Financial Analyst Journal, Volume 70, Issue5, 2014

杠杆组合绩效的决定因素

作者：Robert M. Anderson (University of California)

Stephen W. Bianchi(University of California)

Lisa R. Goldberg(University of California)

摘要：杠杆策略的累积回报取决于五个因素，它们通过一个简单而有用的公式结合在一起。一个在以前没有被证实的因素是杠杆与超额收益比上在五因子策略基础上投入全部资源之间的协方差。在1929-2013年的84年期间以波动为目标的策略的实证研究中，该协方差会导致收益减少，且在所有情况下都大大降低了夏普比率。

Determinants of Levered Portfolio Performance

Robert M. Anderson (University of California), Stephen W. Bianchi(University of California), Lisa R. Goldberg(University of California)

ABSTRACT

The cumulative return to a levered strategy is determined by five elements that fit together in a simple and useful formula. A previously undocumented element is the covariance between leverage and excess return to the fully invested source portfolio underlying the strategy. In an empirical study of volatility-targeting strategies over the 84-year period 1929–2013, this covariance accounted for a reduction in return that substantially diminished the Sharpe ratio in all cases.

原文链接：

https://www.cfapubs.org/doi/abs/10.2469/faj.v70.n5.6

翻译：秦秀婷