ߤ줿ˤ֥ (ǥå)

Ȥä㥳ȥǥå/ѥå(Хۡɤιʬ)ǻ񻺷ԤäƤ̥꡼ޥߤ줿ˤ䤪ΤȤˤĤƸ֥䤪ʳä⤷ޤ



볹Υࡦ

ЪΥФƤʤ˥åǥåեɤäƤɤʤΤ衩

ARandomWalk_1.jpg

ޤǶʤ˥åǥåե¾ƱǥåϢư륤ǥåեɤӤưЪΥƤȤȤ˾夬ޤ

Ū˵Ƥ븽ݤδۤưǥ˥å¾ʹ񥤥ǥåեɤƭΨΥƤ뤳ȤȤäǤ


ˤ2016ǯ11ˤƱ褦ʤȤޤλˤϡЪΥФ׻ȯԤޤƤɤǤ褯ǤʤΤǤ


ǥåեɤαѤϡ֥ǥåˤǤϢư뤳ȤɤפȤ줪ꡤδɾ򤹤ȥ˥ååȥޥͥȤγǥåեɤαѤ¾αѲҤ٤ƲȸǤ礦
ɤƤʤäƤΤʬޤ󤬡ʤ˥åǥåեϾˤⲼˤ¾ΥեɤȾäư򤹤뤳Ȥ褦Ǥ


³ɤ







ѥå(ǥå)Ϥ뤿ˤ2 -ܳ

ѥå(ǥå)Ϥ뤿Τ3 -ǤϡԤȤơƣǦλ߷׽Ρ3ǡ١ˤޤʡοǡ١Ķñ αѽ٤3侩ޤ

ȤϤԡȽ񤤤褦ƤǤϤޤ

Ԥܤ˽񤤤ƤƤѥå(ǥå)Ϥ뤳ȤϽʬ˲ǽǤ΢դ夤(Ķñ αѽ٤ޤ)

΢դʤѥå(ǥå)Ϥ뤳ȤϤǤޤѥå(ǥå)ΥݥȤϷ³뤳ȤǤλˡֲΥѥå(ǥå)ƤΤפȤʤȷ³ʤ뤳Ȥޤ
2007ǯ2009ǯˤƤβΥæƤ֤ͤ⤤ޤ


ʻѥå(ǥå)ˤĤƹ򤷤ƤΤ2


2ɤǤСɤʤȤäƤѥå(ǥå)³ʤ(⤷ʤ)


(1) ԼԤΥ

볹Υࡦ٤θŵǤ
ǾĤˤĥΤǤϤʤ餱ʤѥå(ǥå)ɤΤȤȤ򿼤Τ˽񤤤Ƥ餷ܤǤ˲Ť͡ǿǤǤϺ򺣤ζͻƤˤʤäƤޤ
ܽʬʤʸϤɤߤ䤹餹ȳڤɤܤǤ


(2) 볹Υࡦ

ѥå(ǥå)ΥХ֥ȤܤǤ
ܤޤѥå(ǥå)ʤǽŪ˼긵˻Ĥʤ餳1ȸͤ¿ΤǤϤʤǤ礦
ܽŤͤƤޤơ¿ΥХ֥äƤBuy&Holdѥå(ǥå)ͥ줿ʤǤ(¾̤ͭʼˡʤ)ȤȤ⤤Ƥޤ
ѥå(ǥå)򤹤ʤɬɤ1ȸäƤ褤Ǥ礦


2ϸŵθŵǤꡢѥå(ǥå)Τꤿʤܤ̤Ƥޤ礦


ơǸֳԤ³



ΡǥȤ׻뤹Τ

ħŪȤͭƤ֤ͭ()Ȥħޤ

ơȤäȤFPɾȤ֥ȤϽפȤ⤤ɤʤȤʹޤ
ϲΤϥȤȤפľ뤹뤫Ǥ

ˤơȤΥ꥿ϰʲΤ褦ˤʤޤ
[ȤΥ꥿]=[ȹ]-[]

Ĥޤꡢ[][ȤΥ꥿]ϸޤ֥ȤϽפȤ⤤ɤʤȤոФƤޤ


嵭Ǽ줿Ǥ礦


ȤꤢǤ


εˤ̿Ūʷޤ

ñ˱դ[]äͤ[ȤΥ꥿]ȤƤꡢ[ȹ]̵뤷Ƥޤ
Ūξ(㤨в/ȶʤ)򸫤[]ä[ʤǽ/ʼ]ξ徺˷ҤޤĤޤꡢ[]Ƥ⡢ˤä[ʤǽ/ʼ]ʾäС[Ԥ]ϸ夷ޤ

ΥȤˤƤƱͤˡ⤤ȤʾΥ꥿߽ФƤΤǤй⥳ȤǤ(ʤȤޥʥװǤϤʤ)



ǤϡȤ⤤ϤΥ꥿ƤΤǤ礦

NoǤ¿μ¾ڸŪʷ̤ФƤޤ

ΰĤȤʬ(2007, Хӥͥ)ޤ
2007_Takenaka_fund_analysis
οɽʬϤѤΤǤɽܤǤǯΨȤ2%̤2%ʾ󷲤ʬӤȥȤ⤤Υ꥿1.27%㤤̤ˤʤäƤޤȺ1.14%ʤΤǡΥѥեޥ󥹺ΤۤȤɤϥװˤʤޤ
ޤ2007ǯǤϤʤθƱ褦ʬϤ򤷤Ƥޤ2011ǯ12ΥǡʬϤ̤Υ֥˸ƤꡢǤ⥳Ȣѥեޥ󥹤ȤФƤޤ(Ȥ⤱ɬѥեޥ󥹤Ȥ櫓ǤϤʤ)


ϡΤǤǥåեɤλ٤ԤǤХ󥬡ɤ߼ԤǤܡ뤬ꥫγߥ塼奢եɤˤĤĴ٤ǡ⼨Ƥޤ()Ǥ⡢ʬ̤ʬơ⥳ȷѥեޥ󥹤ȤФƤޤ
bogle_fund_analysis

ܡ10ǯʾ1999ǯ˽Ǥ줿ǥåեɤλ٤Ǥ⥢ꥫΥߥ塼奢եɤΥ꥿򥳥Ȥǻʬ̤ʬʬϤƤꡢǤ⥳Ȥˤʤȥѥեޥ󥹤ʤȤФƤޤ

¾ˤ⺣⵱̾Ǥ볹Υࡦ٤Ǥ⤽Τ褦äФƤޤΥࡦǻͻȤƼƤM.CarhartΡOn Persistence in Mutual Fund Performance٤Ǥ⥳Ȥϥѥեޥ㲼װȤ̤ФƤޤ


ŲʤΤ褦ˤ⤤ʧä顢ɤΤ󶡤Ƥ뤳ȤˤԤΤǤ¾ڸϻǰʤȤˤٻƤޤ

Ȥ⤤եɤϥѥեޥ󥹤Ȥ
¿޿ȤӤɤեɤ򺣻Ƥ뤳Ȥ϶ˤƺ
2ˤȡȤ⤤եɤ򤱤뤳ȤϾιѥեޥ󥹤βǽ뤳Ȥˤʤޤ֥ȤϽפȤ⤤ɤʤȸΤǤ


֥Ȥ⤯ƤӤեɤäơեɤ㤨Фפȡη̤򸫤뤳ȤǤ뵩ͭʿͤˤƤϤޤʤΤǡκǽΤ޿ͤƱѤ򤹤ɬפʤǤ礦



ܵμԤˤϲͤסּԤΤäƾۤΤʤ餽ϤΤ

ܵμԤˤϲͤ
ּԤΤäƾۤΤʤ餽ϤΤ

Ԥ뤳ȤϷ褷ɤȤǤϤޤ󡣺ǽ餫˱ۤȤϤʤ¤ϼԤǤ褦ƻñ˸Ĥ褦ˤϤǤƤޤ

񻺱ѤˤĤơ䤬ŵ3ȤƤ벼3Τ褦㥳Ĺʬλܤ¿ФƤޤ
볹Υࡦ
ԼԤΥ
ǥåեɤλ

ܤɤ㥳ĹʬϤƤ⳧³櫓ǤϤޤ
2007ǯ2009ǯβǤ¿οͤäƤޤܤζ̤ǤСΤ褦ǤߤʤȤפʤΤǤ³ʤä(ϲ)
Ʊ褦ʾǤ³줿ͤ⤤ޤ

ΰ㤤ϤɤΤ
ƤϤޤäǤϤޤ󤬡Ĥäͤ¿˲˳ǼԤƤ(꤯ʤä)ͤޤ񻺤䤽ȴĥäƿμ̤ä㥳Ĺʬˤɤ夤ȤѥǤ
ܵǤäƼԤΤäƾۤˤɤ夤㥳Ĺʬϡ1,2ܤɤʬäĤˤʤäƤ㥳ĹʬȤϥ辰㤤ޤܤƱǤȤζ٤ϰ㤤ޤ

ܵμԤˤϲͤ (by ϻ)
ּԤΤäƾۤΤʤ餽ϤΤ (by ϻ)





ǥåؤȽOKǤ⾯μĤƤ餪ꤤޤ

αɸʤͤǡɼԤ󤫤ʲΤ褦ʥȤ򤤤ޤ
ʸȤϴطޤ󤬡Υ볹ΥࡦФ륨ȥ꡼Фո褦Ǥ顢ФȻפޤ
http://blogos.com/article/43175/


Υ֥ޥ륯ܼФƲäȽƤäϡġġסإ볹Υࡦ ȤδͺΥǥåȥޥ륭Ƚ뵭Ǥ

줬ŵŪʸ˴ŤȽǤ
볹Υࡦ٤ɽ椹ɤǤ餺ǥåȤμ⴪㤤ȽˤʤäƤޤ

᤬񤫤줿ʸϤѤĤġĥåǤߤޤ


볹ΥࡦǤο

ܤΥ֥ȥˡֳǤοפȤդޤ
ͤϤλǡܤϡֽäƤפȻפޤ

ʤʤĹǯäƤơˡǤοפʤ̵˴뤫Ǥ

ڡڤȤˡܤ뤷᤬ΤǤ

ν񤭽ФǻϤޤޤʤʮӤΤǤ

ֳǤοפܸǤǾˤĤȥǤޥ륭᤬ФˤϤΥ֥ȥϤޤ󡣸Υȥ/֥ȥ"A Random Walk Down Wall Street: The Time-Tested Strategy for Successful Investing"Ǥ
ޤǡĹǯδ֤μӤάפȤäƤ餺ǡפȤֿפȤäƤޤ
ޤμ긵ˤ1973ǯȯԤνǤ⤢ޤǤ"A random Walk Down Wall Street"Ǥꡢޥ륭ĹǯμӤȤäƤޤ󡣥֥ȥӤФƤղä줿ΤǤꡢΤɤַڡڤäפʤΤ

ϥϥꥦåɱDzˮ꤬(㤨СJerry Maguire)ȡϥꥦåɴĤ˥ȥĤ륻󥹤ʤȤʤǡ֥ȤȤפȤܤΤǤ礦


ޥ륭뤬ΥץפΰոΤø뤿˹ԤäҤȤĤμ¸ˡΤ褦ʤΤޤ

ϥ򲿲ꤲơɽФ塢餬Ф鲼Ȥ˥ץåȤƥ㡼ȤޤˤΥ㡼Ȥƥ˥롦ʥꥹȤ˸ ơ֤Υ㡼Ȥ㤤ǤȤǤפȤǤΩƤ櫓Ǥȥƥ˥롦ʥꥹȤϡ֤γϡ󥬥㤤 ȸäǤ

ޥ륭Ϥ򸫤ơ㡼ʬϤ̵̣Ȥãޤ

Τ褦˥ޥ륭Ϥޤǥ볹dz̤˼ߤƤƥ˥åθ³򼡡˻ŦΤǤ

ޥ륭᤬ꤲ㡼Ȥǥƥ˥륢ʥꥹȤ㤤Ȥƥ˥åθ³ŦǤǤ

ޥ륭ϡġΥƥ˥ά vs Х&ۡɤͥ뤫ȤӤ򤷤Ƥޤơ͡ƥ˥åХ&ۡɤФͥ򼨤ʤȤ򼨤ơ³򼡡˻ŦƤޤ(ե륿ˡƥ֡ȥ󥰥ˡ-ˡ㡼ȡѥɤ)
ꤲ̵̣ȤãƤޤ

ơΥޥ륭Ǥǯˤʤäơ֤ɤΥåȡ饹Ǥ⸫ߤꡢɤΥåȡ饹Ǥܤͽۥꥹȡפɽƹ񥳥ߥ˥ƥǸˤʤäƤޤ

Dzϡ
ֺķܤäˣǯĤ»
ֿ٥Ȥ
ư⤤

ʤɤθϪΤǤ

ΥࡦοԤǡޥ륭Ǯʥե󤿤ϡΥޥ륭ȯܤˤʤޤʤʤ顢̤ͽǤʤפȸäܿͤ㤢㤢ȿ侩ꥹȤǤǤ

ܤˤʤäޥ륭ǮʥեΤޤ
֥Υࡦοԡ֥ޥ륭Ǯʥեϰפޤ

1973ǯνȯԻޥ륭٤ϰӤƤޤʲϽǤΰѤǤ
Now, in fact, the stock market does not quite measure up to the mathematician's ideal of the complete independence of present price movements from those in the past. There have been some very slight dependencies found.
If the narrow form of the random-walk hypothesis is a valid description of the stock market, then, as my colleague Richard Quandt says, "Technical analysis is akin to astrology and every bit as scientific."

ɤǤ̤ꡢޥ륭ϻԾ˼夤ȥɤ¸ߤ뤳ȤǧᡢΥ०ä򤷤Ƥޤ
֥Υࡦοԡפϥޥ륭ζȿޤ
Ǥ֥ΥࡦοԤǡޥ륭ǮʥեȤ¸ߤǤ

ǤãУͤϤȤ롢ٶʤ顢إ볹Υࡦ٤Ǿ̤򥵥äȸƤ狼ä褦ʵʬˤʤΤǤϤʤġθ㤨СPortfolio Theory & Capital MarketsWilliam Sharpeˤäݤٶˤʤޤ

ָٶˤʤפϤޤ˺ιἫȤƤϤޤäƤޤΤǤϡ
(ɽ)餤ϡ볹Υࡦ٤θ


̤˸¤餺ɤǤ⡧

֤줵äƤСϣˡ

Ȥ°פʥɥХǿͤϵ䤹ΤǤ

줬ʤ顢ʤơΤ褦ˤʤˡ٤ȤܤФСޤʤ֤ξФʪˤʤǤ礦
ɤǤ
餷Ȥϻܤȼ̳ʬΥǤǤ̳(Υץ졼)¾()ǤƼʬϻ¦˲ޤʬץ졼ǤʤƤ⤤˻ꤸ뤳Ȥǥɥ꡼򾡤ĤȤϲǽʤΤǤ


ιΤ褦ȽϡŵŪʥǥåؤθ˴ŤȽΰĤǤ


1ƥ vs ѥå (ϤǷޤȤɤäͭ)
2ƥ vs ѥå (ϤǷޤȤɤäͭ) 2



- ܥ
10ʬΥå1000䤹! ̱ΤΥܥ
Ϣ
ؤϢϲ᡼륢ɥ쥹ޤǤꤤޤ
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