長期持有ETF? 先問你能承受多少的Maximum Drawdown!(二)

接續上篇，首先我們來分析MSCI ACWI，該指數是全球指數，包含23個已開發國家與24個新興市場國家，指數自1987年12月底開始，我們將過去所發生的超過10%及超過30%的的最大耗損歷史紀錄呈現在下面表一與表二，基本上表二僅是從表一截取出來。
表一: MSCI ACWI 自1987年12月底所發生的超過10%的最大耗損歷史紀錄
投資起始日
發生最大耗損日
投資起始日指數水準
發生最大耗損日指數水準
報酬率
1988/12/30
1990/9/28
123.99
111.07
-10.42%
1989/1/31
1990/9/28
128.48
111.07
-13.55%
1989/2/28
1990/9/28
127.72
111.07
-13.04%
1989/3/31
1990/9/28
127.02
111.07
-12.56%
1989/4/28
1990/9/28
130.22
111.07
-14.70%
1989/5/31
1990/9/28
127.15
111.07
-12.64%
1989/6/30
1990/9/28
125.38
111.07
-11.41%
1989/7/31
1990/9/28
139.55
111.07
-20.41%
1989/8/31
1990/9/28
136.27
111.07
-18.49%
1989/9/29
1990/9/28
140.40
111.07
-20.89%
1989/10/31
1990/9/28
135.88
111.07
-18.26%
1989/11/30
1990/9/28
141.23
111.07
-21.35%
1989/12/29
1990/9/28
145.87
111.07
-23.86%
1990/1/31
1990/9/28
139.17
111.07
-20.19%
1990/2/28
1990/9/28
133.33
111.07
-16.70%
1990/3/30
1990/9/28
125.10
111.07
-11.22%
1990/4/30
1990/9/28
123.53
111.07
-10.09%
1990/5/31
1990/9/28
136.44
111.07
-18.59%
1990/6/29
1990/9/28
135.52
111.07
-18.04%
1990/7/31
1990/9/28
136.90
111.07
-18.87%
1990/8/31
1990/9/28
124.03
111.07
-10.45%
1997/5/30
2002/9/30
274.12
239.99
-12.45%
1997/6/30
2002/9/30
288.15
239.99
-16.71%
1997/7/31
2002/9/30
301.18
239.99
-20.32%
1997/8/29
2002/9/30
280.04
239.99
-14.30%
1997/9/30
2002/9/30
294.98
239.99
-18.64%
1997/10/31
2002/9/30
277.42
239.99
-13.49%
1997/11/28
2002/9/30
281.66
239.99
-14.80%
1997/12/31
2002/9/30
285.36
239.99
-15.90%
1998/1/30
2002/9/30
291.64
239.99
-17.71%
1998/2/27
2002/9/30
311.59
239.99
-22.98%
1998/3/31
2002/9/30
324.89
239.99
-26.13%
1998/4/30
2002/9/30
327.93
239.99
-26.82%
1998/5/29
2002/9/30
321.71
239.99
-25.40%
1998/6/30
2002/9/30
327.50
239.99
-26.72%
1998/7/31
2002/9/30
327.61
239.99
-26.75%
1998/8/31
2002/9/30
281.71
239.99
-14.81%
1998/9/30
2002/9/30
287.32
239.99
-16.47%
1998/10/30
2002/9/30
313.56
239.99
-23.46%
1998/11/30
2002/9/30
332.59
239.99
-27.84%
1998/12/31
2002/9/30
348.04
239.99
-31.05%
1999/1/29
2002/9/30
355.15
239.99
-32.43%
1999/2/26
2002/9/30
346.23
239.99
-30.69%
1999/3/31
2002/9/30
361.80
239.99
-33.67%
1999/4/30
2002/9/30
377.43
239.99
-36.42%
1999/5/31
2002/9/30
364.09
239.99
-34.09%
1999/6/30
2002/9/30
382.22
239.99
-37.21%
1999/7/30
2002/9/30
380.66
239.99
-36.96%
1999/8/31
2002/9/30
380.20
239.99
-36.88%
1999/9/30
2002/9/30
376.10
239.99
-36.19%
1999/10/29
2002/9/30
395.15
239.99
-39.27%
1999/11/30
2002/9/30
407.43
239.99
-41.10%
1999/12/31
2002/9/30
441.37
239.99
-45.63%
2000/1/31
2002/9/30
417.56
239.99
-42.53%
2000/2/29
2002/9/30
418.98
239.99
-42.72%
2000/3/31
2002/9/30
446.52
239.99
-46.25%
2000/4/28
2002/9/30
426.49
239.99
-43.73%
2000/5/31
2002/9/30
415.42
239.99
-42.23%
2000/6/30
2002/9/30
429.51
239.99
-44.13%
2000/7/31
2002/9/30
416.89
239.99
-42.43%
2000/8/31
2002/9/30
429.85
239.99
-44.17%
2000/9/29
2002/9/30
406.24
239.99
-40.93%
2000/10/31
2002/9/30
398.29
239.99
-39.75%
2000/11/30
2002/9/30
373.62
239.99
-35.77%
2000/12/29
2002/9/30
379.86
239.99
-36.82%
2001/1/31
2002/9/30
389.46
239.99
-38.38%
2001/2/28
2002/9/30
356.69
239.99
-32.72%
2001/3/30
2002/9/30
332.68
239.99
-27.86%
2001/4/30
2002/9/30
356.92
239.99
-32.76%
2001/5/31
2002/9/30
352.94
239.99
-32.00%
2001/6/29
2002/9/30
342.12
239.99
-29.85%
2001/7/31
2002/9/30
336.73
239.99
-28.73%
2001/8/31
2002/9/30
321.26
239.99
-25.30%
2001/9/28
2002/9/30
291.91
239.99
-17.79%
2001/10/31
2002/9/30
298.11
239.99
-19.50%
2001/11/30
2002/9/30
316.45
239.99
-24.16%
2001/12/31
2002/9/30
319.41
239.99
-24.87%
2002/1/31
2002/9/30
310.66
239.99
-22.75%
2002/2/28
2002/9/30
308.38
239.99
-22.18%
2002/3/29
2002/9/30
322.31
239.99
-25.54%
2002/4/30
2002/9/30
312.10
239.99
-23.11%
2002/5/31
2002/9/30
312.54
239.99
-23.21%
2002/6/28
2002/9/30
293.47
239.99
-18.22%
2002/7/31
2002/9/30
268.86
239.99
-10.74%
2002/8/30
2002/9/30
269.55
239.99
-10.97%
2003/11/28
2009/2/27
327.65
294.13
-10.23%
2003/12/31
2009/2/27
348.43
294.13
-15.58%
2004/1/30
2009/2/27
354.40
294.13
-17.01%
2004/2/27
2009/2/27
360.94
294.13
-18.51%
2004/3/31
2009/2/27
359.02
294.13
-18.07%
2004/4/30
2009/2/27
350.78
294.13
-16.15%
2004/5/31
2009/2/27
353.73
294.13
-16.85%
2004/6/30
2009/2/27
360.88
294.13
-18.50%
2004/7/30
2009/2/27
349.44
294.13
-15.83%
2004/8/31
2009/2/27
351.70
294.13
-16.37%
2004/9/30
2009/2/27
359.11
294.13
-18.10%
2004/10/29
2009/2/27
367.98
294.13
-20.07%
2004/11/30
2009/2/27
388.19
294.13
-24.23%
2004/12/31
2009/2/27
403.32
294.13
-27.07%
2005/1/31
2009/2/27
394.85
294.13
-25.51%
2005/2/28
2009/2/27
408.71
294.13
-28.04%
2005/3/31
2009/2/27
399.87
294.13
-26.44%
2005/4/29
2009/2/27
391.32
294.13
-24.84%
2005/5/31
2009/2/27
398.92
294.13
-26.27%
2005/6/30
2009/2/27
403.13
294.13
-27.04%
2005/7/29
2009/2/27
418.14
294.13
-29.66%
2005/8/31
2009/2/27
421.51
294.13
-30.22%
2005/9/30
2009/2/27
434.31
294.13
-32.28%
2005/10/31
2009/2/27
422.70
294.13
-30.42%
2005/11/30
2009/2/27
438.30
294.13
-32.89%
2005/12/30
2009/2/27
449.19
294.13
-34.52%
2006/1/31
2009/2/27
471.40
294.13
-37.61%
2006/2/28
2009/2/27
470.90
294.13
-37.54%
2006/3/31
2009/2/27
481.01
294.13
-38.85%
2006/4/28
2009/2/27
497.27
294.13
-40.85%
2006/5/31
2009/2/27
478.08
294.13
-38.48%
2006/6/30
2009/2/27
478.07
294.13
-38.48%
2006/7/31
2009/2/27
481.45
294.13
-38.91%
2006/8/31
2009/2/27
494.18
294.13
-40.48%
2006/9/29
2009/2/27
500.07
294.13
-41.18%
2006/10/31
2009/2/27
518.92
294.13
-43.32%
2006/11/30
2009/2/27
533.85
294.13
-44.90%
2006/12/29
2009/2/27
545.90
294.13
-46.12%
2007/1/31
2009/2/27
551.45
294.13
-46.66%
2007/2/28
2009/2/27
548.76
294.13
-46.40%
2007/3/30
2009/2/27
560.00
294.13
-47.48%
2007/4/30
2009/2/27
585.17
294.13
-49.74%
2007/5/31
2009/2/27
603.11
294.13
-51.23%
2007/6/29
2009/2/27
601.55
294.13
-51.11%
2007/7/31
2009/2/27
592.50
294.13
-50.36%
2007/8/31
2009/2/27
591.11
294.13
-50.24%
2007/9/28
2009/2/27
623.03
294.13
-52.79%
2007/10/31
2009/2/27
647.47
294.13
-54.57%
2007/11/30
2009/2/27
619.10
294.13
-52.49%
2007/12/31
2009/2/27
612.41
294.13
-51.97%
2008/1/31
2009/2/27
562.40
294.13
-47.70%
2008/2/29
2009/2/27
564.25
294.13
-47.87%
2008/3/31
2009/2/27
556.22
294.13
-47.12%
2008/4/30
2009/2/27
587.66
294.13
-49.95%
2008/5/30
2009/2/27
597.51
294.13
-50.77%
2008/6/30
2009/2/27
548.65
294.13
-46.39%
2008/7/31
2009/2/27
534.57
294.13
-44.98%
2008/8/29
2009/2/27
523.28
294.13
-43.79%
2008/9/30
2009/2/27
458.09
294.13
-35.79%
2008/10/31
2009/2/27
367.43
294.13
-19.95%
2008/11/28
2009/2/27
343.53
294.13
-14.38%
2008/12/31
2009/2/27
356.15
294.13
-17.41%
2010/3/31
2010/6/30
497.86
438.32
-11.96%
2010/4/30
2010/6/30
498.96
438.32
-12.15%
2010/12/31
2011/9/30
545.97
473.90
-13.20%
2011/1/31
2011/9/30
554.66
473.90
-14.56%
2011/2/28
2011/9/30
571.04
473.90
-17.01%
2011/3/31
2011/9/30
570.71
473.90
-16.96%
2011/4/29
2011/9/30
594.38
473.90
-20.27%
2011/5/31
2011/9/30
582.16
473.90
-18.60%
2011/6/30
2011/9/30
573.22
473.90
-17.33%
2011/7/29
2011/9/30
564.07
473.90
-15.99%
2014/8/29
2016/2/29
788.95
703.78
-10.80%
2014/11/28
2016/2/29
782.42
703.78
-10.05%
2015/2/27
2016/2/29
798.24
703.78
-11.83%
2015/3/31
2016/2/29
786.35
703.78
-10.50%
2015/4/30
2016/2/29
809.55
703.78
-13.07%
2015/5/29
2016/2/29
809.12
703.78
-13.02%
2015/6/30
2016/2/29
790.43
703.78
-10.96%
2015/7/31
2016/2/29
797.59
703.78
-11.76%

表二: MSCI ACWI 自1987年12月底所發生的超過30%的最大耗損歷史紀錄
投資起始日
發生最大耗損日
投資起始日指數水準
發生最大耗損日指數水準
報酬率
1998/12/31
2002/9/30
348.04
239.99
-31.05%
1999/1/29
2002/9/30
355.15
239.99
-32.43%
1999/2/26
2002/9/30
346.23
239.99
-30.69%
1999/3/31
2002/9/30
361.80
239.99
-33.67%
1999/4/30
2002/9/30
377.43
239.99
-36.42%
1999/5/31
2002/9/30
364.09
239.99
-34.09%
1999/6/30
2002/9/30
382.22
239.99
-37.21%
1999/7/30
2002/9/30
380.66
239.99
-36.96%
1999/8/31
2002/9/30
380.20
239.99
-36.88%
1999/9/30
2002/9/30
376.10
239.99
-36.19%
1999/10/29
2002/9/30
395.15
239.99
-39.27%
1999/11/30
2002/9/30
407.43
239.99
-41.10%
1999/12/31
2002/9/30
441.37
239.99
-45.63%
2000/1/31
2002/9/30
417.56
239.99
-42.53%
2000/2/29
2002/9/30
418.98
239.99
-42.72%
2000/3/31
2002/9/30
446.52
239.99
-46.25%
2000/4/28
2002/9/30
426.49
239.99
-43.73%
2000/5/31
2002/9/30
415.42
239.99
-42.23%
2000/6/30
2002/9/30
429.51
239.99
-44.13%
2000/7/31
2002/9/30
416.89
239.99
-42.43%
2000/8/31
2002/9/30
429.85
239.99
-44.17%
2000/9/29
2002/9/30
406.24
239.99
-40.93%
2000/10/31
2002/9/30
398.29
239.99
-39.75%
2000/11/30
2002/9/30
373.62
239.99
-35.77%
2000/12/29
2002/9/30
379.86
239.99
-36.82%
2001/1/31
2002/9/30
389.46
239.99
-38.38%
2001/2/28
2002/9/30
356.69
239.99
-32.72%
2001/4/30
2002/9/30
356.92
239.99
-32.76%
2001/5/31
2002/9/30
352.94
239.99
-32.00%
2005/8/31
2009/2/27
421.51
294.13
-30.22%
2005/9/30
2009/2/27
434.31
294.13
-32.28%
2005/10/31
2009/2/27
422.70
294.13
-30.42%
2005/11/30
2009/2/27
438.30
294.13
-32.89%
2005/12/30
2009/2/27
449.19
294.13
-34.52%
2006/1/31
2009/2/27
471.40
294.13
-37.61%
2006/2/28
2009/2/27
470.90
294.13
-37.54%
2006/3/31
2009/2/27
481.01
294.13
-38.85%
2006/4/28
2009/2/27
497.27
294.13
-40.85%
2006/5/31
2009/2/27
478.08
294.13
-38.48%
2006/6/30
2009/2/27
478.07
294.13
-38.48%
2006/7/31
2009/2/27
481.45
294.13
-38.91%
2006/8/31
2009/2/27
494.18
294.13
-40.48%
2006/9/29
2009/2/27
500.07
294.13
-41.18%
2006/10/31
2009/2/27
518.92
294.13
-43.32%
2006/11/30
2009/2/27
533.85
294.13
-44.90%
2006/12/29
2009/2/27
545.90
294.13
-46.12%
2007/1/31
2009/2/27
551.45
294.13
-46.66%
2007/2/28
2009/2/27
548.76
294.13
-46.40%
2007/3/30
2009/2/27
560.00
294.13
-47.48%
2007/4/30
2009/2/27
585.17
294.13
-49.74%
2007/5/31
2009/2/27
603.11
294.13
-51.23%
2007/6/29
2009/2/27
601.55
294.13
-51.11%
2007/7/31
2009/2/27
592.50
294.13
-50.36%
2007/8/31
2009/2/27
591.11
294.13
-50.24%
2007/9/28
2009/2/27
623.03
294.13
-52.79%
2007/10/31
2009/2/27
647.47
294.13
-54.57%
2007/11/30
2009/2/27
619.10
294.13
-52.49%
2007/12/31
2009/2/27
612.41
294.13
-51.97%
2008/1/31
2009/2/27
562.40
294.13
-47.70%
2008/2/29
2009/2/27
564.25
294.13
-47.87%
2008/3/31
2009/2/27
556.22
294.13
-47.12%
2008/4/30
2009/2/27
587.66
294.13
-49.95%
2008/5/30
2009/2/27
597.51
294.13
-50.77%
2008/6/30
2009/2/27
548.65
294.13
-46.39%
2008/7/31
2009/2/27
534.57
294.13
-44.98%
2008/8/29
2009/2/27
523.28
294.13
-43.79%
2008/9/30
2009/2/27
458.09
294.13
-35.79%

ACWI幾乎是你可以找到最分散的指數，涵蓋了已開發國家與新興市場國家，雖然時間是從1987年底開始，有點稍短，但我們發現兩件事:

1.     投資人欲投資股票，即使是如ACWI這個超級分散的投資組合，投資組合市值也要有隨時被腰斬的準備，誠如查理蒙格所言“if you’re not willing to react with equanimity to a market price decline of 50% two or three times a century you’re not fit to be a common shareholder and you deserve the mediocre result”

2.     由於時間過短，所以我們看到過去2000/3/31到2002/9/30這段期間，跌幅超過46%。2000/3/31含股息指數從446.52下探到239.99，而2018年三月底的含股息數值是1,010.179，我們假設後續再被腰斬好了，也就是變成505.0895，仍然高於2000/3/31的指數水準，也就是說，正常情況下，只要等的夠久，前波高點會低於後續最大耗損的低點。白話說，就算你在超高點買進，只要等得夠久，本金還是會回來的。這個道理在後續文章分析MSCI已開發國家(資料自1969年12月底開始)，就可以直接從表格觀察到，而不需要做這樣的假設，不過未來幾篇我們也會發現某些國家指數即使等超久，也從來沒回來過(可能還不夠久?)

待續。