{"id":733,"date":"2010-03-17T03:12:19","date_gmt":"2010-03-16T19:12:19","guid":{"rendered":"http:\/\/192.168.1.157\/wordpress\/?p=733"},"modified":"2013-05-10T17:06:21","modified_gmt":"2013-05-10T09:06:21","slug":"%e3%80%8a%e5%9b%bd%e5%a4%96%e8%91%97%e5%90%8d%e5%9f%ba%e9%87%91%e8%af%84%e7%ba%a7%e5%85%ac%e5%8f%b8%e8%af%84%e7%ba%a7%e6%96%b9%e6%b3%95%e4%b9%8b%e7%a0%94%e7%a9%b6%e3%80%8b-2","status":"publish","type":"post","link":"http:\/\/www.jsvest.com.cn\/?p=733","title":{"rendered":"\u300a\u56fd\u5916\u8457\u540d\u57fa\u91d1\u8bc4\u7ea7\u516c\u53f8\u8bc4\u7ea7\u65b9\u6cd5\u4e4b\u7814\u7a76\u300b"},"content":{"rendered":"<style type=\"text\/css\">\np{text-indent:2em;}\n<\/style>\n<div class=\"wenzhangdivbox\">\n<P><b>1. \u7b80\u4ecb<\/b><\/p>\n<p> \u968f\u7740\u76ee\u524d\u57fa\u91d1\u53d1\u884c\u6570\u91cf\u7684\u6025\u901f\u589e\u957f\u548c\u56fd\u5185\u57fa\u91d1\u8d2d\u4e70\u4eba\u6570\u7684\u65e5\u6e10\u589e\u591a\uff0c\u5bf9\u4e8e\u57fa\u91d1\u7684\u9009\u8d2d\u95ee\u9898\u65e5\u6e10\u7a81\u51fa\u3002\u5404\u7c7b\u91d1\u878d\u673a\u6784\u4ee5\u53ca\u57fa\u91d1\u8d2d\u4e70\u8005\u7279\u522b\u9700\u8981\u80fd\u4ee5\u7b80\u5355\u6613\u61c2\u7684\u65b9\u5f0f\u6765\u8bc4\u4f30\u5404\u7c7b\u57fa\u91d1\u7684\u8868\u73b0\u3002\u57fa\u91d1\u8bc4\u7ea7\u6b63\u662f\u63d0\u4f9b\u4e86\u8fd9\u6837\u4e00\u79cd\u5de5\u5177\u3002\u5b83\u80fd\u591f\u4ece\u5404\u4e2a\u65b9\u9762\u8861\u91cf\u4e00\u4e2a\u57fa\u91d1\u7684\u7279\u70b9\u548c\u8868\u73b0\u597d\u574f\uff0c\u5e76\u63d0\u4f9b\u4e86\u5404\u4e2a\u57fa\u91d1\u4e4b\u95f4\u7684\u6a2a\u5411\u6bd4\u8f83\u3002<\/p>\n<p> \u6668\u661f(Morningstar)\u548c\u7406\u67cf(Lipper)\u662f\u76ee\u524d\u5728\u56fd\u5185\u6709\u4e00\u5b9a\u5f71\u54cd\u529b\u76842\u4e2a\u8457\u540d\u56fd\u5916\u57fa\u91d1\u8bc4\u7ea7\u516c\u53f8\u3002 \u5728\u56fd\u5185\u5404\u5927\u7f51\u7edc\u4f20\u5a92\u548c\u8d22\u7ecf\u6742\u5fd7\u4e0a\uff0c\u7ecf\u5e38\u80fd\u89c1\u5230\u8fd92\u5bb6\u8bc4\u7ea7\u516c\u53f8\u7684\u57fa\u91d1\u8bc4\u7ea7\u7ed3\u679c\u3002\u4ed6\u4eec\u7684\u8bc4\u7ea7\u4f53\u7cfb\u5404\u6210\u4f53\u7cfb\uff0c\u65e2\u6709\u76f8\u4f3c\u4e4b\u5904\uff0c\u4e5f\u6709\u4e0d\u540c\u7684\u5730\u65b9\uff0c\u4e14\u5404\u6709\u81ea\u5df1\u7684\u4f18\u52a3\u6240\u5728\u3002<\/p>\n<p>\u4e3a\u4e86\u66f4\u597d\u7684\u4e86\u89e3\u8fd92\u4e2a\u8bc4\u7ea7\u516c\u53f8\u7684\u8bc4\u7ea7\u4f53\u7cfb\uff0c\u672c\u6587\u5c06\u5bf9\u5b83\u4eec\u5404\u81ea\u7684\u65b9\u6cd5\u548c\u539f\u7406\u7ed9\u51fa\u8be6\u7ec6\u7684\u7814\u7a76\u548c\u6bd4\u8f83\uff0c\u4ee5\u4fbf\u8bfb\u8005\u80fd\u591f\u5728\u5b9e\u9645\u4f7f\u7528\u4e2d\u505a\u5230\u4e86\u7136\u4e8e\u80f8\u3002<\/p>\n<p><b>2. \u8bc4\u7ea7\u65b9\u6cd5\u7ec6\u5219<\/b><br \/><\/P><\/p>\n<p> \u5728\u8fd9\u4e00\u8282\u91cc\uff0c\u5c06\u5206\u522b\u5bf9\u6668\u661f(Morningstar)\u548c\u7406\u67cf(Lipper)\u7684\u8bc4\u7ea7\u65b9\u6cd5\u505a\u8be6\u7ec6\u7684\u63cf\u8ff0\u3002<\/p>\n<p><b>2.1 \u6668\u661f(Morningstar)<\/b><\/p>\n<p>\u6668\u661f\u516c\u53f8\uff08Morningstar, Inc\uff09\u4e8e1985 \u5e74\u9996\u6b21\u63a8\u51fa\u57fa\u91d1\u8bc4\u7ea7\uff08Morningstar Rating\uff09\uff0c\u501f\u52a9\u661f\u7ea7\u8bc4\u4ef7\u7684\u65b9\u5f0f\uff0c\u534f\u52a9\u6295\u8d44\u4eba\u66f4\u52a0\u7b80\u4fbf\u5730\u5206\u6790\u6bcf\u53ea\u57fa\u91d1\u5728\u540c\u7c7b\u57fa\u91d1\u4e2d\u7684\u8fc7\u5f80\u4e1a\u7ee9\u8868\u73b0\u3002 1996 \u5e74\uff0c\u6668\u661f\u516c\u53f8\u5f15\u5165\u5206\u7c7b\u661f\u7ea7\u8bc4\u4ef7\u65b9\u6cd5\uff08Category Rating\uff09\uff0c\u5bf9\u57fa\u91d1\u8fdb\u4e00\u6b65\u7ec6\u5206\u30022002 \u5e74\uff0c\u6668\u661f\u516c\u53f8\u5728\u539f\u6709\u57fa\u7840\u4e0a\u8fdb\u884c\u6539\u826f\uff0c\u542f\u7528\u65b0\u7684\u661f\u7ea7\u8bc4\u4ef7\u65b9\u6cd5\uff08New Morningstar Rating\uff09\u3002\u4e0e\u6700\u521d\u57fa\u91d1\u6309\u7167\u8d44\u4ea7\u5206\u5e03\u5206\u4e3a\u56db\u7c7b\uff08\u7f8e\u56fd\u80a1\u7968\u57fa\u91d1\u3001\u56fd\u9645\u80a1\u7968\u57fa\u91d1\u3001\u5e94\u7a0e\u503a\u5238\u57fa\u91d1\u3001\u514d\u7a0e\u503a\u5238\u57fa\u91d1\uff09\u76f8\u6bd4\uff0c\u65b0\u7684\u8bc4\u4ef7\u4f53\u7cfb\u5728\u539f\u5148\u5206\u7c7b\u7684\u57fa\u7840\u4e0a\u8fdb\u4e00\u6b65\u7ec6\u5206\uff0c\u57fa\u91d1\u7684\u7c7b\u578b\u670950 \u591a\u79cd\u3002\u65b0\u7684\u8bc4\u4ef7\u4f53\u7cfb\u6709\u5982\u4e0b\u51e0\u4e2a\u7279\u8272\uff1a<\/p>\n<ul style=\"margin-left:2em;\">\n<li>\u4ee5\u671f\u671b\u6548\u7528\u7406\u8bba\u4e3a\u57fa\u7840<\/li>\n<li>\u4ee5\u57fa\u91d1\u7684\u98ce\u9669\u8c03\u6574\u540e\u6536\u76ca\u4e3a\u8861\u91cf<\/li>\n<li>\u66f4\u52a0\u6ce8\u91cd\u53cd\u6620\u57fa\u91d1\u8d44\u4ea7\u7684\u4e0b\u884c\u6ce2\u52a8\u98ce\u9669<\/li>\n<\/ul>\n<p><\/p>\n<p>\u672c\u6587\u4fa7\u91cd\u9488\u5bf9\u6668\u661f\u5728\u4e2d\u56fd\u7684\u57fa\u91d1\u8bc4\u7ea7\u65b9\u6cd5\u52a0\u4ee5\u9610\u8ff0\uff0c\u5e76\u8865\u5145\u8bf4\u660e\u76f8\u5173\u7684\u7406\u8bba\u548c\u516c\u5f0f\u63a8\u5bfc\u3002<\/p>\n<p>1) \u8bc4\u7ea7\u5bf9\u8c61<\/p>\n<p>\u81f3\u8ba1\u7b97\u65f6\u70b9\uff0c\u5177\u59072\u5e74\u62162\u5e74\u4ee5\u4e0a\u4e1a\u7ee9\u6570\u636e\u7684\u5f00\u653e\u5f0f\u57fa\u91d1\uff0c\u4f46\u4e0d\u5305\u62ec\u8d27\u5e01\u5e02\u573a\u57fa\u91d1\u548c\u4fdd\u672c\u57fa\u91d1\u3002<\/p>\n<p>2) \u8bc4\u7ea7\u6b65\u9aa4<\/p>\n<p>  1. \u5bf9\u57fa\u91d1\u8fdb\u884c\u5206\u7c7b<\/p>\n<p>  2. \u8861\u91cf\u57fa\u91d1\u7684\u6536\u76ca<\/p>\n<p>  3. \u8ba1\u7b97\u57fa\u91d1\u7684\u98ce\u9669\u8c03\u6574\u540e\u6536\u76caMRAR\uff08Morningstar Risk-Adjusted Return\uff09<\/p>\n<p>  4. \u91c7\u7528\u661f\u7ea7\u8bc4\u4ef7\u7684\u65b9\u5f0f\uff0c\u6839\u636e\u98ce\u9669\u8c03\u6574\u540e\u6536\u76ca\u6307\u6807\uff0c\u5bf9\u4e0d\u540c\u7c7b\u522b\u7684\u57fa\u91d1\u5206\u522b\u8fdb\u884c\u8bc4\u7ea7\uff0c\u5212\u5206\u4e3a5 \u4e2a\u661f\u7ea7<\/p>\n<p>3) \u66f4\u65b0\u9891\u7387<\/p>\n<p>\u6668\u661f\u57fa\u91d1\u8bc4\u7ea7\u6bcf\u4e2a\u6708\u8fdb\u884c\u4e00\u6b21\u3002<\/p>\n<p>\u6bcf\u6708\u521d\u516c\u5e03\u4e0a\u6708\u7684\u8bc4\u7ea7\u7ed3\u679c\uff0c\u5305\u62ec\u4e24\u5e74\u8bc4\u7ea7\u3001\u4e09\u5e74\u8bc4\u7ea7\u3001\u4e94\u5e74\u8bc4\u7ea7\u548c\u5341\u5e74\u8bc4\u7ea7\uff08\u7531\u4e8e\u4e2d\u56fd\u5f00\u653e\u5f0f\u57fa\u91d1\u7684\u5386\u53f2\u76f8\u5bf9\u8f83\u77ed\uff0c\u76ee\u524d\u5341\u5e74\u8bc4\u7ea7\u6682\u65e0\uff09\u3002<\/p>\n<p>              <b>2.1.1 \u57fa\u91d1\u5206\u7c7b<\/b><\/p>\n<p>\u6668\u661f\u8bc4\u7ea7\u4e3b\u8981\u662f\u53cd\u6620\u57fa\u91d1\u7ecf\u7406\u7684\u6295\u8d44\u7ba1\u7406\u80fd\u529b\uff0c\u800c\u8981\u907f\u514d\u53d7\u5230\u5e02\u573a\u73af\u5883\u6216\u5176\u4ed6\u57fa\u91d1\u7ecf\u7406\u63a7\u5236\u80fd\u529b\u4ee5\u5916\u56e0\u7d20\u7684\u5f71\u54cd\u3002\u5728\u6668\u661f\u5206\u7c7b\u4e2d\uff0c\u7531\u4e8e\u540c\u4e00\u7c7b\u578b\u7684\u57fa\u91d1\u8d44\u4ea7\u5206\u5e03\u7684\u98ce\u9669\u7279\u5f81\u662f\u76f8\u4f3c\u7684\uff0c\u6240\u4ee5\u57fa\u91d1\u4e4b\u95f4\u6536\u76ca\u7684\u5dee\u5f02\u4e3b\u8981\u4e0e\u57fa\u91d1\u7ecf\u7406\u6295\u8d44\u7ba1\u7406\u80fd\u529b\u76f4\u63a5\u76f8\u5173\uff0c\u5305\u62ec\u9009\u80a1\u80fd\u529b\uff08Security Selection\uff09\u3001\u9009\u65f6\u64cd\u4f5c\uff08Variation in Timing\uff09\u548c\u5177\u4f53\u7684\u8d44\u4ea7\u914d\u7f6e\u6743\u91cd\uff08Asset Weighting\uff09\u7b49\u3002<\/p>\n<p>\u6668\u661f\u57fa\u91d1\u5206\u7c7b\u65b9\u6cd5(Morningstar Category)<\/p>\n<ul style=\"margin-left:2em;\">\n<li>\u4ee5\u5206\u6790\u57fa\u91d1\u7684\u6295\u8d44\u7ec4\u5408\u4e3a\u57fa\u7840<\/li>\n<li>\u4e0d\u662f\u4ec5\u4ec5\u6309\u7167\u57fa\u91d1\u540d\u79f0\u6216\u62db\u52df\u8bf4\u660e\u4e66\u5173\u4e8e\u6295\u8d44\u8303\u56f4\u548c\u6295\u8d44\u6bd4\u4f8b\u7684\u63cf\u8ff0\u8fdb\u884c\u5206\u7c7b<\/li>\n<\/ul>\n<p><\/p>\n<p>\u6668\u661f<\/p>\n<ul style=\"margin-left:2em;\">\n<li>\u5bf9\u4e8e\u56fd\u5185\u7684\u5c01\u95ed\u5f0f\u57fa\u91d1\u4e0d\u505a\u5206\u7c7b<\/li>\n<li>\u5bf9\u4e8e\u56fd\u5185\u7684\u5f00\u653e\u5f0f\u57fa\u91d1\uff0c\u6839\u636e\u57fa\u91d1\u7684\u8d44\u4ea7\u7c7b\u578b\uff0c\u5206\u4e3a\u4e03\u7c7b\uff08\u88681\uff09<\/li>\n<\/ul>\n<p><\/p>\n<p align=\"center\"><img src=\"wp-content\/uploads\/baogao\/b11.jpg\" \/><\/p>\n<p>\u57fa\u91d1\u5206\u7c7b\u517c\u987e\u5b9a\u91cf\u5206\u6790\u548c\u5b9a\u6027\u5206\u6790<\/p>\n<p>\u5b9a\u91cf\u5206\u6790<\/p>\n<ul style=\"margin-left:2em;\">\n<li>\u5bf9\u4e8e\u5efa\u4ed3\u671f\u5185\u7684\u65b0\u57fa\u91d1\uff0c\u6682\u65f6\u6839\u636e\u5176\u62db\u52df\u8bf4\u660e\u4e66\u4e2d\u5173\u4e8e\u6295\u8d44\u8303\u56f4\u548c\u6295\u8d44\u6bd4\u4f8b\u7684\u89c4\u5b9a\u8fdb\u884c\u5206\u7c7b\u3002<\/li>\n<li>\u5bf9\u4e8e\u81f3\u68c0\u6d4b\u65f6\u70b9\u5df2\u7ed3\u675f\u5efa\u4ed3\u671f\u7684\u57fa\u91d1\uff0c\u6211\u4eec\u6839\u636e\u6295\u8d44\u7ec4\u5408\u7684\u6570\u636e\uff0c\u5bf9\u8be5\u57fa\u91d1\u7684\u8d44\u4ea7\u6784\u6210\uff08\u5305\u62ec\u73b0\u91d1\u3001\u80a1\u7968\u3001\u503a\u5238\u548c\u5176\u4ed6\u8d44\u4ea7\uff09\u8fdb\u884c\u5206\u6790\uff0c\u5e76\u7edf\u8ba1\u6700\u8fd1\u4e24\u5e74\u5404\u9879\u8d44\u4ea7\u7684\u5e73\u5747\u5206\u5e03\u6bd4\u4f8b\u3002\u5176\u4e2d\uff0c\u4e0d\u8003\u8651\u8be5\u57fa\u91d1\u5efa\u4ed3\u671f\u7684\u6570\u636e\u70b9\u3002<\/li>\n<\/ul>\n<p>\u5b9a\u6027\u5206\u6790<\/p>\n<ul style=\"margin-left:2em;\">\n<li>\u6295\u8d44\u7ec4\u5408\u7684\u7edf\u8ba1\u7ed3\u679c\u4e0e\u62db\u52df\u8bf4\u660e\u4e66\u4e2d\u7684\u89c4\u5b9a\u662f\u5426\u51fa\u73b0\u504f\u79bb<\/li>\n<li>\u662f\u5426\u4f7f\u7528\u878d\u8d44\u6760\u6746\uff08\u57fa\u91d1\u80a1\u7968\u6295\u8d44\u548c\u503a\u5238\u6295\u8d44\u7684\u5408\u8ba1\u8d85\u8fc7\u57fa\u91d1\u7684\u8d44\u4ea7\u51c0\u503c\uff09<\/li>\n<\/ul>\n<p>\u5206\u7c7b\u68c0\u6d4b\u7684\u9891\u7387<\/p>\n<ul style=\"margin-left:2em;\">\n<li>\u4e00\u822c\u60c5\u51b5\uff0c\u5728\u57fa\u91d1\u62ab\u9732\u5b63\u5ea6\u62a5\u544a\u540e\u5b9a\u671f\u8fdb\u884c<\/li>\n<li>\u5f53\u57fa\u91d1\u7684\u6295\u8d44\u653f\u7b56\u53d1\u751f\u91cd\u5927\u6539\u53d8\u65f6\uff0c\u968f\u65f6\u9700\u8981\u91cd\u65b0\u68c0\u6d4b<\/li>\n<\/ul>\n<p>\u5c01\u95ed\u5f0f\u57fa\u91d1\u3001\u8d27\u5e01\u5e02\u573a\u57fa\u91d1\u548c\u4fdd\u672c\u57fa\u91d1\u4e0d\u53c2\u4e0e\u8bc4\u7ea7\u3002<\/p>\n<p><b>2.1.2 \u8861\u91cf\u57fa\u91d1\u7684\u6536\u76ca<\/b><\/p>\n<p>\u6668\u661f\u4f7f\u7528\u6708\u5ea6\u56de\u62a5\u7387\uff08Monthly Total Return\uff09\u6765\u8861\u91cf\u57fa\u91d1\u7684\u6536\u76ca\uff0c\u5e76\u6709\u5982\u4e0b\u5047\u8bbe<\/p>\n<ul style=\"margin-left:2em;\">\n<li>\u6295\u8d44\u4eba\u5c06\u6240\u5f97\u5206\u7ea2\u5747\u7528\u4e8e\u518d\u6295\u8d44<\/li>\n<li>\u4e0d\u8003\u8651\u7a0e\u6536\u3001\u4ea4\u6613\u8d39\u7528<\/li>\n<\/ul>\n<p>\u6668\u661f\u4f7f\u7528\u5982\u4e0b\u516c\u5f0f\u6765\u8ba1\u7b97\u4e00\u53ea\u57fa\u91d1\u5728\u67d0\u4e2a\u6708\u7684\u6708\u5ea6\u56de\u62a5\u7387<\/p>\n<p align=\"center\"><img loading=\"lazy\" src=\"wp-content\/uploads\/baogao\/b13.jpg\" width=\"191\" height=\"63\" \/><\/p>\n<p>\u5176\u4e2d<\/p>\n<p>R\u8868\u793a\u6708\u5ea6\u56de\u62a5\u7387<\/p>\n<p>Pe\u8868\u793a\u5f53\u6708\u672b\u57fa\u91d1\u5355\u4f4d\u51c0\u503c<\/p>\n<p>Pb\u8868\u793a\u4e0a\u6708\u672b\u57fa\u91d1\u5355\u4f4d\u51c0\u503c<\/p>\n<p>Di\u8868\u793a\u5728\u8ba1\u7b97\u671f\u95f4\u65f6\u70b9i \u5355\u4f4d\u57fa\u91d1\u5206\u7ea2\u91d1\u989d<\/p>\n<p>Pi \u8868\u793a\u65f6\u70b9i \u5206\u7ea2\u518d\u6295\u8d44\u6240\u4f9d\u7167\u7684\u57fa\u91d1\u5355\u4f4d\u51c0\u503c<\/p>\n<p>n \u8868\u793a\u8ba1\u7b97\u671f\u5185\u7684\u5206\u7ea2\u6b21\u6570<\/p>\n<p>\u6b64\u5916\uff0c\u5bf9\u4e8e\u57fa\u91d1\u7684\u4efd\u989d\u62c6\u7ec6\u7b49\u60c5\u51b5\uff0c\u6536\u76ca\u7387\u8ba1\u7b97\u5c06\u8fdb\u884c\u53ca\u65f6\u8c03\u6574\u3002<\/p>\n<p><b>2.1.3 \u6668\u661f\u98ce\u9669\u8c03\u6574\u540e\u6536\u76caMRAR<\/b><\/p>\n<p>MRAR \u7684\u8861\u91cf\u4ee5\u671f\u671b\u6548\u7528\u7406\u8bba\uff08Expected Utility Theory\uff09\u4e3a\u57fa\u7840\u3002\u8be5\u7406\u8bba\u8ba4\u4e3a\u6295\u8d44\u4eba\u6839\u636e\u6bcf\u4e2a\u6295\u8d44\u7ec4\u5408\u7684\u671f\u672b\u4ef7\u503c\u6784\u9020\u6548\u7528\u51fd\u6570\uff0c\u7136\u540e\u8ba1\u7b97\u671f\u671b\u6548\u7528\u5e76\u6309\u7167\u5176\u6570\u503c\u9ad8\u4f4e\u5bf9\u6240\u6709\u7684\u6295\u8d44\u7ec4\u5408\u8fdb\u884c\u6392\u540d\u3002<\/p>\n<p>\u8ba9W\u8868\u793a\u4e00\u4e2a\u6295\u8d44\u7ec4\u5408\u7684\u671f\u672b\u4ef7\u503c\uff0cu(.)\u4e3a\u6295\u8d44\u8005\u7684\u6548\u7528\u51fd\u6570\uff0c\u5219\u6295\u8d44\u7ec4\u5408\u7684\u671f\u671b\u6548\u7528\u4e3aE[u(W)].<\/p>\n<p>              \u6548\u7528\u51fd\u6570\u5fc5\u987b\u6ee1\u8db3\u5982\u4e0b\u6761\u4ef6\uff1a<\/p>\n<ul style=\"margin-left:2em;\">\n<li>\u6295\u8d44\u7ec4\u5408\u7684\u671f\u672b\u56de\u62a5\u8d8a\u9ad8\uff0c\u6295\u8d44\u4eba\u8d8a\u6ee1\u610f\uff0c\u5373<img loading=\"lazy\" src=\"wp-content\/uploads\/baogao\/b14.jpg\" width=\"49\" height=\"21\" \/><\/li>\n<li>\u6548\u7528\u51fd\u6570\u5fc5\u987b\u8003\u8651\u98ce\u9669\u538c\u6076\u6027\uff0c\u800c\u4e14\u98ce\u9669\u5fc5\u987b\u53d7\u5230\u60e9\u7f5a\u3002\u5bf9\u4e8e\u4e00\u4e2a\u6295\u8d44\u8005\u6765\u8bf4\uff0c\u4e00\u4e2a\u62e5\u6709\u7a33\u5b9a\u76842%\u6708\u56de\u62a5\u7387\u7684\u5b8c\u5168\u65e0\u98ce\u9669\u7684\u6295\u8d44\u7ec4\u5408\u8981\u6bd4\u4e00\u4e2a\u6ce2\u52a8\u5f88\u5927\u7684\u4e14\u5e73\u5747\u6708\u56de\u62a5\u7387\u4e3a2%\u7684\u6295\u8d44\u7ec4\u5408\u3002\u5373<img src=\"wp-content\/uploads\/baogao\/b15.jpg\" style=\" vertical-align: bottom;\" \/><br \/>\n              \u4ece\u6982\u7387\u8bba\u6765\u770b\uff0c\u5982\u679c\u8981\u6ee1\u8db3\u4ee5\u4e0a\u6761\u4ef6\uff0c u(.)\u5728\u6bcf\u4e00\u5904\u5fc5\u987b\u4e3a\u51f9\u51fd\u6570\uff0c\u5373<img loading=\"lazy\" src=\"wp-content\/uploads\/baogao\/b16.jpg\" width=\"50\" height=\"21\" \/><\/li>\n<li> \u4e0d\u5bf9\u989d\u5916\u56de\u62a5\u7684\u5206\u5e03\u505a\u4efb\u4f55\u5047\u8bbe<\/li>\n<li>\u6295\u8d44\u4eba\u5728\u671f\u521d\u6295\u5165\u7684\u591a\u5c11\u8ddf\u6295\u8d44\u7ec4\u5408\u7684\u8bc4\u7ea7\u9ad8\u4f4e\u65e0\u5173<\/li>\n<\/ul>\n<p>\u8fd9\u91cc\u5982\u679c\u4f7f\u7528\u76f8\u5bf9\u98ce\u9669\u538c\u6076\uff08Relative Risk Aversion, RRA\uff09\u6765\u63cf\u8ff0\u671f\u672b\u4ef7\u503c\u5982\u4f55\u5f71\u54cd\u4e00\u4e2a\u6295\u8d44\u8005\u7684\u98ce\u9669\u538c\u6076\u7a0b\u5ea6\u7684\u8bdd\uff0c<\/p>\n<p align=\"center\"><img loading=\"lazy\" src=\"wp-content\/uploads\/baogao\/b17.jpg\" width=\"198\" height=\"61\" \/>\n              <\/p>\n<p>\u5982\u679c\u5047\u8bbeRRA\u662f\u5e38\u6570\u7684\u8bdd\uff0c\u5373\u671f\u672b\u4ef7\u503c\u7684\u591a\u5c11\u4e0d\u4f1a\u5f71\u54cd\u6295\u8d44\u8005\u5bf9\u4e8e\u98ce\u9669\u7684\u6001\u5ea6\uff0c\u5219\u6548\u7528\u51fd\u6570\u53ef\u4ee5\u4f7f\u7528\u5982\u4e0b\u5f62\u5f0f\u8868\u793a\uff1a<\/p>\n<p align=\"center\"><img loading=\"lazy\" src=\"wp-content\/uploads\/baogao\/b18.jpg\" width=\"255\" height=\"75\" \/>\n              <\/p>\n<p>\u8fd9\u91cc\u03b3\u8868\u793a\u98ce\u9669\u538c\u6076\u7a0b\u5ea6\uff0c\u5176\u4e2dRRA( \u2219) =\u03b3+1<\/p>\n<p>\u03b3\u5728\u7406\u8bba\u4e0a\u53ef\u4ee5\u4e3a\u4efb\u610f\u503c<\/p>\n<ul style=\"margin-left:2em;\">\n<li>\u5f53\u03b3&lt;\u22121\uff0c\u8868\u793a\u6295\u8d44\u8005\u559c\u7231\u98ce\u9669\uff0c\u800c\u4e0d\u662f\u538c\u6076\u98ce\u9669\uff08\u57fa\u672c\u4e0d\u7b26\u5408\u73b0\u5b9e\u60c5\u51b5\uff09<\/li>\n<li>\u5f53\u03b3=\u22121\uff0c\u8868\u793a\u6295\u8d44\u8005\u5bf9\u98ce\u9669\u5b8c\u5168\u4e0d\u654f\u611f\uff0c\u53ea\u8981\u7b97\u672f\u5e73\u5747\u671f\u5f85\u56de\u62a5\u5b8c\u5168\u4e00\u6837<\/li>\n<li>\u5f53\u03b3=0\uff0c\u8868\u793a\u6295\u8d44\u8005\u5bf9\u98ce\u9669\u5b8c\u5168\u4e0d\u654f\u611f\uff0c\u53ea\u8981\u51e0\u4f55\u5e73\u5747\u671f\u5f85\u56de\u62a5\u5b8c\u5168\u4e00\u6837<\/li>\n<li>\u5f53\u03b3&gt;0\uff0c\u8868\u793a\u6295\u8d44\u8005\u9700\u8981\u66f4\u591a\u7684\u98ce\u9669\u916c\u91d1\u4ee5\u5f25\u8865\u4ed6\/\u5979\u9009\u62e9\u7684\u98ce\u9669\u6295\u8d44\u7ec4\u5408<\/li>\n<\/ul>\n<p><\/p>\n<p>\u5982\u679c\u6295\u8d44\u7ec4\u5408\u7684\u671f\u521d\u4ef7\u503c\u4e3a<img src=\"wp-content\/uploads\/baogao\/b19.jpg\" style=\"vertical-align: bottom;\" \/>\u4e3a\u671f\u672b\u56de\u62a5\u7387\uff0c\u5219<img loading=\"lazy\" src=\"wp-content\/uploads\/baogao\/b1-1.jpg\" width=\"115\" height=\"18\" style=\"vertical-align: bottom;\" \/>\u8fd9\u6837\uff0c<\/p>\n<p align=\"center\"><img loading=\"lazy\" src=\"wp-content\/uploads\/baogao\/b1-2.jpg\" width=\"384\" height=\"54\" \/><\/p>\n<p>\u9664\u4e86\u6301\u6709\u98ce\u9669\u578b\u6295\u8d44\u7ec4\u5408\uff0c\u6295\u8d44\u8005\u4e5f\u53ef\u4ee5\u4e70\u5165\u5b8c\u5168\u65e0\u98ce\u9669\u8d44\u4ea7\u3002\u8fd9\u91cc\u8bbe\u5b8c\u5168\u65e0\u98ce\u9669\u7684\u56de\u62a5\u7387\u4e3a<img loading=\"lazy\" src=\"wp-content\/uploads\/baogao\/b1-3.jpg\" width=\"16\" height=\"16\" \/>\u3002\u4e3a\u4e86\u6bd4\u8f83\u98ce\u9669\u578b\u6295\u8d44\u7ec4\u5408\u548c\u5b8c\u5168\u65e0\u98ce\u9669\u8d44\u4ea7\uff0c \u8fd9\u91cc\u5047\u8bbe\u6295\u8d44\u8005\u671f\u521d\u5c06\u4ed6\/\u5979\u6240\u6709\u7684\u8d44\u4ea7\u6295\u5165\u5230\u5b8c\u5168\u65e0\u98ce\u9669\u8d44\u4ea7\u4e2d\uff0c\u5e76\u5728\u671f\u672b\u83b7\u5f97\u7684\u8d44\u4ea7\u603b\u989d\u4e3a1\u5143\u3002\u8fd9\u6837\uff0c<\/p>\n<p align=\"center\"><img loading=\"lazy\" src=\"wp-content\/uploads\/baogao\/b1-4.jpg\" width=\"376\" height=\"144\" \/><\/p>\n<p>\u5982\u679c\u5b9a\u4e49\u51e0\u4f55\u989d\u5916\u56de\u62a5<img loading=\"lazy\" src=\"wp-content\/uploads\/baogao\/b1-5.jpg\" width=\"17\" height=\"15\" \/>\u5982\u4e0b<\/p>\n<p align=\"center\"><img loading=\"lazy\" src=\"wp-content\/uploads\/baogao\/b1-6.jpg\" width=\"139\" height=\"52\" \/><\/p>\n<p>\u6211\u4eec\u53ef\u4ee5\u5f97\u5230 <\/p>\n<p align=\"center\"><img loading=\"lazy\" src=\"wp-content\/uploads\/baogao\/b1-7.jpg\" width=\"318\" height=\"78\" \/><\/p>\n<p>\u98ce\u9669\u578b\u6295\u8d44\u7684\u786e\u5b9a\u6027\u7b49\u503c\u7684\u51e0\u4f55\u989d\u5916\u56de\u62a5\u4e3a\u6295\u8d44\u8005\u53ef\u4ee5\u63a5\u53d7\u7684\u4f5c\u4e3a\u66ff\u4ee3\u975e\u786e\u5b9a\u51e0\u4f55\u989d\u5916\u56de\u62a5\u7684\u6709\u786e\u4fdd\u7684\u51e0\u4f55\u989d\u5916\u56de\u62a5\u3002\u8fd9\u91cc\u7528<img src=\"wp-content\/uploads\/baogao\/b1-0.jpg\" \/>\u8868\u793a\u786e\u5b9a\u6027\u7b49\u503c\u7684\u51e0\u4f55\u989d\u5916\u56de\u62a5\uff0c\u5373<\/p>\n<p align=\"center\"><img loading=\"lazy\" src=\"wp-content\/uploads\/baogao\/b1-8.jpg\" width=\"228\" height=\"42\" \/> <\/p>\n<p> \u6240\u4ee5<\/p>\n<p align=\"center\"><img loading=\"lazy\" src=\"wp-content\/uploads\/baogao\/b1-9.jpg\" width=\"331\" height=\"68\" \/><\/p>\n<p>MRAR\u88ab\u5b9a\u4e49\u4e3a<img loading=\"lazy\" src=\"wp-content\/uploads\/baogao\/b1-10.jpg\" width=\"28\" height=\"23\" \/>\u7684\u5e74\u5316\u503c\u3002\u5176\u4e2d<img loading=\"lazy\" src=\"wp-content\/uploads\/baogao\/b1-11.jpg\" width=\"182\" height=\"19\" \/>\u7684\u65f6\u95f4\u5e8f\u5217\u5e73\u5747\u503c\u6765\u4f30\u7b97\uff0c\u8fd9\u6837\uff0c<\/p>\n<p align=\"center\"><img loading=\"lazy\" src=\"wp-content\/uploads\/baogao\/b1-12.jpg\" width=\"365\" height=\"144\" \/><\/p>\n<p>\u5176\u4e2d<img loading=\"lazy\" src=\"wp-content\/uploads\/baogao\/b1-13.jpg\" width=\"26\" height=\"17\" \/>\u662f\u7b2ct\u6708\u5ea6\u7684\u51e0\u4f55\u989d\u5916\u56de\u62a5\uff0c\u516c\u5f0f\u4e3a<\/p>\n<p align=\"center\"><img loading=\"lazy\" src=\"wp-content\/uploads\/baogao\/b1-14.jpg\" width=\"127\" height=\"50\" \/><\/p>\n<p>\u5176\u4e2dRt\u8868\u793a\u7b2ct\u4e2a\u6708\u7684\u6295\u8d44\u56de\u62a5\uff0c<img loading=\"lazy\" src=\"wp-content\/uploads\/baogao\/b1-15.jpg\" width=\"22\" height=\"17\" \/>\u4e3a\u65e0\u98ce\u9669\u8d44\u4ea7\u7b2ct\u4e2a\u6708\u7684\u6295\u8d44\u56de\u62a5<\/p>\n<p>\u8003\u8651\u5230\u4e00\u4e2a\u5178\u578b\u7684\u6295\u8d44\u8005\u7684\u98ce\u9669\u627f\u53d7\u529b\uff0c\u6668\u661f\u4f7f\u7528\u03b3=2\u4f5c\u4e3a\u57fa\u91d1\u8bc4\u7ea7\u7684\u8ba1\u7b97\u4e4b\u7528\u3002<\/p>\n<p>\u6668\u661f\u98ce\u9669\u88ab\u5b9a\u4e49\u4e3aMRAR(0)-MRAR(2)<\/p>\n<p><b>2.1.4 \u6668\u661f\u661f\u7ea7\u8bc4\u4ef7<\/b><\/p>\n<p>\u8bc4\u7ea7\u6240\u9700\u8d44\u6599<\/p>\n<ul style=\"margin-left:2em;\">\n<li>\u57fa\u91d1\u5206\u7c7b\u65b9\u6cd5\u548c\u5206\u7c7b\u540d\u5355\u3002<\/li>\n<li>\u57fa\u91d1\u6570\u636e\u5e93\uff0c\u5305\u62ec\u6bcf\u53ea\u57fa\u91d1\u7684\u7c7b\u522b\u3001\u5355\u4f4d\u8d44\u4ea7\u51c0\u503c\u3001\u5206\u7ea2\u3001\u6708\u5ea6\u56de\u62a5\u7387<\/li>\n<\/ul>\n<p><\/p>\n<p>\u8bc4\u7ea7\u6240\u9700\u6761\u4ef6<\/p>\n<ul style=\"margin-left:2em;\">\n<li>\u5177\u5907\u4e24\u5e74\u6216\u4e24\u5e74\u4ee5\u4e0a\u4e1a\u7ee9\u6570\u636e<\/li>\n<li>\u540c\u7c7b\u57fa\u91d1\u5fc5\u987b\u4e0d\u5c11\u4e8e5 \u53ea<\/li>\n<li>\u5c01\u95ed\u5f0f\u57fa\u91d1\u3001\u8d27\u5e01\u5e02\u573a\u57fa\u91d1\u548c\u4fdd\u672c\u57fa\u91d1\u4e0d\u53c2\u4e0e\u8bc4\u7ea7<\/li>\n<\/ul>\n<p><\/p>\n<p>\u4ee5\u7ed9\u4e88\u67d0\u7c7b\u57fa\u91d1\u4e24\u5e74\u8bc4\u7ea7\u4e3a\u4f8b\uff0c<\/p>\n<p>1. \u6839\u636e\u5404\u57fa\u91d1\u622a\u81f3\u5f53\u6708\u672b\u7684\u8fc7\u53bb24 \u4e2a\u6708\u56de\u62a5\u7387\uff0c\u8ba1\u7b97\u51fa\u98ce\u9669\u8c03\u6574\u540e\u6536\u76caMRAR(2)<\/p>\n<p>2. \u5404\u57fa\u91d1\u6309\u7167MRAR(2)\u7531\u5927\u5230\u5c0f\u8fdb\u884c\u6392\u5e8f\uff1a\u524d10%\u88ab\u8bc4\u4e3a5 \u661f\uff1b\u63a5\u4e0b\u676522.5%\u88ab\u8bc4\u4e3a4 \u661f\uff1b\u4e2d\u95f435%\u88ab\u8bc4\u4e3a3 \u661f\uff1b\u968f\u540e22.5%\u88ab\u8bc4\u4e3a2 \u661f\uff1b\u6700\u540e10%\u88ab\u8bc4\u4e3a1 \u661f<\/p>\n<p>3. \u5177\u4f53\u786e\u5b9a\u6bcf\u4e2a\u661f\u7ea7\u7684\u57fa\u91d1\u6570\u91cf\u65f6\uff0c\u91c7\u7528\u56db\u820d\u4e94\u5165\u7684\u65b9\u6cd5<\/p>\n<p align=\"center\"><img loading=\"lazy\" src=\"wp-content\/uploads\/baogao\/b1-16.jpg\" width=\"609\" height=\"174\" \/>\n              <\/p>\n<p><b>2.2 \u7406\u67cf(Lipper<\/b>)<\/p>\n<p>\u7406\u67cf\u57fa\u91d1\u4e2d\u56fd\u8bc4\u7ea7\u901a\u8fc7\u56db\u4e2a\u72ec\u7acb\u7684\u8bc4\u4f30\u6807\u51c6\u5e2e\u52a9\u6295\u8d44\u8005\u6216\u6295\u8d44\u987e\u95ee\u6311\u9009\u6700\u9002\u5408\u5176\u6295\u8d44\u98ce\u683c\u548c\u6295\u8d44\u76ee\u6807\u7684\u57fa\u91d1\u3002<\/p>\n<ul style=\"margin-left:2em;\">\n<li>\u603b\u56de\u62a5<br \/>\n               \u53cd\u6620\u57fa\u91d1\u76f8\u5bf9\u4e8e\u540c\u7ec4\u522b\u4e2d\u7684\u603b\u56de\u62a5<\/li>\n<li>\u7a33\u5b9a\u56de\u62a5<br \/>\n               \u53cd\u6620\u57fa\u91d1\u76f8\u5bf9\u4e8e\u540c\u7ec4\u522b\u4e2d\u7ecf\u98ce\u9669\u8c03\u6574\u540e\u7684\u7a33\u5b9a\u56de\u62a5<\/li>\n<li>\u4fdd\u672c\u80fd\u529b<br \/>\n               \u53cd\u6620\u57fa\u91d1\u76f8\u5bf9\u4e8e\u540c\u4e00\u8d44\u4ea7\u7c7b\u578b\u4e2d\u7684\u5176\u5b83\u57fa\u91d1\u7684\u6297\u8dcc\u80fd\u529b\u3002\u4fdd\u672c\u80fd\u529b\u8bc4\u7ea7\u662f\u76f8\u5bf9\u6027\uff0c\u800c\u975e\u7edd\u5bf9\u6027\u7684\u8003\u8651\uff0c\u56e0\u6b64\u88ab\u8bc4\u4e3a\u4fdd\u672c\u80fd\u529b\u4e3aLipper Leaders\uff085\u661f\uff09\u7684\u57fa\u91d1\u4ea6\u6709\u53ef\u80fd\u4e8f\u635f\uff0c\u800c\u4e14\u80a1\u7968\u7c7b\u57fa\u91d1\u548c\u80a1\u7968\u5e73\u8861\u7c7b\u57fa\u91d1\u8f83\u503a\u5238\u7c7b\u57fa\u91d1\u66f4\u6709\u53ef\u80fd\u4e8f\u635f<\/li>\n<li>\u8d39\u7528<br \/>\n               \u53cd\u6620\u57fa\u91d1\u76f8\u5bf9\u4e8e\u540c\u7c7b\u9500\u552e\u8d39\u7528\u7684\u51cf\u5c11\u7a0b\u5ea6\u3002\u8be5\u8bc4\u7ea7\u53ea\u5bf9\u80a1\u7968\u57fa\u91d1\u53ca\u503a\u5238\u57fa\u91d1\u4e2d\u81f3\u5c11\u6709\u4e94\u652f\u4e2a\u522b\u57fa\u91d1\u7684\u7684\u7406\u67cf\u5206\u7c7b\u4f5c\u8ba1\u7b97<\/li>\n<\/ul>\n<p><\/p>\n<p> 1) \u8bc4\u7ea7\u5bf9\u8c61<\/p>\n<p>\u81f3\u8ba1\u7b97\u65f6\u70b9\uff0c\u5177\u59071\u5e74\u62161\u5e74\u4ee5\u4e0a\u4e1a\u7ee9\u6570\u636e\u7684\u5f00\u653e\u5f0f\u57fa\u91d1\uff0c\u4f46\u4e0d\u5305\u62ec\u8d27\u5e01\u5e02\u573a\u57fa\u91d1\u548c\u4fdd\u672c\u57fa\u91d1<\/p>\n<p>2) \u8bc4\u7ea7\u6b65\u9aa4<\/p>\n<p>  1. \u5bf9\u57fa\u91d1\u8fdb\u884c\u5206\u7c7b<\/p>\n<p>  2. \u8ba1\u7b97\u57fa\u91d1\u7684\u603b\u56de\u62a5(Total Return)\uff0c\u7a33\u5b9a\u56de\u62a5(Consistent Return)\uff0c\u4fdd\u672c\u80fd\u529b(Preservation)\u548c\u8d39\u7528(Expense)<\/p>\n<p> 3. \u91c7\u7528\u661f\u7ea7\u8bc4\u4ef7\u7684\u65b9\u5f0f\uff0c\u5bf9\u4e0d\u540c\u7c7b\u522b\u7684\u57fa\u91d1\u76844\u4e2a\u72ec\u7acb\u7684\u8bc4\u4f30\u6807\u51c6\u5206\u522b\u8fdb\u884c\u8bc4\u7ea7\uff0c\u5212\u5206\u4e3a5 \u4e2a\u661f\u7ea7<\/p>\n<p>3) \u66f4\u65b0\u9891\u7387<\/p>\n<p>\u7406\u67cf\u57fa\u91d1\u8bc4\u7ea7\u6bcf\u4e2a\u6708\u8fdb\u884c\u4e00\u6b21\uff0c\u5305\u62ec\u4e00\u5e74\u8bc4\u7ea7\u3001\u4e8c\u5e74\u548c\u4e09\u5e74\u8bc4\u7ea7\u3002<\/p>\n<p>              <b>2.2.1 \u57fa\u91d1\u5206\u7c7b<\/b><\/p>\n<p>\u7406\u67cf\u5bf9\u4e2d\u56fd\u56fd\u5185\u57fa\u91d1\u7684\u5206\u7c7b\u6ca1\u6709\u663e\u5f0f\u7684\u5728\u5176\u8bc4\u7ea7\u6807\u51c6\u4e2d\u7ed9\u51fa\uff0c\u6839\u636e\u4e07\u5f97\u54a8\u8be2\u6570\u636e\u5e93\u7684\u5206\u7c7b\uff0c\u5927\u81f4\u53ef\u4ee5\u5f97\u5230\u5982\u4e0b\u7684\u5206\u7c7b\u6807\u51c6\uff1a<\/p>\n<ul style=\"margin-left:2em;\">\n<li>\u80a1\u7968\u578b<\/li>\n<li>\u503a\u5238\u578b<\/li>\n<li>\u6df7\u5408\u578b<\/li>\n<\/ul>\n<p><\/p>\n<p><b>2.2.2 \u8ba1\u7b97\u603b\u56de\u62a5(Total Return)<\/b><\/p>\n<p>\u603b\u56de\u62a5(Total Return)\u88ab\u5b9a\u4e49\u4e3a\u9664\u53bb\u82b1\u8d39\u4e4b\u540e\u7684\u51c0\u56de\u62a5\uff0c\u5e76\u4e14\u5305\u62ec\u7ea2\u5229\u518d\u6295\u8d44\u3002<\/p>\n<p>\u503c\u5f97\u6ce8\u610f\u7684\u662f\uff0c\u603b\u56de\u62a5\u6ca1\u6709\u8003\u8651\u4efb\u4f55\u98ce\u9669\u56e0\u7d20\u3002<\/p>\n<p><b>2.2.3 \u8ba1\u7b97\u7a33\u5b9a\u56de\u62a5(Consistent Return)<\/b><\/p>\n<p>\u7a33\u5b9a\u56de\u62a5(Consistent Return)\u7684\u8ba1\u7b97\u57fa\u4e8e2\u9879\u6570\u503c\u7684\u8ba1\u7b97<\/p>\n<ul style=\"margin-left:2em;\">\n<li>Hurst-Holder(H)\u6307\u6570<\/li>\n<li>\u6709\u6548\u56de\u62a5<\/li>\n<\/ul>\n<p><\/p>\n<p><b>Hurst-Holder(H)\u6307\u6570<\/b><\/p>\n<p>H\u6307\u6570\u7528\u6765\u8861\u91cf\u98ce\u9669\u7a0b\u5ea6\u6216\u8005\u8bf4\u4ef7\u683c\u5e8f\u5217\u66f2\u7ebf\u7684\u7c97\u7cd9\u5ea6\u3002\u9ad8H\u6307\u6570\u7684\u57fa\u91d1\u6bd4\u8d77\u4f4eH\u6307\u6570\u7684\u57fa\u91d1\u6765\u8bf4\uff0c\u7c97\u7cd9\u5ea6\u8f83\u4f4e\uff08\u6ce2\u52a8\u8f83\u5c11\uff09\u3002<\/p>\n<p>\u7406\u67cf\u6839\u636eH\u6307\u6570\u7684\u9ad8\u4f4e\uff0c\u5c06\u57fa\u91d1\u7684\u6ce2\u52a8\u7c7b\u578b\u5206\u4e3a3\u7c7b<\/p>\n<ul style=\"margin-left:2em;\">\n<li>H&gt;=0.55: \u4ef7\u683c\u5e8f\u5217\u66f2\u7ebf\u8f83\u5c11\u952f\u9f7f\uff0c\u8f83\u5c11\u6ce2\u52a8<\/li>\n<li>0.45&lt;=H&lt;0.55: \u4ef7\u683c\u5e8f\u5217\u66f2\u7ebf\u6709\u4e00\u5b9a\u7a0b\u5ea6\u952f\u9f7f\uff0c\u4e00\u5b9a\u7a0b\u5ea6\u6ce2\u52a8<\/li>\n<li>H&lt;0.45: \u4ef7\u683c\u5e8f\u5217\u66f2\u7ebf\u8f83\u591a\u952f\u9f7f\uff0c\u8f83\u591a\u6ce2\u52a8<\/li>\n<\/ul>\n<p><\/p>\n<p>\u53ef\u4ee5\u628aH\u503c\u7c7b\u6bd4\u4e8e\u4fe1\u53f7\u566a\u58f0\u6bd4\uff1a<\/p>\n<ul style=\"margin-left:2em;\">\n<li>\u4fe1\u53f7\u8d8a\u5f3a\uff0c\u566a\u58f0\u8d8a\u5f31\uff0c\u5219H\u503c\u8d8a\u9ad8<\/li>\n<li>\u4fe1\u53f7\u8d8a\u5f31\uff0c\u566a\u58f0\u8d8a\u5f3a\uff0c\u5219H\u503c\u8d8a\u9ad8<\/li>\n<\/ul>\n<p><\/p>\n<p>\u5982\u679c\u7528Rt\u8868\u793a\u7b2ct\u4e2a\u6708\u7684\u6295\u8d44\u56de\u62a5\uff0c\u5219H\u6307\u6570\u8ba1\u7b97\u65b9\u6cd5\u5982\u4e0b\uff1a<\/p>\n<p align=\"center\"><img loading=\"lazy\" src=\"wp-content\/uploads\/baogao\/b1-17.jpg\" width=\"272\" height=\"419\" \/><\/p>\n<p><b>\u6709\u6548\u56de\u62a5<\/b><\/p>\n<p>\u6709\u6548\u56de\u62a5\u662f\u6307\u7ecf\u8fc7\u98ce\u9669\u8c03\u6574\u7684\u56de\u62a5\u3002\u5b83\u53ef\u4ee5\u5e2e\u52a9\u6211\u4eec\u51b3\u5b9aH\u6307\u6570\u662f\u5426\u53ef\u4ee5\u8868\u73b0\u51fa\u57fa\u91d1\u7684\u83b7\u5229\u80fd\u529b\u3002<\/p>\n<ul style=\"margin-left:2em;\">\n<li>\u5982\u679c\u57fa\u91d1\u7684H\u6307\u6570\u8f83\u9ad8\u5e76\u4e14\u6709\u6548\u56de\u62a5\u4e3a\u6b63\u503c\uff0c\u5219\u8868\u793a\u8fd9\u662f\u4e00\u4e2a\u8868\u73b0\u8f83\u597d\u7684\u57fa\u91d1<\/li>\n<li>\u5982\u679c\u57fa\u91d1\u7684H\u6307\u6570\u8f83\u9ad8\u800c\u6709\u6548\u56de\u62a5\u4e3a\u8d1f\u503c\uff0c\u5219\u8868\u793a\u8fd9\u662f\u4e00\u4e2a\u8868\u73b0\u8f83\u5dee\u7684\u57fa\u91d1<\/li>\n<li>\u5982\u679c\u57fa\u91d1\u7684H\u6307\u6570\u4e0d\u9ad8\u4e14\u6709\u6548\u56de\u62a5\u4e3a\u6b63\u503c\uff0c\u5219\u6211\u4eec\u9700\u8981\u66f4\u9ad8\u7684\u6709\u6548\u56de\u62a5\u6765\u5f25\u8865\u627f\u53d7\u7684\u989d\u5916\u98ce\u9669\uff08H\u6307\u6570\u8d8a\u4f4e\uff0c\u98ce\u9669\u6ce2\u52a8\u8d8a\u5927\uff09<\/li>\n<\/ul>\n<p><\/p>\n<p>\u6709\u6548\u56de\u62a5\u7684\u5177\u4f53\u516c\u5f0f\u5e76\u6ca1\u6709\u5728\u7406\u67cf\u7684\u8bc4\u7ea7\u6807\u51c6\u4e2d\u7ed9\u51fa\uff0c\u5176\u7b97\u6cd5\u5e94\u8be5\u63a5\u8fd1\u4e8e\u4fe1\u606f\u6bd4\uff08Information Ratio\uff09\u7684\u8ba1\u7b97\u65b9\u6cd5\u3002\u8be5\u4fe1\u606f\u6bd4\u662f\u57fa\u4e8e\u57fa\u91d1\u7684\u989d\u5916\u56de\u62a5\uff0c\u5373\u5c06\u57fa\u91d1\u7684\u5b9e\u9645\u56de\u62a5\u51cf\u53bb\u540c\u671f\u7684\u65e0\u98ce\u9669\u56de\u62a5\u3002<\/p>\n<p><b> \u7a33\u5b9a\u56de\u62a5\u7684\u6392\u540d\u65b9\u6cd5<\/b><\/p>\n<p>\u8be5\u7c7b\u578b\u7684\u6392\u540d\u5c06\u540c\u65f6\u5e94\u7528H\u6307\u6570\u548c\u6709\u6548\u56de\u62a5\uff0c\u65b9\u6cd5\u5982\u4e0b<\/p>\n<p>1. \u5c06\u540c\u7c7b\u578b\u5185\u7684\u6240\u6709\u57fa\u91d1\u6309\u7167\u5176H\u6307\u6570\u503c\u5012\u5e8f\u6392\u5217<\/p>\n<p>2. \u5c06\u6392\u5e8f\u597d\u7684\u57fa\u91d1\u6309\u7167H\u503c\u5206\u4e3a3\u7ec4<\/p>\n<ul style=\"margin-left:2em;\">\n<li>H&gt;=0.55<\/li>\n<li>0.45&lt;=H&lt;0.55<\/li>\n<li>H&lt;0.45<\/li>\n<\/ul>\n<p><\/p>\n<p> 3. \u5728\u5206\u597d\u7684\u6bcf\u4e00\u7ec4\u91cc\uff0c\u5c06\u57fa\u91d1\u91cd\u65b0\u6309\u7167\u6709\u6548\u56de\u62a5\u503c\u5012\u5e8f\u6392\u5217<\/p>\n<p>4. \u5c06H&gt;=0.55\u7ec4\u91cc\u6709\u6548\u56de\u62a5\u4e3a\u8d1f\u503c\u7684\u57fa\u91d1\u79fb\u5230H&lt;0.45\u7ec4\u5185\uff0c\u5e76\u653e\u7f6e\u5728\u8be5\u7ec4\u6392\u5e8f\u6700\u540e\u7684\u57fa\u91d1\u4e4b\u540e<\/p>\n<p>5. \u5c063\u7ec4\u57fa\u91d1\u91cd\u65b0\u7ed3\u5408\u8d77\u6765\uff0c\u5e76\u6309\u7167\u7ed3\u5408\u524d\u7684\u539f\u59cb\u6392\u540d\u6392\u5217\uff08\u9ad8H\uff0c\u4e2dH\uff0c\u4f4eH\u3002\u90a3\u4e9b\u9ad8H\u503c\u800c\u6709\u6548\u56de\u62a5\u4e3a\u8d1f\u503c\u7684\u57fa\u91d1\u6392\u540d\u6700\u540e\uff09<\/p>\n<p>              <b>2.2.4 \u8ba1\u7b97\u4fdd\u672c\u80fd\u529b(Preservation)<\/b><\/p>\n<p>\u5bf9\u4e8e\u90a3\u4e9b\u6295\u8d44\u51b3\u7b56\u53d6\u51b3\u4e8e\u603b\u635f\u5931\u6700\u5c0f\u5316\u7684\u6295\u8d44\u8005\u6765\u8bf4\uff0c\u7c7b\u4f3c\u590f\u666e\u6bd4\u7387\uff08Sharpe Ratio\uff09\u8fd9\u6837\u7684\u6d41\u884c\u5de5\u5177\u53ef\u80fd\u5e76\u4e0d\u5b8c\u5168\u7ba1\u7528\u3002 \u6240\u4ee5\u8fd9\u91cc\u7684\u4fdd\u672c\u80fd\u529b\u7684\u8861\u91cf\u5c31\u53ef\u4ee5\u5e2e\u52a9\u8fd9\u7c7b\u6295\u8d44\u8005\u4e86\u89e3\u6295\u8d44\u7684\u4e0b\u884c\u98ce\u9669\u3002<\/p>\n<p>\u4fdd\u672c\u80fd\u529b\u7684\u8ba1\u7b97\u65b9\u6cd5\u88ab\u5b9a\u4e49\u4e3a\u5728\u8003\u5bdf\u5468\u671f\u5185\uff0c\u8be5\u57fa\u91d1\u6240\u6709\u6708\u5ea6\u56de\u62a5\u4e3a\u8d1f\u7684\u56de\u62a5\u603b\u548c\uff0c\u5373<img loading=\"lazy\" src=\"wp-content\/uploads\/baogao\/b1-18.jpg\" width=\"92\" height=\"33\" \/> <\/p>\n<p>              <b>2.2.5 \u8ba1\u7b97\u8d39\u7528(Expense)<br \/><\/b><\/p>\n<p>\u6295\u8d44\u8005\u7ecf\u5e38\u4f7f\u7528\u8d39\u7528(\u7533\u8d2d\u8d4e\u56de\u8d39\u7387\uff0c\u7ba1\u7406\u8d39\u7b49)\u4f5c\u4e3a\u9009\u62e9\u548c\u6392\u5e8f\u57fa\u91d1\u7684\u4e00\u79cd\u6807\u51c6\u3002\u5176\u4e2d\u7684\u4e00\u4e2a\u7406\u7531\u662f\u9ad8\u989d\u7684\u8d39\u7528\u5c06\u5bfc\u81f4\u66f4\u4f4e\u7684\u51c0\u56de\u62a5\uff0c\u4ece\u800c\u5bfc\u81f4\u66f4\u5dee\u7684\u6295\u8d44\u8868\u73b0\uff0c\u9664\u975e\u8fd9\u4e9b\u9ad8\u989d\u8d39\u7528\u80fd\u88ab\u66f4\u9ad8\u7684\u603b\u4f53\u8868\u73b0\u6240\u62b5\u6d88\u3002<\/p>\n<p>              <b>2.2.6 \u7406\u67cf\u661f\u7ea7\u8bc4\u4ef7<\/b><\/p>\n<p>\u8bc4\u7ea7\u6240\u9700\u8d44\u6599<\/p>\n<ul style=\"margin-left:2em;\">\n<li>\u57fa\u91d1\u5206\u7c7b\u65b9\u6cd5\u548c\u5206\u7c7b\u540d\u5355<\/li>\n<li>\u57fa\u91d1\u6570\u636e\u5e93\uff0c\u5305\u62ec\u6bcf\u53ea\u57fa\u91d1\u7684\u7c7b\u522b\u3001\u5355\u4f4d\u8d44\u4ea7\u51c0\u503c\u3001\u5206\u7ea2\u3001\u6708\u5ea6\u56de\u62a5\u7387<\/li>\n<\/ul>\n<p><\/p>\n<p> \u8bc4\u7ea7\u6240\u9700\u6761\u4ef6<\/p>\n<ul style=\"margin-left:2em;\">\n<li>\u5177\u59071\u5e74\u62161\u5e74\u4ee5\u4e0a\u4e1a\u7ee9\u6570\u636e<\/li>\n<li>\u540c\u7c7b\u57fa\u91d1\u5fc5\u987b\u4e0d\u5c11\u4e8e5 \u53ea<\/li>\n<li>\u5c01\u95ed\u5f0f\u57fa\u91d1\u3001\u8d27\u5e01\u5e02\u573a\u57fa\u91d1\u548c\u4fdd\u672c\u57fa\u91d1\u4e0d\u53c2\u4e0e\u8bc4\u7ea7<\/li>\n<\/ul>\n<p><\/p>\n<p>\u5bf9\u4e8e4\u4e2a\u8bc4\u4f30\u6807\u51c6(\u603b\u56de\u62a5, \u7a33\u5b9a\u56de\u62a5, \u4fdd\u672c\u80fd\u529b, \u8d39\u7528)\u5206\u522b\u8fdb\u884c\u6392\u540d\u548c\u8bc4\u7ea7\u3002\u5bf9\u4e8e\u6bcf\u4e2a\u8bc4\u4f30\u6807\u51c6\uff0c\u524d20%\u88ab\u8bc4\u4e3a5 \u661f(Lipper Leader)\uff1b\u63a5\u4e0b\u676520%\u88ab\u8bc4\u4e3a4 \u661f\uff1b\u4e2d\u95f420%\u88ab\u8bc4\u4e3a3 \u661f\uff1b\u968f\u540e20%\u88ab\u8bc4\u4e3a2 \u661f\uff1b\u6700\u540e20%\u88ab\u8bc4\u4e3a1 \u661f<\/p>\n<p align=\"center\"><img loading=\"lazy\" src=\"wp-content\/uploads\/baogao\/b1-19.jpg\" width=\"612\" height=\"169\" \/>\n              <\/p>\n<p><b>3. \u7efc\u5408\u6bd4\u8f83<\/b><\/p>\n<p>\u672c\u8282\u628a\u6668\u661f\u548c\u7406\u67cf\u8fd92\u5927\u8bc4\u7ea7\u6807\u51c6\u505a\u4e00\u7efc\u5408\u6027\u6bd4\u8f83\uff0c\u4ee5\u4fbf\u8bfb\u8005\u66f4\u52a0\u6e05\u695a\u7684\u4e86\u89e3\u5b83\u4eec\u4e4b\u95f4\u7684\u5f02\u540c\u3002<\/p>\n<p align=\"center\">\n           <img loading=\"lazy\" src=\"wp-content\/uploads\/baogao\/b1-20.jpg\" alt=\"\" width=\"671\" height=\"926\" \/>              <\/p>\n<\/div>\n","protected":false},"excerpt":{"rendered":"<p>1. \u7b80\u4ecb \u968f\u7740\u76ee\u524d\u57fa\u91d1\u53d1\u884c\u6570\u91cf\u7684\u6025\u901f\u589e\u957f\u548c\u56fd\u5185\u57fa\u91d1\u8d2d\u4e70\u4eba\u6570\u7684\u65e5\u6e10\u589e\u591a\uff0c\u5bf9\u4e8e\u57fa\u91d1\u7684\u9009\u8d2d\u95ee\u9898\u65e5\u6e10\u7a81\u51fa\u3002\u5404\u7c7b\u91d1\u878d\u673a<\/p>\n<p class=\"more-link\"><a href=\"http:\/\/www.jsvest.com.cn\/?p=733\" class=\"themebutton2\">Read More<\/a><\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"ngg_post_thumbnail":0},"categories":[12],"tags":[],"_links":{"self":[{"href":"http:\/\/www.jsvest.com.cn\/index.php?rest_route=\/wp\/v2\/posts\/733"}],"collection":[{"href":"http:\/\/www.jsvest.com.cn\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"http:\/\/www.jsvest.com.cn\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"http:\/\/www.jsvest.com.cn\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"http:\/\/www.jsvest.com.cn\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=733"}],"version-history":[{"count":50,"href":"http:\/\/www.jsvest.com.cn\/index.php?rest_route=\/wp\/v2\/posts\/733\/revisions"}],"predecessor-version":[{"id":3868,"href":"http:\/\/www.jsvest.com.cn\/index.php?rest_route=\/wp\/v2\/posts\/733\/revisions\/3868"}],"wp:attachment":[{"href":"http:\/\/www.jsvest.com.cn\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=733"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"http:\/\/www.jsvest.com.cn\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=733"},{"taxonomy":"post_tag","embeddable":true,"href":"http:\/\/www.jsvest.com.cn\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=733"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}