Financial Analysts Journal·VOL 70, NO. 4·JULY/AUGUST 2014

无行业对赌的低风险投资

作者：Clifford S. Asness, Andrea Frazzini, and Lasse H. Pedersen

摘要：购买安全的低贝塔值的股票，同时卖空（或减持）风险较高的高贝塔值的股票（“贝塔对赌”），这个策略已经被证明能够提供显著的风险调整回报。但是有人认为，这种“低风险投资”带来的高回报主要是因为行业对赌，这种对赌通常更青睐一些缓慢变化的、普通稳定的行业。本文作者反驳了这个观点，认为贝塔对赌策略既适用于同一行业内部，又适用于不同行业之间，即无论是行业中性对赌，还是纯对赌，带来的收益均为正。

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.

原文链接：

http://www.cfapubs.org/doi/pdf/10.2469/faj.v70.n4.1

翻译：王冰伦