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

最优化价值

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

摘要：作者通过一系列实证研究，调查了两种常用的价值测度——账面市值比(B/P)和盈利价格比(E/P)的表现。基于Ken French网站数据所做的学术研究显示，1951年至2013年根据E/P构建的投资策略比根据B/P构建的投资策略数据上收益更高，风险更小，但1963年至1990年B/P策略数据上表现更好，也正是基于该研究确立了B/P比率在学术研究中的地位。更偏实务的研究则进一步考虑了流动性和交易成本，其结果显示，将B/P和E/P综合考虑构建的投资策略在1973年至2013年间的大多数十年段内都优于基于单独一种比率构建的投资策略。这种最优化价值的投资策略相较于基于排序分组策略而言，其跟踪误差更低，换手率更低，信息比率更高。另外，添加各行业投资比重约束能够提高最优化价值策略的夏普比率和信息比率。

关键词：资本化，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.

原文链接：http://www.iijournals.com/doi/abs/10.3905/jpm.2016.42.2.077

翻译：陈爽