Critical Finance Review, 2015, 4: 117–138

投資組合收益的來源之注解：标的股票的收益及超額增長率

作者：Jason T. Greene (Southern Illinois University Carbondale), David Rakowski (University of Texas at Arlington)

摘要：投資組合随時間的複合收益率不是簡單地平均加總其标的股票複合收益率。相反，它是由（a）标的成份股票的複合收益率以及（b）成份股協方差導緻的成分兩部分組成。這可能是重要的。市值的最小十分位數組合平均每月跑赢其對應的最大市值組合44個基點（基點/月），然而市值的最小十分位數組合中的成份股平均跑輸最大市值組合的成份股74基點/月。因此，“規模效應”不是一個小公司效應，而是一個小公司投資組合的效應。相比之下，我們的賬面市值比（HML）和動量（UMD）投資組合表現較好是因為它們的成份個股平均上跑赢了大盤。價值效應和動量效應既是投資組合效應，也是個股效應。

關鍵詞：投資組合收益，投資組合增長率，規模效應，長期收益

A Note on the Sources of Portfolio Returns: Underlying Stock Returns and the Excess Growth Rate

Jason T. Greene (Southern Illinois University Carbondale), David Rakowski (University of Texas at Arlington)

ABSTRACT

A portfolio’s compound return over time is not simply the weighted sum of the compound returns of its underlying stocks. Instead, it is due to (a) the underlying constituent stocks’ compound returns, and (b) a component induced by constituent covariances. This can be important. The average smallest-cap decile portfolio outperformed its largest-cap counterpart by 44 basis points per month (bps/mo), but the smallest-cap decile stock constituents on average underperformed their largest-cap counterparts by 74 bps/mo. Thus, the “size effect" is not a small-firm effect, but a small-firm portfolio effect. In contrast, our high-minus-low (HML) and up-minus-down (UMD) portfolios outperformed because their individual stock constituents outperformed on average. Value and momentum are simultaneously portfolio and individual stock effects.

Keywords: Portfolio Returns, Portfolio Growth Rates, Size Effect, Long-Term Returns

原文鍊接：http://cfr.ivo-welch.info/readers/pub/cfr-025.pdf

翻譯：任兆月