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

低波动周期：估值和动量对低波动性投资组合的影响

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

摘要：已有的研究表明，风险最低的股票随着时间推移往往跑赢风险最高的股票，这导致了近几年所谓的“低风险股票投资”的快速增长。作者同时考察了往期文献中所提出的低风险策略，和在实践中更具有相关性的beta中性低风险策略的表现。他们发现低风险投资的历史业绩，就像任何量化投资策略一样，是随时间变化的。他们也发现低风险策略表现出的对知名价值、大小和动量因素的动态暴露，并且是受整体经济环境的影响。他们的研究结果表明，低风险策略绩效的时间变动性可能是受构建低风险组合策略的方法、市场环境、相关估值溢价的影响。

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.

原文链接：http://www.cfapubs.org/doi/pdf/10.2469/faj.v71.n3.2

翻译：王冰伦