Financial Analyst Journal, Volume74, Issue4, 2018

巴菲特的阿尔法

作者：Andrea Frazzini (AQR Capital Management)

David Kabiller (AQR Capital Management)

Lasse Heje Pedersen(Copenhagen Business School)

摘要：沃伦·巴菲特（Warren Buffett）旗下的伯克希尔哈撒韦公司（Berkshire Hathaway）的夏普比率为0.79，与传统风险因素相比具有显著的阿尔法。然而，当我们控制BAB因子（Betting Against Beta）和品质因子（Quality minus Junk）时，阿尔法几乎消失。此外，我们计算得出巴菲特的平均杠杆率约为1.7比1。 因此，巴菲特的回报似乎既不是运气也不是魔术，而是利用廉价，安全，优质股票所得到的回报。我们将伯克希尔的投资组合分解为公开交易股票和全资私人公司，发现公开股票表现最好，这表明巴菲特的回报更多是择股的结果，而不是他对公司管理层的影响。

Buffett’s Alpha

Andrea Frazzini (AQR Capital Management), David Kabiller (AQR Capital Management), Lasse Heje Pedersen(Copenhagen Business School)

ABSTRACT

Warren Buffett’s Berkshire Hathaway has realized a Sharpe ratio of 0.79 with significant alpha to traditional risk factors. The alpha became insignificant, however, when we controlled for exposure to the factors “betting against beta” and “quality minus junk.” Furthermore, we estimate that Buffett’s leverage is about 1.7 to 1, on average. Therefore, Buffett’s returns appear to be neither luck nor magic but, rather, a reward for leveraging cheap, safe, high-quality stocks. Decomposing Berkshire’s portfolio into publicly traded stocks and wholly owned private companies, we found that the public stocks have performed the best, which suggests that Buffett’s returns are more the result of stock selection than of his effect on management.

原文链接：

https://www.cfapubs.org/doi/abs/10.2469/faj.v74.n4.3

翻译：秦秀婷