|
在前面的《定额定投的高级玩法》内容中提到了动平衡操作法，但是并没有详细介绍这种被动投资方法的原理和操作。其实账户动态平衡的投资方法作为一个经典的资产配置投资方法，通过长期操作可以降低账户资产波动获得投资收益。但是因为类似投资手段都是逆人性的方法所以叫好不叫座。在没有原始资本积累的时候投资时选用“基金定投”的方法财富可以积少成多，当有一定财富积累的时候，投资时就可采用账户动态平衡的方法了。
账户动态平衡。就是将账户中两种或两种以上的走向负相关资产比例每隔一段时间调整一次，各项资产的净值始终维持在一个固定比率的操作方法。这种投资方法赚钱的原理就是，当高波动率资产（比如股票）上涨后，由于资产净值的比例增加导致净值比率变动了，为了维持初始比例就需要卖出一部分高波动率资产后买入另外资产来平衡账户中各个资产的固定比例，从而锁定收益。反之，当高波动率资产下跌后由于资产净值比率下降，这时就要卖出其他资产买入高波动率资产，并且由于高波动率资产的下跌可以买入更多的廉价筹码，从而这个资产上涨后会的到更多的利润。
下面我就选取一个高波动率和一个低波动率资产，按照
5:5的固定比率，以1年为周期用10万元来回测“账户动态平衡”操作方法的收益情况。操作标的我选用存续时间够长的50ETF（510050）和现金来做动平衡操作。
|
50ETF (510050)与现金以年为周期做5:5账户动平衡 |
|
|
|
|
|
|
本金 |
10万 |
|
|
|
时间 |
收盘 |
当期股市涨跌 |
股票
市值 |
现金 |
再平衡股票市值 |
再平衡现金 |
账户净值 |
账户净值涨跌 |
|
2005/06/30 |
0.478 |
|
5.00 |
5.00 |
5.00 |
5.00 |
10.00 |
|
|
2005/12/30 |
0.521 |
9.00% |
5.45 |
5.00 |
5.22 |
5.22 |
10.45 |
4.50% |
|
2006/12/29 |
1.558 |
199.04% |
15.62 |
5.22 |
10.42 |
10.42 |
20.85 |
99.52% |
|
2007/12/28 |
3.921 |
151.67% |
26.24 |
10.42 |
18.33 |
18.33 |
36.66 |
75.83% |
|
2008/12/31 |
1.195 |
-69.52% |
5.59 |
18.33 |
11.96 |
11.96 |
23.92 |
-34.76% |
|
2009/12/31 |
2.389 |
99.92% |
23.91 |
11.96 |
17.93 |
17.93 |
35.87 |
49.96% |
|
2010/12/31 |
1.824 |
-23.65% |
13.69 |
17.93 |
15.81 |
15.81 |
31.62 |
-11.83% |
|
2011/12/30 |
1.485 |
-18.59% |
12.87 |
15.81 |
14.34 |
14.34 |
28.69 |
-9.29% |
|
2012/12/31 |
1.758 |
18.38% |
16.98 |
14.34 |
15.66 |
15.66 |
31.32 |
9.19% |
|
2013/12/31 |
1.528 |
-13.08% |
13.61 |
15.66 |
14.64 |
14.64 |
29.27 |
-6.54% |
|
2014/12/31 |
2.552 |
67.02% |
24.45 |
14.64 |
19.54 |
19.54 |
39.08 |
33.51% |
|
2015/12/31 |
2.416 |
-5.33% |
18.50 |
19.54 |
19.02 |
19.02 |
38.04 |
-2.66% |
通过上面表格中的计算结果来看，10万元本金通过11年的账户动平衡操作，终值达到了38.04万元，比一直持有股票多了20万元，收益达到了280%，年化复合收益率达到了25.49%，说明这是一个正期望值的交易方法。如果把现金换成债券那么收益率还可以提高。但是并不是所有的平衡周期都有这么好的效果，如果缩短了平衡周期时间，收益就没有这么高了。我思考了一下原因，可能是我国A股市场的牛市持续时间只有1年左右。为了验证这个结论，我又计算了半年和季度周期轮动并对计算结果进行了比较。
|
|
|
50ETF (510050)与现金以半年为周期做5:5账户动平衡 |
|
|
|
|
|
|
本金 |
10万 |
|
|
|
时间 |
收盘 |
当期股市涨跌 |
股票市值 |
现金 |
再平衡股票市值 |
再平衡现金 |
账户净值 |
账户净值涨跌 |
|
2005/03/31 |
0.5 |
0.00% |
5.00 |
5.00 |
5.00 |
5.00 |
10.00 |
|
|
2005/06/30 |
0.48 |
-4.97% |
4.75 |
5.00 |
4.88 |
4.88 |
9.75 |
-2.49% |
|
2005/12/30 |
0.52 |
9.00% |
5.31 |
4.88 |
5.10 |
5.10 |
10.19 |
4.50% |
|
2006/06/30 |
0.87 |
66.79% |
8.50 |
5.10 |
6.80 |
6.80 |
13.59 |
33.40% |
|
2006/12/29 |
1.56 |
79.29% |
12.19 |
6.80 |
9.49 |
9.49 |
18.98 |
39.64% |
|
2007/06/29 |
2.66 |
70.80% |
16.21 |
9.49 |
12.85 |
12.85 |
25.70 |
35.40% |
|
2007/12/28 |
3.92 |
47.35% |
18.94 |
12.85 |
15.89 |
15.89 |
31.79 |
23.68% |
|
2008/06/30 |
2 |
-48.94% |
8.11 |
15.89 |
12.00 |
12.00 |
24.01 |
-24.47% |
|
2008/12/31 |
1.2 |
-40.31% |
7.17 |
12.00 |
9.58 |
9.58 |
19.17 |
-20.15% |
|
2009/06/30 |
2.21 |
84.85% |
17.72 |
9.58 |
13.65 |
13.65 |
27.30 |
42.43% |
|
2009/12/31 |
2.39 |
8.15% |
14 .76 |
13.65 |
14.21 |
14.21 |
28.41 |
4.07% |
|
2010/06/30 |
1.67 |
-30.31% |
9.90 |
14.21 |
12.05 |
12.05 |
24.11 |
-15.15% |
|
2010/12/31 |
1.82 |
9.55% |
13.21 |
12.05 |
12.63 |
12.63 |
25.26 |
4.77% |
|
2011/06/30 |
1.85 |
1.64% |
12.84 |
12.63 |
12.73 |
12.73 |
25.47 |
0.82% |
|
2011/12/30 |
1.49 |
-19.90% |
10.20 |
12.73 |
11.47 |
11.47 |
22.93 |
-9.95% |
|
2012/06/29 |
1.6 |
7.88% |
12.37 |
11.47 |
11.92 |
11.92 |
23.84 |
3.94% |
|
2012/12/31 |
1.76 |
9.74% |
13.08 |
11.92 |
12.50 |
12.50 |
25.00 |
4.87% |
|
2013/06/28 |
1.48 |
-15.59% |
10.55 |
12.50 |
11.52 |
11.52 |
23.05 |
-7.79% |
|
2013/12/31 |
1.53 |
2.96% |
11.87 |
11.52 |
11.70 |
11.70 |
23.39 |
1.48% |
|
2014/06/30 |
1.45 |
-4.84% |
11.13 |
11.70 |
11.41 |
11.41 |
22.82 |
-2.42% |
|
2014/12/31 |
2.55 |
75.52% |
20.03 |
11.41 |
15.72 |
15.72 |
31.44 |
37.76% |
|
2015/06/30 |
2.85 |
11.72% |
17.56 |
15.72 |
16.64 |
16.64 |
33.28 |
5.86% |
|
2015/12/31 |
2.42 |
-15.26% |
14.10 |
16.64 |
15.37 |
15.37 |
30.75 |
-7.63% |
|
2016/06/17 |
2.11 |
-12.71% |
13.42 |
15.37 |
14.40 |
14.40 |
28.79 |
-6.35% |
将操作频率增加一倍，以半年为周期的账户动态平衡操作结果比以一年为周期的账户动态平衡操作结果最后净值从38万元降到28万元。
|
50ETF (510050)与现金以季度为周期做5:5账户动平衡 |
|
|
|
|
|
|
本金 |
10万 |
|
|
|
时间 |
收盘 |
当期股市涨跌 |
股票
市值 |
现金 |
再平衡股票市值 |
再平衡现金 |
账户
净值 |
账户净值涨跌 |
|
2005/03/31 |
0.503 |
|
5.00 |
5.00 |
5.00 |
5.00 |
10 |
|
|
2005/06/30 |
0.478 |
-4.97% |
4.75 |
5.00 |
4.88 |
4.88 |
9.75 |
-2.49% |
|
2005/09/30 |
0.517 |
8.16% |
5.27 |
4.88 |
5.07 |
5.07 |
10.15 |
4.08% |
|
2005/12/30 |
0.521 |
0.77% |
5.11 |
5.07 |
5.09 |
5.09 |
10.19 |
0.39% |
|
2006/03/31 |
0.619 |
18.81% |
6.05 |
5.09 |
5.57 |
5.57 |
11.15 |
9.40% |
|
2006/06/30 |
0.869 |
40.39% |
7.82 |
5.57 |
6.70 |
6.70 |
13.40 |
20.19% |
|
2006/09/29 |
0.889 |
2.30% |
6.85 |
6.70 |
6.78 |
6.78 |
13.55 |
1.15% |
|
2006/12/29 |
1.558 |
75.25% |
11.88 |
6.78 |
9.33 |
9.33 |
18.65 |
37.63% |
|
2007/03/30 |
2.029 |
30.23% |
12.14 |
9.33 |
10.74 |
10.74 |
21.47 |
15.12% |
|
2007/06/29 |
2.661 |
31.15% |
14.08 |
10.74 |
12.41 |
12.41 |
24.81 |
15.57% |
|
2007/09/28 |
4.013 |
50.81% |
18.71 |
12.41 |
15.56 |
15.56 |
31.12 |
25.40% |
|
2007/12/28 |
3.921 |
-2.29% |
15.20 |
15.56 |
15.38 |
15.38 |
30.76 |
-1.15% |
|
2008/03/31 |
2.636 |
-32.77% |
10.34 |
15.38 |
12.86 |
12.86 |
25.72 |
-16.39% |
|
2008/06/30 |
2.002 |
-24.05% |
9.77 |
12.86 |
11.31 |
11.31 |
22.63 |
-12.03% |
|
2008/09/26 |
1.636 |
-18.28% |
9.25 |
11.31 |
10.28 |
10.28 |
20.56 |
-9.14% |
|
2008/12/31 |
1.195 |
-26.96% |
7.51 |
10.28 |
8.89 |
8.89 |
17.79 |
-13.48% |
|
2009/03/31 |
1.661 |
39.00% |
12.36 |
8.89 |
10.63 |
10.63 |
21.26 |
19.50% |
|
2009/06/30 |
2.209 |
32.99% |
14.13 |
10.63 |
12.38 |
12.38 |
24.76 |
16.50% |
|
2009/09/30 |
2.043 |
-7.51% |
11.45 |
12.38 |
11.92 |
11.92 |
23.83 |
-3.76% |
|
2009/12/31 |
2.389 |
16.94% |
13.93 |
11.92 |
12.93 |
12.93 |
25.85 |
8.47% |
|
2010/03/31 |
2.18 |
-8.75% |
11.79 |
12.93 |
12.36 |
12.36 |
24.72 |
-4.37% |
|
2010/06/30 |
1.665 |
-23.62% |
9.44 |
12.36 |
10.90 |
10.90 |
21.80 |
-11.81% |
|
2010/09/30 |
1.778 |
6.79% |
11.64 |
10.90 |
11.27 |
11.27 |
22.54 |
3.39% |
|
2010/12/31 |
1.824 |
2.59% |
11.56 |
11.27 |
11.42 |
11.42 |
22.83 |
1.29% |
|
2011/03/31 |
1.93 |
5.81% |
12.08 |
11.42 |
11.75 |
11.75 |
23.49 |
2.91% |
|
2011/06/30 |
1.854 |
-3.94% |
11.28 |
11.75 |
11.52 |
11.52 |
23.03 |
-1.97% |
|
2011/09/30 |
1.559 |
-15.91% |
9.68 |
11.52 |
10.60 |
10.60 |
21.20 |
-7.96% |
|
2011/12/30 |
1.485 |
-4.75% |
10.10 |
10.60 |
10.35 |
10.35 |
20.70 |
-2.37% |
|
2012/03/30 |
1.575 |
6.06% |
10.98 |
10.35 |
10.66 |
10.66 |
21.32 |
3.03% |
|
2012/06/29 |
1.602 |
1.71% |
10.84 |
10.66 |
10.75 |
10.75 |
21.51 |
0.86% |
|
2012/09/28 |
1.519 |
-5.18% |
10.20 |
10.75 |
10.47 |
10.47 |
20.95 |
-2.59% |
|
2012/12/31 |
1.758 |
15.73% |
12.12 |
10.47 |
11.30 |
11.30 |
22.60 |
7.87% |
|
2013/03/29 |
1.692 |
-3.75% |
10.87 |
11.30 |
11.09 |
11.09 |
22.17 |
-1.88% |
|
2013/06/28 |
1.484 |
-12.29% |
9.72 |
11.09 |
10.41 |
10.41 |
20.81 |
-6.15% |
|
2013/09/30 |
1.601 |
7.88% |
11.23 |
10.41 |
10.82 |
10.82 |
21.63 |
3.94% |
|
2013/12/31 |
1.528 |
-4.56% |
10.32 |
10.82 |
10.57 |
10.57 |
21.14 |
-2.28% |
|
2014/03/31 |
1.421 |
-7.00% |
9.83 |
10.57 |
10.20 |
10.20 |
20.40 |
-3.50% |
|
2014/06/30 |
1.454 |
2.32% |
10.44 |
10.20 |
10.32 |
10.32 |
20.63 |
1.16% |
|
2014/09/30 |
1.623 |
11.62% |
11.52 |
10.32 |
10.92 |
10.92 |
21.83 |
5.81% |
|
2014/12/31 |
2.552 |
57.24% |
17.17 |
10.92 |
14.04 |
14.04 |
28.08 |
28.62% |
|
2015/03/31 |
2.707 |
6.07% |
14.89 |
14.04 |
14.47 |
14.47 |
28.94 |
3.04% |
|
2015/06/30 |
2.851 |
5.32% |
15.24 |
14.47 |
14.85 |
14.85 |
29.70 |
2.66% |
|
2015/09/30 |
2.147 |
-24.69% |
11.18 |
14.85 |
13.02 |
13.02 |
26.04 |
-12.35% |
|
2015/12/31 |
2.416 |
12.53% |
14.65 |
13.02 |
13.83 |
13.83 |
27.67 |
6.26% |
计算结果以季度为周期的账户动态平衡操作比以半年为周期的账户动态平衡操作结果收益率又下降了一点。所以并不是动态平衡操作的周期越频繁越好，此中玄妙请投资者细细体味。
在http://www.nanhome.net
或微信公众号：nanhome有一个excel文件是“账户动态平衡”的操作表，利用该表设计好的功能可以使用最多4个资产标的进行账户动态平衡的操作。 |