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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(Ŭ) ETF ̿ risk parity 30%̻ ִ Ȯغҽϴ.
̶ Ҽ ְ? ʹ Ŀ ֽİ ä Ͻ ϶ϴ ϴ , ս Ŀٴ ̾ϴ. , ֽİ ä ֽ 2, ä 3 û ̿ϴ 쿡 ִ սǷ 9% 뿡 Ұմϴ.
ֽĸ Ʈ 忡 丷 ̻ Ϳ Ѵٸ ̴ ս̶ ?
̹ ÿ ؼ risk parity ս ̴ ˾ƺڽϴ. ŵϰ к 帮, leverage risk parity ϴ Դϴ.
Դϴ.
1. (Ŭ) Ȯ leveraged risk parity Ʈ մϴ.
2. , Ʈ 100% ڻ ʰ, (ܱ ä) ȥմϴ.
) Leveraged risk parity : = 70 : 30
Leveraged risk parity : = 50 : 50
Leveraged risk parity : = 30 : 70
3. Ŵ ڽ 뷱մϴ.
ʹ 翬ϰ ̾߱, ߿ Ͽ Ͱ ս մϴ. , 츮 ȥϴ , ⺻ Ʈ (ͷ ߽), (ս ) ִ .
(Ŭ) Ȯ Ʈ ֽ 2 ä 3 risk parity portfolio µ, Ʈ 2010 ~ 2015 ͷ 31%, ִ սǷ 9% ϴ.
ùķ̼ ߿ Ʈ ͷ ִ ս ϴ. ݼ ڻ ǻ 2.5% ܱ ä Ͽ Ͽϴ.
Leveraged risk parity | ռ | ִս | |
30 | 70 | 22% | -6.10% |
50 | 50 | 16% | -4.10% |
70 | 30 | 11% | -2.30% |
ϱ? 츮 ȥϴ ܼ Ʈ ݼ ְ Ǿ? ó?
̰ ȭ 30% Ʈ ó? ݴԴϴ.
ŸϿ Ʈ ±.
11% û 鼭 ִ ս 2%뿡 Ұϱ.. ʽϱ?
·ų ̷ ϴ ͷ 輺 Ʈ ֽϴ.
ݱ ð ִ پ 캸ҽϴ.
úʹ ݱ 캸Ҵ پ Ʈ ũ ȭ, ϰ ٸ ڽϴ.
( õ Ʈ մϴ. ⸦ Ŭϼż ȸ ּ~)
systrader79@gmail.com
' ' īװ ٸ
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