Journal of Portfolio Management, Spring 2017, Vol. 43, No. 3: pp. 60-76

一个从业者对收益可预测性的辩护

作者：Blair Hull (Ketchum Trading, LLC and Hull Investments, LLC in Chicago), Xiao Qiao (SummerHaven Investment Management, LLC in Stamford, CT)

摘要：重新审视收益可预测性的问题，作者发现预测性变量的结合有很强的预测能力。通过相关性筛选（correlation screening），作者将收益预测性文献中已发现的20个变量结合在一起，发现这些变量的结合在6个月内有预测能力。通过向前模拟（walk-forward simulation），即按照模型预测的风险溢价的一定比例来持有SPDR S&P500 ETF Trust（SPY），作者解释了收益可预测性的经济显著性。模拟策略产生的年回报率是购买并持有策略收益率的两倍以上，夏普比率是其4倍。为了消除前视偏误（look-ahead bias），作者进行了额外的模拟，即只包括文献中已发现的变量。结果发现了类似的年回报率和夏普比率。作者认为，虽然市场择时策略优于市场，但是难以实施。

A Practitioner’s Defense of Return Predictability

ABSTRACT

Revisiting the issue of return predictability, the authors show that there is substantial predictive power in combining forecasting variables. Applying correlation screening to combine 20 variables that have been proposed in the return predictability literature, the authors demonstrate forecasting power at a six-month horizon. They illustrate the economic significance of return predictability through a walk-forward simulation, which takes positions in the SPDR S&P 500 ETF Trust (SPY) proportional to the model forecasted equity risk premium. The simulated strategy yields annual returns more than twice that of the buy-and-hold strategy, with a Sharpe ratio four times as large. To eliminate look-ahead bias, the authors perform additional simulations, while including variables only as they are discovered in the literature. Results show similar annual returns and Sharpe ratios. Although a market-timing strategy outperforms the market, the authors maintain that it is difficult to implement.

原文链接：http://www.iijournals.com/doi/abs/10.3905/jpm.2017.43.3.060

翻译：唐国梅