Financial Analyst Journal, Volume 73, Issue 4, October 2017

最优选择：加入持久性特征的投资组合

作者：Malcolm Baker (Harvard Business School), Ryan Taliaferro (Acadian Asset Management LLC), Terence Burnham (Chapman University)

摘要：我们对1968-2014年美国股票市场进行研究，发现了四组最优的权重设置。我们定义了一个变量“倾向性（tilt）”，将该变量作为投资组合策略的基础特征，该策略要求公司具有一个相对较低的年周转率。这个定义使得投资组合形成一个连续体，它具有小规模的以及持久性的特征，而这个连续体两端具有高频反转的特点。与具有低周转率的企业不同，具有完整的交易成本信息是决定期望收益的关键，因此在分配资产时倾向于那些具有低持久性，高周转率特征的股票。该最优选择的均值方差，无论是在价值、规模以及盈利因子上都大致相等，也与低贝塔最优组合大致相等。值得注意的是，在低贝塔组合中不包括这三个因子。

Optimal Tilts: Combining Persistent Characteristic Portfolios

Malcolm Baker (Harvard Business School), Ryan Taliaferro (Acadian Asset Management LLC), Terence Burnham (Chapman University)

ABSTRACT

We examine the optimal weighting of four tilts in US equity markets over 1968–2014. We define a “tilt” as a characteristics-based portfolio strategy that requires relatively low annual turnover. This definition forms a continuum, with small size, a very persistent characteristic, at one end of the spectrum and high-frequency reversal at the other. Unlike with low-turnover tilts, a full history of transaction costs is essential for determining the expected return of, and thus the optimal allocation to, less persistent, more turnover-intensive characteristics. The mean–variance-optimal tilts toward value, size, and profitability are roughly equal to each other and to the optimal low-beta tilt. Notably, the low-beta tilt is not subsumed by the other three.

原文链接：http://www.cfapubs.org/doi/abs/10.2469/faj.v73.n4.1

翻译：秦秀婷