The Journal of Portfolio Management, Spring 2016, Vol. 42, No. 3: pp. 101-113

關于資産類别層面價值和動量應用的案例研究

作者：Victor Haghani (founder and CEO of Elm Partners), Richard Dewey (portfolio associate at PIMCO)

摘要：本文探索一種由價值因子和動量因子驅動的全球性多樣化資産配置策略。作者發現依據價值和動量進行資産配置調整，可以産生更高、更好質量的收益率，且無論是統計層面，還是經濟層面，這一效應都十分顯著。與現有文獻不同之處在于，本研究通過僅做多的方法考察了資産類别層面的價值效應和動量效應。另外，研究中作者對價值和動量使用簡單的非最優化指标，從而減少了結果來源于數據挖掘的可能性。最終，通過對1975-2013年的樣本數據研究發現基于價值和動量指标的動态資産配置可以帶來約266個基點的超額年收益率。

A Case Study for Using Value and Momentum at the Asset Class Level

Victor Haghani (the founder and CEO of Elm Partners), Richard Dewey (a portfolio associate at PIMCO)

ABSTRACT

This article explores a globally diversified asset allocation strategy driven by value and momentum factors. The authors find that adjusting for value and momentum yields higher and better quality returns that are statistically and economically significant. This research differs from the existing literature in that it examines the value and momentum effects at the asset class level and uses a long-only approach. The research employs simple nonoptimized metrics for value and momentum, which reduce the chances that the authors’ results are attributable to data mining. The authors find that dynamic asset allocation based on simple valuation and momentum metrics would have added roughly 266 basis points of excess annualized return over the sample period 1975–2013.

原文鍊接：

http://www.iijournals.com/doi/abs/10.3905/jpm.2016.42.3.101

翻譯：吳雨玲