The Journal of Portfolio Management Winter 2018, 44 (3) 25-32;

投资过程中的择时和规模技巧

作者：Ronald J.M. Van Loon（BlackRock in London, U.K.）

摘要：本文分析了择时技巧和规模技巧对信息比率（IR）的影响。作者认为，风险调整后的收益可以分解为命中率、盈亏比和宽度。命中率代表市场择时的技巧，衡量的是投资决策被证明是正确的相对频率。盈亏比代表规模调整的技巧，衡量损益的相对大小。结果表明，即使大多数投资决策被证明是不正确的，也有可能实现正的信息比率。作者考虑了“肥尾”，并表明理论结果与其他论文的实证结果和模拟结果相违背，而且在违反基本假设的情况下也是如此。该框架可用于将投资过程中的技巧分解为择时和规模维度。

Timing versus Sizing Skill in the Investment Process

Ronald J.M. Van Loon（BlackRock in London, U.K.）

ABSTRACT

This article analyses the effects of skill in timing and skill in sizing on the Information Ratio (IR). The author shows that risk-adjusted returns can be decomposed into the Hit Ratio, the Win/Loss Ratio, and Breadth. The Hit Ratio represents skill in market timing and measures the relative frequency of investment decisions that prove correct. The Win/Loss Ratio represents skill in position sizing and measures the relative magnitude of profits versus losses. The results show that it is possible to realise positive IRs even when most investment decisions prove incorrect. The author allows for fat tails and shows that the theoretical results hold against empirical results from other papers and against simulations, also when the underlying assumptions are violated. The framework can be used to decompose skill underlying an investment process into a timing and sizing dimension.

原文链接：

http://jpm.iijournals.com/content/44/3/25

翻译：黄涛