Vilken aktiestrategi ska jag välja?

Det enkla svaret är förmodligen att man ska välja den strategi som man känner sig bekväm med långsiktigt. Vi tror det är bra att välja flera strategier för att diversifiera, till exempel en strategi utan momentum och en strategi med momentum.

Något som kan vara bra att ta med i beräkningen vid val av strategi är strategins base rate, ibland kallat error rate.

James O’Shaughnessy skriver i fyra olika utdrag, så här om base rate i boken What Works on Wall Street: [1]

”The key to outstanding long-term performance is to find strategies that have the highest base rate, or batting average (more on that later), and then stick with that strategy, even when it’s underperforming other strategies and benchmarks.”

”Our decision making is systematically flawed because we prefer gut reactions and individual, colorful stories to boring base rates. Base rates are among the most illuminating statistics that exist. They’re just like batting averages. For example, if a town of 100,000 people had 70,000 lawyers and 30,000 engineers, the base rate for lawyers would be 70 percent. When used in the stock market, these rates tell you what to expect from a certain class of stocks (e.g., all stocks with high dividend yields) and what that variable shows for how that category of stocks has performed over many decades of data. We have found that since the original publication of this book in 1996, the performance of the various factors we studied has persisted. Remember that the base rates tell you nothing about how each individual member of that class will behave. Rather they indicate how all stocks with high dividend yields—or whatever factor is being reviewed—will behave.”

”Base rates are boring; experience is vivid and fun. The only way anyone will pay 100 times a company’s earnings for a stock is if it has a tremendous story. Never mind that stocks with high PE ratios beat the market less than 1 percent of the time over all rolling 10-year periods between 1964 and 2009—the story is so compelling that you’re happy to throw the base rates out the window.”

”Finally, I always look at base rates for how well each of the strategies performed against our two main benchmarks, All Stocks and Large Stocks. Table 5.8 shows the base rates for All Stocks versus Large Stocks. Looking at returns for rolling five- and ten-year periods to establish a base rate, we see that All Stocks outperformed Large Stocks in 586 of the 937 rolling five-year periods, or 63 percent of the time. All Stocks also outperformed Large Stocks in 655 of the 877 rolling ten-year periods, or 75 percent of the time. Conversely, the Large Stocks universe beat All Stocks in 37 percent of all rolling five year periods and 25 percent of all rolling ten year periods. The returns show that, for most strategies, you’re better off fishing in the larger pond of All Stocks—which includes many smaller-cap stocks—than exclusively buying large, well-known stocks.”

Base rates

Vi känner i stort sätt inte till några undersökningar över långa perioder, som undersöker base rates än just boken What Works on Wall Street. Boken undersöker amerikanska aktier. Vi väljer att lista några här för informations skull.

”Base Rates for All Stocks EBITDA/Enterprise Value Decile 1 and All Stocks, January 1, 1964, to December 31, 2009”

ItemAll Stocks EBITDA/enterprise value decile 1 beat All StocksPercentAverage annual excess return
Single-year return411 out of 54176 %4,96 %
Rolling 3-year compound return439 out of 51785 %5,22 %
Rolling 5-year compound return475 out of 49396 %5,36 %
Rolling 7-year compound return468 out of 469100 %5,37 %
Rolling 10-year compound return433 out of 433100 %5,23 %

Kvantinvestering har ingen EBITDA/EV strategi, utan väljer att lista detta för informations skull.

”Base Rates for All Stocks VC2 High 50 and All Stocks, January 1, 1964, to December 31, 2009”

ItemAll Stocks VC2 high 50 beat All StocksPercentAverage annual excess return
Single-year return420 out of 54178 %6,93 %
Rolling 3-year compound return454 out of 51788 %7,00 %
Rolling 5-year compound return474 out of 49396 %7,12 %
Rolling 7-year compound return465 out of 46999 %7,13 %
Rolling 10-year compound return433 out of 433100 %7,07 %

VC2 High 25 ger lite sämre resultat.

”Base Rates for Comp Value 2 in Top Decile, Top 25 by 6 Mo. Mom and All Stocks, January 1, 1964, to December 31, 2009”

ItemComp Value 2 in top decile, top 25 by 6 mo. mom beat All Stocks PercentAverage annual excess return
Single-year return461 out of 54185 %9,91 %
Rolling 3-year compound return513 out of 51799 %10,38 %
Rolling 5-year compound return493 out of 493100 %10,30 %
Rolling 7-year compound return469 out of 469100 %10,11 %
Rolling 10-year compound return433 out of 433100 %9,86 %

Top 50 ger lite sämre resultat.

Du kan läsa mer om base rates i boken What Works on Wall Street. [1] Även undersökningen Quantitative Value Investing in Europe: What works for achieving alpha, som undersöker den europeiska marknaden under åren 1999-06-13 till 2011-06-13, beräknar följande: “Years outperforming the market (%)” och “Number of years with negative return Top Quintile”. [2]

På lite samma tema skriver James Montier så här i Painting By Numbers: An Ode To Quant: [3]

“So why not quant?

The most likely answer is overconfidence. We all think that we know better than simple models. The key to the quant model’s performance is that it has a known error rate while our error rates are unknown.

The most common response to these findings is to argue that surely a fund manager should be able to use quant as an input, with the flexibility to override the model when required. However, as mentioned above, the evidence suggests that quant models tend to act as a ceiling rather than a floor for our behaviour. Additionally there is plenty of evidence to suggest that we tend to overweight our own opinions and experiences against statistical evidence.”

[1] O’Shaughnessy, James P. (2011). What works on wall street. McGraw-Hill Professional.

[2] du Toit, Tim & Vanstraceele, Phillip. Quantitative Value Investing in Europe: What Works for Achieving Alpha.

[3] Global Equity Strategy: Painting By Numbers – An Ode To Quant. Hämtad 26-11-2017.


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