SPY-TLT投资回报

TigerFox

读了Mr. Grossmann 的有关SPY-TLT投资策略的文章 【1】 很受启发，决定用ExcelSpreadsheet做一个简单计算backtest。结果如下：

Table: TLT and SPY Performance Summary
Year        TLT                 SPY                TLT+SPY
2003        4.30%        24.18%        28.48%
2004        10.01%        10.75%        20.75%
2005        8.37%        5.32%        13.69%
2006        0.84%        13.84%        14.68%
2007        9.52%        5.33%        14.86%
2008        32.05%        -36.24%        -4.19%
2009        -19.79%        22.65%        2.86%
2010        9.11%        13.14%        22.25%
2011        35.02%        0.85%        35.87%
2012        3.97%        14.17%        18.14%
2013        -12.21%        29.00%        16.79%
2014        26.92%        14.56%        41.48%
2015*       1.99%        3.49%        5.48%
*up to date 4/24/2015

       
结论：（1）TLT-SPY组合做长期投资回报可观，过去十年平均年回报17.8%。（2）即使在股票市场最差的2008年，也只下跌-4.19%，而 SPY 却下跌-36.24%。 这说明此组合的抗跌性相当不错。

此结果假设TLT-SPY资金分配是50-50，40-60可能效果更好，但这要看市场情况做相应的调整。TLT-SPY组合对我有很大吸引力，因为没时间炒股。

感兴趣者可研究TMF-SPXL组合（3X）【2】，回报会高很多，但风险也大得多。

期待您的建议和讨论，谢谢。

【1】        http://hutong9.net/home.php?mod= ... o=blog&id=45639
【2】        http://hutong9.net/home.php?mod= ... o=blog&id=45644

马甲

asset allocation跟年龄有关，具体的记不太清楚了，好像是50岁以上的人应该是（spy/tlt)40/60,  59岁以上最多(spy/tlt)30/70, 以此类推吧，总之就是财不入急门，风险应该随着年龄的增加而降低。
（不是我说的，是巴菲特的师傅说的）

5883

大牛，几个问题请赐教，

1。The first is a switching strategy, which always switches to the ETF that had the best performance during the previous 3 months.
是从每个月的第一天回看前3个月的回报还是？

2。回报没看懂

Year        TLT                 SPY                TLT+SPY
2003        4.30%        24.18%        28.48%
28.48 = 4.3 + 24.18
switching能这么精确？


谢谢！

恒一

假设TLT-SPY资金分配是50-50, TLT+SPY return should be divided by 2 in your table.

thomast

The first is a switching strategy, which always switches to the ETF that had the best performance during the previous 3 months.

请问他上面这个是什么意思？
前面三个月performance 好，不代表紧接着还好。
如果刚从tlt全部switch到spy，股市就开始跌了呢？还是我理解错了？谢谢

TigerFox

恒一说得对，TLT-SPY的年回报应该是表格中的结果÷2，所以过去十年平均年回报应该是8.9%. 特此更正，报歉。

wsjboy

Original article link:

The SPY-TLT Universal Investment Strategy

http://seekingalpha.com/article/ ... investment-strategy

wsjboy

The original Author's another article:



SPY-TLT Universal Investment Strategy 20 Year Backtest

http://seekingalpha.com/article/ ... gy-20-year-backtest

wsjboy

The first is a switching strategy, which always switches to the ETF that had the best performance during the previous 3 months. This really simple switching strategy between TLT and SPY gave you a 14.8% return during the last 10 years, with twice the Sharpe ratio (return to risk) ratio of a simple SPY investment.

wsjboy

Another strategy would be to invest 50% of your money in SPY and 50% in TLT and do a monthly rebalancing. This gave you 8.8% return during the last 10 years.

wsjboy

In recent 3 months:

wsjboy

The above chart is live, therefore, you can always see the 3 month performance comparison between TLT and SPY, everyday.

白菜

TigerFox 发表于 2015-4-26 09:01 PM
恒一说得对，TLT-SPY的年回报应该是表格中的结果÷2，所以过去十年平均年回报应该是8.9%. 特此更正，报歉。

那就是说这个组合不如光投spy好？

九天

wsjboy 发表于 2015-4-27 12:15 AM
The above chart is live, therefore, you can always see the 3 month performance comparison between TL ...

TKS. 长期看，TLT有时和SPY同向升，有时逆向，不知有没有什么规律。

wsjboy

白菜 发表于 2015-4-27 02:11 AM
那就是说这个组合不如光投spy好？

看10楼chart！ Which should be lz's answer.

babyruth

白菜 发表于 2015-4-27 02:11 AM
那就是说这个组合不如光投spy好？

应该每年少 <2%左右, 好处是volatility小了, 象08年好了不少.09年和13年感觉就差了很多, 大涨年被TLT的下跌吃掉了不少, 尤其是09年, 基本没了.  不知道跟买远期的put水优水劣. 如果目的是控制volatility, 还不如买远期的bullish option combo?

wsjboy

The original author's 2 strategies are actually opposite, the first one is kind of momentum investing, the second one is kind of mean reversal (pay attention to monthly re-balancing) . As the author pointed out, the first one performed better in a trending market, the second one performed better in a side-way market.

As far as I know, we are in a side way market now. The second will perform better IMHO...

YMYD!

wsjboy

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wsjboy

5883

今天tlt, spy一起跌，大家怎么看？