Financial Analysts Journal·VOL 70, NO. 4·JULY/AUGUST 2014
無行業對賭的低風險投資
作者:Clifford S. Asness, Andrea Frazzini, and Lasse H. Pedersen
摘要:購買安全的低貝塔值的股票,同時賣空(或減持)風險較高的高貝塔值的股票(“貝塔對賭”),這個策略已經被證明能夠提供顯著的風險調整回報。但是有人認為,這種“低風險投資”帶來的高回報主要是因為行業對賭,這種對賭通常更青睐一些緩慢變化的、普通穩定的行業。本文作者反駁了這個觀點,認為貝塔對賭策略既适用于同一行業内部,又适用于不同行業之間,即無論是行業中性對賭,還是純對賭,帶來的收益均為正。
Low-Risk Investing without Industry Bets
Clifford S. Asness, Andrea Frazzini, and Lasse H. Pedersen
ABSTRACT
The strategy of buying safe low-beta stocks while shorting (or underweighting) riskier high-beta stocks (“betting against beta”) has been shown to deliver significant risk-adjusted returns. Some have suggested, however, that such “low-risk investing” delivers high returns primarily because of industry bets that favor a slowly changing set of stodgy, stable industries. The authors refute this notion by showing that a strategy of betting against beta has delivered positive returns both as an industry-neutral bet within each industry and as a pure bet across industries.
原文鍊接:
http://www.cfapubs.org/doi/pdf/10.2469/faj.v70.n4.1
翻譯:王冰倫