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1、 ? ? ? ? ? ? ?: ? ? ? 2008 ?2015 ? ?1? 50 ? ?2? ? ?3? ?4? K ? ? K ? ? K ? ? K ? K ? ? 2005 ?-2016 ? 1 ? 15 ? 33 ? ? 50%? K ? ? ? ? 2016 ? 1 ? 15 ? 50 ? ? ? ? . 2 ? . 6 ? 50 ? . 6 ?K ? K ? K ?. 6 ?-? . 8 ? . 8 ? . 9 ? . 10 ? . 11 ? ? 2008 ?2015 ? ? 2005 ?-2016 ? 1 ? 15 ? 50 ? 33 ? 45.45%? 8.21? Sharp
2、e ? 1.27? ? 1? 50 ? ? 1? 50 ? ? ? ? 50 ? ? ? 2005 2.35% -8.40% -6.55% 1.02 0.92 2006 128.76% 126.69% -7.62% 2.34 2.08 2007 127.27% 134.13% -14.24% 5.32 4.86 2008 -16.18% -67.23% -22.03% 4.46 1.59 2009 69.59% 84.40% -13.93% 7.56 2.94 2010 -13.06% -22.57% -12.72% 6.58 2.27 2011 -6.36% -18.19% -8.94% 6
3、.16 1.86 2012 14.30% 14.84% -9.53% 7.04 2.14 2013 0.33% -15.23% -13.69% 7.06 1.81 2014 57.71% 63.93% -8.51% 11.14 2.97 2015 11.96% -6.23% -12.08% 12.47 2.78 2016 0.00% -11.93% 0.00% 12.47 2.45 ?02468101214162005-03-102007-03-102009-03-102011-03-102013-03-102015-03-10? 2005 ?-2016 ? 1 ? 15 ? ? 500 ?
4、33 ? ? 57.58%? 10.64? Sharpe ? 1.71? ? 2? 500 ? ? 2? 500 ? ? ? ? 50 ? ? ? 2005 19.09% -16.70% -10.67% 1.19 0.83 2006 102.62% 100.68% -9.50% 2.41 1.67 2007 143.18% 186.63% -26.45% 5.87 4.79 2008 2.26% -60.80% -16.74% 6.00 1.88 2009 98.60% 131.27% -15.84% 11.92 4.34 2010 15.46% 10.07% -11.47% 13.76 4.
5、78 2011 -8.42% -33.83% -8.95% 12.60 3.16 2012 18.60% 0.28% -10.62% 14.94 3.17 2013 17.52% 16.89% -8.21% 17.56 3.71 2014 23.84% 39.01% -10.57% 21.75 5.15 2015 80.03% 43.12% -7.16% 39.16 7.38 2016 0.00% -22.63% 0.00% 39.16 5.71 ?0510152025303540452005-03-102007-03-102009-03-102011-03-102013-03-102015-
6、03-10? 2005 ?-2016 ? 1 ? 15 ? ? 1000 ? 33 ? ? 63.64%? 8.95? Sharpe ? 1.77? ? 3? 1000 ? ? 3? 1000 ? ? ? ? 50 ? ? ? 2005 23.06% -19.14% -10.80% 1.23 0.81 2006 77.56% 76.22% -10.30% 2.19 1.42 2007 156.79% 202.57% -29.70% 5.61 4.31 2008 4.57% -59.26% -16.14% 5.87 1.76 2009 102.96% 139.85% -15.75% 11.91
7、4.21 2010 17.99% 17.40% -11.49% 14.05 4.95 2011 -8.14% -32.96% -10.07% 12.91 3.32 2012 16.91% -1.43% -11.98% 15.09 3.27 2013 22.30% 31.59% -7.92% 18.45 4.30 2014 19.23% 34.46% -10.55% 22.00 5.78 2015 102.84% 76.10% -6.02% 44.63 10.18 2016 0.00% -25.87% 0.00% 44.63 7.55 ?051015202530354045502005-03-1
8、02007-03-102009-03-102011-03-102013-03-102015-03-10? 2005 ?-2016 ? 1 ? 15 ? ? 300 ? 33 ? ? 39.39%? 13? Sharpe ? 1.5? ? 4? 300 ? ? 4? 300 ? ? ? ? 300 ? ? ? 2005 6.81% -11.76% -7.59% 1.07 0.88 2006 125.51% 121.02% -8.50% 2.41 1.95 2007 145.78% 161.55% -15.76% 5.92 5.10 2008 -10.70% -65.95% -18.80% 5.29 1.74 2009 79.94% 96.71% -13.07% 9.51 3.42 2010 -5.51% -12.51% -12.53% 8.99 2.99 2011 -9.42% -2
