Financial Analyst Journal, Volume 71, Issue3, 2015

低波动周期：价值和动量因子对低波动组合的影响

作者：Luis Garcia-Feijóo (Florida Atlantic University), Lawrence Kochard (University of Virginia Investment Management Company), Rodney N. Sullivan(AQR Capital Management), Peng Wang( University of Virginia Investment Management Company)

摘要：研究表明，随着时间的推移，风险最低的股票的表现往往会超过风险最高的股票，导致近年来所谓的低风险股权投资迅速增长。作者研究了先前文献中所考虑的低风险策略和在实践中更相关的β-中性低风险策略的表现。他们发现，类似于任何定量投资策略，低风险投资的历史表现都是随时间变化的。他们还发现，两种低风险策略都表现出对有名的价值因子、规模因子和动量因子的动态变动，并且似乎还受到整体经济环境的影响。他们的研究结果表明，低风险策略表现的随时间变动可能受到构建低风险投资组合策略的方法、市场环境和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 (Florida Atlantic University), Lawrence Kochard (University of Virginia Investment Management Company), Rodney N. Sullivan(AQR Capital Management), Peng Wang( University of Virginia Investment Management Company)

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：

https://www.cfapubs.org/doi/abs/10.2469/faj.v71.n3.2

翻译：秦秀婷