配置BTC跑赢美股的稳健策略

Author Liu Jiaolian's listing of Bitcoin makes it more convenient for fund managers to use it as a portfolio configuration item from now on. Then the fund managers on Wall Street will soon realize that it can be used as a very effective enhancer, which can significantly improve the Sharp ratio of the entire portfolio by adding a small amount to its portfolio. Sharp ratio in English or Sharp index Sharp value is a measure of an investment, such as securities or portfolio, after adjusting its risk. The performance of risk-free assets is defined as the expected value of the difference between investment income and risk-free income divided by the standard deviation of investment, that is, its volatility. As we all know, income is proportional to risk, but some investments can bring huge returns, while others can bring unsatisfactory returns. Simply put, the return on unit risk is Sharp ratio. This indicator describes whether an risky investment is worth assuming that investors are risk-averse investors in modern portfolio theory. If there are two, Investors with the same expected return on assets will choose the one with the least risk, and only when they get higher expected return will they take on greater risk. In other words, if an investor wants to get higher return, he or she must accept greater risk. A rational investor will choose the one with the least risk among several portfolios with the same expected return. On the other hand, if several portfolios have the same investment risk, investors will Choosing the portfolio with the highest expected return is called the best portfolio. The risk of the secondary market is the price volatility. The square of the volatility is the variance of the portfolio, or the root sign of the variance is the volatility. In 2000, American economist markowitz first put forward the portfolio theory and won the Nobel Prize in Economics. His theory includes two important contents: the mean variance analysis method and the portfolio effective boundary model. All the best investments in markowitz's model. The collection of portfolios is called the markowitz efficiency frontier. The sky blue curve in the figure below is the markowitz efficiency frontier. The portfolio on this curve is the best portfolio. The markowitz model frontier includes all the best portfolios. The Sharp ratio is that the extra return provided by each portfolio is higher than the risk-free rate of return divided by the risk it brings. The ratio measured by standard deviation, the higher the Sharp ratio, the higher the risk of each unit. The best portfolio with the highest Sharp ratio on the edge curve is called the market portfolio. One of the allocation strategies learned by the teaching chain is to compare the performance of US stocks such as the S&P index with a large proportion of cash, for example, and a small proportion of the portfolio. The preliminary study found that the portfolio outperformed the S&P index with a high probability by arbitrarily intercepting the time window with a year cycle. Some simple conclusions were calculated by markowitz's model. If we want to be stable and bear the lowest volatility, Then the allocation ratio should not exceed. If we want the highest risk-return ratio, that is, the Sharp ratio, then the allocation ratio can be increased to the point where we want to get the best return on investment without exceeding the volatility of the S&P index. This is not my calculation. Friends who are interested and hands-on can take out markowitz's formula to check it. While many small white investors are still envious of the yield of US stocks, markowitz has told us that it is actually very simple to outperform US stocks. Just add a little, and don't worry about it. It is stable enough. 比特币今日价格行情网_okx交易所app_永续合约_比特币怎么买卖交易_虚拟币交易所平台

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