Journal of Portfolio Management, Special Issue 2017, Vol. 43, No. 5: pp. 15-37

基于因子的投资：长期证据

作者：Elroy Dimson (Cambridge Judge Business School in Cambridge), Paul Marsh (London Business School in London), Mike Staunton (London Business School in London)

摘要：作为当前流行的投资方法，因子投资正在被越来越多地使用。这种方法被广泛接受的原因之一是投资组合的预期回报似乎是有据可依的。然而，很多所谓的证据是基于重复分析那些一开始就被用来建立投资模型的数据集。为了解决这个问题，作者用了很长的时间区间（长达117年）以及很多市场（高达23个）来估计基于因子投资的风险溢价。文章报告了基于股票市值、价值vs成长性、股息收益率、股票回报动量和低波动率投资这几种投资策略的长期盈利能力。

Factor-Based Investing: The Long-Term Evidence

Elroy Dimson (Cambridge Judge Business School in Cambridge), Paul Marsh (London Business School in London), Mike Staunton (London Business School in London)

ABSTRACT

Factor investing is popular, and its adoption is accelerating. One reason it is increasingly being embraced is that portfolio return expectations seem to be evidence based. However, much of the so-called evidence consists of repeated analysis of the very datasets used to derive an investment model in the first place. To mitigate this trap, the authors estimate the risk premiums earned from factor investing over very long periods (up to 117 years) and across many markets (up to 23). They report on the long-term profitability of following strategies based on market capitalization, value versus growth, dividend yield, stock-return momentum, and low-volatility investing.

原文链接：http://www.iijournals.com/doi/abs/10.3905/jpm.2017.43.5.015

翻译：唐国梅