第13章 股票组合管理

††††——†——†††——†††————†††††EMH——††1†2†3††1†2†3†MorningstarLexis-NexisQuantitativefundsLipper2007()1.47600†BarclaysGlobalInvestorsLSVAssetManagementVanguardAmericanCenturyEvergreenColumbineCapitalServicesFordEquityResearchAtivoResearchWhen2Trade†07†††ColumbineCapitalServices†ColumbineCapitalServices19766000200002008Investars.comColumbineCapitalServices1Columbine†ColumbineAlphaAlpha(alphaforecastingmodels)(threefamilies)†(ComponentModels)†StockSelectionModels†InternationalModels†(ComponentModels)5Alpha†ColumbineAlphaFactor6-12AlphaAlphaColumbineAlphaFactorModel†ExpectationalModelAlphaColumbineExpectationalModel†MomentumModelAlphaColumbineMomentumModel†ValuationModelAlphaColumbineValuationModel†IndustryMomentum12Alpha2†StockSelectionModelsAlpha6†ComboModel1-3Alpha†SectorModel1-3Alpha†55IT†CoreModel1-3Alpha†Small-CapModel1-3Alpha†GrowthModel1-3Alpha3†InternationalModelsAlphaColumbine28†2†InternationalColumbineAlpha6-1224†InternationalComboModel1-3Alpha28ColumbineAlphaFactor4Columbine†1†ColumbineCapitalServicesfactorsmakeeconomicsense(significantpredictivepoweronitsown)2†101101top10%10bottom10%“”“”“”3Columbine††1†2FamaFrenchAlliance1980-200180%†3†4——††pepb††††††-†-†=/2%5.5%=36%==64%†1-††-†††pe+†pe——7.23%——5.18%†8.13%†2-