因子投資回測 - 投資
By Anthony
at 2023-04-01T00:31
at 2023-04-01T00:31
Table of Contents
如題 個人算是對大盤指數投資深具信心
但最近接觸因子投資 想要再針對因子多元配置
主要的問題點在於投資工具的選擇
就算理論基礎紮實 但實際投資工具不好也枉然
問題在於因子etf 大多成立時間太短
無法在portfolio visualizer 上回測
想問這問題是否無解?
另外 在清流君影片中有看過qval 超過10年的回測 有前輩知道是如何做到的嗎?
4/2 更新 我剛剛才發現自己犯了超低階錯誤
因為回測benchmark 我用sp500
VTI+VXUS 本來績效就會落後(主因是國際股市低迷 )
難怪加入因子投資也一樣落後
AVUV+QMOM組合明顯報酬和夏普率較好
主要拖累績效的是avdv+IMOM組合
要不要加入就真的是看信仰了
抱歉在資訊上造成誤導,也感謝各位前輩提供意見
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Sent from JPTT on my iPhone
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