【語重心長】投資新手或者唔想再做傻散嘅入一入嚟（5）
JovianJulia
996 回覆
38 Like
7 Dislike
第 1 頁第 2 頁第 3 頁第 4 頁第 5 頁第 6 頁第 7 頁第 8 頁第 9 頁第 10 頁第 11 頁第 12 頁第 13 頁第 14 頁第 15 頁第 16 頁第 17 頁第 18 頁第 19 頁第 20 頁第 21 頁第 22 頁第 23 頁第 24 頁第 25 頁第 26 頁第 27 頁第 28 頁第 29 頁第 30 頁第 31 頁第 32 頁第 33 頁第 34 頁第 35 頁第 36 頁第 37 頁第 38 頁第 39 頁第 40 頁
DBMF 其實點揀佢嘗試top down replicate嘅廿間hedge fund，佢好似唔係嘗試replicate SG CTA index所以比較唔到，有錯請指正
咁梗係算 tactical allocation兼唔包生仔，你bet得啱咪賺得多過無腦供
，反之亦然。我個人覺得因為active bet會增加咗風險，expected alpha就算係正數，都唔一定值多咗嘅風險
，反之亦然。我個人覺得因為active bet會增加咗風險，expected alpha就算係正數，都唔一定值多咗嘅風險好想睇吓數字上呢個玩法可以有幾destructive
btw 根據EMH嘅其中一個結論係：長遠嚟講投資者係幾乎唔可以賺到superior嘅risk adjusted return
換言之，你要賺superior return (not adjusted)嘅方法係take extra risks，想問咁樣係咪即係有錢大撚晒
btw 根據EMH嘅其中一個結論係：長遠嚟講投資者係幾乎唔可以賺到superior嘅risk adjusted return
換言之，你要賺superior return (not adjusted)嘅方法係take extra risks，想問咁樣係咪即係有錢大撚晒
點解願意take extra risk就係有錢大哂？
https://outcastbeta.com/how-much-skill-a-concentrated-stock-picker-needs-to-beat-a-diversified-benchmark/
唔知呢篇文答唔答到你，你嘅策略就算有Alpha，要個alpha大過個策略帶嚟嘅additional volatility drag先可以有更高嘅 expected geometric return
https://outcastbeta.com/how-much-skill-a-concentrated-stock-picker-needs-to-beat-a-diversified-benchmark/
唔知呢篇文答唔答到你，你嘅策略就算有Alpha，要個alpha大過個策略帶嚟嘅additional volatility drag先可以有更高嘅 expected geometric return
SG CTA Index currently comprises the 20 largest CTA managers
The benchmark is SG CTA index.
The benchmark is SG CTA index.
而家有return stacking 呢類產品
唔駛用margin 都做緊槓桿既野
唔駛用margin 都做緊槓桿既野
Return stacking 咪又係槓桿，只不過比起孖展嘅操作簡單啲同埋聽落去冇咁恐怖，btw你諗住用RSBT嚟stack，我發現RSBT債嗰度有50%係aggregate bond, 唔係純treasury
因為有take risk嘅capacity 先有risk tolerance, 先可以take extra risk
雖然呢個係由書本上PM出發嘅角度
篇文有用
雖然呢個係由書本上PM出發嘅角度
篇文有用
Tracking error管起上嚟有時又好似唔值得
個cost睇落去唔細
個cost睇落去唔細
I am considering to replace RSBT with AHLT. Try to minimise tracking error to the SG index.
Still trying to understand what is the methodology of AHLT
Still trying to understand what is the methodology of AHLT
而家可以簡單執行已經差好遠
呢啲野十年前普通人好難做到
呢啲野十年前普通人好難做到
冇話要管理呀，純粹係同大市偏差好遠嘅話會被人質問，尤其係bubble嗰陣大市升到ba ba聲，你個低beta嘅組合實會被屋企人問點解升得咁慢
AHLT真係講唔到啲咩，歷史太短又唔太透明
比D意見執執佢
https://expensive-middle-c07.notion.site/QQQ-VOO-df1dd4ae552446d789b1e26ebacc977c?pvs=4
https://expensive-middle-c07.notion.site/20d13c225ac24bf29006a52e60781a3b?pvs=4
Read these two first, 尤其第一條 link 下面兩條片
你個組合得罪講句就係典型傻散，呢期興咩就 all in咩，完全冇分散投資亦冇諗過風險
https://expensive-middle-c07.notion.site/20d13c225ac24bf29006a52e60781a3b?pvs=4
Read these two first, 尤其第一條 link 下面兩條片
你個組合得罪講句就係典型傻散，呢期興咩就 all in咩，完全冇分散投資亦冇諗過風險
我係用%去諗，所以有唔有錢個 risk 都一樣，咁當然李嘉誠 all in 妖股輸九成身家都係有錢過我嘅
之前見你share 你自己既portfolio
而家仲係
80% stock
40% bond
20% MF?
而家仲係
80% stock
40% bond
20% MF?
暫時係，遲下諗住槓桿至
84% stock
42% bond
56% MF
42% RSSB + 42% AVWS + 28% KMLM + 28% CTA
Exposure 182%,
market value / net liquidation value = 140%
MDD before margin call (50% margin requirement) = 42.9%
84% stock
42% bond
56% MF
42% RSSB + 42% AVWS + 28% KMLM + 28% CTA
Exposure 182%,
market value / net liquidation value = 140%
MDD before margin call (50% margin requirement) = 42.9%
我覺得其實tactive asset allocation其實唔係冇道理
因為stock valuation/ bond yield 會影響佢地嘅expected risk premium
咁係expected premium唔同底下
Allocation會有唔同都唔出奇
未必一定要fix 死成世都1個allocation
因為stock valuation/ bond yield 會影響佢地嘅expected risk premium
咁係expected premium唔同底下
Allocation會有唔同都唔出奇
未必一定要fix 死成世都1個allocation
想問係咪avws=avgs=avdv+avuv?
但個 expected risk premium嘅 uncertainty 勁大，拎太唔到嚟做決定
，拎太唔到嚟做決定Yes
Uncertainty的確係大
但valuation同risk premium個relationship都算well developed
Uncertainty 來源我會偏向相信係random component多過係parameter risk
雖然我未有詳細計劃可以點做
其實個概念同你係股災嘅時候 都會想趁低撈多d貨咁解
但valuation同risk premium個relationship都算well developed
Uncertainty 來源我會偏向相信係random component多過係parameter risk
雖然我未有詳細計劃可以點做
其實個概念同你係股災嘅時候 都會想趁低撈多d貨咁解
你覺得穩陣喺邊
我諗股災趁低吸納會 work 係因為個 expected return變大-> signal to noise ratio變高兼 trend reverse 時間會變短-> 即係 mean reversal, 但trend同mean reversal 之間點樣平衡呢啲就留返俾啲hedge fund 諗好了