资金管理与策略测试讲义资料.pptVIP

图解市场 - * - 未来世界地图 Source: - * - 约瑟夫 ? 熊彼特的三周期嵌套模式 - * - 长期有多长？ - * - 十年经济周期 (朱格拉周期) -4 -2 0 2 4 6 8 10 1960 1965 1970 1975 1980 1985 1990 1995 2000 2005 US REAL GDP (%YOY) NADJ Ten year cycle lows Source: Thomson Datastream - * - 道琼斯工业指数: 十年周期模式1900 - 1999 70 90 110 130 150 170 190 210 0 1 2 3 4 5 6 7 9 10 Year 8 - * - 四年市场周期正好与美国大选周期重叠 Source: Thomson Datastream - * - 大选周期：每年的经济表现 10 100 1000 10000 100000 Third Year Election Year Honeymoon Period Reality Attack Run up to next election Honeymoon Period Reality Attack Third Year Election Year Honeymoon Period Reality Attack Trend is more important than level Data based on dow industrials (Monthly data 1900-2006) - * - 历史上月平均股市回报 FTSE All Share Average % gains by month(1962-2005) 3.09 0.90 0.79 2.59 -0.37 -0.69 -0.25 0.73 -0.69 0.16 0.60 1.64 -1.00 -0.50 0.00 0.50 1.00 1.50 2.00 2.50 3.00 3.50 January February March April May June July August September October November December Percentage Gain Nikkei 225 Average % gain by month (1960-2005) 1.03 0.77 0.24 -1.16 -0.46 -0.87 0.69 -0.04 1.19 1.69 0.70 3.03 -1.50 -1.00 -0.50 0.00 0.50 1.00 1.50 2.00 2.50 3.00 3.50 January February March April May June July August September October November December Percentage Gain 1.38 0.91 0.81 -0.75 0.10 -0.07 0.12 0.12 1.22 0.60 0.02 1.66 -1.00 -0.50 0.00 0.50 1.00 1.50 2.00 January February March April May June July August September October November December Percentage Gain SP 500 Average % gain by month (1964-2005) 2.32 1.24 -0.40 -1.53 0.50 0.84 -0.33 0.73 -0.04 0.33 0.82 1.71 -2.00 -1.50 -1.00 -0.50 0.00 0.50 1.00 1.50 2.00 2.50 3.00 January February March April May June July August September October November December Percentage Gain SP/TSX Composite Average % gain by month (1969-2005) - * - 著名的钟形曲线，与另外两种不同的特性相结合 - * - 选出真实的市场 Source: The misbehaviour of markets, Bernoit Mandelbrot - * - 道琼斯工业指数：1960 - 1980 400 500 600 700 800 900 1000 1100 1960 1962 1964 1966 1968 1970 1972 1974 1976 1978 1980 Dow Jones Industrial 1