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【FAJ】在没有行业赌注下的低风险投资

作者:     日期:2018-06-11    来源:

Financial Analyst Journal, Volume 70, Issue4, 2014

在没有行业赌注下的低风险投资

作者:Clifford S. Asness ( AQR Capital Management),

Andrea Frazzini ( AQR Capital Management),

Lasse H. Pedersen ( New York University and AQR Capital Management)

 

摘要:购买安全的低贝塔股票的策略,而卖空(或配置较低权重)风险较高的高贝塔股票(“赌贝塔”)已经显示出显著的风险调整后的收益。然而,有人认为,这种“低风险投资”之所以能够带来高收益,主要是因为针对行业进行投资有利于那些变化缓慢的一系列陈旧但稳定的产业。作者驳斥了这个观点,表明“赌贝塔”策略已经带来了正面的收益,且无论是在单个行业中进行行业中立下注策略亦或是跨行业的纯下注策略均成立。

 

Low-Risk Investing without Industry Bets

Clifford S. Asness ( AQR Capital Management), Andrea Frazzini ( AQR Capital Management), Lasse H. Pedersen ( New York University and AQR Capital Management)

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:

https://www.cfapubs.org/doi/abs/10.2469/faj.v70.n4.1

 

翻译:秦秀婷