Financial analysts journal, Vol. 71, No.3, 2015, page. 47-60

低波動周期：估值和動量對低波動性投資組合的影響

作者：Luis Garcia-Feijóo, Lawrence Kochard, Rodney N. Sullivan, Peng Wang

摘要：已有的研究表明，風險最低的股票随着時間推移往往跑赢風險最高的股票，這導緻了近幾年所謂的“低風險股票投資”的快速增長。作者同時考察了往期文獻中所提出的低風險策略，和在實踐中更具有相關性的beta中性低風險策略的表現。他們發現低風險投資的曆史業績，就像任何量化投資策略一樣，是随時間變化的。他們也發現低風險策略表現出的對知名價值、大小和動量因素的動态暴露，并且是受整體經濟環境的影響。他們的研究結果表明，低風險策略績效的時間變動性可能是受構建低風險組合策略的方法、市場環境、相關估值溢價的影響。

Low-Volatility Cycles: The Influence of Valuation and Momentum on Low-Volatility Portfolios

Luis Garcia-Feijóo, Lawrence Kochard, Rodney N. Sullivan, Peng Wang

ABSTRACT

Research showing that the lowest-risk stocks tend to outperform the highest-risk stocks over time has led to rapid growth in so-called low-risk equity investing in recent years. The authors examined the performance of both the low-risk strategy previously considered in the literature and a beta-neutral low-risk strategy that is more relevant in practice. They found that the historical performance of low-risk investing, like that of any quantitative investment strategy, is time varying. They also found that both low-risk strategies exhibit dynamic exposure to the well-known value, size, and momentum factors and appear to be influenced by the overall economic environment. Their results suggest that time variation in the performance of low-risk strategies is probably influenced by the approach to constructing the low-risk portfolio strategy and by the market environment and associated valuation premiums.

原文鍊接：http://www.cfapubs.org/doi/pdf/10.2469/faj.v71.n3.2

翻譯：王冰倫