三倍槓桿指數型投資法UPRO/TMF - 投資
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By Callum
at 2020-09-06T09:17
at 2020-09-06T09:17
Table of Contents
去年2019年2月的時候 Bogleheads論壇上出現一篇引起廣大迴響的文章:
HEDGEFUNDIE's excellent adventure
[risk parity strategy using 3x leveraged ETFs]
https://www.bogleheads.org/forum/viewtopic.php?f=10&t=272007
HEDGEFUNDIE 板友分享了他的一個投資策略:40% UPRO + 60% TMF
利用三倍槓桿+股票和長期債券的負相關性對沖掉部分風險
跑贏多數人不加槓桿的大盤指數ETF/基金,例如80% VOO + 20% BND
從1987到2018這40年的回測數據比較發現,此策略資產增長了100多倍
而S&P500則只增長了20多倍。
2000年3月到2002年10月,.com泡沫此策略損失31.87%,S&P500損失44.82%
2007年11月到2009年3月,次貸危機此策略損失49.22%,S&P500損失50.92%
無論從收益的角度或是金融危機的角度來看,這個策略都展現了反脆弱性。
後來因為太多人討論,這帖子還被拆分成兩帖,甚至連帶Reddit也引起迴響
其他美國鄉民也紛紛提出了自己的改進版本,包括因應美聯儲降息提出的
不同的配比,以及加入TQQQ或其他槓桿ETF,或是每月動態平衡等等。
不知道各位板友怎麼看待這個策略?希望可以拋磚引玉看看大家意見
謝謝!
--
HEDGEFUNDIE's excellent adventure
[risk parity strategy using 3x leveraged ETFs]
https://www.bogleheads.org/forum/viewtopic.php?f=10&t=272007
HEDGEFUNDIE 板友分享了他的一個投資策略:40% UPRO + 60% TMF
利用三倍槓桿+股票和長期債券的負相關性對沖掉部分風險
跑贏多數人不加槓桿的大盤指數ETF/基金,例如80% VOO + 20% BND
從1987到2018這40年的回測數據比較發現,此策略資產增長了100多倍
而S&P500則只增長了20多倍。
2000年3月到2002年10月,.com泡沫此策略損失31.87%,S&P500損失44.82%
2007年11月到2009年3月,次貸危機此策略損失49.22%,S&P500損失50.92%
無論從收益的角度或是金融危機的角度來看,這個策略都展現了反脆弱性。
後來因為太多人討論,這帖子還被拆分成兩帖,甚至連帶Reddit也引起迴響
其他美國鄉民也紛紛提出了自己的改進版本,包括因應美聯儲降息提出的
不同的配比,以及加入TQQQ或其他槓桿ETF,或是每月動態平衡等等。
不知道各位板友怎麼看待這個策略?希望可以拋磚引玉看看大家意見
謝謝!
--
All Comments
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By Rebecca
at 2021-02-27T01:52
at 2021-02-27T01:52
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By Regina
at 2021-03-03T22:05
at 2021-03-03T22:05
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By Dorothy
at 2021-03-05T21:43
at 2021-03-05T21:43
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By Dorothy
at 2021-03-06T01:06
at 2021-03-06T01:06
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By Queena
at 2021-03-08T22:45
at 2021-03-08T22:45
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By Hedda
at 2021-03-12T21:09
at 2021-03-12T21:09
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By Elizabeth
at 2021-03-14T23:38
at 2021-03-14T23:38
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By Dorothy
at 2021-03-15T01:15
at 2021-03-15T01:15
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By Gilbert
at 2021-03-19T04:33
at 2021-03-19T04:33
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By Tristan Cohan
at 2021-03-21T00:51
at 2021-03-21T00:51
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By Daniel
at 2021-03-24T19:00
at 2021-03-24T19:00
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By Andrew
at 2021-03-28T06:25
at 2021-03-28T06:25
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By Rebecca
at 2021-03-29T03:17
at 2021-03-29T03:17
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By Jake
at 2021-04-01T10:46
at 2021-04-01T10:46
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By Tristan Cohan
at 2021-04-02T14:55
at 2021-04-02T14:55
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By Madame
at 2021-04-06T20:11
at 2021-04-06T20:11
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By Dora
at 2021-04-10T00:02
at 2021-04-10T00:02
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By Emily
at 2021-04-11T01:11
at 2021-04-11T01:11
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By Todd Johnson
at 2021-04-13T08:54
at 2021-04-13T08:54
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By Quintina
at 2021-04-18T06:51
at 2021-04-18T06:51
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By Wallis
at 2021-04-20T23:28
at 2021-04-20T23:28
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By Agatha
at 2021-04-21T13:45
at 2021-04-21T13:45
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By Quintina
at 2021-04-25T04:51
at 2021-04-25T04:51
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By Tristan Cohan
at 2021-04-28T11:16
at 2021-04-28T11:16
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By Frederic
at 2021-05-02T06:57
at 2021-05-02T06:57
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By Victoria
at 2021-05-07T02:11
at 2021-05-07T02:11
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By Edward Lewis
at 2021-05-12T00:41
at 2021-05-12T00:41
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By Aaliyah
at 2021-05-12T06:15
at 2021-05-12T06:15
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By Gilbert
at 2021-05-13T18:02
at 2021-05-13T18:02
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By Sandy
at 2021-05-14T20:41
at 2021-05-14T20:41
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By Necoo
at 2021-05-18T20:32
at 2021-05-18T20:32
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