果大盤在200日均線以下, 不買股.
  4. 如果個股跌穿100日均線/90日內有跳空15%/從S&P500剔除, 砍!
  5. 每2週(或一個月)再平衡一次.(20支個股要再平衡, 要費一點工夫.)

書中有教怎麼做第1點的Excel表格, 要撈500支S&P500個股的過去90日報價, 再分別計算出斜率和R2, 最好還是要會寫程式比較好.

有趣的是, 作者有比較過只取過去90日漲幅最大的個股, 其實績效和算斜率的個股沒什麼差別, 不過還是嚴謹一點用有斜率和R2的資料, 目的是抓到走勢一致, 沒有暴衝的個股, 作者在平衡波動性這點上很謹慎….若是一般投資人要簡單作就是90日漲幅前20名去買就好了.

個人覺得和Gary Antonaci的Daul momentum滿像的, 就有某種機制挑出強勢股持有, 然後會有一個切換點, 不管是12月報酬還是大盤的200日均線也好, 就是會有一個在大盤不好時跳脫的機制.

總體來說, 阿批還是比較喜歡這種能夠量化的交易手法, 點到出手, 沒有模稜兩可, 也不用去找護城河、經理人品格這種比較難界定的東西,

不過相對而言, 對資料蒐集、資料分析、策略建構的要求就比較高, 程式的能力還是練一下好些, 不然像阿批就有很時候必須靠別人的報告, 或是要牽就網站的格式, 自己想知道的東西就比較不能隨心所欲的去了解….

但量化策略也不是萬能就是了, 回測結果也不見得就一定代表未來, 也是會有過度配適, 或者因為市場改變, 策略失效的問題, 最好還是有多支策略搭在一起用.

不論如何, 任何的投資方式都好, 會長期賺錢就是王道.

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冠軍策略的隨機選股測試

書中有一個很帥氣的回測, 作者把S&P500裡的個股,每月隨機挑50支持有, 結果竟可以穩定的打盤大盤, “要打敗市場如此簡單, 你確定還要指數報酬嗎?”

阿批不禁好奇起來, 如果在台灣50和台灣中100中就給他挑過去90天最強的20支來抱, 每月更新, 會不會也能海放大盤? 畢竟買高賣更高、強者恒強, 這樣的動能現象在市場裡不是什麼新聞, 也有研究報告指出動能因子能夠長期打盤大盤.

基於工具的限制, 阿批決定用冠軍策略來作實驗.

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股票池

阿批依作者的建議, 把自己的冠軍策略投資組合, 以MTUM為股票池, 從裡面隨機拉出來50支, 原因是Portfolio visualizer的限制是50支.

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!?

MTUM本身就是動能型ETF, 從美國大型及中型個股中挑出6個月及12個月內表現強勢的股票, 經過波動性調整後給一個動能分數, 再用市值加權, 決定持股比例, 最大不超過5%, 每半年再平衡一次.

然後再使用冠軍策略, 從50支裡面每月拉最強的12支出來(理由是Portfolio visualizer的限制是50支/12支, 程式段位不夠的悲哀..)

歷史持股資料不可得, 不過可以像作者一樣玩, 阿批把MTUM的121支持股篩選後, 留下2014年前上市的79支(原因是有的2020年才上, 就只有一年資料.., 回測結果就會是一年, 用2014年有7年, 不長不短.).

2021/2 MTUM全121支持股如下, 紅色部份是2015以後才上市的股票, 仔細看還不少是近期的飆股, 像Paypal, Zoom, Roku…等等.

去掉紅字後剩79支如下, 再從79支中隨機挑50支當股票池, 每月持有最強的12支.

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測試條件及參數

以下冠軍策略實驗均使用單一絕對動能: MTUM, 出場持有資產: VGLT, 持股數:12

切換參數同原版冠軍策略.

Timing Model O Time Period O Start Year O End Year O Include YTD O Initial Amount O Cashflows O Tickers O Single absolute momentum O Absolute momentum asset O Out Of Market Asset O Specifr out Of market asset Performa pe riOdS period Weighting O previous Month Normalize Returns O Assets to hold O Dual Momentum Year-to-year 1985 2021 10000 TSLA FOX REGN ODFL MSFT DE MTCH CI_X AAPL TGT TT HOLX NVDA BLK HZNP TER AMZN UPS CHTR CONS csGP Select asset.. VGLT Mult$le periods Weight performance

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實驗一:

挑選的50支股票以藍色標示如下:

TSLA FDX REGN ODFL MSFT DE MTCH CLX AAPL TGT TT HOLX NVDA BLK HZNP TER AMZN UPS CHTR CDNS CSGP MPWR TYL ROL ADBE MELI TMUS ENPH NEM SPLK BIO MASI TMO ZTS MRVL VAR GOOG FCX CMI ZG GOOGL ATVI WST TSCO DHR ADSK MTD ALB

Portfolio visualizer回測結果:

毫無懸念的海放大盤, 而且標準差及MDD都很夠水準.

Portfolio Dual Momentum Model Equal Weight portfolio Vanguard 500 Index I nvestor stoocco Jan Initial Balance SIO.ooo SIO,ooo $10,000 Final Balance $85.780 S64.049 $22,945 Jul 2016 — Dual Momentum 35.45% 29.98% 12.44% 1786% 1658% Best Year 138.26% 8142% 3133% Worst Year 201% 015% -u 2018 -11.69% o -1370% -19.63% Ju12019 Sharpe Ratio 176 1.63 0.85 Sortino Ratio 424 344 2021 US Mkt Correlation 0.47 0.92 2014 Portfolio Growth 2017 — Equal Weight 'm 2019 — Vanguard 500 Index Investor

1

實驗二:

挑選的50支股票以藍色標示如下:

TSLA FDX REGN ODFL CRM IDXX EPAM MKTX MSFT DE MTCH CLX NKE ALGN MSCI SGEN AAPL TGT TT HOLX QCOM SNPS BLL FBHS NVDA BLK HZNP TER NOW NXPI ANSS WHR AMZN CHTR CSGP TYL UPS CDNS MPWR ROL ADBE TMUS NEM BIO MELI ENPH SPLK MASI TMO ZTS

Portfolio visualizer回測結果:

Dual Mornentum Model Equal Weight portfolio Vanguard 500 Imlex Investor Sloc,ooo swooo S60.ooo S40,ooo s20,ooo Initial Balance $10,000 $10,000 $10,000 Jul 2015 Final Balance $93,752 $70,173 $22,945 CAGR 37, 3166% 12.44% 17.55% 16.70% 14.12% Best Year 113.94% 78.28% Worst Year 042% -151% 2018 Max. Drawdown -15.03% o -14.16% -19.63% Sharpe Ratio 170 0.85 JL. 2020 Sortino Ratio 2021 US Mkt Correlation 0.48 0.91 portfolio Growth Jan 2014 Jul 2014 2015 2016 Jul 2016 31133% 2018 2017 — Equal weignt Jul 2017 2019 M 2019 — Dual Momentum Model — Vanguard 5m Intel Investo«

1

實驗三:

挑選的50支股票以藍色標示如下:

TSLA CRM FDX IDXX REGN MSFT NKE DE ALGN MTCH AAPL QCOM TGT SNPS TT NVDA NOW BLK NXPI HZNP AMZN UPS CHTR CDNS CSGP ADBE MELI TMUS ENPH NEM TMO NEE ZTS LULU MRVL GOOG LOW FCX GNRC CMI GOOGL COST ATVI DG WST DHR AMD ADSK A MTD

Portfolio visualizer回測結果:

Portfolio Dual Momentum Model Equal Weight Portfolio Vanguard 500 Index Investor s200,ooo S100,ooo SB0,ooo S60,000 sac,ooo 20,000 "0.000 segoo Initial Balance SIO,ooo SIO,ooo SIO,ooo Jul 2015 Final Balance Sli6,243 S67,725 S22,945 CAGR 4139% 3100% 1244% Stdev 1890% 1680% 1412% Best Year 13218% 7842% 3133% Worst Year 1.65% -014% Jul 2018 Max. Drawdown .1783% .1465% O -19.63% Sharpe Ratio Sortino Ratio 345 135 Jan 2021 US Wt Correlation 0.49 0.93 l.oo Portfolio Growth Jan 2014 Jul 2014 2015 2016 Ju12016 2017 Jul 2017 Yea r Jan 2018 2019 2019 2020 Jul 2020 — Dual Momentum Model — Equal weignt Portrolio — Vanguard 500 Index Investor

1

實驗四:

挑選的50支股票以藍色標示如下:

IDXX REGN EPAM ODFL MKTX ALGN MTCH MSCI CLX SGEN SNPS TT BLL HOLX FBHS NXPI HZNP ANSS TER WHR CDNS CSGP MPWR TYL ROL ENPH NEM SPLK BIO MASI LULU MRVL ROK VAR BRO GNRC CMI POOL ZG ERIE DG WST RMD TSCO NFLX A MTD PKI ALB ADSK

Portfolio visualizer回測結果:

Final Balance Dual Momentum Model Equal Weight Portfolio Vanguard 500 Index I nvestor Initial Balance SIO,ooo SIO,ooo SIO,ooo Jul 201S CAGR 31.61% 29.12% 12.44% 15.73% 16.32% 14.12% Best Year 80.96% 69.92% Worst Year Max. Drawdown 1350% O .1262% O .1963% Sharpe Ratio 1.79 0.85 Jul 2020 Sortino Ratio 3.51 Jan 2021 US Mkt Correlation s70.oco S60000 SS-Otto sao.ooo syo.ooo S2•oooo Jan 2014 Jul 2014 Jan 201S Jan 2016 s69,974 S61,140 S22,g45 2016 Portfolio Growth Jan 2017 Ju120t7 31.33% Jan 2018 — Vanguar SOO Index 2019 Jul 2019 — Dual Momentum — Equal Weight portfolio

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實驗五:

挑選的50支股票以藍色標示如下:

REGN MKTX MSFT NKE DE ALGN MTCH MSCI CLX SGEN SNPS HOLX NVDA NOW BLK NXPI HZNP ANSS TER WHR CHTR MPWR ADBE MELI TMUS ENPH NEM SPLK BIO MASI NEE MRVL GOOG LOW FCX GNRC CMI POOL ZG ERIE GOOGL DG TSCO DHR AMD ADSK A MTD PKI ALB

Portfolio visualizer回測結果:

Best Year 10295% Duel Momentum Model Equal Weight Portfolio Vanguard 500 It%fex Investor Balance SIO,ooo SIO,ooo SIO,ooo Jul Final S78,294 $65,601 $22,945 CAGR 33.71% 3042% 1244% 1722% 1705% 1412% Worst Year 145% 010% Jul 2018 Max. Drawdown o -17.55% o -1263% o -19.63% Sharpe Rado Jan 2020 Ratio 321 135 Jan 2021 US Wt Correlation 0.44 0.91 1.00 90,000 S80,000 S70,ooo S60,ooo c S50,ooo S40,ooo S30,ooo S20.000 SIO.000 Jan 2014 Jan 201S Jan 2016 Jul 2016 Portfolio Growth Jan 201' — Equal Weight Portfolio 3133% Jan 2018 Jan 2019 2019 — Dual Momentum Mode-I — Vanguard 500 Investor

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實驗六:

挑選的50支股票以藍色標示如下:

NVDA NXPI TER AMZN UPS CHTR CDNS CSGP MPWR TYL ROL ADBE MELI TMUS ENPH NEM SPLK BIO MASI TMO NEE ZTS LULU MRVL ROK VAR BRO GOOG LOW FCX GNRC CMI POOL ZG ERIE GOOGL COST ATVI DG WST RMD TSCO NFLX DHR AMD ADSK A MTD PKI ALB

Portfolio visualizer回測結果:

Dual Momentum Model Equal Weight Portfolio Vanguard 500 Itufex Investor Initial Balance SIO.ooo SIO.ooo $10,000 Ju12015 Final $72,293 $63.138 $22,945 2016 Jul 2016 — Dual Momentum Model CAGR 3222% 2971% 1244% 1725% 1605% 1412% Best Year 10001% 7054% 3133% Worst Year 163% Jul 2018 Max. Drawdown -16.59% -1436% O -1963% Sharpe Rae o Jan 2020 Sortino Ratio 323 353 135 Jan 2021 US Wt Correlation 0.45 0.92 1.00 Portfolio Growth "0.000 S60,ooo sso,ooo sao.ooo "0.000 S20,ooo SIO,ooo 2-014 Jul 2014 2015 2017 J. 2017 Jan 2018 2019 2019 — Equal weignt Portrolio — Vanguard 500 Index Investor

1

實驗七:

挑選的50支股票以藍色標示如下:

CRM IDXX EPAM MKTX MSFT NKE DE ALGN MTCH MSCI CLX SGEN QCOM SNPS BLL FBHS NVDA BLK HZNP TER AMZN UPS CHTR CDNS CSGP MPWR TYL ROL ADBE TMUS NEM BIO NEE LULU ROK BRO LOW FCX GNRC POOL ZG ERIE COST DG RMD NFLX DHR ADSK MTD ALB

Portfolio visualizer回測結果:

Final Balance Dual Momentum Model Equal Weight Portfolio Vanguard 500 Investor S70.000 S60.000 sso,ooo S30,ooo S20.ooo SIO.000 SIO,ooo SIO,ooo SIO,ooo Jul 201S CAGR 26.98% 2014% 12.44% 16.79% 1560% 14.12% Be St Year 73.14% 6855% 31.33% Worst Year -2.11% 2018 Max. Drawdown -1$05%0 -1063% o Sharpe Ratio 169 085 Jul 2020 Sortino o 2.60 3.51 1.35 LIS Mkt Correlation 201S Jan 2016 $54,308 S61,200 S22,945 Jul 2016 Portfolio Growth 2017 — Equal Weight Ju12017 Jan 2019 Ju12019 — Dual Momentum — Vanguard SOO Index Investor

1

實驗八:

挑選的50支股票以藍色標示如下:

TSLA CRM FDX IDXX REGN EPAM ODFL MKTX MSFT MSCI SGEN AAPL QCOM TGT SNPS TT BLL FBHS NVDA BLK ANSS WHR AMZN CHTR MPWR ROL ADBE TMUS SPLK MASI TMO ZTS ROK BRO GOOG FCX GNRC CMI POOL ERIE GOOGL ATVI NFLX DHR AMD ADSK A MTD PKI ALB

Portfolio visualizer回測結果:

Portfolio Dual Momentum Model Equal Weight portfolio Vanguard 500 Investor S70.ooo S60.ooo S50,000 sao,ooo S30,ooo S20.000 SIO.000 20 la Initial Balance $10,000 $10,000 $10,000 Jul 201S Final Balance $56,565 558.224 $22,945 Jan 2016 Jul 2016 — Dual Momentum Model CAGR 27.72% 2824% 12.44% 17.46% 16.91% 14.12% Best Year 76.45% 67.70% Worst Year Jul 2018 Max. Drawdown -15, -15.36% -lg.63% Sharpe Ratio 1,45 1,52 0.85 Sortino Ratio US Mkt Correlation 0.92 Portfolio Growth 201S 2017 Jul 2017 31.33% 2018 — Vanguard 500 Jan 2019 hi 2019 Jan 2D2c Jul 2020 — Equal Weight PortWO

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實驗九:

2007年以前上市的共62支, 挑紅字的50支.

FDX IDXX REGN ODFL MKTX DE ALGN MTCH CLX SGEN QCOM TGT SNPS TT BLL HOLX BLK ANSS TER WHR UPS CDNS CSGP MPWR TYL ROL NEM BIO NEE MRVL ROK VAR BRO LOW FCX CMI POOL ERIE COST ATVI WST RMD TSCO NFLX AMD ADSK A MTD PKI ALB

Portfolio visualizer回測結果:

Portfolio Dual Momentum Model Equal Weight Portfolio Vanguard 500 Index Investor Initial Balance SIO,ooo SIO,ooo SIO,ooo Jul Final Balance CAGR 2211% 2556% 12.44% Best Year 1588% 1582% 14.12% Worst Yea r 1.01% .1T81%O 1390% O 1063% O Jul 2019 Sharpe Ratio 130 148 085 Jul 2020 Sortino Ratio 2.17 1.35 Jan 2021 US Mkt Correlation S60,ooo sso,ooo S40.000 S30,ooo S20,ooo SIO.000 Jan Jul 2014 Jan 201S Jan 2016 S41,160 S50,138 S22,g45 Jul 2016 Portfolio Growth Jan 2017 Ju120t7 6165% 31.33% Jan 2018 2019

由於想看一下策略在金融海嘯時的表現, 阿批把單一絕對動能換成VFINX(S&P500的美國境內基金), 出場持有資產換成VUSTX(美國長期債券基金).

Tickers O Single absolute momentum O Absolute momentum asset O Out Of Market Asset O SpeciW out Of market asset Performa Ce period Weighting O previous Month O Normalize Returns O Assets to hold O FDX loxx REGN ODFL MKTX DE ALGN MTCH CLX SCEN OCOM TGT SNPS TT BLL HOLX BLK ANSS TER WHR UPS CD VFINX Select asset VUSTX Mult$le periods Weight performance

結果, 經歷海嘯不論在報酬率和年報酬都很堅挺, 同時期原版冠軍策略的複合年報酬率是15.94%, MDD是-19.67%, 標準差13.61%.

US Mkt Correlation Dual Momentum Model Equal Weight Portfolio Vanguard 500 Index I nvestor stooooo "0000 succo Initial Balance SIO,ooo SIO,ooo SIO,ooo Final Balance $166,545 $173,865 "9,958 — Dual Momentum Model CA GR 20.50% 20.84% 9.62% Std ev 15.87% 17.84% 15.08% Best Year 61.55% 32.18% Worst Year .087% -3127% .37.02% .17.81%0 .42.76% O .50.97% 2018 Sharpe Ratio 109 061 2019 Sortino Ratio 2.16 0.90 Portfolio Growth 2014 — Weight — Vanguard Index Investor

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實驗十:

挑選的50支股票以藍色標示如下:

TSLA FDX IDXX REGN ODFL MKTX MSFT NKE DE MTCH MSCI CLX AAPL QCOM SNPS TT BLL FBHS NOW BLK NXPI ANSS TER WHR AMZN CHTR CDNS CSGP TYL ADBE MELI TMUS NEM BIO NEE LULU ROK BRO LOW GNRC POOL ERIE GOOGL ATVI WST TSCO DHR ADSK MTD ALB

Portfolio visualizer回測結果:

Portfolio Dual Momentum Model Equal Weight Portfolio Vanguard 500 Index Investor yo. 000 so. 000 $50. ooo "0.000 o "0.000 $20,000 $10,000 Jul Initial Balance Slotooo SIO,ooo SIO,ooo Ju120t5 Final Balance CAGR 2937% 2746% 12.44% Stdev 1591% 1567% 14.12% Best Year 8445% 6035% 3133% Worst Year Jul 2018 Max. Drawdown -1201% -1288% -1963% Sharpe Ratio 1.59 0.85 Sortino Ratio 2021 US Mkt Correlation 093 Jan 20'S 2016 $611967 $55,767 $22,945 Jul 2016 Portfolio Growth Jm2017 Ju12017 Jan 2018 Jan 2019 hi 2019 Jan 2020 Jul 2020 — Dual Model — Equal Weight Portfolio — Vanguard 500 Investor

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結論

在股票池裡隨機選股, 真的隨便都可以海放大盤ㄟ….

這樣我想可以一定程度的證明動能策略的是有作用的, 在適當的股票池裡去隨機選股的確能幹掉大盤, 特別作者是有考慮到S&P 500的持股變化, 那麼回測的效度就更高.

但MTUM是每半年調一次持股, 這回持股121支中近3年上市(2019,2020,2021)的個股就有17支, 佔14.05%, 在這樣的狀況下, 2014年的MTUM持有的強勢股到底和現在有多大的不同無從得知, 只能說這個實驗是假設股票池從2014年就是一樣的, 從裡面隨機挑股還是能夠有不錯的績效, 讓阿批確認了相對動能的有效性.

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.

考量冠軍策略本身自帶的擇強持有、閃避空頭盤的能力, 以及不管MSCI, 亦或本書的作者的對動能策略回測, 亦或阿批自己的實驗及回測經驗, 我想這個模式還是值得一試的, 歐印…沒啦…就倉位不要太大, 風控做好就可以了.

最後警世一下, 如同作者說的, 組合太少會有個股風險, 也確實看到了, 在沒有漲跌幅限制的美股….滿恐怖..買進個股時永遠要記得考慮風險, 適度分散才是.

56 Nov2018 55 Oct 2018 Jan 2019 Oct 2018 3 Vanguard Long-Term Treasury ETF (VGLT) 1 8.33%Apple Inc (AAPL) 833% Align Technology, Inc (ALGN) 833% Advanced Micro Devices. Inc (AMD) 8.33% Arnazon.com. Inc (AMZN) 8 33% Activision Blizzard, Inc (ATV') 833% Salestorcecom Inc (CRM) 833% Horizon Therapeutics PLC (HZNP) b Lowe's Companies, Inc (LOW) 833% lululemon athletica inc (LULU) 833% Match Group, Inc (MTCH) 8.33% QUALCOMM IncÆrporated (QCOM) 8.33% West Pharmaceutical Services, Inc (WST) VGLT: 809% AAPc -3.05% ALGN: -4346% AMD: -41.05% AMZN[ -20.22% ATVI: -17 CRU -1370% HZNP: -700% LOW -1666% LULLL -1339% MTCH: -029% QCOM; -12 WST: -1410% 508% -1763%

前一篇的組合正犯了欠缺分散性的誤區, 在此也把他修正過來.

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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<賺贏大盤的動能投資法> 本身是”小資族ETF狠會賺投資法“的推薦閱讀書目, 看了才知道老師用心良苦啊….

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