Journal of Portfolio Management, Winter 2016, v. 42, iss. 2, pp. 77-89

最優化價值

作者：Leshem, Ran; Goldberg, Lisa R.; Cummings, Alan

摘要：作者通過一系列實證研究，調查了兩種常用的價值測度——賬面市值比(B/P)和盈利價格比(E/P)的表現。基于Ken French網站數據所做的學術研究顯示，1951年至2013年根據E/P構建的投資策略比根據B/P構建的投資策略數據上收益更高，風險更小，但1963年至1990年B/P策略數據上表現更好，也正是基于該研究确立了B/P比率在學術研究中的地位。更偏實務的研究則進一步考慮了流動性和交易成本，其結果顯示，将B/P和E/P綜合考慮構建的投資策略在1973年至2013年間的大多數十年段内都優于基于單獨一種比率構建的投資策略。這種最優化價值的投資策略相較于基于排序分組策略而言，其跟蹤誤差更低，換手率更低，信息比率更高。另外，添加各行業投資比重約束能夠提高最優化價值策略的夏普比率和信息比率。

關鍵詞：資本化，盈利，股票

Optimizing Value

Leshem, Ran; Goldberg, Lisa R.; Cummings, Alan

ABSTRACT

In a series of empirical studies, the authors investigated the performance of two popular value metrics: book-to-price (B/P) ratio and earnings-to-price (E/P) ratio. In an academic study based on data from Ken French's website, they found that, though strategies based on E/P ratio had higher return and lower risk than strategies based on B/P ratio between 1951 and 2013, B/P ratio outperformed E/P ratio between 1963 and 1990, which was the basis of the landmark study establishing B/P ratio as the academic standard. In a practitioner-oriented study that accounted for liquidity and transaction costs, strategies based on a blend of B/P and E/P ratios outperformed both single-metric strategies during most 10-year periods between 1973 and 2013. Optimized value strategies had lower tracking error, lower turnover, and a higher information ratio than rank-and-chop strategies, which weight high-percentile value stocks by capitalization. Sector constraints raised both the Sharpe ratio and the information ratio of an optimized blended-value strategy.

原文鍊接：http://www.iijournals.com/doi/abs/10.3905/jpm.2016.42.2.077

翻譯：陳爽