Journal of Portfolio Management, Winter 2016, v. 42, iss. 2, pp. 90-98

错误择时：一个从成功的投资策略中获得惨淡收益的指南

作者：Hsu, Jason; Myers, Brett W.; Whitby, Ryan

摘要：价值溢价的可持续性和收益规模与这种价值异象的行为学解释相违背。投资者怎么会持续地犯这个广为人知的错误呢？通过测量共同基金公布的买入持有（或者说时间加权的）收益与投资者获得的平均内部收益率（或者美元加权的收益）之间的差额，作者定量地度量了价值型投资者市场择时决策的持续负效应。自1991年至2013年，价值型共同基金的投资者比他们投资的基金平均回报低131个基点。他们的分析揭示了成长型、大市值、小市值基金的投资者都倾向于这种没有产出的投资择时。他们也发现越不成熟的投资者，做出这种糟糕的投资决策的可能性越大。费率较高的基金的投资者比费率低基金的投资者有更大的回报负差距。基金的零售型投资者比机构型投资者有更大的回报负差距。作者提出，这种回报负差距相当于投资者分发了超额收益，价值投资者他们自己提供了价值溢价并且保证了它的可持续性。投资者教育可能帮助个人投资者避免这种负产出的基金交易决策。

关键词：价值溢价，共同基金表现，行为金融，IRR，要素投资

Timing Poorly: A Guide to Generating Poor Returns While Investing in Successful Strategies

Hsu, Jason; Myers, Brett W.; Whitby, Ryan

ABSTRACT

The value premium's persistence and magnitude run counter to the behavioral explanation of the value anomaly. How can investors continue to make the same widely recognized mistake? By examining the difference between mutual funds' reported buy-and-hold or time-weighted returns, and the average dollar-weighted returns or IRRs end investors earn, the authors quantify the consistently negative effect of value investors' market-timing decisions: from 1991 to 2013, value mutual fund investors underperformed the funds they invested in by 131 basis points. Their analysis also reveals that investors in growth, large-cap, and small-cap funds are similarly prone to unproductive allocation timing. They also find that less sophisticated investors tend to make poorer timing decisions. Investors who hold funds with high expense ratios had larger return gaps than those who chose less costly funds, and investors in retail funds underperformed by a greater margin than those who qualified for institutional share-class funds. The authors suggest that, by giving away the excess return, value investors themselves finance the value premium and ensure its continuance. Financial education may help individual investors refrain from trading their funds in a counterproductive fashion.

Keywords: value premium, mutual fund performance, behavioral finance, IRR, factor investing

原文链接：

http://xueshu.baidu.com/s?wd=paperuri%3A%28b348ea6f05919d021479aa3b63518df6%29&filter=sc_long_sign&tn=SE_xueshusource_2kduw22v&sc_vurl=http%3A%2F%2Fpapers.ssrn.com%2Fsol3%2Fpapers.cfm%3Fabstract_id%3D2560434&ie=utf-8&sc_us=15557836961507625435

翻译：陈爽