{"id":11723,"date":"2026-03-24T11:08:13","date_gmt":"2026-03-24T03:08:13","guid":{"rendered":"https:\/\/www.invbus.com\/blog\/?p=11723"},"modified":"2026-03-24T11:08:13","modified_gmt":"2026-03-24T03:08:13","slug":"%e4%b8%80%e6%96%87%e8%81%8a%e9%80%8f%e6%a1%a5%e6%b0%b4%e5%9f%ba%e9%87%91%e7%9a%84%e5%85%a8%e5%a4%a9%e5%80%99%e7%ad%96%e7%95%a5%ef%bc%9a%e9%87%8f%e5%8c%96%e9%80%bb%e8%be%91%e5%92%8c%e6%94%b6%e7%9b%8a","status":"publish","type":"post","link":"https:\/\/www.invbus.com\/blog\/?p=11723","title":{"rendered":"\u4e00\u6587\u804a\u900f\u6865\u6c34\u57fa\u91d1\u7684\u5168\u5929\u5019\u7b56\u7565\uff1a\u91cf\u5316\u903b\u8f91\u548c\u6536\u76ca\u590d\u73b0"},"content":{"rendered":"\n

\u5e74\u521d\u5a92\u4f53\u62a5\u9053\uff0c\u6865\u6c34\u4e2d\u56fd\u57fa\u91d1(Bridgewater China)\u4ee535%\u7684\u5e74\u5ea6\u6536\u76ca\u7387\uff0c\u8dfb\u8eab2024\u5e74\u5ea6\u5168\u7403\u5bf9\u51b2\u57fa\u91d1Top10\uff0c\u6253\u7834\u591a\u5e74\u6765\u5916\u8d44\u79c1\u52df\u5728\u5929\u671d”\u6c34\u571f\u4e0d\u670d”\u7684\u9b54\u5492\u3002<\/p>\n\n\n\n

\"\"\/<\/div><\/figure>\n\n\n\n

\u8fd9\u4eae\u773c\u7684\u4e1a\u7ee9\u8868\u73b0\u548c\u8e6d\u8e6d\u4e0a\u5347\u7684\u7ba1\u7406\u89c4\u6a21\uff0c\u5f15\u6765\u4e86\u4f17\u4eba\u7684\u77a9\u76ee\uff0c\u4e0d\u5c11\u8eab\u8fb9\u7684\u670b\u53cb\u548c\u7fa4\u91cc\u7684\u4f19\u4f34\u4e5f\u70ed\u70c8\u8ba8\u8bba\u8d77\u6865\u6c34\u57fa\u91d1\u7684\u9876\u6d41\u7b56\u7565\u2014\u2014\u5168\u5929\u5019\u7b56\u7565<\/a>(All Weather Strategy)\uff0c\u6211\u4e5f\u5199\u8fc7\u76f8\u5173\u7684\u5185\u5bb9\u548c\u590d\u73b0\u8fc7\u5bf9\u5e94\u7684\u7b56\u7565\uff0c\u5c31\u628a\u4e4b\u524d\u7684\u5e16\u5b50\u8f6c\u4e86\u8fc7\u53bb\uff0c\u6709\u4e9b\u5c0f\u4f19\u4f34\u770b\u4e86\u4e4b\u540e\u201c\u5927\u547c\u4e0a\u5f53\u201d\uff0c\u8bf4\u7b56\u7565\u6536\u76ca\u6839\u672c\u5bf9\u4e0d\u4e0a\u3002<\/p>\n\n\n\n

\u597d\u5427\uff0c\u6211\u627f\u8ba4\uff0c\u5199\u8fd9\u7bc7\u6587\u7ae0\u7684\u5c0f\u5fc3\u601d\u5c31\u662f\u4e3a\u4e86\u201c\u6d17\u767d\u201d\u81ea\u5df1\uff0c\u6211\u628a\u4e4b\u524d\u7684\u76f8\u5173\u5185\u5bb9\u68b3\u7406\u6574\u5408\u8d77\u6765\uff0c\u540c\u6b65\u66f4\u65b0\u7b56\u7565\u6570\u636e\uff0c\u5148\u6765\u5520\u5520\u5168\u5929\u5019\u7b56\u7565\u7684\u5e95\u5c42\u903b\u8f91\uff0c\u7136\u540e\u505a\u7b56\u7565\u590d\u73b0\uff0c\u6700\u540e\u56de\u5e94\u8bef\u89e3\u4ee5\u53ca\u5982\u4f55\u505a\u51fa\u6865\u6c34\u57fa\u91d1\u90a3\u4e48\u4eae\u773c\u7684\u6536\u76ca\u3002<\/p>\n\n\n\n

\u6865\u6c34\u57fa\u91d1\u7684\u521b\u7acb\u8005\u548c\u4e3b\u7406\u4eba\u662f\u745e\u2022\u8fbe\u5229\u6b27<\/a>(Ray Dalio)\uff0c\u5bf9\uff0c\u4ed6\u4e5f\u662f\u300a\u539f\u5219\u300b\u8fd9\u672c\u4e66\u7684\u4f5c\u8005\uff0c\u7ba1\u7406\u7684\u6700\u51fa\u540d\u7684\u4e24\u4e2a\u4ea7\u54c1\u5206\u522b\u662f\u7edd\u5bf9Alpha\u57fa\u91d1(Pure Alpha\uff0c1991 \u5e74\u6210\u7acb)\u548c\u5168\u5929\u5019\u57fa\u91d1(All Weather\uff0c1996 \u5e74\u6210\u7acb)\u3002<\/p>\n\n\n\n

\"\"\/<\/div><\/figure>\n\n\n\n

\u5168\u5929\u5019\u57fa\u91d1\u91c7\u7528\u7684\u6295\u8d44\u7b56\u7565\u5c31\u662f\u5168\u5929\u5019\u7b56\u7565\uff0c\u6838\u5fc3\u7684\u6295\u8d44\u601d\u60f3\u5c31\u662f\uff0c\u5047\u5b9a\u81ea\u5df1\u4e0d\u77e5\u9053\u672a\u6765\u662f\u4ec0\u4e48\u7ecf\u6d4e\u5468\u671f\uff0c\u4e5f\u4e0d\u77e5\u9053\u5c06\u6765\u4ec0\u4e48\u8d44\u4ea7\u4f1a\u8868\u73b0\u51fa\u8272\uff0c\u901a\u8fc7\u5206\u6563\u5316\u4e70\u5165\u5404\u79cd\u7c7b\u522b\u7684\u91d1\u878d\u8d44\u4ea7\uff0c\u5e0c\u671b\u5728\u5404\u79cd\u7ecf\u6d4e\u73af\u5883\u4e0b\u90fd\u80fd\u5e26\u6765\u7a33\u5b9a\u7684\u6536\u76ca\u3002<\/strong>\u5b98\u65b9\u6d4b\u7b97\uff0c\u5728\u8fbe\u5230\u4e0e\u80a1\u7968\u76f8\u540c\u6536\u76ca\u7387\u7684\u60c5\u51b5\u4e0b\uff0c\u5168\u5929\u5019\u7b56\u7565\u7684\u6ce2\u52a8\u7387\u53ea\u6709\u80a1\u7968\u6ce2\u52a8\u7387\u7684\u4e09\u5206\u4e4b\u4e00\u3002<\/p>\n\n\n\n

\"\"\/<\/div><\/figure>\n\n\n\n

\u90a3\u5168\u5929\u5019\u7b56\u7565\u7684\u6784\u5efa\u903b\u8f91\u662f\u600e\u4e48\u6837\u7684\u5462\uff1f\u8bf7\u542c\u6211\u4e0b\u6587\u6162\u6162\u9053\u6765\u3002<\/p>\n\n\n\n

\u4e0a\u9762\u8bf4\u5230\u4e86\uff0c\u5168\u5929\u5019\u7b56\u7565\u662f\u5047\u5b9a\u65e0\u6cd5\u9884\u6d4b\u7ecf\u6d4e\u5468\u671f\u548c\u5bf9\u5e94\u7ecf\u6d4e\u5468\u671f\u4e0b\u54ea\u4e2a\u8d44\u4ea7\u4f1a\u8868\u73b0\u51fa\u8272\u7684\uff0c\u6ca1\u6cd5\u513f\u5355\u62bc\uff0c\u90a3\u5c31\u5168\u90fd\u8981\uff01<\/p>\n\n\n\n

\u5148\u6765\u770b\u770bDalio\u5982\u4f55\u5212\u5206\u7ecf\u6d4e\u5468\u671f\uff0c\u4ed6\u6839\u636e\u7ecf\u6d4e\u589e\u957f(Growth)\u548c\u901a\u80c0\u6c34\u5e73(Inflation)\u5b9e\u9645\u503c\u548c\u5e02\u573a\u9884\u671f\u503c(Market Expectation)\u4e4b\u95f4\u7684\u76f8\u5bf9\u5927\u5c0f\u5173\u7cfb\u5c06\u7ecf\u6d4e\u5468\u671f\u5212\u5206\u4e3a4\u79cd\u5b8f\u89c2\u72b6\u6001\uff1a\u7ecf\u6d4e\u4e0a\u884c\u3001\u7ecf\u6d4e\u4e0b\u884c\u3001\u901a\u80c0\u4e0a\u884c\u3001\u901a\u80c0\u4e0b\u884c\u3002<\/strong>\u8981\u6ce8\u610f\u7684\u662f\uff0c\u7ecf\u6d4e\u5468\u671f\u5212\u5206\u65b9\u6cd5\u5e76\u4e0d\u552f\u4e00\uff0c\u5404\u6709\u5404\u7684\u7ecf\u6d4e\u5468\u671f\u5212\u5206\u65b9\u6cd5\uff0c\u8fd9\u91cc\u6307\u7684\u53ea\u662fDalio\u7684\u5212\u5206\u65b9\u5f0f\u3002<\/p>\n\n\n\n

\"\"\/<\/div><\/figure>\n\n\n\n

\u518d\u6765\u770b\u770b\u4e0d\u540c\u5b8f\u89c2\u7ecf\u6d4e\u72b6\u6001\u4e0b\u54ea\u79cd\u8d44\u4ea7\u4f1a\u5e26\u6765\u66f4\u597d\u7684\u6536\u76ca\uff0c\u4e00\u822c\u800c\u8a00\uff0c\u7ecf\u6d4e\u4e0a\u884c\u65f6\u80a1\u7968\u7c7b\u8d44\u4ea7\u8868\u73b0\u8f83\u597d\uff0c\u7ecf\u6d4e\u4e0b\u884c\u6216\u901a\u80c0\u4e0b\u884c\u65f6\u503a\u5238\u7c7b\u8d44\u4ea7\u8868\u73b0\u51fa\u8272\uff0c\u7ecf\u6d4e\u4e0a\u884c\u6216\u901a\u80c0\u4e0a\u884c\u65f6\u5927\u5b97\u5546\u54c1\u7c7b\u8d44\u4ea7\u8868\u73b0\u66f4\u597d\u3002\u4e8e\u662f\u4e4e\uff0cDalio\u6839\u636e\u5404\u7c7b\u8d44\u4ea7\u7684\u5386\u53f2\u8868\u73b0\u548c\u76f8\u5173\u91d1\u878d\u7406\u8bba\uff0c\u4e3a\u8fd94\u4e2a\u7ecf\u6d4e\u5468\u671f\u5206\u522b\u5b89\u6392\u4e86\u4e0d\u540c\u7684\u9002\u914d\u8d44\u4ea7\u3002<\/p>\n\n\n\n

\u7ecf\u6d4e\u4e0a\u884c\u671f\uff1a<\/strong>\u80a1\u7968(Equities)\u3001\u5546\u54c1(Commodities)\u3001\u516c\u53f8\u4fe1\u7528\u503a(Corporate Credit)\u3001\u65b0\u5174\u5e02\u573a\u503a(E<\/strong>merging M<\/strong>arket Credit)\u3002<\/p>\n\n\n\n

\u7ecf\u6d4e\u4e0b\u884c\u671f\uff1a<\/strong>\u540d\u4e49\u503a\u5238(Nominal Bonds)\u3001\u901a\u80c0\u6302\u94a9\u503a\u5238(I<\/strong>nflation-L<\/strong>inked Bonds)\u3002<\/p>\n\n\n\n

\u901a\u80c0\u4e0a\u884c\u671f\uff1a<\/strong>\u901a\u80c0\u6302\u94a9\u503a\u5238(I<\/strong>nflation-L<\/strong>inked Bonds)\u3001\u5546\u54c1(Commodities)\u3001\u65b0\u5174\u5e02\u573a\u503a(E<\/strong>merging M<\/strong>arket Credit)\u3002<\/p>\n\n\n\n

\u901a\u80c0\u4e0b\u884c\u671f\uff1a<\/strong>\u80a1\u7968(Equities)\u3001\u540d\u4e49\u503a\u5238(Nominal Bonds)\u3002<\/p>\n\n\n\n

\u6700\u540e\uff0cDalio\u7ed9\u6bcf\u79cd\u53ef\u80fd\u51fa\u73b0\u7684\u7ecf\u6d4e\u5468\u671f\u914d\u7f6e\u76f8\u540c\u7684\u98ce\u9669\u655e\u53e3\uff0c\u4e5f\u5c31\u662f\u6bcf\u4e2a\u8c61\u9650\u7684\u5b50\u8d44\u4ea7\u7ec4\u5408\u90fd\u662f25%\uff0c\u5728\u6bcf\u4e2a\u5b50\u8d44\u4ea7\u7ec4\u5408\u91cc\u9762\u53c8\u628a\u98ce\u9669\u6743\u91cd\u7b49\u91cf\u5730\u5206\u914d\u7ed9\u7ec4\u5408\u4e2d\u7684\u6bcf\u79cd\u8d44\u4ea7\uff0c\u8fdb\u800c\u83b7\u5f97\u6bcf\u79cd\u8d44\u4ea7\u98ce\u9669\u6743\u91cd\u548c\u6700\u7ec8\u914d\u7f6e\u6bd4\u4f8b\u3002<\/p>\n\n\n\n

\u5c31\u8fd9\u6837\uff0c\u901a\u8fc7\u591a\u5143\u5316\u7684\u8d44\u4ea7\u914d\u7f6e\uff0c\u5e76\u4e14\u5229\u7528\u5404\u79cd\u8d44\u4ea7\u4e4b\u95f4\u76f8\u5173\u6027\u5bf9\u6297\u98ce\u9669\uff0c\u6bcf\u4e2a\u65f6\u671f\uff0c\u90fd\u81f3\u5c11\u6709\u4e00\u4e2a\u8c61\u9650\u7684\u8d44\u4ea7\u7ec4\u5408\u5904\u5728\u4e0a\u6da8\u5468\u671f\uff0c\u4fbf\u53ef\u4ee5\u5728\u957f\u5468\u671f\u91cc\u9762\u83b7\u5f97\u8f83\u4e3a\u7a33\u5b9a\u7684\u6536\u76ca\uff0c\u589e\u5f3a\u51c0\u503c\u66f2\u7ebf\u7684\u7a33\u5b9a\u6027\u3002<\/strong><\/p>\n\n\n\n

\u90a3\u5177\u4f53\u600e\u4e48\u8ba1\u7b97\u6bcf\u79cd\u8d44\u4ea7\u7684\u98ce\u9669\u6743\u91cd\u548c\u914d\u7f6e\u6bd4\u4f8b\u5462\uff1f\u8fd9\u53ef\u4ee5\u53c2\u7167\u98ce\u9669\u5e73\u4ef7<\/a>(Risk Parity)\u7684\u8ba1\u7b97\u6d41\u7a0b\u3002<\/p>\n\n\n\n

\"\"\/<\/div><\/figure>\n\n\n\n

\u8fd9\u91cc\u8865\u5145\u8bf4\u660e\u4e00\u4e0b\u5168\u5929\u5019\u7b56\u7565\u548c\u98ce\u9669\u5e73\u4ef7\u4e4b\u95f4\u7684\u5173\u7cfb\uff0c\u7ecf\u5e38\u770b\u5230\u201c\u5168\u5929\u5019\u7b56\u7565\u662f\u53c2\u7167\u98ce\u9669\u5e73\u4ef7\u7406\u8bba\u6784\u5efa\u7684\u201d\u7b49\u7c7b\u4f3c\u7684\u8bf4\u6cd5\uff0c\u8fd9\u6837\u7eddB\u662f\u4e0d\u4e25\u8c28\u7684\uff0c\u56e0\u4e3a\u5168\u5929\u5019\u57fa\u91d1\u57281996\u5e74\u5c31\u6210\u7acb\u4e86\uff0c\u800c\u98ce\u9669\u5e73\u4ef7\u662f\u78d0\u5b89\u57fa\u91d1(Panagora)\u7684\u94b1\u6069\u5e73(Edward Qian)\u535a\u58eb\u57282005\u5e74\u624d\u63d0\u51fa\u7684\uff0c\u5c5e\u4e8e\u662f\u5148\u6709\u5b9e\u8df5\u540e\u6709\u7406\u8bba\u603b\u7ed3\uff0c\u53ea\u4e0d\u8fc7\u662f\u8fd9\u7406\u8bba\u603b\u7ed3\u7684\u662f\u592aTM\u597d\u4e86\uff0c\u592a\u7b26\u5408\u5168\u5929\u5019\u7b56\u7565\u7684\u672c\u8d28\u5185\u6838\u4e86\u3002<\/p>\n\n\n\n

\u98ce\u9669\u5e73\u4ef7\u7684\u4e2d\u5fc3\u601d\u60f3\u5c31\u662f\u5e0c\u671b\u5728\u8d44\u4ea7\u7ec4\u5408\u5f53\u4e2d\uff0c\u6bcf\u4e2a\u8d44\u4ea7\u7684\u98ce\u9669\u655e\u53e3\u90fd\u662f\u4e00\u6837\u7684\uff0c\u4e5f\u5c31\u662f\u6bcf\u4e2a\u8d44\u4ea7\u90fd\u662f\u9762\u5bf9\u76f8\u540c\u7684\u98ce\u9669\u3002<\/strong>\u4e5f\u5c31\u8bf4\uff0c\u653e\u5f03\u5bf9\u8d44\u4ea7\u7ec4\u5408\u6536\u76ca\u7684\u9884\u6d4b\uff0c\u628a\u91cd\u5fc3\u8f6c\u79fb\u5230\u8d44\u4ea7\u7ec4\u5408\u98ce\u9669\u9884\u7b97\u7684\u89c4\u5212\u4e0a\uff0c\u8d44\u4ea7\u6743\u91cd\u76f4\u63a5\u53cd\u6620\u98ce\u9669\u5c5e\u6027\u3002\u5982\u679c\u4f60\u89c9\u5f97\u67d0\u4e9b\u8d44\u4ea7\u7684\u98ce\u9669\u592a\u4f4e\u7684\u8bdd\uff0c\u53ef\u4ee5\u901a\u8fc7\u653e\u6760\u6746\u7684\u65b9\u5f0f\u8c03\u8282\uff0c\u53ea\u4e0d\u8fc7\u8fd9\u65f6\u9700\u8981\u8003\u8651\u8d44\u91d1\u6210\u672c\u7684\u95ee\u9898\u3002<\/p>\n\n\n\n

\u8981\u5b9e\u73b0\u5168\u5929\u5019\u7b56\u7565\uff0c\u5728\u8ba1\u7b97\u98ce\u9669\u5e73\u4ef7\u786e\u5b9a\u5404\u4e2a\u8d44\u4ea7\u914d\u7f6e\u6743\u91cd\u8fd9\u4e00\u6b65\uff0c\u5bf9\u91cf\u5316\u840c\u65b0\u6bd4\u8f83\u96be\uff0c\u4e0d\u8fc7\u4e5f\u4e0d\u7528\u62c5\u5fc3\uff0c\u8fd9\u91cc\u4f1a\u5148\u7ed9\u4e00\u4e2a\u7b80\u5355\u7684\u7248\u672c\uff0c\u7a0d\u540e\u518d\u6765\u63ed\u5f00\u98ce\u9669\u5e73\u4ef7\u7684\u9762\u7eb1\uff0c\u804a\u804a\u5177\u4f53\u7684\u8ba1\u7b97\u7ec6\u8282\u3002<\/p>\n\n\n\n

\u5728\u6258\u5c3c\u2022\u7f57\u5bbe\u65af(Tony Robbins)\u7684\u8457\u4f5c\u300aMoney: Master the Game\u300b\u91cc\u9762\uff0cDalio\u5728\u63a5\u53d7\u4f5c\u8005\u91c7\u8bbf\u65f6\uff0c\u7ed9\u51fa\u4e86\u4e00\u7ec4\u5168\u5929\u5019\u7b56\u7565\u8d44\u4ea7\u914d\u7f6e\u6bd4\u4f8b\u7684\u7ecf\u9a8c\u6570\u503c\uff0c\u6839\u636e\u8fd9\u7ec4\u6570\u503c\u5b9a\u671f\u8fdb\u884c\u518d\u5e73\u8861\u5c31\u53ef\u4ee5\u4e86\u3002<\/strong><\/p>\n\n\n\n

30%\u6295\u8d44\u4e8e\u80a1\u7968(stocks)<\/strong>\uff1a\u80a1\u4ef7\u6ce2\u52a8\u5927\u5f39\u6027\u597d\uff0c\u5728\u7ecf\u6d4e\u4e0a\u884c\u671f\u6536\u76ca\u66f4\u652f\u68f1\u3002<\/p>\n\n\n\n

15%\u6295\u8d44\u4e8e\u4e2d\u671f\u503a\u5238(intermediate term bonds)<\/strong>\uff1a\u80fd\u63d0\u4f9b\u7a33\u5b9a\u7684\u5229\u606f\u6536\u76ca\uff0c\u7ecf\u6d4e\u4e0b\u884c\u6216\u901a\u80c0\u4e0b\u884c\u65f6\u8868\u73b0\u66f4\u51fa\u8272\u3002<\/p>\n\n\n\n

40%\u6295\u8d44\u4e8e\u957f\u671f\u503a\u5238(longterm bonds)<\/strong>\uff1a\u914d\u7f6e\u539f\u7406\u540c\u4e2d\u671f\u503a\u5238\uff0c\u4f46\u76f8\u8f83\u4e8e\u4e2d\u671f\u503a\u5238\u800c\u8a00\uff0c\u5bf9\u5229\u7387\u7684\u53d8\u52a8\u66f4\u4e3a\u654f\u611f\u3002<\/p>\n\n\n\n

7.5%\u6295\u8d44\u4e8e\u9ec4\u91d1(gold)<\/strong>\uff1a\u5e26\u6709\u660e\u663e\u7684\u907f\u9669\u5c5e\u6027\uff0c\u5728\u901a\u80c0\u4e0a\u884c\u548c\u4e16\u754c\u52a8\u8361\u65f6\u8868\u73b0\u51fa\u8272\u3002<\/p>\n\n\n\n

7.5%\u6295\u8d44\u4e8e\u5927\u5b97\u5546\u54c1(commodities)<\/strong>\uff1a\u5728\u7ecf\u6d4e\u4e0a\u884c\u6216\u901a\u80c0\u4e0a\u884c\u65f6\u5927\u5b97\u5546\u54c1\u7c7b\u8d44\u4ea7\u5f80\u5f80\u8868\u73b0\u4f18\u5f02\u3002<\/p>\n\n\n\n

\"\"\/<\/div><\/figure>\n\n\n\n
\"\"\/<\/div><\/figure>\n\n\n\n

\u4e0a\u9762\u7684\u8fd9\u4e2a\u7248\u672c\u53ef\u4ee5\u5f53\u505a\u662f\u8eba\u5e73\u7248\u7684\u5168\u5929\u5019\u7b56\u7565\uff0c\u4e3a\u4e86\u8ba9\u8fd9\u4e2a\u7b56\u7565\u5728\u6211\u56fdA\u80a1\u5e02\u573a\u4e5f\u5177\u6709\u6295\u8d44\u610f\u4e49\uff0c\u6211\u6253\u7b97\u7528\u5bf9\u5e94\u4e0d\u540c\u8d44\u4ea7\u7c7b\u522b\u7684ETF<\/a>\u5b8c\u6210\u8d44\u4ea7\u7ec4\u5408\u7684\u6784\u5efa\uff0c\u79c9\u627f\u7740\u6700\u9002\u914d\u548c\u5c3d\u91cf\u5206\u6563\u7684\u539f\u5219\uff0c\u7ec4\u5408\u6e05\u5355\u5982\u4e0b\u3002<\/p>\n\n\n\n

\u80a1\u7968\u7c7b(30%)\uff1a\u6caa\u6df1300ETF\uff0c\u4e2d\u8bc1500ETF\uff0c\u6807\u666e500ETF\uff0c\u7eb3\u6307ETF\uff1b<\/strong><\/p>\n\n\n\n

\u4e2d\u671f\u503a\u5238(15%)\uff1a5\u5e74\u671f\u56fd\u503aETF\uff1b<\/strong><\/p>\n\n\n\n

\u957f\u671f\u503a\u5238(40%)\uff1a10\u5e74\u671f\u56fd\u503aETF\uff1b<\/strong><\/p>\n\n\n\n

\u9ec4\u91d1(7.5%)\uff1a\u9ec4\u91d1ETF\uff1b<\/strong><\/p>\n\n\n\n

\u5927\u5b97\u5546\u54c1(7.5%)\uff1a\u5927\u5b97\u5546\u54c1ETF\u3002<\/strong><\/p>\n\n\n\n

\u6bcf\u4e2a\u6708\u6708\u521d\u5f00\u76d8\u8fdb\u884c\u518d\u5e73\u8861\uff0c\u5f00\u5e73\u4ed3\u8d39\u7387\u5404\u4e07\u5206\u4e4b\u4e09\uff0c\u56e0\u4e3a10\u5e74\u671f\u56fd\u503aETF\u662f\u57282017\u5e748\u670824\u65e5\u624d\u4e0a\u5e02\u4ea4\u6613\uff0c\u5728\u6b64\u4e4b\u524d\u75285\u5e74\u671f\u56fd\u503aETF\u66ff\u4ee3\uff0c\u56de\u6d4b\u4e00\u4e0b\u8fd110\u5e74\u7684\u60c5\u51b5\uff0c\u5982\u4e0b\u3002<\/p>\n\n\n\n

\"\"\/<\/div><\/figure>\n\n\n\n

\u7b56\u7565\u7d2f\u8ba1\u6536\u76ca\u662f94.84%\uff0c\u5e74\u5316\u6536\u76ca\u662f7.0%\uff0c\u590f\u666e\u7387\u4e3a0.461\uff0c\u6700\u5927\u56de\u64a4\u662f11.86%\uff0c\u6536\u76ca\u4e0d\u7b97\u9ad8\uff0c\u4e3b\u6253\u7684\u662f\u7a33\u7a33\u7684\u5e78\u798f\u3002\u4eae\u70b9\u4e3b\u8981\u4f53\u73b0\u5728\uff0c\u6caa\u6df1300\u6307\u6570\u57fa\u51c6\u7684\u6ce2\u52a8\u7387\u662f0.22\uff0c\u7b56\u7565\u7684\u6ce2\u52a8\u7387\u662f0.065\uff0c\u524d\u8005\u662f\u540e\u80053.38\u500d\uff0c\u8ddf\u6865\u6c34\u57fa\u91d1\u4ed6\u4eec\u4e4b\u524d\u7684\u6d4b\u7b97\u6570\u503c\u8fd8\u662f\u6bd4\u8f83\u63a5\u8fd1\u7684\u3002<\/p>\n\n\n\n

\u8bf4\u5b8c\u8eba\u5e73\u7248\u7684\u98ce\u9669\u5e73\u4ef7\u7b56\u7565\uff0c\u73b0\u5728\u5c31\u6765\u5520\u5520\u539f\u6c41\u539f\u5473\u98ce\u9669\u5e73\u4ef7\u7248\u7684\u4e86\u3002<\/p>\n\n\n\n

\u98ce\u9669\u5e73\u4ef7\u8fd9\u4e2a\u6982\u5ff5\u662f\u78d0\u5b89\u57fa\u91d1(Panagora)\u7684\u94b1\u6069\u5e73(Edward Qian)\u535a\u58eb\u5728\u8bba\u6587\u300aRisk Parity Portfolios: Efficient Portfolios Through True Diversification\u300b(2005)\u4e2d\u6709\u4e00\u4e2a\u751f\u52a8\u5f62\u8c61\u7684\u4f8b\u5b50\u3002<\/p>\n\n\n\n

\"\"\/<\/div><\/figure>\n\n\n\n

\u5728\u80a1\u503a\u7ec4\u5408\u4e2d\uff0c\u80a1\u7968\u8d44\u4ea7\u7684\u6743\u91cd\u662f60%\uff0c\u503a\u5238\u8d44\u4ea7\u7684\u6743\u91cd\u662f40%\uff0c\u770b\u4e0a\u53bb\u8d44\u91d1\u662f\u5206\u6563\u4e86\uff0c\u4f46\u5b9e\u9645\u4e0a\u98ce\u9669\u5e76\u6ca1\u6709\u6709\u6548\u5206\u6563\uff0c90%\u4ee5\u4e0a\u7684\u7684\u98ce\u9669\u90fd\u96c6\u4e2d\u5728\u80a1\u7968\u7aef\u3002<\/strong><\/p>\n\n\n\n

\u5177\u4f53\u662f\u600e\u4e48\u5f97\u51fa\u8fd9\u4e2a\u7ed3\u8bba\u7684\u5462\uff1f\u54b1\u6765\u4ed4\u7ec6\u8ba1\u7b97\u4e00\u4e0b~<\/p>\n\n\n\n

\u80a1\u7968\u7aef(Russell 1000 Index)\u7684\u5e74\u5316\u6ce2\u52a8\u7387\u662f15.1%(\u6807\u51c6\u5dee)\uff0c\u503a\u5238\u7aef(Lehman Aggregate Bond Index)\u7684\u5e74\u5316\u6ce2\u52a8\u7387\u662f4.6%\uff0c\u5b83\u4fe9\u7684\u76f8\u5173\u7cfb\u6570\u662f0.2\u3002<\/p>\n\n\n\n

\u90a3\u4e48\uff0c\u6574\u4e2a\u7ec4\u5408\u7684\u65b9\u5dee\u6ce2\u52a8\u7387\u5c31\u662f\uff1a<\/p>\n\n\n\n

(60%)^2 \u00d7 (15.1%)^2 +<\/strong> (40%)^2 \u00d7 (4.6%)^2 +<\/strong> 2 \u00d7 60% \u00d7 40% \u00d7 0.2 \u00d7 15.1% x 4.6% \u2248 (9.6%)^2<\/p>\n\n\n\n

\u5176\u4e2d\u201cx^2\u201d\u8868\u793a\u7684\u662fx\u7684\u5e73\u65b9\uff0c\u80a1\u7968\u7aef\u8d21\u732e\u7684\u65b9\u5dee\u6ce2\u52a8\u7387\u5c31\u662f\uff1a<\/p>\n\n\n\n

(60%)^2 \u00d7 (15.1%)^2 +<\/strong> 60% \u00d7 40% \u00d7 0.2 \u00d7 15.1% x 4.6% \u2248 (9.24%)^2<\/p>\n\n\n\n

\u90a3\u4e48\u80a1\u7968\u7aef\u7684\u98ce\u9669\u8d21\u732e\u5360\u6bd4\u5c31\u662f(9.24%)^2 \/ (9.6%)^2 = 92.64%\uff0c\u4e5f\u5c31\u662f\u8bf4\uff0c\u80a1\u7968\u7aef\u7684\u8d44\u91d1\u6743\u91cd\u867d\u7136\u662f60%\uff0c\u4f46\u5374\u8d21\u732e\u4e86\u5c06\u8fd193%\u7684\u98ce\u9669\uff0c\u8d44\u91d1\u6743\u91cd40%\u7684\u503a\u5238\u53ea\u8d21\u732e\u4e867%\u7684\u98ce\u9669\u3002\u8fd9\u8fd8\u662f\u5728\u8bba\u6587\u5f53\u4e2d\u7528\u6536\u76ca\u7387\u65b9\u5dee\u8861\u91cf\u98ce\u9669\u7684\u60c5\u51b5\u4e0b\uff0c\u5982\u679c\u7528\u5e38\u7528\u7684\u6807\u51c6\u5dee\uff0c\u80a1\u7968\u7aef\u7684\u98ce\u9669\u5360\u6bd4\u66f4\u9ad8\uff0c\u9ad8\u8fbe9.24% \/ 9.6% = 96.25%\u3002<\/p>\n\n\n\n

\u6240\u4ee5\uff0c\u8fd9\u5c31\u662f\u4f20\u7edf\u7684\u6309\u8d44\u91d1\u5206\u914d\u8d44\u4ea7\u6743\u91cd\u7684\u95ee\u9898\uff0c\u98ce\u9669\u5e76\u6ca1\u6709\u88ab\u6709\u6548\u5206\u6563\uff0c\u94b1\u535a\u63d0\u51fa\u7684\u98ce\u9669\u5e73\u4ef7\u5c31\u662f\u6765\u89e3\u51b3\u8fd9\u4e2a\u95ee\u9898\u7684\uff0c\u201c\u98ce\u9669\u5206\u6563\u624d\u662f\u771f\u7684\u5206\u6563\u201d\uff0c\u6bcf\u4e2a\u8d44\u4ea7\u5e26\u6765\u7684\u98ce\u9669\u5e94\u5f53\u76f8\u540c\u3002<\/strong><\/p>\n\n\n\n

\"\"\/<\/div><\/figure>\n\n\n\n

\u77e5\u9053\u4e86\u98ce\u9669\u5e73\u4ef7\u7684\u7406\u5ff5\uff0c\u90a3\u54b1\u5c31\u6765\u770b\u770b\u600e\u4e48\u6839\u636e\u98ce\u9669\u5e73\u4ef7\uff0c\u7b97\u51fa\u6bcf\u4e2a\u8d44\u4ea7\u5e94\u8be5\u914d\u7f6e\u7684\u6743\u91cd\u3002<\/p>\n\n\n\n

\u54b1\u5047\u8bbe\u6295\u8d44\u7ec4\u5408\u5f53\u4e2d\u6709n\u4e2a\u8d44\u4ea7\uff0c\u7b2ci\u4e2a\u8d44\u4ea7\u7684\u6743\u91cd\u4e3awi\uff0c\u7b2ci\u4e2a\u8d44\u4ea7\u7684\u6536\u76ca\u7387\u4e3ari\uff0c\u90a3\u4e48\u8d44\u4ea7\u7684\u6743\u91cd\u5411\u91cf(\u5217\u5411\u91cf)\u5c31\u662fw=[w1, w2, …, wn]\uff0c\u90a3\u4e48\u8d44\u4ea7\u7ec4\u5408\u7684\u6536\u76ca\u5c31\u662frp = w1*r1 + w2*r2 + … + wn*rn\uff0c\u8d44\u4ea7\u7ec4\u5408\u7684\u6ce2\u52a8\u7387(\u4ee3\u8868\u98ce\u9669)\u5c31\u662f\uff1a<\/p>\n\n\n\n

\"\"\/<\/div><\/figure>\n\n\n\n

\u5176\u4e2d\u03c3ij\u8868\u793a\u8d44\u4ea7i\u548c\u8d44\u4ea7j\u4e4b\u95f4\u7684\u534f\u65b9\u5deecov(ri, rj)\uff0c\u03c3ij=\u03c3ji\uff0c\u7279\u522b\u5730\uff0c\u5f53i=j\u65f6\uff0c\u03c3ii = cov(ri, ri) = variance(ri) = \u03c3i^2\uff0c\u4e5f\u5c31\u662f\u8d44\u4ea7i\u7684\u534f\u65b9\u5dee\u7b49\u4e8e\u5176\u672c\u8eab\u7684\u65b9\u5dee\u3002<\/p>\n\n\n\n

std(x)\u8868\u793a\u6c42x\u5e8f\u5217\u7684\u6807\u51c6\u5dee\uff0c\u03a3\u8868\u793a\u534f\u65b9\u5dee\u77e9\u9635\uff0c\u5176\u4e2d\u7b2ci\u884c\u7b2cj\u5217\u7684\u5143\u7d20\u5c31\u662f\u03c3ij\uff0c\u957f\u4e0b\u9762\u8fd9\u4e2a\u6837\u5b50\u3002<\/p>\n\n\n\n

\"\"\/<\/div><\/figure>\n\n\n\n

\u63a5\u4e0b\u6765\u5c31\u662f\u8981\u8ba1\u7b97\u8fb9\u9645\u98ce\u9669\u8d21\u732eMRC(Marginal Risk Contribution)\uff0c\u5b83\u7684\u91d1\u878d\u610f\u4e49\u5c31\u662f\u5bf9\u5e94\u8d44\u4ea7\u6743\u91cdwi\u53d8\u52a81\u5355\u4f4d\u65f6\uff0c\u8d44\u4ea7\u7ec4\u5408\u6ce2\u52a8\u7387\u03c3p\u53d8\u52a8\u591a\u5c11\uff0c\u5bf9\u03c3p\u6c42\u504f\u5bfc\u3002<\/p>\n\n\n\n

\"\"\/<\/div><\/figure>\n\n\n\n

\u90a3\u4e48\u8d44\u4ea7i\u5bf9\u603b\u98ce\u9669\u7684\u8d21\u732eTRC(Total Risk Contribution)\u5c31\u662f\u6743\u91cdwi\u4e0e\u8fb9\u9645\u98ce\u9669\u8d21\u732eMRCi\u7684\u4e58\u79ef\u3002<\/p>\n\n\n\n

\"\"\/<\/div><\/figure>\n\n\n\n

\u98ce\u9669\u5e73\u4ef7\u7684\u76ee\u6807\u5c31\u662f\u8ba9\u5404\u4e2a\u8d44\u4ea7\u5bf9\u7ec4\u5408\u603b\u98ce\u9669\u7684\u8d21\u732e\u7a0b\u5ea6\u5c31\u662f\u4e00\u6837\u7684\uff0c\u4e5f\u5c31\u662fTRC1 = TRC2 =\u2026= TRCn\uff0c\u90a3\u4e48\u6c42\u89e3\u6700\u4f18\u7684\u6743\u91cdw\u5c31\u53ef\u4ee5\u8f6c\u5316\u4e3a\u6c42\u89e3\u4ee5\u4e0b\u6700\u4f18\u5316\u95ee\u9898\u3002<\/p>\n\n\n\n

\"\"\/<\/div><\/figure>\n\n\n\n

\u56e0\u4e3a\u5728\u73b0\u5b9e\u5f53\u4e2d\uff0c\u662f\u5f88\u96be\u8ba9\u6bcf\u4e2a\u8d44\u4ea7\u7684TRC\u76f8\u4e92\u4e4b\u95f4\u5b8c\u5168\u76f8\u7b49\u7684\uff0c\u53ea\u597d\u8ba9\u5b83\u4eec\u4e4b\u95f4\u7684\u76f8\u4e92\u5dee\u503c\u7684\u5e73\u65b9\u4e4b\u548c\u6700\u5c0f\uff0c\u4e5f\u5c31\u662f\u8ba9\u5b83\u4eec\u4e4b\u95f4\u5c3d\u91cf\u9760\u8fd1\uff0c\u8fd9\u79cd\u6700\u4f18\u5316\u95ee\u9898\u7528scipy\u5e93\u5f53\u4e2d\u7684minimize\u51fd\u6570\u5c31\u975e\u5e38\u5bb9\u6613\u6c42\u89e3\u4e86\u3002<\/p>\n\n\n\n

\u6570\u5b66\u63a8\u5bfc\u8bf4\u5b8c\u4e86\uff0c\u98ce\u9669\u5e73\u4ef7\u5230\u5e95\u6709\u6ca1\u6709\u7528\uff0c\u662f\u9aa1\u5b50\u662f\u9a6c\uff0c\u54b1\u7275\u51fa\u6765\u6e9c\u6e9c\u3002<\/p>\n\n\n\n

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\u4e2d\u671f\u503a\u5238\uff1a<\/strong>5\u5e74\u671f\u56fd\u503aETF\uff1b<\/p>\n\n\n\n

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\"\"\/<\/div><\/figure>\n\n\n\n

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\"\"\/<\/div><\/figure>\n\n\n\n

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\"\"\/<\/div><\/figure>\n\n\n\n

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\"\"\/<\/div><\/figure>\n\n\n\n

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\"\"\/<\/div><\/figure>\n\n\n\n
\"\"\/<\/div><\/figure>\n\n\n\n
\"\"\/<\/div><\/figure>\n\n\n\n

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\u8eba\u5e73\u7248\u5168\u5929\u5019\u7b56\u7565(\u53ef\u4fdd\u8bc1\u91d1\u4ea4\u6613)2024\u5e74\u521d\u81f3\u4eca\u56de\u6d4b\u6536\u76ca\uff1a<\/p>\n\n\n\n

\"\"\/<\/div><\/figure>\n\n\n\n

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\"\"\/<\/div><\/figure>\n\n\n\n

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\u7ec8\u4e8e\u628a\u4e4b\u524d\u7684\u5751\u586b\u4e86\uff0c\u4e5f\u5e0c\u671b\u8fd9\u7bc7\u6587\u7ae0\u5bf9\u4f60\u7406\u89e3\u6865\u6c34\u57fa\u91d1\u7684\u5168\u5929\u5019\u7b56\u7565\u6709\u5e2e\u52a9\uff0c\u4e0b\u671f\u89c1~<\/p>\n\n\n\n

\u53c2\u8003\u8d44\u6599\uff1a<\/strong><\/p>\n\n\n\n

Edward Qian\uff0c2005\uff0c\u300aRisk Parity Portfolios:Efficient Portfolios Through True Diversification\u300b<\/em><\/p>\n\n\n\n

Bridgewater\uff0c2011\uff0c\u300aRisk Parity is about Balance\u300b<\/em><\/p>\n\n\n\n

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\"\"\/<\/div><\/figure>\n\n\n\n
\n\n\n\n

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\u53d1\u5e03\u4e8e 2025-02-28 10:30\u30fb\u5e7f\u4e1c
https:\/\/zhuanlan.zhihu.com\/p\/26977427286<\/a><\/p>\n","protected":false},"excerpt":{"rendered":"

\u5e74\u521d\u5a92\u4f53\u62a5\u9053\uff0c\u6865\u6c34\u4e2d\u56fd\u57fa\u91d1(Bridgewater China)\u4ee535%\u7684\u5e74\u5ea6\u6536\u76ca\u7387\uff0c\u8dfb\u8eab2024\u5e74\u5ea6\u5168\u7403\u5bf9\u51b2 […]<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[1],"tags":[],"class_list":["post-11723","post","type-post","status-publish","format-standard","hentry","category-uncategorized"],"_links":{"self":[{"href":"https:\/\/www.invbus.com\/blog\/index.php?rest_route=\/wp\/v2\/posts\/11723","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.invbus.com\/blog\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/www.invbus.com\/blog\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/www.invbus.com\/blog\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/www.invbus.com\/blog\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=11723"}],"version-history":[{"count":0,"href":"https:\/\/www.invbus.com\/blog\/index.php?rest_route=\/wp\/v2\/posts\/11723\/revisions"}],"wp:attachment":[{"href":"https:\/\/www.invbus.com\/blog\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=11723"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.invbus.com\/blog\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=11723"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.invbus.com\/blog\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=11723"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}