• Forward views not backward biases

Overview

沙巴体育虚拟比赛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.

Investment Philosophy

Investor Preference Theory

Los Angeles Capital’s investment philosophy is based on Investor Preference Theory®,这是公司独特的概念,由公司创始人提出. Investor Preference Theory states that “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. Once estimated, 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, portfolio construction, and trading steps of the process. 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? How are investor decisions influencing the price of risk?“30年的定量研究表明,估值的变化, business, 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? Forward looking earnings estimates or reported results? 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.

Whereas most pricing models (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, long-term definition of risk, Investor Preference Theory® provides a flexible framework for estimating returns and risks as market conditions change.

Why Adopt a New Approach?

Most managers focus on the identification of stock characteristics that have generated excess returns historically. By the end of the 1970s, 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. In the 1980s, 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. A decade later, investors shifted their views as global prosperity, 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, that the destiny of brick and mortar companies was bleak, 市场对后风险投资领域的估值实际上是有根据的. Today, 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. What's the risk with such thinking? 接受过去要素回报率可能会重复的共识观点, regardless of how rational the argument, 经常导致以后的业绩不佳.

问题不仅仅是追逐昨日的赢家. In a more subtle fashion, 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, who, 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.

What are Investor Preferences?

Investor preferences include any stock characteristics that investors believe represent either a favorable or an unfavorable risk impacting the value of a stock. Over a market cycle, 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 or B/P), analyst expectations (e.g.,估计修正,收益惊喜),和行业风险(e.g., Technology, Internet, Health Care, etc.).

以便更好地理解这些偏好是如何随时间变化的, one may look at historic factor returns, calculated to isolate one factor’s performance from another. 通过分析这些回报,很明显,投资者的偏好不是随机的, but evolve as investor views change over the market cycle. Price movements are in fact quite similar to the more familiar pricing behavior of systematic risks in the fixed income markets, such as credit and prepayment spreads or duration risk.

Who Shapes Investor Preferences?

Investor preferences are shaped by Wall Street analysts, academics, institutional account managers, retail mutual fund managers, and private equity investors. While stock prices may display random walk characteristics, investor preferences evolve through time, creating discernible prices.

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. In addition, while global capital flows across regions we observe that investors in different regions frequently price risk differently. Thus, we need to take into account the fact that global markets are not fully integrated in terms of pricing specific components of risk.

How Are Preferences Measured?

For more than twenty-five years, 量化经理通过分析每月的股票回报来衡量因素回报. By disaggregating common factor and sector effects, 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, Los Angeles Capital has identified several enhancements that extract greater information content from the analysis, providing more stable and reliable returns.

Once returns for each factor have been estimated, 通过预测来确定当前每种风险的新均衡价格. 这个信息被翻译成沙巴体育虚拟比赛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, by the price, (i.e., expected return) of each those characteristics.

Investment Process

Overview

Los Angeles Capital employs an innovative investment process for security selection and portfolio construction 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,沙巴体育虚拟比赛认为,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. The firm’s investment process is outlined below.

The process is split into two main phases. Developing a stock’s alpha is performed within the Dynamic Alpha Stock Selection Model® in the first three steps. Then, using these alphas, 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.

Dynamic Alpha Stock Selection Model

Los Angeles Capital's Dynamic Alpha Stock Selection Model® technology (the "Model") generates alpha estimates on more than 9,000 global securities. It employs a factor-based approach, rigorously measuring and analyzing fundamental, sector, and country variables that Los Angeles Capital believes are important to investors as they buy and sell securities. Returns are calculated for each factor. Next, forecasts for each factor are generated. 没有偏见或先入之见的预测应该是什么, nor is it forced to be zero if it is negative. 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, based on their appetite for risk. Once the expectation is determined for each factor, then each stock’s exposure to that factor is considered. 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. Because of the strict adherence to the above process, 选股的标准是有系统和全面的. However, since the Model is adaptive, 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 sector or country factors. Our approach to sector/country management is unique in that a sector/country represents one component of a stock’s return. In other words, sector/country classification is treated as a risk factor in a similar fashion to the fundamental factors mentioned above. As a result, sector and country weights in the portfolio are determined based on the attractiveness of individual securities on a bottom up basis.

Portfolio Management

项目组合管理负责使用模型的输出, risk estimates, 以及沙巴体育线上登录研究部门开发的技术,以建立客户量身定制的投资组合. 而沙巴体育虚拟比赛的动态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, Trading, Operations, and clients.

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

Security Expectations / Objectives

Advantages

沙巴体育虚拟比赛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沙巴体育虚拟比赛的首要目标, there is an ancillary benefit to the investment process. 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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