The Journal of Portfolio Management, Spring 2016, Vol. 42, No. 3: pp. 101-113

关于资产类别层面价值和动量应用的案例研究

作者：Victor Haghani (founder and CEO of Elm Partners), Richard Dewey (portfolio associate at PIMCO)

摘要：本文探索一种由价值因子和动量因子驱动的全球性多样化资产配置策略🧑🏻‍🦼‍➡️。作者发现依据价值和动量进行资产配置调整🛃，可以产生更高、更好质量的收益率，且无论是统计层面🏒，还是经济层面，这一效应都十分显著。与现有文献不同之处在于，本研究通过仅做多的方法考察了资产类别层面的价值效应和动量效应🧑🏽‍🎓。另外👩🏿‍🎤，研究中作者对价值和动量使用简单的非最优化指标，从而减少了结果来源于数据挖掘的可能性。最终，通过对1975-2013年的样本数据研究发现基于价值和动量指标的动态资产配置可以带来约266个基点的超额年收益率。

A Case Study for Using Value and Momentum at the Asset Class Level

Victor Haghani (the founder and CEO of Elm Partners), Richard Dewey (a portfolio associate at PIMCO)

ABSTRACT

This article explores a globally diversified asset allocation strategy driven by value and momentum factors. The authors find that adjusting for value and momentum yields higher and better quality returns that are statistically and economically significant. This research differs from the existing literature in that it examines the value and momentum effects at the asset class level and uses a long-only approach. The research employs simple nonoptimized metrics for value and momentum, which reduce the chances that the authors’ results are attributable to data mining. The authors find that dynamic asset allocation based on simple valuation and momentum metrics would have added roughly 266 basis points of excess annualized return over the sample period 1975–2013.

原文链接：

http://www.iijournals.com/doi/abs/10.3905/jpm.2016.42.3.101

翻译：吴雨玲