Critical Finance Review, 2015, 4: 117–138

投资组合收益的来源之注解：标的股票的收益及超额增长率

作者：Jason T. Greene (Southern Illinois University Carbondale), David Rakowski (University of Texas at Arlington)

摘要：投资组合随时间的复合收益率不是简单地平均加总其标的股票复合收益率。相反，它是由（a）标的成份股票的复合收益率以及（b）成份股协方差导致的成分两部分组成。这可能是重要的。市值的最小十分位数组合平均每月跑赢其对应的最大市值组合44个基点（基点/月），然而市值的最小十分位数组合中的成份股平均跑输最大市值组合的成份股74基点/月。因此，“规模效应”不是一个小公司效应，而是一个小公司投资组合的效应。相比之下，我们的账面市值比（HML）和动量（UMD）投资组合表现较好是因为它们的成份个股平均上跑赢了大盘。价值效应和动量效应既是投资组合效应，也是个股效应。

关键词：投资组合收益，投资组合增长率，规模效应，长期收益

A Note on the Sources of Portfolio Returns: Underlying Stock Returns and the Excess Growth Rate

Jason T. Greene (Southern Illinois University Carbondale), David Rakowski (University of Texas at Arlington)

ABSTRACT

A portfolio’s compound return over time is not simply the weighted sum of the compound returns of its underlying stocks. Instead, it is due to (a) the underlying constituent stocks’ compound returns, and (b) a component induced by constituent covariances. This can be important. The average smallest-cap decile portfolio outperformed its largest-cap counterpart by 44 basis points per month (bps/mo), but the smallest-cap decile stock constituents on average underperformed their largest-cap counterparts by 74 bps/mo. Thus, the “size effect" is not a small-firm effect, but a small-firm portfolio effect. In contrast, our high-minus-low (HML) and up-minus-down (UMD) portfolios outperformed because their individual stock constituents outperformed on average. Value and momentum are simultaneously portfolio and individual stock effects.

Keywords: Portfolio Returns, Portfolio Growth Rates, Size Effect, Long-Term Returns

原文链接：http://cfr.ivo-welch.info/readers/pub/cfr-025.pdf

翻译：任兆月