The Journal of Portfolio Management Winter 2018, 44 (3) 33-42

低波动率需要更少的交易

作者：Pim van Vliet（Conservative Equities at Robeco Asset Management in Rotterdam, the Netherlands.）

摘要：作者指出，有效的低波动率策略只需要少量的交易。关于低波动率投资的实证文献揭示了交易数量与风险减少之间的一个凹性关系。投资组合模拟证实了这种非线性模式，在这种模式中，成交量的每一次增加将导致波动率边际减少的幅度降低。一般来说，与市场指数相比，30%的适度交易水平足以使投资组合的波动率降低25%。此外，低波动率的股票流动性相对较强，交易成本也较低，这主要是因为它们的市值比普通股票要大得多。收益递减法则也适用于其他的阿尔法因子，如价值和动量，将它们整合为一个多因子的低波动率策略，是在低交易成本中增加因子暴露的有效方法。

Low Volatility Needs Little Trading

Pim van Vliet（Conservative Equities at Robeco Asset Management in Rotterdam, the Netherlands.）

ABSTRACT

The author shows that an efficient low-volatility strategy only needs a little amount of trading. The empirical literature on low-volatility investing reveals a concave relation between the amount of trading and the risk reduction. Portfolio simulations confirm this non-linear pattern in which each increase in turnover results in smaller marginal reductions in volatility. In general a moderate trading level of 30% is enough to reduce portfolio volatility by 25% compared with the market index. In addition, low-volatility stocks are relatively liquid and cheap to trade, primarily because they are much larger than the average stock. The law of diminishing returns also applies to other alpha factors such as value and momentum and integrating them into a multi-factor low-volatility strategy is an efficient way to increase factor exposure at low trading costs.

原文链接：

http://jpm.iijournals.com/content/44/3/33

翻译：黄涛