日期:2012/12/07
A key question that amateurs and professionals must always ask is "do the winners perform better than the losers?". The question is of interest to all who like growth or contrary strategies, who like to back the good or the bad, and who have to choose which stocks to buy or sell from a portfolio. It's also of great interest to my colleagues and me as we are trying to relearn from scratch the sources of performance in individual stocks. The academics have performed numerous studies on this. Most of the famous names have looked at it one way or the other. One of the classic studies is by Griffin, Ji, and Martin 2003, Journal of Finance [33 page pdf]. They conclude that the best performers outperform the worst performers for subsequent periods up to a year in every world market. Before this there was Jegadeesh and Titman 1993 [28 page pdf], and a myriad of other studies.
One has been very wary however, of accepting academic findings throughout one's career, especially in an area like this. The problems are legion. Many of the worst performing stocks are very small. Let's say 100,000 in market value. The price could be $ 0.25. The returns in any period are highly variable. Indeed, the bid asked spread in the old days frequently averaged 50% and commissions and rebalancing could easily add another 50%. Another problem is that most academics don't take the trouble to properly take into account survivor bias in all its terrible manifestations. The most apparent one is that the worst performers that continued to perform badly go bankrupt and are not covered in the files. Furthermore the best performers in any continuous period often while great today were unknown yesterday and wouldn't have hit the files on a contemporaneous basis.
While academics sometimes address the problems of survivorship, bid asked spreads, impossibility of implementation, transactions costs, comovements between securities of different styles in a year so that what looks like 1000 independent observations is really one, selected starting and ending points (it's always easy to find a good time to start and end ), non-contemporaneousnous data (Shiller is the poster boy for this), retrospective multi comparison reporting of good results only kinds of problems, they never consider the problem of ever changing cycles.
Thus, it was great eagerness and pleasure that I learned that Dimson, Marsh and Staunton had made a thorough study of momentum. Their work is always of the highest standards. They get original data from the actual contemporaneous newspapers of the time. They examine many years of data, always bringing the results up to date. They present their work in a form suitable for both the academic and the layman to understand. And they always consider the profitability and commercial viability of their work. Between them, they are fully conversant with all literature in the field, they relate their work to every important academic model that has come down the pike. Furthermore, they can always be counted on to add a few embellishments of their own that raise important questions for further research. Their studies of momentum cover many universes of individual stocks from 1897 to 2010 for several English Markets, with updates for the last 55 years for all world markets. What more could you ask. And yet … (to be continued)…
The naive speculator starting from scratch has studied the issue for a universe of stocks that is actually big enough to matter and implement. The stocks are the OEX 100.. all the big companies are in there and there is turnover of less than 5% a year. Here are results. Let's consider the performance of companies in 2008 that were the best and worst performers in 2007. Consider the worst 20 performers in 2007 versus the best performers in 2007 and look at their performance in 2008.
performance in next year
of best performing 20 of worst performing 20
year
2007 -32 -25
2008 +10 +55
2009 19 10
2010 07 09
2011 25 11
The standard deviations are so high to make all these differences totally random except for 2008.
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