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趋势投资

上图显示的是过去40年动量投资可以给投资者带来的超额回报(基于美国股市)。我们可以看到,从2000年开始一直到今天,动量投资似乎渐渐失去了其“魔力”,给予投资者的回报一年不如一年。这种“差年景”有时候可以持续十年以上。对于投资者来说,如果没有好的方法来确认接下来使用动量策略一定能够得到超额回报的话,贸然应用该策略无疑更像一场赌博,带有很大的投资风险。

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Last updated: July 15, 2021 Please read these Terms of Use (“Terms”, “Terms of Use”) carefully before using the http://huatinvestment.com website (the “Service”) operated by Century Goodwills Enterprise (“us”, “we”, or “our”). Your 趋势投资 access to and use of the Service is conditioned on 趋势投资 your acceptance of and compliance with these Terms. These Terms apply to all visitors, users and others who access or use the Service. By accessing or using the Service you agree to be bound by these Terms. If you disagree with any part of the terms then you may not access the Service.

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动量投资(Momentum Investing)

即使是一个金融门外汉,应该也不难理解动量投资的概念。简而言之,动量投资就是“追涨杀跌”,买那些涨的厉害的,卖那些跌的厉害的。

这样“简单粗暴”的动量投资策略为什么能凑效?这是一个久富争议的问题,至今尚没有定论。美国著名的经济学家,有效市场理论的奠基人尤金法码曾经说过:动量是一种市场反常现象(Market Anomaly)。在过去几年表现差劲的股票,接下来的表现也会继续让人失望。而过去几年表现抢眼的股票,则会继续其强势表现。

在美国对冲基金AQR发表的一篇学术论文(Asness et al, 2014)中,作者回测了美国1927-2013年的股票历史数据,指出如果投资者采用“动量”的投资策略,在扣除交易费用后可以获得大约每年8.3%的 投资回报,比标准普尔500指数每年7.9%的投资回报更好。同期的“价值”投资策略获得的回报为每年4.7%左右。

在另外一篇学术论文中(Foulke, et al, 2015),作者回测了美国股市1963-2014年的历史数据,发现“动量”策略可以给予投资者每年18.8%的投资回报,比同期的市场平均回报(标准普尔500指数,10.2%)更好。

首先,到目前为止,还没有一套成型的学术理论可以解释为什么“动量”趋势投资 能够带来超额投资回报。在上文中我提到过获得诺贝尔奖的法码教授。法码教授在1990年代提出了股票市场三因子模型(Three factor model),将市场(Beta),价值(HML)和规模(SMB)列为三个可以为投资者带来回报的因子。这个三因子模型(后来被扩展到五因子模型)和法码教授在70年代提出的“有效市场模型”是一致的。即在一个有效的市场中,没有免费午餐,要想获得更高的回报,就需要承担更大的风险。

动量投资策略让很多投资者不放心的第二个原因,是其能够提供的超额投资回报并不稳定

上图显示的是过去40年动量投资可以给投资者带来的超额回报(基于美国股市)。我们可以看到,从2000年开始一直到今天,动量投资似乎渐渐失去了其“魔力”,给予投资者的回报一年不如一年。这种“差年景”有时候可以持续十年以上。对于投资者来说,如果没有好的方法来确认接下来使用动量策略一定能够得到超额回报的话,贸然应用该策略无疑更像一场赌博,带有很大的投资风险。

第三,用动量策略架构的投资组合带有更高的波动性。

第四,动量策略需要比较高的交易频率,因此交易费用和摩擦损失(Bid-ask spread)会比较高。像动量这样的交易策略,在流动性好的大型资本市场更加可行。而到了流动性差,摩擦交易成本比较高的市场(比如新兴市场小股票),那么高昂的交易成本可能使动量策略行不通。

伍治坚新书《小乌龟投资智慧:如何在投资中以弱胜强》终于上架啦。在京东,淘宝或者当当搜索书名或者作者名,都可以购买到该书。或者也可以点击这里购买本书: http:// product.dangdang.com/24 169820.html


BlackRock. (趋势投资 2017). Busting 3 common myths about momentum investing.

Asness,C, Moskowitz,趋势投资 T and Pedersen,L, (2013), Value and Momentum everywhere, Journal of Finance, V68, N3.

Asness, C. S., Frazzini, A., Israel, R., & Moskowitz, T. J. (2014). Fact, fiction and momentum investing. Journal of Portfolio Management, Fall 2014 (40th Anniversary Issue).

Gray, W. R. (2015, October 30). Why I don’t invest in momentum Stocks…Yet!

Carlson, B. (2015, July 7). Why momentum investing works.

David Foulke, Jack Vogel and Wesley Gray , DIY Financial Advisor: A Simple Solution to Build and Protect Your Wealth. 2015

Fama, Eugene F., and Kenneth R. French. 2011. Size, value and momentum in international stock returns, Tuck School of Business Working Paper No. 2011-85; Chicago 趋势投资 Booth Research Paper No. 11-10.

Korajczyk, Robert A., and Ronnie Sadka. 2004. “Are Momentum Profits Robust to Trading Costs?” Journal of Finance, vol. 59, no. 3 (June):1039–1082.

Carlson, B. (2015, July 8). My Thoughts on Gary Antonacci’s dual momentum.

Larson, R. (趋势投资 2013, August ). ​Hot potato: Momentum as an investment strategy.

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趋势投资(pdf+epub+mobi+azw3)电子书 – 小知否资源网

趋势投资(pdf+epub+mobi+azw3)电子书

电子书信息:
书名:趋势投资:金融市场技术分析指南
作者:丁圣元著
出版社:人民邮电出版社
出版时间:2020-10
版次:1
ISBN:9787115545800
内容简介:
金融市场异常复杂,入场投资前,我们需要先看清楚市场大势,理解中期和短期趋势的变化逻辑,才能做到顺势而为、趋利避害、稳健获利。
《趋势投资:金融市场技术分析指南》从《易经》中的辩证思维模型出发,综合考虑金融市场长期与中短期趋势推动因素,构建了一整套趋势投资分析方法。作者将这一方法与蜡烛图分析工具相融合,化繁为简,使读者可以清晰地看到持续横盘走势、反转走势等复杂市场行情背后的本质,把握其中的关键事实,计算市场未来各种可能走向的概率,建立买入与卖出的原则和标准,采取合理的交易策略。《趋势投资:金融市场技术分析指南》搜集了过去数十年间来自股票、期货、外汇市场的大量图形案例,证明了这些分析方法可以广泛适用于不同的金融产品市场。
《趋势投资:金融市场技术分析指南》适合喜爱技术分析的个人投资者以及金融机构的操盘手、分析师阅读。
作者简介:
丁圣元
1990年毕业于北京大学,获得硕士学位,毕业后先后从事外汇交易、股票和债券投资管理、金融市场研究和金融产品设计等业务,有30年的金融市场实务经验,既是我国著-名的投资思想家和金融翻译家,也是活跃在国内金融市场前沿的实践者。
已翻译出版《股票大作手操盘术》《期货市场技术分析》《日本蜡烛图技术》等多部在金融投资领域非常具有影响力的作品。