【漫步华尔街?第897期】Smart beta策略的稳健性

Smart beta策略引起了全球资产管理行业的极大关注。该策略之所以引起人们的广泛关注，有以下几点原因。Smart beta策略倾向于研究诸如价值，动量，质量和低波动性等股票因子（或信号），从而试图利用市值加权（纯被动）投资组合的低效率。股票市值加权投资组合可能是低效率的，因为被高估的股票权重过大而被低估的股票权重过小。因此，市值加权投资组合可能无法提供最大单位风险报酬。与此相反，许多学术研究表明，总的来说，在分析股票因子的基础上形成的投资组合比股票市场能提供更高的回报和/或更低的风险。Smart beta策略仍然相对较新，但各种形式的基于因子分析的投资已经存在了几十年。特别是，许多传统的主动投资经理人长期倾向于那些价值、动量、质量具有吸引力和波动性小的股票。投资者获取这些股票因子的方式是新颖的。投资者现在可以使用简单和透明的方法来接触股票因素，而不是依靠主动投资经理人。这样，smart beta策略就同时具有主动投资和被动投资的特性。一方面，类似于积极投资，smart beta战略提供了获得超额收益的可能性；另一方面，和被动投资一样，smart beta战略遵循低成本、基于规则的方法。近年来，一直有稳定的新资金流入smart beta策略。例如，晨星公司的统计显示，在过去五年中，基于因子的交易所交易基金（ETF）的资产已从约1,500亿美元增长到超过4,500亿美元。虽然smart beta策略吸引了大流量的资金，但相对于投资在传统的主动和纯被动产品的资产来说，投资在这些策略中的资产仍然很少。我们认为目前这样的资金配置是适度的，因为人们对这些新策略存在三点主要的担忧。首先，一些投资者担心Smart beta策略的稳健性。虽然怀疑者可能质疑这项研究的可靠性，以及投资者应该对股票因子的回报潜力有多大的信心，但是学术研究表明这些策略在历史上有很强的表现。第二，鉴于Smart beta产品越来越普及，投资者们担心股票因子投资组合是否已经被高估。最后，一些投资者不确定应该如何评估Smart beta策略。有许多不同的方法可供选择，并且有不同的方法来执行它们。投资者应该使用什么概念框架来评估这些传统主动或被动投资的替代方案呢？

稳健性

稳健性可能是所有实证研究的一个问题，并且是开发和评估任何新投资策略时的一个关键因素。一些投资者担心，在smart beta策略下，用股票因子的强劲历史表现来预测未来表现并不合适。例如，策略的历史业绩可能被那些交易成本高且流动性低的小盘股的强劲回报所抬升。稳健性可能受到数据挖掘、过度拟合和小样本量的影响。但是稳健性真的是Smart beta投资的一个严重问题吗？支持这些策略的研究是否受到了数据挖掘和其他偏见的不利影响？许多关于股票价格异象的学术研究在几十年前首次进行，并且经受住了时间的考验。 例如，Black，Jensen和Scholes（1972）和Haugen和Heines（1975）证明了股票风险和收益之间没有正相关性，而在四十多年前确实是这样。这些研究为低风险投资的潜在好处提供了坚实的基础，并且表明最近大多数支持这种方法的研究实际上是样本外的。投资者不应该仅依赖一小部分研究来支持smart beta方法的优点。事实上，有大量的学术研究表明，因子加权股票投资组合比市值加权市场组合具有更强的历史表现，这些研究证明了基于因子投资的好处。市值加权投资组合具有缺点，而Smart beta策略具有稳健性。虽然单个研究的结果可能不是确切的，但是一些产生了类似结论的研究增强了这一观点的可信性。我们认为，Smart beta策略的另一个吸引点在于它们有坚实可靠的经济原理做支撑。持续存在的市场摩擦和众所周知的投资者有限理性行为证明了基于因素的投资的有效性。特别是，太多的投资者喜欢彩票——可能产生高收益的高风险股票。随着投资者涌入这些股票，他们的群体行为导致潜在的泡沫，许多高价股票被高估。因此，具有魅力的高风险股票往往收益不佳，而这恰恰与资本资产定价模型相反。因为在资本资产定价模型中，高风险股票应该带来更高的预期回报。事实上，选择低风险、高质量价值股票的投资组合历来都有更好的表现。

附英文原文（节选）：Smart beta equity strategies—also called strategic beta, alternative beta and advanced beta—areattractingtremendous attention within the global asset management industry. The broad appealof smart beta strategies has several explanations. Smart beta strategies tilt towards commonequity factors (or signals) such as value, momentum, quality and low volatility, and therebyattempt to exploit the inefficiencies of market cap-weighted (pure passive) portfolios. Cap-weightedportfolios (such as the market) may be inefficient because they overweight stocks thatare overvalued and underweight stocks that are undervalued. As a result, cap-weighted portfoliosmay not provide the maximum return per unit of risk. In contrast, numerous academic studiesshow that portfolios formed on the basis of common equity factors have the potential to deliverhigher returns and/or lower risk than the equity market as a whole.Smart beta strategies remain relatively new, but various forms of factor-based investing havebeen around for several decades. In particular, many traditional active managers have long tiltedtowards stocks that have attractive value, momentum, quality and low volatility characteristics.What is new is the way that investors can access these common equity factors. Rather thanrelying on active managers, investors can now get exposure to common equity factors usingsimple and transparent approaches. In this way, smart beta strategies have elements of bothactive and passive investing (see Exhibit 1). Similar to active investing, smart beta strategies offerthe potential for outperformance, and like passive investing, smart beta strategies seek to follow alow-cost, rules-based methodology.In recent years, there has been a steady flow of new money into smart beta strategies. Forinstance, according to Morningstar, assets in factor-based exchange traded funds (ETFs) havegrown from approximately $150 billion to more than $450 billion over the past five years.While smart beta strategies have experienced strong flows, assets in these strategies are stillsmall relative to the assets in traditional active and pure passive products.We believe currentallocations to smart beta portfolios are modest due to three primary concerns around these newstrategies. First, some investors have concerns about the robustness of smart beta strategies.While skeptics may question how reliable this research is and how much confidence investorsshould place in the return potential of common equity factors, the academic research of thesestrategies has shown strong performance historically. Second, some investors are worried thatsmart beta strategies have become crowded. Given the popularity of smart beta products, theseinvestors are asking if equity factor portfolios have become overvalued. Finally, some investorsare not entirely sure how to evaluate smart beta strategies. There are many different approachesto choose from, and different ways to implement them. What conceptual framework shouldinvestors use to evaluate the many alternatives to traditional active or passive options?

Robustness

Robustness refers to the reliability of a series of empirical tests across different researchapproaches, namely alternative samples and time periods, data sources, techniques forhandling extreme observations and sets of control variables. Robustness may be an issuefor all empirical research, and a critical consideration when developing—and evaluating—anynew investment strategy.In the case of smart beta strategies, some investors are concerned that the strong historicalresults of many common equity factors may not be a fair indication of future results. For instance,a strategy’s historical performance may be driven by strong returns for small, illiquid stocks thathave limited capacity and involve significant transaction costs. Robustness could be affectedby data mining and overfitting of the model, as well as the use of a small sample, or a sampledominated by a few extreme observations. But is robustness a serious issue for smart betainvesting? Has the research in support of these strategies been adversely affected by data miningand other biases?Many academic studies of stock price anomalies were first conducted several decades ago andhave withstood the test of time (see Exhibit 2). For instance, Black, Jensen, and Scholes (1972)and Haugen and Heines (1975) documented the lack of a positive relation between risk and returnacross stocks, and did so more than forty years ago.These studies provide a strong foundationfor the potential benefits of low-risk investing, and suggest that much of the recent practitionerresearch supporting this approach is, in effect, out-of-sample.Investors should not rely exclusively on a small handful of studies to support the benefits of asmart beta approach. In fact, there is a large body of academic research showing that factor-tiltedequity portfolios have historically delivered strong performance vis-à-vis the cap-weighted marketportfolio. These studies demonstrate the benefits of factor-based investing for a wide variety ofsignals over time and across markets. Whereas a single study may not be definitive, a number ofstudies yielding similar conclusions provides additional confidence in the shortcomings of cap-weightedportfolios and the robustness of smart beta strategies.Another attraction of smart beta strategies, we believe, is their solid economic rationale. Theefficacy of factor-based investing can be explained by the continued existence of significantmarket frictions and the well-known behavioral limitations of investors. In particular, too manyinvestors like lottery tickets – high-risk glamour stocks that have the potential to generate highreturns. As investors pile into these stocks, their herd-like behavior leads to potential bubbles inwhich many of these high-flyers become overvalued. As a result, high-risk glamour stocks tendto deliver poor risk-adjusted returns, contrary to the Capital Asset Pricing Model, which suggeststhat higher-risk stocks should deliver higher expected returns. In fact, a portfolio that selects lowrisk,high-quality value stocks has historically produced much better performance over time.（完）