ߴ ̷е ϼ̴ٸ, ݺʹ ̷ ̷е ؼ ڻ ִ Բ ڽϴ.
ó Ŵٸ, ñ ݵ '' Ŭϼż ̷е Ͻñ ûմϴ. ֳϸ, ˰ ̷ ڸ ؾϴ ϱ ְ, ؼҵ ñ Ģ 鸲 Ⱓ ϱⰡ ǻ Ұϱ Դϴ.
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̹ úʹ ð(Ŭ) 캻 ֽ: ä ƴ ο ˾ƺڽϴ. ٷ Դϴ.
ô б ݵ (Ŭ) (Ŭ)ϼż Ȯ ϼż Ÿſ иϰ Ȯϰ ñ ٶϴ. 帱 ϱ ̴ϴ.
̳? Ÿ ذ ? ÿ ٷ Դϴ. ̻ Ȳϰ ʰ ٷ ڽϴ.
1. ܼ
Ⱓ: 1986.1~2014.4
: KOSPI (KOSPI ETF)
ż Ģ: ְ > n ְ (n > 0) --> ֽ ż
ŵ Ģ: ְ < n ְ (n < 0) --> ֽ ŵ,
Դϴ.
ô ٿ 1-12 κ ڽ ξ ȸϸ鼭 忡 ս ξ ֽϴ.
1-12 Ⱓ ϴٴ ϴ Ȯ, ͷ ڼ غ ؼ 12 ʰ 5 캸ڽϴ.
丷 ս Ȯ ٿִ ? 鼭 ܼ ̾ Ȧٵ ϴ.
̷ ܼ ֽϴ.
ù° , 1-12 ۵ϴµ ü ؾ ϴ̰
ι° , ũ ٱ ߾ սǵ ũٰ ְ, Ȳ ϰ Ÿ Ⱓ ٸٴ Դϴ.
, 忡 ս ũ ̴ , Ÿ Ⱦ ս Ŀ Դϴ.
ù° ι° ذϴ , Ư Ⱓ ̿ ʰ, 1-12 ھ Ű ֽ ϴ Դϴ.
ھ ϴ մϴ.
1. ֱ 1-12 Ѵ.
2. > 0 ̸, 1 ְ, < 0 ̸ 0 ش.
3. 12 ջ 12 .
4. ֽ ̰, Ŵ ֽ: Ͽ Ѵ.
, ־ 쿡 ھ 1 DZ ֽĿ 100%, 0% ϸ ǰ, ϶ ھ 0 DZ ݿ 100% ϴ Դϴ.
߰ , ֽ 50~100% ̰ ǰ? Ⱦ 50% ̰, ϶ ϴٸ 50% ̸ ̴ϴ.
ܼϰ ̸鼭 Ȳ ߾ 뺯ش Դϴ.
Ҽ ھ ö ϶ ڿ ھ ̰, , ְ Ǵ ֽ ƾ ʿ䰡 . Ӹ ٰ ִ ͵ ƴϱ . ̷ Ȳ ° ڵ DZ 츮 Ӹ θŰ ʿ ġ ٰؼ ڸ ϰ ϸ Ǵ Դϴ.
⺻ ö ְ, ȭ ְ 12 ھ ̿ؼ ֽ ݾ ϴ ̹Ƿ, ֽĿ 100% ϰų 0% ʿ ϴ ɸ δ㰨 ִ ֽϴ.
̸ , ϶ Ƽ ֽ Ȱ , ̷ ?
'...ȱ ȾҴµ ļ ¼?'
'... µ Ȥ ¼?'
ֽĿ ڱ ü ϰų ü ŵϴ ġ ̷ ɸ ΰ غϱ Ⱓ ϰ Ģ ϱ ƴٴµ .
̷ ݾ Ȳ ° ֽ ϴ ɸ Ű մϴ. ֳϸ, Ѳ Ĵ ƴ϶, Ȳ Ŵ ݾ ϴ ̱ ɸ δ ϱ . , Ⱓ ϰ ֽϴ.
° , Ⱦ ս ̴ ֽİ ڻ лؼ ִ Դϴ. ڻ ݰ ä ̿ մϴ. ֽĸ ֽ ְ ǰ, ֽ ݿ ϴ ε, ֽ Ӹ ƴ϶, ̳ ä ߵ ϰ ؼ Ͽ մϴ.
θ ϴ ȿ? ŵϰ Ȯغڽϴ.
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2. ھ
Ⱓ: 1986.1~2014.4
: KOSPI (KOSPI ETF)
ż Ģ: ֽ ֱ 1-12 ҽھ : ֽ
1 - ֽ ھ :
ŵ Ģ: Ŵ ֽ Ͽ ֽ: Ͽ .
Դϴ.
ϱ? ȿ ٻӸ ƴ϶, Ư ϳ ʰ 1-12 ݿϱ ȭ ֽϴ.
̷ , ս Ұ, ս ҽŴ ÿ ͷ ܼ ֽ buy and holding ͺٴ Ȯ ֽϴ.
, ϱ? ֱ 2 ڽ Ⱦ ŵ ñ Ͱ ٴ Դϴ.
ŸŴ ũ ũ , ϰ Ÿ 쿡 ȿ شȭ˴ϴ. Ѵٰ ŸŰ ظ ƴմϴ. ϶ ϰ Ÿ, ŸŴ ȣ 忡 ŸŰ մϴ.
, ŸŴ , Ⱦ ս Ǵ Դϴ. , ֱ 2Ⱓ ڽ Ⱦ ŵϰ ڽǿ ̹ϰ Ͱ Ȯ ?
ذϱ ؼ, ̳ ä ֽ ̿ ʰ, ڻ лϸ ˴ϴ.
, ÿ 캻 ֽ:(ä) л ¿, ֽ:(ä) ϴ .
ڼ 캼?
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3. л
Ⱓ: 1986.1~2014.4
: KOSPI (KOSPI ETF),
ż Ģ: ֽ ֱ 1-12 : ֱ 1-12 = ֽ:
ŵ Ģ: Ŵ Ͽ ֽ: Ͽ ݺѴ.
ġä̰, ̹ϰ Ѵ 0.2~0.3% ڰ پ ڻ̹Ƿ, 1 ǰ?
, ֽ ־ ֽ 1 , ֽ: = 1:1 ˴ϴ.
, ֽ ִ ̷ 50% ʰ ϰ Ǵ Ǿ ڿ ϴ Դϴ. , ֽ Ȳ ° ȴٴ ܼ ֽ: =1:1 · 뷱ϴ Ͱ ٺ ̰ .
Դϴ.
ϱ? Ǿ ?
丷 찡 4-5ʳ ־ ұϰ ִ ս ä 10% ʽϴ. Ϳ ְ .
, ͷ ü ֽĸ , ũ ϰ پ ϰ 5~10% ȼ .
, ֽ ַ ȥ Բ غڽϴ.
ֱ 2Ⱓ Ⱦ ֽ ս Ǵµ , ȥ ְ ֽϴ. ̴ ּ 50% Ǿ 뷱̿ ȿ ϱ .
, ִ Ⱦ ս ̷ ̶ ֽİ ڻ ȥְ 뷱ϴ ؼ Ǵ Դϴ.
, ھ л Ӹ ƴ϶ Ⱦ ֱ ̰ ϶̰, Ⱦ̰ 忡 ִ ֽϴ.
ٸ ϱ? , ϴ.
ֽİ ȥ ƴ϶, ֽİ ä ȥѴٸ ξ ?
Ȯغڽϴ.
츮 ä ʹ ϱ Ʊ κ ̱ ̿Ͽ ùķ̼ غڽϴ.
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4. ä ȥ л
Ⱓ: 2003.6~2014.4
: ̱ S&P500 , ̱ 10 ä
ż Ģ: S&P500 ֱ 1-12 : ̱ 10 ä ֱ 1-12 = S&P500 : 10 ä
ŵ Ģ: Ŵ Ͽ ֽ: Ͽ ݺѴ.
Դϴ.
ÿ Ȯ ó 1:1 risk parity ū ̴ , risk parity ̰ Ȯ ְ, ä ȥ ս 鼭 ͱ Ȯ ֽϴ.
, ֽ:ä ս ؼȭϸ鼭 븱 ִ ȿ ֽϴ.
(Ŭ) ٵ ڽϴ.
( õ Ʈ մϴ. ⸦ Ŭϼż ȸ ּ~)
' ' īװ ٸ
(9) - л (0) | 2015/06/11 |
---|---|
(1) - buy and hold (0) | 2014/05/19 |
(2) - buy and hold () (0) | 2014/05/18 |
(3) - ֽ:(Ǵ ä) 1:1 ȥ (0) | 2014/05/17 |
(4) - ֽ:ä (risk parity ) (0) | 2014/05/16 |
(5) - (1) (2) | 2014/05/15 |
(6) - (2) (0) | 2014/05/14 |
(7) - Zڷ 300% (0) | 2014/05/13 |
(8) - Ʈ (1) | 2014/05/13 |
( 0)