• 提出的观点 不落后的偏见

概述

365app的投资理念是基于其专有概念投资者偏好理论®. This innovative and dynamic concept forms the DNA of the investment process and guides the research team in its search for alpha. The unique aspect of the philosophy is that it allows the investment team to develop a “living” model that captures the views of today’s equity investor and is not based on backward biases and long history. 最终的结果是一个适应当今经济环境的投资组合.

投资理念

投资者偏好理论

365app的投资理念是基于 投资者偏好理论®,这是公司独特的概念,由公司创始人提出. 投资者偏好理论认为“an expected return of a stock is a function of its risk characteristics and the price (or expected risk premium) the market assigns to each characteristic.” The key to the philosophy is developing proprietary techniques to estimate how investors price risk in a global equity market given that equity risk premiums are not directly observable. 一次估计, the risk premiums are combined with the stock’s exposure to each premium to calculate today’s expected return for a stock. 这种创新的投资理念应用于整个证券选择, 投资组合构建, 以及交易过程的步骤. 而不是对优秀投资的特征做出静态假设, the philosophy recognizes that investor preferences for specific characteristics evolve with changing economic and market conditions.

公司的投资理念旨在解决基本的投资问题, “在当前的市场环境下,投资者如何看待关键的股票风险? 投资者的决策是如何影响风险价格的?“30年的定量研究表明,估值的变化, 业务, 市场环境为各种风险因素创造了新的均衡价格. 投资者更关心通胀风险还是通缩风险? 预期收益或报告结果? 强劲的资产负债表的安全性,或较弱的资产负债表上经济改善的机会? 这些只是该过程中捕获的许多因素中的一小部分.

然而,大多数定价模型(e.g., CAPM(或APT)提供了一个基于固定资产估算风险和收益的框架, 风险的长期定义, 投资者偏好理论® provides a flexible framework for estimating returns and risks as market conditions change.

为什么要采用新方法?

Most managers focus on the identification of stock characteristics that have generated excess returns historically. 20世纪70年代末, the dominance of small stocks led investors to conclude smaller companies were better able to adapt to changing market conditions and had higher risk which provided them with a small stock premium. 在1980年代, 价值对增长的主导地位导致人们普遍认为,投资者为成长型股票支付了过高的价格. 十年后, 随着全球繁荣,投资者改变了他们的观点, a benign inflationary environment and falling trade barriers created an environment where multi-national growth companies held a competitive advantage. 到本世纪末,互联网公司的市值达到了2万亿美元, 投资者宣称信息革命才刚刚开始, 实体公司的命运是暗淡的, 市场对后风险投资领域的估值实际上是有根据的. 今天, investors talk about the impact of higher oil prices as capital chases alternative energy sources just as it did thirty years earlier.

History suggests that investors are overly influenced by the past in forming their investment views regarding tomorrow's investment opportunities and market inefficiencies. 这样想有什么风险? 接受过去要素回报率可能会重复的共识观点, 不管这个论点有多理性, 经常导致以后的业绩不佳.

问题不仅仅是追逐昨日的赢家. 以一种更微妙的方式, 市场结构的变化会影响投资者的风险管理过程, 迫使投资者承担更高的风险,而这些风险已经被高估. 事实上,这种情况在20世纪90年代发生在许多投资组合经理身上, 谁, 尽管他们对互联网公司的估值心存疑虑, 屈服于风险管理的压力,在互联网公司鼎盛时期收购了它们.

什么是投资者偏好??

Investor preferences include any stock characteristics that investors believe represent either a favorable or an unfavorable risk impacting the value of a stock. 在市场周期中, 投资者将价值或价格分配给各种风险特征,如市场因素(e.g.,市值,价格势头),损益表和资产负债表措施(e.g., E/P或B/P),分析师预期(E.g.,估计修正,收益惊喜),和行业风险(e.g.科技、互联网、医疗保健等.).

以便更好地理解这些偏好是如何随时间变化的, 人们可以看看历史因素回报, 计算,以隔离一个因素的表现从另一个. 通过分析这些回报,很明显,投资者的偏好不是随机的, 但要随着投资者对市场周期看法的变化而演变. Price movements are in fact quite similar to the more familiar pricing behavior of systematic risks in the fixed income markets, 例如信贷和提前支付息差或期限风险.

谁塑造投资者偏好?

投资者的偏好是由华尔街分析师决定的, 学者, 机构账户经理, 零售共同基金经理, 以及私募股权投资者. 而股票价格可能表现出随机游走特征, 投资者的偏好随时间而变化, 创造明显的价格.

研究表明,投资者的偏好通常适用于整个市场,也有几个例外. 资本在不同增长和价值区间自由流动, 计划发起人通常控制着大盘股和小盘股之间的分配. 事实上,考虑到在管理大vs. 小资本投资组合,偏好不同并不奇怪. 除了, while global capital flows across regions we observe that investors in different regions frequently price risk differently. 因此, we need to take into account the fact that global markets are not fully integrated in terms of pricing specific components of risk.

如何衡量偏好?

已经超过25年了, 量化经理通过分析每月的股票回报来衡量因素回报. 通过分解共同因素和部门效应, 高达三分之二的股票超额收益是可以解释的. 而传统的方法对于绩效归因和风险度量是有用的, 365app has identified several enhancements that extract greater information content from the analysis, 提供更稳定可靠的回报.

一旦估计了每个因素的回报, 通过预测来确定当前每种风险的新均衡价格. 这个信息被翻译成365app宇宙中每个安全的离散alpha估计. 每个alpha估计值都是通过将每种证券暴露在大约20种风险特征下相乘而得到的, 的价格, (i.e.,期望回报)每一个这些特征.

投资过程

概述

365app employs an innovative investment process for security selection and 投资组合构建 that gradually adjusts a portfolio to changes in market conditions. We recognize that investor preferences for specific risk characteristics evolve with shifts in the economic environment, 因此,365app认为,一个动态的过程对取得一致的结果至关重要. Our quantitative valuation model provides transparency with regard to the source of both risk and return for each stock in a client's portfolio and risk budgets are managed dynamically to ensure the best return to risk trade-off at each point in time. 365app的投资过程概述如下.

这个过程分为两个主要阶段. Developing a stock’s alpha is performed within the 动态Alpha选股模型® in the first three steps. 然后, 使用这些阿尔法, 投资组合管理构建定制的投资组合,并通过公司的交易部门执行交易.

动态Alpha选股模型

365app's 动态Alpha选股模型® technology (the "Model") generates alpha estimates on more than 9,000 全球证券. 它采用基于因素的方法, 严格测量和分析基本原理, 部门, and country variables that 365app believes are important to investors as they buy and sell securities. 每个因素都计算了收益. 接下来,生成每个因素的预测. 没有偏见或先入之见的预测应该是什么, 如果它是负的,它也不会被强制为零. 人们普遍认为,投资者了解一个因素是如何以及为什么定价的, 基于他们对风险的偏好. 一旦确定了每个因素的期望, 然后考虑每只股票受该因素影响的程度. 股票阿尔法指数是每个因素的风险敞口乘以因素预测的函数. 因为严格遵守上述流程, 选股的标准是有系统和全面的. 然而, 因为模型是自适应的, 它在拐点上不像静态定量模型那样困难.

Performance attribution shows that the majority of the alpha generated historically comes from fundamental factors and a positive but smaller component from 部门 or country factors. Our approach to 部门/country management is unique in that a 部门/country represents one component of a stock’s return. 换句话说, 部门/country classification is treated as a risk factor in a similar fashion to the fundamental factors mentioned above. 作为一个结果, 部门 and country weights in the portfolio are determined based on the attractiveness of individual securities on a bottom up basis.

项目组合管理

项目组合管理负责使用模型的输出, 风险的估计, 以及365app研究部门开发的技术,以建立客户量身定制的投资组合. 而365app的动态Alpha选股模型驱动着投资过程, 投资组合经理在研究之间提供了一个完整的链接, 交易, 操作, 和客户.

The following exhibit describes how client requirements are combined with 365app's proprietary market expectations to develop a client portfolio.

安全期望/目标

优势

365app的投资理念是基于其专有概念投资者偏好理论®. This innovative and dynamic concept forms the DNA of the investment process and guides the research team in search of alpha. The unique aspect of the philosophy is that it allows the investment team to develop a “living” model that captures the views of today’s equity investor and is not based on backward biases and long history.

实现客户的回报目标是365app的首要目标, 投资过程还有一个附带的好处. The process also produces returns that generally have a low correlation with other managers as the portfolios change with the market environment.

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