Journal of Portfolio Management, Winter 2016, v. 42, iss. 2, pp. 90-98

錯誤擇時：一個從成功的投資策略中獲得慘淡收益的指南

作者：Hsu, Jason; Myers, Brett W.; Whitby, Ryan

摘要：價值溢價的可持續性和收益規模與這種價值異象的行為學解釋相違背。投資者怎麼會持續地犯這個廣為人知的錯誤呢？通過測量共同基金公布的買入持有（或者說時間加權的）收益與投資者獲得的平均内部收益率（或者美元加權的收益）之間的差額，作者定量地度量了價值型投資者市場擇時決策的持續負效應。自1991年至2013年，價值型共同基金的投資者比他們投資的基金平均回報低131個基點。他們的分析揭示了成長型、大市值、小市值基金的投資者都傾向于這種沒有産出的投資擇時。他們也發現越不成熟的投資者，做出這種糟糕的投資決策的可能性越大。費率較高的基金的投資者比費率低基金的投資者有更大的回報負差距。基金的零售型投資者比機構型投資者有更大的回報負差距。作者提出，這種回報負差距相當于投資者分發了超額收益，價值投資者他們自己提供了價值溢價并且保證了它的可持續性。投資者教育可能幫助個人投資者避免這種負産出的基金交易決策。

關鍵詞：價值溢價，共同基金表現，行為金融，IRR，要素投資

Timing Poorly: A Guide to Generating Poor Returns While Investing in Successful Strategies

Hsu, Jason; Myers, Brett W.; Whitby, Ryan

ABSTRACT

The value premium's persistence and magnitude run counter to the behavioral explanation of the value anomaly. How can investors continue to make the same widely recognized mistake? By examining the difference between mutual funds' reported buy-and-hold or time-weighted returns, and the average dollar-weighted returns or IRRs end investors earn, the authors quantify the consistently negative effect of value investors' market-timing decisions: from 1991 to 2013, value mutual fund investors underperformed the funds they invested in by 131 basis points. Their analysis also reveals that investors in growth, large-cap, and small-cap funds are similarly prone to unproductive allocation timing. They also find that less sophisticated investors tend to make poorer timing decisions. Investors who hold funds with high expense ratios had larger return gaps than those who chose less costly funds, and investors in retail funds underperformed by a greater margin than those who qualified for institutional share-class funds. The authors suggest that, by giving away the excess return, value investors themselves finance the value premium and ensure its continuance. Financial education may help individual investors refrain from trading their funds in a counterproductive fashion.

Keywords: value premium, mutual fund performance, behavioral finance, IRR, factor investing

原文鍊接：

http://xueshu.baidu.com/s?wd=paperuri%3A%28b348ea6f05919d021479aa3b63518df6%29&filter=sc_long_sign&tn=SE_xueshusource_2kduw22v&sc_vurl=http%3A%2F%2Fpapers.ssrn.com%2Fsol3%2Fpapers.cfm%3Fabstract_id%3D2560434&ie=utf-8&sc_us=15557836961507625435

翻譯：陳爽