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沙發
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發表於 2019-12-8 23:36:10
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Berkshire Hathaway has realized a Sharpe ratio of 0.76, higher than any other stock or
mutual fund with a history of more than 30 years, and Berkshire has a significant alpha to
traditional risk factors. However, we find that the alpha becomes insignificant when
controlling for exposures to Betting-Against-Beta and Quality-Minus-Junk factors.
Further, we estimate that Buffett’s leverage is about 1.6-to-1 on average. Buffett’s returns
appear to be neither luck nor magic, but, rather, reward for the use of leverage combined
with a focus on cheap, safe, quality stocks. Decomposing Berkshires’ portfolio into
ownership in publicly traded stocks versus wholly-owned private companies, we find that
the former performs the best, suggesting that Buffett’s returns are more due to stock
selection than to his effect on management. These results have broad implications for
market efficiency and the implementability of academic factors.
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發表於 2019-12-8 23:34:04
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發表於 2020-6-11 21:23:44