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

Value investing, as defined by the Fama–French high book-to-market minus low book-to-market (HML) factor, has underperformed growth investing since 2007, producing a drawdown of 55% as of mid-2020....

https://www.tandfonline.com/doi/pdf/10.1080/0015198X.2020.1842704

Reports of Value’s Death May Be Greatly Exaggerated

A s the adage implies, taxes are unavoidable, as we are all made acutely aware each quarter and each April. Beyond individual investors, virtually all companies also contend with taxes, not only on operating earnings but also on large segments of their investable assets. Apart from corporate cash balances, there are insurance reserves, VEBA trusts for prefunding postretirement medical costs, Nuclear Decommissioning Trusts (NDTs) for nuclear utilities, non-qualified pensions for senior management, and so forth. The aggregate taxable money that companies invest actually exceeds the value of the tax-exempt money in pensions, endowments, foundations, and the like. Yet most of these assets are invested as if taxes do not matter. Despite the significance of taxes, most institutional management of taxable assets does not get the attention that it deserves. We have seen tangible evidence of this in the mutual fund arena. Jeffrey and Arnott [1993] showed the ten-year pretax and after-tax growth of a dollar invested in various mutual funds, seen in Exhibit 1. The Vanguard Index fund beat about three-fourths of all mutual funds before taxes. What is especially noteworthy is that its after-tax return beat all but 6 of 71 mutual funds. Fewer than one in ten mutual fund managers beat the indexers on an after-tax basis, and only two beat them by any meaningful margin. Identifying those 2 out of 71 funds in advance would be a neat trick. The picture becomes worse when we consider the margin of victory for the winners and the margin of loss for the losers. The average margin of gain for the six winners is a mere 90 basis points per year. The 65 who lose value relative to the index lost an average of 310 basis points per year for a decade. Results for the most recent decade are just as compelling, as seen in Arnott, Berkin, and Ye [2000]. For the past ten years, only 33 of 355 funds beat the index, with an average outperformance of 1.80%. The 322 underperformers lost an average of 4.79% compared to the Vanguard Index fund. These results confirm that adding value in actively managed portfolios is a difficult challenge. This task is further complicated by taxes. On an after-tax basis, there are even fewer outperforming funds, and the average fund underperformed the index by 50 to 150 basis points more than it had pretax. Despite this gloomy scenario, finding alpha through tax avoidance and tax deferral is actually an easy task. Basically, to succeed in taxable investing, an investor should avoid taxes that can be avoided; defer taxes that can be deferred; add value in areas where the investor has skill; avoid trading in areas where the investor lacks skill; and eliminate errors in each of these decisions. The Management and Mismanagement of Taxable Assets

The Management and Mismanagement of Taxable Assets

This presentation comes from the Improving Portfolio Performance With Quantitative Models conference held in New York on April 13, 1989.

Forecasting factor returns: An intriguing possilbility

(1980). Cluster Analysis and Stock Price Comovement. Financial Analysts Journal: Vol. 36, No. 6, pp. 56-62.

Robert D. Arnott

Papers

Reports of Value’s Death May Be Greatly Exaggerated

The Management and Mismanagement of Taxable Assets

Forecasting factor returns: An intriguing possilbility

Cluster Analysis and Stock Price Comovement

Systematic Asset Allocation