“Factor investing”的意思、由来-开放百科全书

A factor-based investment strategy involves tilting equity portfolios towards and away from specific factors in an attempt to generate long-term investment returns in excess of benchmarks. The approach is quantitative and based on observable data, such as stock prices and financial information, rather than on opinion or speculation.^[4]^[5]

History and evolution

The earliest theory of factor investing originated with a research paper by Stephen A. Ross in 1976 on Arbitrage Pricing Theory, which argued that security returns are best explained by multiple factors.^[6] Prior to this, the Capital Asset Pricing Model (CAPM), theorized by academics in the 1960s, held sway. CAPM held that there was one factor that was the driver of stock returns and that a stock’s expected return is proportional to its beta, or sensitivity to equity market returns.^[7]^[8]

In the following decades, academic research has identified more factors that impact stock returns. For example, in 1981 a paper by Rolf Banz established a size premium in stocks—that smaller company stocks outperform larger companies over long time periods.^[9]

In 1992, Eugene F. Fama and Kenneth B. French published a seminal paper that demonstrated a value premium, or the fact that expected returns of value stocks were higher than for growth stocks.

In 1993, Sheridan Titman and Narasimhan Jegadeesh showed that there was a premium for investing in high momentum stocks.^[10] Other significant factors that have been identified are measures of corporate profitability, asset growth, external financing, leverage and research and development costs.^[11]^[12]^[13]

The value factor

The earliest and most well-known factor is value, which can be defined primarily as change in the market valuation of earnings per share ("multiple expansion"), measured as the PE ratio. The opportunity to capitalize on the value factor arises from the fact that when stocks suffer weakness in their fundamentals, the market typically overreacts to it and values them extremely cheaply relative to their current earnings. A systematic quantitative value factor investing strategy therefore buys those stocks at their cheapest point and holds them until the market becomes less pessimistic about their prospects and re-values their earnings.^[14]

References

1. ^{{Cite journal|last=Fisher|first=Gregg|last2=Shah|first2=Ronnie|last3=Titman|first3=Sheridan|date=2015-03-23|title=Combining Value and Momentum|url=https://papers.ssrn.com/abstract=2472936|journal=Journal of Investment Management|volume=14|pages=|via=}}
2. ^{{Cite journal|last=Harvey|first=Campbell R.|last2=Liu|first2=Yan|last3=Zhu|first3=Heqing|date=2016-01-01|title=… and the Cross-Section of Expected Returns|journal=Review of Financial Studies|language=en|volume=29|issue=1|pages=5–68|doi=10.1093/rfs/hhv059|issn=0893-9454}}
3. ^{{cite book |last1=Swedroe |first1=Larry |title=Your Complete Guide to Factor-based Investment |date=2016-10-07 |isbn=0692783652}}
4. ^{{Cite journal|last=Fama|first=Eugene F.|last2=French|first2=Kenneth R.|date=1992|title=The Cross-Section of Expected Stock Returns|jstor=2329112|journal=The Journal of Finance|volume=47|issue=2|pages=427–465|doi=10.2307/2329112|citeseerx=10.1.1.556.954}}
5. ^{{Cite journal|last=Maymin|first=Philip|last2=Fisher|first2=Gregg|date=2011-04-11|title=Past Performance is Indicative of Future Beliefs|url=https://papers.ssrn.com/abstract=1746864|journal=Risk and Decision Analysis|volume=13|pages=145–150|via=}}
6. ^{{Cite journal|date=1976|title=The Arbitrage Theory of Capital Asset Pricing|url=https://www.top1000funds.com/wp-content/uploads/2014/05/The-Arbitrage-Theory-of-Capital-Asset-Pricing.pdf|journal=Journal of Economic Theory|volume=13|issue=3|pages=341–360|via=|doi=10.1016/0022-0531(76)90046-6|last1=Ross|first1=Stephen A.}}
7. ^{{Cite journal|last=Wei|first=K. C.|last2=Xie|first2=Feixue|last3=Titman|first3=Sheridan|date=2003-09-01|title=Capital Investments and Stock Returns|url=https://papers.ssrn.com/abstract=441584|journal=The Journal of Financial and Quantitative Analysis|volume=39|issue=4|pages=677–700|via=|doi=10.1017/S0022109000003173}}
8. ^{{Cite journal|last=Novy-Marx|first=Robert|date=2013|title=The other side of value: The gross profitability premium|url=https://econpapers.repec.org/article/eeejfinec/v_3a108_3ay_3a2013_3ai_3a1_3ap_3a1-28.htm|journal=Journal of Financial Economics|volume=108|issue=1|pages=1–28|issn=0304-405X|doi=10.1016/j.jfineco.2013.01.003|citeseerx=10.1.1.646.914}}
9. ^{{Cite journal|last=BANZ|first=Rolf W.|date=1981|title=THE RELATIONSHIP BETWEEN RETURN AND MARKET VALUE OF COMMON STOCKS|journal=Journal of Financial Economics|volume=9|pages=3–18|citeseerx=10.1.1.554.8285|doi=10.1016/0304-405X(81)90018-0}}
10. ^{{Cite journal|last=Jegadeesh|first=Narasimhan|date=July 1990|title=Evidence of Predictable Behavior of Security Returns|url=http://finance.martinsewell.com/stylized-facts/dependence/Jegadeesh1990.pdf|journal=The Journal of Finance|volume=45|issue=3|pages=881–898|via=|doi=10.1111/j.1540-6261.1990.tb05110.x}}
11. ^{{Cite journal|last=Jegadeesh|first=Narasimhan|last2=Titman|first2=Sheridan|date=1993|title=Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency|jstor=2328882|journal=The Journal of Finance|volume=48|issue=1|pages=65–91|doi=10.2307/2328882|citeseerx=10.1.1.597.6528}}
12. ^{{Cite journal|last=Bollen|first=Nicolas|last2=Fisher|first2=Gregg|date=2012-07-03|title=Send in the Clones? Hedge Fund Replication Using Futures Contracts|url=https://papers.ssrn.com/abstract=2102593|journal=The Journal of Alternative Investments|volume=16|issue=2|pages=80–95|via=|doi=10.3905/jai.2013.16.2.080}}
13. ^{{Cite journal|last=Fisher|first=Gregg S.|last2=Shah|first2=Ronnie|last3=Titman|first3=Sheridan|date=2017-10-31|title=Should You Tilt Your Equity Portfolio to Smaller Countries?|url=http://jpm.iijournals.com/content/44/1/127|journal=The Journal of Portfolio Management|language=en|volume=44|issue=1|pages=127–141|doi=10.3905/jpm.2017.44.1.127|issn=0095-4918}}
14. ^{{Cite web|url=https://osam.com/Commentary/factors-from-scratch|title=Factors from Scratch {{!}} O'Shaughnessy Asset Management|website=osam.com|access-date=2018-09-06}}