Financial Analysts Journal·VOL73,NO.2·April/May 2016.

公式化价值投资的事实

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

摘要：量化投资策略越来越多地采用“价值投资”这一术语，这些策略使用共同的基本指标（例如账面价值，收益）与市场价值的比值。这些策略的一个特点是，它们不使用综合方法来确定相关证券的内在价值。我们记录了有关这些策略的两个事实。首先，没有什么有说服力的证据表明这些策略为美国股票提供了优异的投资表现。第二，这些策略不是识别被低估的证券，而是系统地识别出具有暂时膨胀的会计数据的公司。我们认为，这些策略不应与使用综合方法确定相关证券的内在价值的价值战略相混淆。

Facts about Formulaic Value Investing

U-Wen Kok (Victory Capital Management), Jason Ribando (Arch Mortgage Insurance Company), Richard Sloan (Haas School of Business, 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： http://www.cfapubs.org/doi/pdf/10.2469/faj.v73.n2.2

翻译：赵胜旺