计量经济分析 = Econometric analysis

Investor Psychology and Security Market Under- and Overreactions

Investors face numerous challenges when seeking to estimate the prospective performance of a longonly investment in commodity futures. For instance, historically, the average annualized excess retu...

The Strategic and Tactical Value of Commodity Futures

International Momentum Strategies

Neural networks are used in business organizations for providing intelligent decision support. The ABI/Inform bibliographic database has over 1 000 publications on business-related research in neur...

A bibliometric analysis

This article revisits the findings (published in this journal) of Jeffrey and Arnott, who reported that over 95% of active managers underperformed a capitalization-weighted index fund on an after-tax basis. The authors posit that much has changed in the quarter century since the publishing of that article, including increased tax awareness on the part of investors and advancements in the tax efficiency of some investment funds and vehicles; thus, investors may now have a better opportunity to generate alpha that is big enough to cover its taxes. The authors measure the degree to which fund characteristics affect a fund’s tax burden and compare the tax efficiency of investing in exchange-traded funds and mutual funds. The authors calculate the after-tax returns of funds and examine whether new categories of funds (e.g., smart beta) are better at generating after-tax alpha than their active and passive fund peers.

Is Your Alpha Big Enough to Cover Its Taxes? A Quarter-Century Retrospective

The concept of Clairvoyant Value, introduced in Arnott, Li and Sherrerd (2009), allows us to explore how the market prices in future growth expectations, across securities, and over time In this paper, we find both concurrent and predictive links between the intertemporal change in the Valuation Dispersion - the relative valuation gap between growth and value stocks - and the observed growth/value “cycle” in the market On average, that dispersion is twice as wide as subsequent financial results would justify - the market historically has overpaid for growth Also, historically, a wide dispersion of valuation multiples tends to precede a period of exceptional performance for value stocks relative to growth stocks Finally, we address the total wealth effect of investing in a Clairvoyant Value portfolio Clairvoyance on a company’s future business prospects is valuable, but perhaps a bit less so than most investors might surmise

Clairvoyant Value and the Growth/Value Cycle

(1986). Cluster Analysis and Manager Selection. Financial Analysts Journal: Vol. 42, No. 6, pp. 20-28.

Cluster Analysis and Manager Selection

We cannot pursue returns sensibly without measuring our risks sensibly. For pension funds, three risks—not classic standard deviation alone—must be the focus: (1) falling short of our peers, (2) losing money, and (3) underperforming our liabilities (or, for endowments and foundations, failing to meet the obligations that the assets serve). Investment committees and consultant should measure results against all three metrics. If they do, they should welcome a goal of exceeding any two goals in most years. The result would be to unshackle investment professionals from their peer groups.

Can We Keep Our Promises

This is the first in a series of papers we will publish in 2017 that demonstrate factor tilts generally deliver far less alpha in live portfolios than they do on paper, or put another way, investment managers generally fail to capture the returns that would be expected based on their factor tilts. We break our research into four parts. In this paper we show that the factor returns realized by fund managers differ starkly from the theoretical factor returns constructed from long–short paper portfolios. Notably, the market, value, and momentum factors are far less rewarding in live fund management than their theoretical long–short paper portfolio returns. 
In the second paper of the series, we challenge the idea that factor tilts — portfolios combining several theoretical factor portfolios — are the same as smart beta strategies. We show, using Fundamental Index™, equal-weight, and low-volatility strategies as illustrative examples, that factor tilts cannot successfully replicate smart beta strategies. Although the factor tilts of these strategies are easy to replicate, the resulting portfolios look very different from the originals, with the replication portfolios having far higher turnover, lower performance, and smaller capacity. 
In a third paper of the series, we show that the relative valuations of factor loadings can give us the courage to buy mutual funds when factor tilts are at their cheapest, hence, the most out of favor. Along with fees, turnover, and past performance — where low fees, low turnover, and low (yes, low!) past performance are predictive of better future returns — factor loadings can help us improve our forecasts of fund returns. We find the best predictor is prior three-year performance, but with the wrong sign: buying the losers is the winningest strategy. 
Finally, a fourth paper will take a closer look at momentum, for which we find the realized alpha in live portfolios is essentially zero compared to a theoretical alpha of around 6% a year. We show why momentum doesn’t work in live portfolios, and also show how momentum can be saved as a useful source of alpha.

Robert D. Arnott

Papers

Is Your Alpha Big Enough to Cover Its Taxes? A Quarter-Century Retrospective

Clairvoyant Value and the Growth/Value Cycle

Cluster Analysis and Manager Selection

Can We Keep Our Promises

The Incredible Shrinking Factor Return