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首页> 外文期刊>The Journal of Portfolio Management >The Stable ROE Portfolio: An Alternative Equity Index Strategy Based on Common Sense Security Analysis
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The Stable ROE Portfolio: An Alternative Equity Index Strategy Based on Common Sense Security Analysis

机译:稳定的净资产收益率投资组合:基于常识安全性分析的替代股指策略

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摘要

Alternative equity index strategies are a variation of passive indexing, where the "index" is based on initial active decisions as to how to create the universe of stocks, the stocks' weights, and the rebalance procedure, and then passively follow these procedures forward through time. The authors of this article replicate prior research that shows popular alternative indexes, such as fundamental indexing and minimum volatility, have higher returns and Sharpe ratios than the S&P 500. They present a new alternative index that creates a portfolio with the lowest predicted volatility of return on equity (ROE), the "stable ROE portfolio." The stable ROE portfolio delivers higher and more stable earnings, and higher returns and Sharpe ratios than other alternative indexes or the S&P 500.
机译:另类股指策略是被动式索引的一种变体,其中“索引”基于关于如何创建股票范围,股票的权重和重新平衡程序的初始主动决策,然后被动地遵循这些程序进行操作。时间。本文的作者重复了先前的研究,这些研究表明流行的替代指数(例如基本指数和最小波动率)比标准普尔500指数具有更高的收益率和夏普比率。他们提出了一种新的替代指数,该指数创建的投资组合的预期收益率波动性最低股本(ROE),即“稳定的ROE投资组合”。相对于其他替代指数或标准普尔500指数,稳定的股本回报率组合可提供越来越高的收益,更高的回报率和夏普比率。

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