上午 主旨1- 李伟，当每个投资者都成为风险溢价投资者.pdfVIP

当每个投资者都成为风险溢价投资者 第二届 CFA中国量化峰会 2018年8月27日, 上海 Wai Lee(李伟)博士 Wells Fargo Asset Management is a trade name used by the asset management businesses of Wells Fargo Company. FOR PROFESSIONAL INVESTORS ONLY 内容 I. 风险溢价投资的大爆炸 II.Crowding的含义 III.Crowding的不同层面 IV.主要结论 WELLS FARGO ASSET MANAGEMENT 2 近期关于crowding及因子投资的报道 • “Maxing the factors: Factor investing gains popularity - But the age-old search for a magic market-beating formula still looks forlorn,” Economist, February 1, 2018 • “Has the meteoric rise of passive investing generated the ‘greatest bubble ever’? ” 13D Research, June 15, 2017 • “Flawed Research on Factor Investing,” Robert Huebscher, Advisor Perspectives, April 17, 2017 • “The Passive Investing Bubble,” Ned Davis, Ned’s Insights, March 22, 2017 • “Wall Streets Hottest Investment Idea May Be Getting Too Hot,” Bloomberg, February 7, 2017 WELLS FARGO ASSET MANAGEMENT 3 议程  风险溢价投资的大爆炸  Crowding的含义  相关性  夏普比率  择时  微观结构  Crowding的不同层面  溢价  管理人  行业  主要结论: 与未知共存，与未知合作 WELLS FARGO ASSET MANAGEMENT 4 近期文献 理论模型:  Bond and Garcia (2018)  Bhattacharya and O’Hara (2018)  Cong and Xu (2016) 实证研究:  Baltas (2018): mostly on individual stocks  Huang, Lou, and Polk (2016): beta arbitrage in individual stocks  Lou and Polk (2014): momentum factor in individual stocks  Cahan and Luo (2013): measures of crowding in individual stocks WELLS FARGO ASSET MANAGEMENT 5 风险溢价投资的大爆炸 WELLS FARGO ASSET MANAGEMENT