Financial Analyst Journal, Volume 73, Issue 2, Second Quarter 2017

关于公式化价值投资的一些事实

作者：U-Wen Kok (Victory Capital Management), Jason Ribando (Arch Mortgage Insurance Company), Richard Sloan (University of California)

摘要： 在量化投资领域，“价值投资”一词被广泛使用。该策略使用一般的基本指标（诸如账面价值、收益）与市场价格的比率。这类策略的一个共同的特点是不需要花费大量精力去计算证券的内在价值。本文介绍了关于这类策略的两个事实：其一，几乎没有任何可信的证据表明这类策略为美国股市带来任何优越的投资表现。其二，这类策略并未识别出被低估的股票，反而系统性的识别出了那些临时夸大会计数字的公司。因此我们认为，这类策略不应与使用综合方法确定证券内在价值的价值投资策略相混淆。

Facts about Formulaic Value Investing

U-Wen Kok (Victory Capital Management), Jason Ribando (Arch Mortgage Insurance Company), Richard Sloan (University of California)

ABSTRACT

The term “value investing” is increasingly being adopted by quantitative investment strategies that use ratios of common fundamental metrics (e.g., book value, earnings) to market price. A hallmark of such strategies is that they do not involve a comprehensive effort to determine the intrinsic value of the underlying securities. We document two facts about such strategies. First, there is little compelling evidence that these strategies deliver superior investment performance for US equities. Second, instead of identifying undervalued securities, these strategies systematically identify companies with temporarily inflated accounting numbers. We argue that these strategies should not be confused with value strategies that use a comprehensive approach in determining the intrinsic value of the underlying securities.

原文链接：

https://www.cfapubs.org/doi/pdf/10.2469/faj.v73.n2.2

翻译：秦秀婷