魔力斯的『進階再平衡』投資策略

魔力斯最近看了『一個投機者的告白實戰書』這本書中第五章–狗和主人(113頁)有介紹到投機者可以利用『樂活五線譜』來作為低買高賣的區間操作策略。    

魔力斯身為一個指數化投資人,原本對這樣擇時進出的投資策略是不予苟同的,例如樂活大叔(施昇輝)對操作0050所推薦的K-20-80區間買賣法。  

 不過最近也慢慢能體會施大叔會做這樣推薦的理由,就是因為純粹的指數化投資太過違反人性,大多投資人就是會手癢想要低買高賣獲取超額報酬。基於同樣的理念,在研究過『樂活五線譜』後,魔力斯覺得可以把它應用在原本『指數化投資及資產配置』中『初期建倉加碼策略』以及建倉完成之後的『再平衡策略』    

關於『樂活五線譜』的技術原理,有興趣的網友請自行爬文,魔力斯在此僅歸納整理幾個重點:    

  1. 以統計學的方法來計算一段時間(預設為 3.5 年)的平均價格,並畫出一條股價趨勢線,再從趨勢線的上方和下方各加上一個標準差以及兩個標準差而形成的五條線
  2. 可再搭配樂活通道來研判買進與賣出時機,基本操作方式為:相對便宜價以下買入;相對昂貴價以上賣出
  3. 基本技術原理是『均值回歸』,因此比較適合用在長期持續上漲的指數型投資標的,例如原型ETF,個股較不適用
  4. 比較適合用在中長期投資的波段操作

下圖為樂活五線譜趨勢線與相對價格區間之說明:

基於以上重點,本文為魔力斯進行深入研究後,所提出建議的『指數化投資及資產配置結合樂活五線譜投機策略』,或簡稱為『進階再平衡』投資策略    

以下舉阿吉現有500萬的資金想要進行長期投資為例,『進階再平衡』投資策略設定如下,並會與魔力斯過去2年一樣是股7債3的資產配置組合但未結合樂活五線譜投機策略,一起來進行PK,看看過去兩年如果阿吉採用了『進階再平衡』投資策略,是否能打敗魔力斯的手動加碼策略而獲得更加超額的報酬:

元大台灣50(0050)於本文撰寫時:2020-05-30當天的樂活五線譜如下:

進階再平衡』投資策略之基本規則設定如下:

(一)資產配置比例預設值為:股7=350萬/債3=150萬

(二)選擇投資標的為:股=0050/債=00679B

(三)建倉時間股票設為24個月、債券設為三個月

(四)根據上一點,基本投資策略為:0050每月買2張(約15萬),00679B每月買15張(約50萬)

(五)使用『進階再平衡建倉加碼原則:只要在「相對便宜價」以下,每週(5個交易日)加碼買股(0050)1張,並與上一點不衝突(可同時買)

(六)使用『進階再平衡建倉再加碼原則:只要在「絕對便宜價」以下,每週(5個交易日)再加碼買股(0050)1張,並與上兩點不衝突(可同時買)

(七)建倉完成後,進階再平衡原則:只要在「相對昂貴價」以上,每週(5交易日)減碼賣股(0050)1張

(八)建倉完成後,『進階再平衡』原則:只要在「絕對昂貴價」以上,每週(5交易日)再減碼賣股(0050)1張

(九)建倉完成後,『進階再平衡原則:只要在「相對便宜價」以下,每週(5交易日)加碼買股(0050)1張

(十)建倉完成後,『進階再平衡原則:只要在「絕對便宜價」以下,每週(5交易日)再加碼買股(0050)1張

(十一)進階再平衡原則:設定投機部位為50%,則股票部位不能低於35%/債券部位不能低於15%(股票部位佔比可在35%~85%間調節)

(十二)進階再平衡原則:當五線譜跨越趨勢線(紅線)的時候,且資產偏移超過10%,要執行再平衡,把資產配置調整回預設值。

根據進階再平衡』原則,回測「 2018-04-27 ~ 2020-05-30 」期間,0050及00679B的股價,得出所有的模擬交易紀錄如下:

==========建倉完成:2019-04-26==========

======2019-05-17 ~ 2019-06-17跌到「相對便宜價」以下:再平衡加碼買股======

==========向上跨越趨勢線:2019-09-24==========
==========2019-10-30 ~ 2020-02-18漲到「相對昂貴價」以上再平衡減碼賣股==========
==========向下跨越趨勢線:2020-03-11==========
==========2020-03-13 ~ 2020-04-23跌到「相對便宜價」以下:再平衡加碼買股==========

結算到2020-05-30為止,總報酬約40%,年化報酬率為22%多,因為並非單筆全投,採用分批建倉策略是為了因應期間股市大幅下跌的風險。但還是必須付出相對代價,因為期間有部分資金在場外,所以若建倉期間股市是上漲的,那麼總報酬有所減損也是在情理之中。

對照同期間台股『發行量加權股價報酬指數』的年化報酬率約為6%

而『魔力斯的指數化投資及資產配置』搭配『手動加碼』策略同期間取得15%多的年化報酬率。

結論:

回測結果『進階再平衡』擊敗了『魔力斯的指數化投資及資產配置』搭配『手動加碼』策略,是值得長期採用的投資策略。因此魔力斯決定從今(2020-06-01)往後,即加以執行,開始採用本文提出的『進階再平衡』原則,取代原來的『手動加碼』策略,期望能因此加速達成投資目標。

科斯托蘭尼說:「 股市上最難做的兩件事:接受損失不贏小利,更難的是有獨立的見解。 」

~~ 魔力斯以自勉之 ~~

延伸閱讀:

魔力斯的指數化投資及資產配置計畫

【讀書心得】漫步華爾街的10條投資金律

什麼是指數化投資及ETF,指數化投資真的有比較好嗎?

為什麼絕大多數的人投資都賠錢?

為什麼要做資產配置,資產配置可以幫助我安然度過股災嗎?

低利率時代的高收益:債券凸性的奧秘

來談談財務自由的關鍵~被動收入~

股市近來受新冠肺炎影響大幅下跌,到底該停損殺出還是要加碼買入

在〈魔力斯的『進階再平衡』投資策略〉中有 141 則留言

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