Talk Your Book: 价值与动量的案例

今天的《Animal Spirits Talk Your Book》由Victory Capital赞助播出。

Today's Animal Spirits Talk Your Book is brought to you by Victory Capital.

访问vcm.com，了解更多关于价值动量策略的信息。

Go to vcm.com to learn more about the case for value momentum strategies.

网址是vcm.com。

It's vcm.com.

欢迎收听《Animal Spirits》，一档关于市场、生活和投资的节目。

Welcome to Animal Spirits, a show about markets, life, investing.

迈克尔·巴特尼克和本·卡尔森将一起聊聊他们在读、在写、在看的那些事儿。

Join Michael Batnick and Ben Carlson as they talk about what they're reading, writing, and watching.

迈克尔和本表达的所有观点都仅代表他们个人意见，并不代表Ritholtz财富管理的立场。

All opinions expressed by Michael and Ben are solely their own opinion and do not reflect the opinion of Ritholtz Wealth Management.

本播客仅供参考，不构成任何投资决策的依据。

This podcast is for informational purposes only and should not relied upon for any investment decisions.

Ritholtz财富管理的客户可能持有本播客中讨论到的证券头寸。

Clients of Ritholtz Wealth Management may maintain positions in the securities discussed in this podcast.

欢迎收听Michael和Ben的Animal Spirits节目。

Welcome to Animal Spirits with Michael and Ben.

Michael，我觉得量化分析师有时候对自己的策略非常挑剔。

Michael, quants, I think, are very picky at times about their strategies.

如果他们觉得某个策略没能满足所有……

And if they feel like there is a strategy that's not hitting all...

所有他们想要的东西，对吧，所有的变量，他们对这些事情就会有点吹毛求疵。

Everything that they want, right, all of their variables, they can be a little nitpicky about these things.

他们有时候会特别难搞。

They can be totally bitchy.

比如，我真不敢相信你拿这个来做价值投资，还有这个，你知道的……

Like, I can't believe you're using this for value and this, you know...

但这很有趣，因为我觉得有些……

But it's interesting because I think there's certain...

显然有些时候，某些因子会比其他的表现更好。

There's obviously certain times where certain factors work better than others.

有上百万种不同的因子。

There's a million different factors.

价值、质量、低波动、高波动、动量，这些都是不同的东西。

Value, quality, low vol, high vol, momentum, all these different things.

但有时候你会把这些东西拼凑在一起，因为你想要其中一个作为对冲。

But there are times when you kind of Frankenstein these things and put them together because you want one as an offset.

有时候，我觉得今年就是这样的时刻，实际上把各种因子组合起来对投资者来说效果可能很好。

There are times, and I think this year is one of those times, where actually combining things is probably working pretty well for investors.

所以在今天的节目中，我们采访了Lance Humphrey。

So on today's show, we talked to Lance Humphrey.

Lance是Victory Capital旗下Victory Shares and Solutions的投资组合管理主管，他们有一系列价值动量产品，今年我们一直在谈论市场基本面有多强劲，以至于估值被压低了。

Lance is the head of portfolio management for Victory Shares and Solutions at Victory Capital, and they have this suite of value momentum products, and we've been talking all year about how the fundamentals have been so strong in the market that it's actually pushed valuations down.

但对某些公司，以及那些表现最好的公司，比如那些半导体公司，它们的盈利是……

But for certain companies and the ones that are doing the best, right, all these semiconductor companies, their earnings are...

盈利增长太强劲了，它们都变成价值股了。

Earnings growth is so strong, they're becoming value stocks.

它们既出现在成长型投资组合里，也在价值型和动量型投资组合中。

They're in the growth portfolios, they're the value portfolios, they're in the momentum portfolios.

所以像这样的策略，对这种环境来说简直再合适不过了。

So it's strategies like this, it's kind of a perfect environment for that kind of thing.

我们看到了非常非常强劲的盈利增长。

We have this massive massive earnings growth.

这很有意思。

It's interesting.

总之，今天和Lance聊了这些，也聊了量化策略的一些警示信号，以及为什么价值和动量策略搭配起来效果往往比单独使用更好。

Anyway, we talked to Lance today about that, about some red flags for quantitative strategies, why value and momentum tend to work better together as opposed to separately.

下面就是我们和Victory Capital的Lance Humphrey的对话。

So here's our talk with Lance Humphrey from Victory Capital.

Lance，很高兴再次见到你。

Lance, good to see you again.

欢迎回来。

Welcome back.

嘿，迈克尔。

Hey, Michael.

很高兴来到这里。

Great to be here.

好的。

Alright.

我们正在讨论Victory Capital的动量和价值ETF产品系列。

We're talking about Victory Capital suite of momentum and value ETFs.

我从来没这样问过，所以让我从这里开始。

I've never asked the question this way, so let me start here.

动量和价值，就像其他策略一样，都有各自不太理想的地方，而这些可以通过互补来改善。

Both momentum and value, like every other strategy, have their own different, things that we don't love about it that could be improved by complementing one another.

说到价值，我不知道，可能还是相对贵，但无所谓。

So with value, I don't know, still relatively expensive, but whatever.

随便举个例子，比如那些一路下跌的公司。

Substitute any company that's just going down to the right.

我觉得从直觉上讲……

I think intuitively...

不是直觉。

Not intuitively.

这个词用得不对。

It's the wrong word.

人们以为跌了很多的股票就是价值股。

People think that something that's gone down a lot is value stock.

其实不一定。

Not necessarily.

它可能还是被高估了。

It still may be overvalued.

动量策略的问题是，如果你不小心，可能会被一只因为错误原因上涨的股票套住。

Problem with momentum is if you're not careful, you might get caught up in a stock that is moving up for the wrong reasons.

也许这家公司本身没有什么实质性的东西支撑。

Maybe there's no there's no there's no substance behind the actual business.

所以，我们是不是把价值因素融入动量策略，确保我们持有的不是那些背后没有基本面支撑的烂动量股？

So are we incorporating value into momentum to make sure that we're not owning crappy momentum stocks where there's no business fundamentals behind it?

或者说，我们是不是把动量因素融入价值策略，确保我们不会踩着一只垃圾价值股一路跌到零？

Or are we incorporating a momentum into value to make sure that we're not riding a piece of crap value stock to zero?

这个问题问得太好了。

That's an amazing question.

我自己可能都没法说得更清楚了，但事实上，你问的这两个问题的答案，正是我们为什么这么做的原因。

And I probably couldn't have said it better myself, but really, answer to both is to your question on why we do it this way.

而且，我们之所以构建这些产品，是因为我自己就是一名资产配置者，管理我们公司的目标日期和目标风险产品。

And really, the reason these products were built was because I myself am an allocator where I run our firm's target date and target risk products.

在我整个职业生涯中，我一直在使用ETF、共同基金和各种策略，来构建这些配置组合。

And I've been a user of ETFs and mutual funds and strategies across those allocation portfolios across my career.

早在我构建这些产品的时候，我面临的选择基本上就是你刚才列出的那些。

And back when I was building these products, I had essentially the choices that you outlined.

我可以投资于许多纯价值型产品，这些产品里包含的正是你说的那种股票——估值看起来很吸引人，市盈率总是很低，市净率也总是很低，但这家公司说白了就是毫无起色。

I could invest in a multitude of pure value products that contained many of the exact types of stocks that you mentioned, names that have attractive valuations, their PE is always low, their price to book is always low, but it's a business that frankly is just not going anywhere.

所以你就会被困在我们所说的价值陷阱里。

So you get caught in what we all call these value traps.

而且反过来，我也可以买一个动量产品，这种产品里经常全是那些贵得离谱的股票，它们可能甚至都不盈利，只是被市场当下的炒作带动起来的。

Although conversely, I could buy a momentum product which many times is full of stocks that are incredibly expensive, they might not even be profitable, they might just be caught up in current hype in the market.

所以如果我把这样两个产品放在一起，一个价值产品和一个动量产品，我常常会错过我们认为是应该拥有的那些股票，也就是那些估值有吸引力，但又有某种催化剂能够摆脱当前估值的股票。

So if I were to be able to put two products like that together, so a value product and a momentum product, I'm oftentimes missing the exact stocks that we think that you own, which are stocks that have an attractive valuation but have some sort of catalyst to perhaps break free from that valuation.

在这种情况下，动量就是我们寻找那些估值吸引人，但同时又有一些价格上涨迹象的股票。

In this case, it's momentum where we're looking for stocks that have an attractive valuation but also some signs of price improvement.

反过来，这也可能是你刚才问的那种情况，就是可以反过来。

Conversely, and this was kind of your question, it could be the other way as well.

可能是一只动量很好，而且价格合理的股票。

It could be a stock with good momentum that is reasonably priced.

但是把它们同时结合起来，目的是为了帮助抹平你提到的价值投资和动量投资中可能出现的一些波折。

But the idea putting them together simultaneously is to maybe help smooth out some of those rough edges that you mentioned that happen in both value and momentum investing.

我觉得有很多量化分析师会在细节上争论不休，因为定义价值或者动量有很多不同的方法。

There are a lot of quants who I feel like quibble a lot about the details because there's a lot of different ways that you can define value or momentum.

动量有不同的回看周期。

There's different look back periods for momentum.

你可以用不同的估值指标。

There's different valuation metrics that you can use.

你可以用单一指标。

You can use a single indicator.

也可以用多个指标。

You can use multiple indicators.

在制定规则的时候，你会深入到什么程度呢？

How much do you get into the weeds on this stuff in terms of creating the rules that are...

你是想把这些东西做到完美吗？

Are you trying to, like, perfect these things?

还是说你觉得差不多就行，用八二法则，接近就行了？

Are you just trying to get, like, the eighty twenty rule and get close enough and you're fine?

你就是想尽可能多地抓住这两个因子吧？

You just wanna, like, get as much of these two factors as you can.

你觉得这些策略的细节怎么样？

How do you think about the details on these strategies?

我们确实是想从宏观层面理解价值和动量。

We really are trying to broadly understand value and momentum.

说到量化策略，我自己作为量化研究员，经常觉得我们可能会有点过头。

And to your point with being a quantitative strategy, I often say, you know, as a quant myself, we can get a little carried away.

这让我想起小时候看棒球比赛，总会听到统计数据说，如果是在周三晚上，月亮半弯，还卖一美元热狗，击球手的打击率是300。

It reminds me when I was a kid watching baseball games, you'd always hear the stats that, you know, the batter's batting, you know, 300 if it's a Wednesday night with a half moon and they're serving dollar hot dogs.

所以我们有时会有点上头。

And, you know, so we can get a little carried away.

因此在这些产品中，我们真正想做的是对价值和动量进行宽泛的定义。

So in these products, we really are trying to broadly define value and momentum.

所以在这种情况下，我们只是简单地采用三个估值指标，每个财务报表各取一个。

So in this case, we're simply trying to take three valuation metrics, one from each of the financial statements.

也就是说，我们有一个现金流指标，一个市净率指标，还有一个市盈率指标。

So we have a cash flow metric, a price to book metric, and then a price to earnings.

所以我们从这些报表中各获取了一些数据，这样做的目的是为了形成一个更全面的价值评估视角。

So we're getting a little bit of data from each of those statements, which the idea there is to then have a, again, a more balanced view of value.

当然，有时某个指标可能比另一个更有效，但在这种情况下，我们是希望有这种广泛的代表性。

Of course, there's going to be times where one metric might be better than the other, but in this case, we're trying to have that broad representation.

然后在动量方面也是一样的，我们关注的是六个月的动量和十二个月的动量。

And then same thing on the momentum side where we are looking for six and twelve month momentum.

我认为六个月和十二个月并不是什么特别神奇的数字，但这有助于平衡短期和中期的价格信号，理想情况下给我们一个更广泛的动量衡量。

I don't think that there's anything magical about six and twelve month, but that helps balance more of a near term and intermediate term price signal to help ideally give us just again a broad measure of momentum.

也许我想错了，但你们是不是必须先选一个？

Maybe I'm thinking about this wrong, but do you have to start with one?

比如说，你是找有良好动量的价值股，还是找价格合理的动量股，还是说它是两者的综合？

Like, you're looking for value stocks that happen to have a good momentum, or you're looking for momentum stocks that happen to be reasonably priced, or is it like a composite of the two?

在这种情况下，它是两者的综合。

In this case, it's a composite of the two.

所以顺序并不重要。

So the order doesn't necessarily matter.

其实就是看你的估值分数和动量分数，然后把这两个数平均一下。

It's really looking at what is your valuation score and what is your momentum score, and then those two numbers are averaged together.

所以本质上，两者没有什么谁更重要之分，顺序也不重要，关键就是这两个指标的组合。

So effectively, one is not more important than the other, and the order doesn't necessarily matter because it's really about that combination of the two metrics.

在很多方面，这两个因素是互为镜像的，这在换手率上也是如此。

In many ways, these two factors are mirror images of one another, and that's true with with turnover.

我觉得大多数情况下，价值股就是价值股。

I feel like for the most part, value stocks are value stocks.

当然也不总是这样。

Not always.

当然，有些价值股会涨到价格合理，不再具有很好的价值。

Of course, some of them graduate and become sufficiently priced where they're no longer represent good value.

但动量策略通常换手率比较高。

But momentum tends to be a relatively high turnover strategy.

那你们策略里的换手率和传统的动量指标相比怎么样？

So how does turnover inside of your strategy compared with, like, traditional momentum metrics?

把两者结合起来，确实能降低换手率。

By combining the two, you certainly lower the turnover.

所以，就像你提到的，动量是我们评估的很多主要因素中换手率最高的之一。

So to your point, momentum tends to be one of the highest turnover factors of many of the major factors that that we evaluate.

当它和价值结合时，确实有助于稍微缓和这一点。

When incorporated with value, it does help to tone that down just a little bit.

此外，在我们的ETF所追踪的指数本身内部，为了进一步控制换手率，我们在策略中加入了所谓的缓冲机制。例如，我们会根据综合价值和动量评分选取整个股票池中排名前25%的股票。

Secondarily, within the index itself that our ETFs are tracking to help control that even further, we've added in what we would call buffers into the strategy where, for example, we take the top 25% of the universe based on that combined value momentum score.

比如说，我们某季度买入了一只排名在第24百分位的股票，下个季度它排到了第27百分位，我们不会因为这种变化里没有足够的新信息而卖出它。

Let's say we buy a stock one quarter that's ranked twenty fourth percentile, and then next quarter it's the twenty seventh percentile, we're not going to sell that stock because there wasn't enough information in that change.

所以，即使这些评分有所下降，我们也允许股票继续留在投资组合中。

So we allow stocks to remain in the portfolio even if those scores have deteriorated.

因此，把它们放在一起，确实能比单独使用动量更有效地减缓换手。

And so again, by putting them together though, it does slow the turnover more so than momentum by itself.

我再补充一点：价值和动量在股票类型上是相反的。

One additional thing I'll add to that would be kind of the idea of value and momentum being opposite in terms of the type of stocks.

我觉得在很多情况下确实是这样，但我们现在所处的这个时期，有时你会看到它们同时出现，比如有些股票估值很有吸引力，然后突然之间，动量就转向了价值股。

And I think that in many cases, that's true, but we're actually in a time frame right now where you do sometimes get where they come together, where you might have stocks that have attractive valuations, and then all of a sudden, the momentum is in the value stocks.

不过很多时候你说得对，价值与动量往往是对立的，这也是为什么把它们放在一起在相关性方面表现很强，因为它们往往朝着相反的方向运行。

But a lot of the times you are right that value and momentum tend to be opposites, which is why they also are really strong from a correlation perspective putting them together because they kind of act in opposite directions.

我知道量化分析师们很喜欢“稳健”这个说法。

I know the quants love the term robust.

你想要这些因子的原因是希望它们能在其他类型的市场里也有效。

The reason you want these factors is you want you want them to work in other types of markets.

因为那表明这不是只在这里有效、在其他地方没用的孤立现象。

Because that shows that it's not just a one off thing that all works here, but nowhere else.

我很好奇你的团队在哪些因子在特定市场中表现最好这方面有什么发现……

I'm curious what your team has found in terms of which factors play best in certain...

这些市场之间有没有什么区别，比如价值因子在新兴市场表现更好，或者动量因子在这里表现更好？

Are any differences between these markets in terms of value works so much better in emerging markets or momentum does here?

你们有没有发现类似的规律，还是说大体上都是差不多的？

Is there anything that you can find there or is it all pretty similar?

因子的妙处，正如你所说，就是它们在各个市场里都表现得很不错。

The beauty of the factors to your point is that we do see that they work well across different markets.

如果说有什么不同的话，我们发现这些信号在离开美国大盘股之后，有时会被放大。

If anything, we find that these signals sometimes are magnified as you kind of move away from US large cap.

这是我们构建策略时非常看重的一点，要确保这些策略不只适用于市场的某一个特定领域或地区。

And that is an important element that we look for when we're building strategies to make sure that this isn't something that just works on one particular slice or one particular region of the market.

这个问题可能有点尴尬，但我已经说过无数次了，价值策略在吸引资金方面做得非常好。

Maybe an awkward question to ask, but I've said a million times that value has done a very good job attracting assets.

我觉得每个投资者都能理解它的直观性。

Think I every investor understands its intuitiveness.

低买高卖。

Buy low, sell high.

这对我们来说合情合理。

It makes sense to us.

而动量策略就不那么直观了，原因有很多很多。

Momentum, not so much for a million different reasons.

它们的最佳契合点在于……

And the sweet spot of the...

两者的交集非常有意义。

Like, the intersection of the two makes a lot of sense.

投资者买不买你们的账？而且你们也不是第一个推出这类产品的。

Are investors buying what you're selling and you're not guys aren't the first one to offer a product like this.

市场上肯定有类似的产品。

Like, they're out there.

这个点子有没有在大家心里占据一席之地？

Is this gaining any mindset?

心智份额。

Mindshare.

心智份额。

Mindshare.

你知道吗？

You know what?

确实是这样。

It is.

而且我觉得迈克尔你刚才说的完全正确。

And I think what you mentioned, Michael, is exactly right.

价值本身，就像你说的，是直观的。

That value by itself, to your point, it is intuitive.

人们能够理解。

People understand it.

生活中我们被教导的，不只是投资，就是要找到划算的交易，以一个好的价格买到东西。

We're taught with anything in life, not just investments that you want to find a good bargain, you want to buy something at a good price.

而且我们被教导的那句话你刚才也提到了，低买高卖。

And we're taught the phrase you just mentioned, buy low, sell high.

所以在动量方面，这就变得更加反直觉了，因为现在我们是在高位买入，期望它继续涨。

So it does become more counterintuitive on the momentum side because now we're buying high hoping it goes higher.

这两者的结合，我确实认为会吸引更多关注和投资者需求，因为我们可以举出之前提到的那些例子，我们并不是简单地买入那些动量最高、除了价格动量之外没有其他正面基本面的股票。

The combination of the two I do think gets more attention and more investor demand because we're able to outline some of the examples that we mentioned where we're not simply buying the stocks with the highest momentum that really have no other positive fundamentals other than the price momentum.

我觉得这就是投资者容易紧张的地方。

I think that's where investors tend to get a little bit nervous.

事实上，今年夏天的情况是这样的：年初的时候，动量因子表现非常强劲，但到了七月和八月，很多高动量股票开始回落，所以我们收到了很多关于这些基金的疑问，投资者会问，我对动量有点担心，我在新闻上看到了，看到动量回撤了多少。但这对我们来说是个机会，可以分享那些既有强势估值又有动量的股票，远比只有动量表现的股票要好得多。

In fact, throughout this summer, we started off the year where momentum had had a really strong run as a factor and then we saw months like July and August where a lot of those high momentum stocks began to turn back and so we did get questions on these funds where investors were asking about, I'm a little bit nervous about momentum, I'm seeing it in the news, I'm seeing how much momentum is pulling back, But then that was an opportunity for us to share how the stocks that had a strong valuation along with that momentum were faring much better than momentum alone.

所以你说得对，我认为这确实是一个教育客户的过程，我们一直在和客户进行这样的沟通。

So to your point, I do think it's an education component that we are having those conversations with clients.

这虽然不那么直观，但当我们进行这些对话并展示数据时，我们确实看到很多人对把这两者结合起来以降低风险的做法感到更加安心。

It's not as intuitive, but as we're able to have those conversations and outline the data, we are seeing a lot of additional comfort in the idea of putting them together to help mitigate some of those risks.

现在动量是不是更容易说服别人了？

Is momentum an easier sell these days?

迈克尔说的就是抢占心智，因为看起来确实是这样……

Michael's talking about getting mindshare because it really does seem like...

2010年代更像是增长，而2020年代似乎真的更注重动量。

The 2,000 tens were kind of more about the growth, and it seems like the twenty twenties is really more about momentum.

我今天早上还在看。

I was looking this morning.

比如说，如果把高动量ETF跟低贝塔ETF或者低波动ETF比一比，现在的差距可大了。

It's like if you compare, the high momentum ETFs to the, like, low beta ETFs or the low vol ETFs, the spread is enormous right now.

这十年。

This decade.

差距巨大。

It's huge.

看起来就像鳄鱼的牙齿，对吧？

It looks like the alligator teeth, right?

光看业绩当然有帮助，但感觉现在越来越多投资者开始理解动量因子了，比过去多不少。

Performance alone obviously helps, but it seems like more investors are kind of understanding the momentum factor than they did in the past.

这么说公平吗？

Is that is that fair to say?

我觉得是的。

I think so.

而且就像你说的，这很大程度上跟业绩变化有关。从2000年到2010年，人们特别关注价值股和价值基金，因为它们表现一直很好。

And to your point, a lot of that naturally comes with changing a performance where, you know, from 2000 to 2010, people were very focused on value and valued funds as it had a long run.

而且，就像你说的，有一段时间动量策略的表现其实相当平淡，基本上贯穿了2010年代到2020年代的大部分时间。

And then to your point, there was a period of time where momentum actually had a pretty quiet period in terms of its performance, really for much of the 2010s to 2020s.

然后在过去几年里，动量作为一个因子出现了非常强劲的复苏。

And then over the last several years, there's been a really strong resurgence in momentum as a factor.

所以你会看到大量投资者需求和资金流入这些产品。

And so you're seeing a lot of investor demand and investor flows into those products.

再说，我觉得这很大程度上是因为人们看到这些策略的回报表现很好，从而产生了更多的兴趣。

Again, I think a lot of that probably is looking at the returns of those strategies and seeing how well they've done has created additional interest.

但毫无疑问，就我职业生涯中进行这些对话的经验来看，如今动量这个概念肯定比五年前甚至十年前更容易被接受。

But there's no doubt that when I think about over my career having these conversations, the idea of momentum is certainly more acceptable today than it was even five or ten years ago.

确实如此。

For sure.

基本面投资者过去会嗤之以鼻，认为价格里没有信号。

Fundamental investors would scoff and there's no signal in price.

价格只告诉你市场今天愿意为某样东西付多少钱。

It's just all it tells you is what the market is willing to pay for something today.

这就像本·格雷厄姆那种非常非常老派的看法。

And that's like the very, very old Ben Graham way of looking at things.

但实际上并不是这样。

And it's not true.

我们从实证中知道这一点。

I mean, we know this empirically.

你想啊，随着市场活动和参与者的增多，已经变得……

If you think about it, with the proliferation of market activity, market participants, it has gotten...

我不想用“有效”这个词。

I'm not going use the word efficient.

这个咱们先不提。

Let's not go there.

但价格中确实有信号。

But there is signal in price.

当某个东西的价格长期上涨时，几乎总是——不是每一次，但几乎总是——有真实的含义在里面。

And when something is going up in price over a prolonged period of time, almost always, not every time, but almost always there's real meaning to that.

这是有原因的。

There is reason.

而且不仅仅是投机。

And it's not just speculation.

这是因为毛利率在扩大，或者净利率，或者营收，等等。

It's because gross margins are expanding or net margins or top line or whatever.

这种情况的发生是有基本面的理由的。

There is like fundamental justification for why that's happening.

反过来也是一样。

And the reverse is true also.

当股票持续下跌，比如看看有线电视公司，或者很多不受青睐的公司。

When stocks are going down and down and down, look at the cable companies as an example, or a lot of these companies that are out of favor.

比如，有线电视不会有转机了。

Like, there's no turnaround coming for cable.

也许它估值低到一定程度，你花几分钱就能买到……

Maybe it gets sufficiently valued where you're paying pennies on the...

就资产本身而言。

On an asset.

好。

Okay.

行。

Fine.

我们显然还没到那一步。

We're obviously not there yet.

你对这个动态怎么看？

What do you think about that dynamic?

不说太复杂的数学，我觉得你说得比我清楚多了。在我看来，这里面有一定的相关性影响，就像你说的，市场并不是疯了。

Without geeking out on the math, I think you said it much more effectively, which is to me, there's some correlation impacts of this where, to your point, the market is not crazy.

他们不是随便选股票，然后那些股票就涨上天去。

They're not just randomly picking stocks, and those stocks are going through the moon.

通常都是跟企业的经营势头相对应的。

It usually is corresponding to business momentum.

虽然我们用价格动量作为信号，但通常那些动量强的股票，其基本面也在改善。

Even though we're utilizing price momentum as the signal, oftentimes the names that do have that strong momentum have other components that are fundamentally driven that are in fact improving.

比如你提到的毛利率、销售额，或者自由现金流增加。

You mentioned gross margins or sales or it could be increased free cash flow.

所以价格动量和业务动量之间高度相关。

So there's a very high correlation in price momentum relative to business momentum.

对我来说，关键是很多投资者在所谓的时间价值线上使用动量。

To me, the important thing is I feel like a lot of investors utilize momentum on what I would call a value timeline.

也就是说，在我们评估经理或基金时，我们通常以三年为一个周期来考虑。

Meaning, in our world, we think a lot about things in three year time periods when we're evaluating managers or evaluating funds.

我认为动量投资中很重要的一点是，通常你买入的股票估值更高。

One thing that I think that's important with momentum investing knows because again, oftentimes you are buying stocks that are more attractively valued.

它们相对较贵。

They are relatively expensive.

迈克尔，你说得对，有时候这确实是因为基本面在改善，但我相信动量投资最好是在系统性方面进行，也就是遵循预先设定的规则。

To your point, Michael, sometimes those are doing so because they have improving fundamentals, but I'm a believer that momentum is best done more on the systematic side, meaning following a pre...

而且，它不一定非得是……

And again, it doesn't have to be...

不管是六个月、九个月还是十二个月，没有固定的标准。

There's no magic whether it's six, nine, or 12.

只要这个衡量标准更偏向中期范围，我觉得系统地跟进是很重要的，因为我评估过的很多经理都是更主观地运用动量策略。

Whatever that measure is, as long as it's something more in that intermediate term range, I think it's important to systematically follow that because I've seen a lot of managers that I've evaluated who utilize momentum more qualitatively.

我觉得那可能会有点棘手，因为

I think that can be somewhat tricky because

你这么说是什么意思？

What do mean by that?

意思是，假如你看着一张图表，比如说，我们想象一张图表，它在上涨，然后开始下跌，问题就是，这只是一次小幅回调，还是基本面发生了变化？

Meaning that, you know, if you were looking at a chart, let's just say, and we visualize a chart and the charts going up and it starts to turn down, the question is, well, is it just a little bit of a pullback or something fundamentally changed?

对我来说，我发现系统地跟进更容易，如果一只股票处在上升趋势中，这正是你最初投资它的原因，而如果那个趋势中断了或者反转了，我认为系统地退出那笔交易很重要。

And for me, I find that it's easier to systematically follow that where if a stock was in a positive trend, and that's why you were invested in that stock in the first place, and that trend were to discontinue or reverse, I think it's important to be systematic in exiting that trade.

但很多时候，如果更主观，那就是，这只股票已经涨了，它一直是我投资组合里很棒的一部分。

But a lot of times, if it's more qualitative, it's a well, this stock has gone up, It's been a great part of my portfolio.

它确实回调了一点，但我还是有点舍不得那只股票。

It's had a little bit of a pullback, but I'm still a little bit attached to that name.

所以我觉得，如果更依赖主观判断而不是量化规则，有时候人们可能会拿得太久。

So I find that sometimes people might hold on a little bit too long if it's executed more qualitatively instead of quantitatively.

正因为这种系统性，我知道很多量化交易者会说，我根本不在乎具体持有哪些股票。

Because of that systematic nature, I know there's a lot of quants who will say like, I don't even care what the individual holdings are.

我只想要那些敞口。

I just want the exposures.

我希望规则被严格执行。

I want the rules to be followed.

我甚至不怎么关注具体的股票名称。

I don't even really pay attention to the individual names.

但我想稍微聊聊具体的股票，因为现在……

But I wanna talk about the individual names a little bit because there...

现在有一个非常有意思的动态：感觉在2010年代那会儿，很多成长型股票的估值太高，过不了价值筛选那一关。

There's a really interesting dynamic going on now where it felt like in the two thousand tens a little bit, a lot of the growthy names, the valuations were a little too high to hit the value screens.

但比如今年，我和迈克尔一直在聊这个，半导体股票，它们盈利增长太快了，以至于很多公司都符合价值筛选标准了。

But like this year for instance, Michael and I have been talking about this, the semiconductor stocks, the earnings are growing so fast that a lot of these companies are hitting value screens.

所以我很好奇，你们在投资组合里有没有看到类似的有趣情况，你会想，哇，这些动量股票涨疯了，但它们也触发了我们的估值信号。

So I'm curious if if you're seeing anything interesting going on like that inside of your portfolios where you're saying, wow, we have these momentum stocks that are going crazy, but they're also kind of tripping our valuation signals.

你们的数据里有这种情况吗？

Are you seeing that in your data?

有的。

We are.

在你提到的一些股票里确实有。

We are in some of the stocks that you mentioned.

现在你在很多AI相关股票上都能看到这种情况，特别是半导体方面，正如你说的，虽然这些股票价格涨了，但基本面也跟着涨，而且不只是单一的基本面。

I mean, you see it right now a lot in these AI related stocks, particularly on the semiconductor side where to your exact point, even though the prices of those stocks are up, well, so are the fundamentals and not just one fundamental.

你提到的那些股票中，很多自由现金流增长得非常快。

A lot of those stocks that you mentioned are growing their free cash flow at a tremendous rate.

它们的盈利也在增长，几乎你看到的任何指标都在改善。

They're growing their earnings, really any measure that you look at.

所以现在的情况是，它们的动能确实很强，但因为基本面变化太快，估值看起来也相当有吸引力。

And so what's happening is they do have very strong momentum, but because the fundamentals are moving at such a rapid pace, it's making the valuation look decently attractive as well.

你提到的另一个点是，看一下很多科技巨头股票，过去十年里它们其实一直处于相反的情况，估值从来没有真正便宜过，动能有时不错，但从未真正同时满足这两个条件。

Another component that you mentioned is if you look at many of the mag seven stocks, they really have kind of been on the opposite end as you alluded to for about ten years where they've really never gotten too attractively valued and the momentum and at times has been good, but never has it really come together.

我觉得现在，一些科技巨头在那些指标上开始看起来更有吸引力了，因为相对而言，它们确实跑输了市场的其他部分。

I would say today, some of the mag seven are starting to look a little bit more attractive on those measures because on a relative basis, the mag seven really underperformed the rest of the market.

所以估值在回落。

So the valuation is coming in.

而且最近，那几个名字也开始有点上涨的趋势。

And then more recently, several of those names have started to trend a little bit higher.

我已经看到很多半导体股通过了那个筛选，既具有强劲的价值又有良好的动能。

So I'm already seeing many of the semiconductor names that are passing that screen of strong value and good momentum.

另外，我认为一些科技股现在比过去十年更接近那个标准。

And then I would say some of the MAG-seven are actually trending closer to that than they have over the last ten years.

回到动量的量化方面，你们会深入到什么程度，比如，动量什么时候会断裂？

Getting back to the quantitative aspects of momentum, how in the weeds do you get in terms of, all right, when does the momentum break?

是不是这样：好，这里有个警示信号。

Is it, all right, Here's here's a red flag.

如果某只股票在咱们这四个交易日内跌了15%，我们就直接把它砍掉。

If something falls 15% of our four session period, we're just gonna yank it.

还是更直接一点，就是：不。

Or is it more straightforward where it's like, no.

不会。

No.

我们每个月跑一次筛选。

We we run the screens once a month.

我们把价值和动量结合起来看。

We combine the value and the momentum.

如果它排在最后……

And if it's in the bottom...

如果它不在你提到的那些缓冲条件的前25%里，我们就把它剔除。

If it's not in the top 25% dial with those buffers that you mentioned, we'll get rid of it.

更像是你提到的后者，我们每季度会重新平衡这些投资组合。

It's more the latter that you mentioned where we're rebalancing those portfolios on a quarterly basis.

所以在每季度的评估期，我们基本上会根据价值和动量的组合重新评估投资组合中的每只股票，那些低于阈值的股票，包括你提到的那些缓冲，都会被移出投资组合。

And so at that quarterly evaluation period, we will essentially reassess every stock in the portfolio based off that combination of their value and momentum and the names that fall below that threshold, including those buffers will be removed from the portfolio.

所以在这些产品中，我们不会加入主观判断或基本面分析，不会因为我对某只股票的看法而推翻数据的决定。

So in these products, we do not have a qualitative or fundamental overlay where my opinion of a stock overrides what the numbers dictate.

所以在这些产品中，我们严格遵循基于这些组合指标的指数。

So in these, we are strictly following the index based off of those combined metrics.

分散投资的一个方面是，有些量化策略会持有成百上千只股票，对吧？

One of the diversification pieces here is like there are certain quantitative strategies that hold hundreds and hundreds of stocks, right?

有些人会说，不不，我们可以把持仓降到30到50只，这样就足够分散风险了。

Some have said, no, no, we can get it down to 30 to 50 and that spreads the bets enough.

在投资组合中，你倾向于持有多少只股票？

What's your preferred level of holding in terms of these number of stocks you hold in your portfolio?

这个问题问得好。即使在Victory内部，我们也有不同的产品，持仓数量从少到多都有，覆盖了整个范围。

Well, that's a great question and we have products even here at Victory that range that exact spectrum in terms of number of holdings.

我其实觉得这取决于我们想给投资者提供什么样的产品，以及整体目标是什么。

I really think of it as a function of kind of what type of product are we looking to provide to investors and what's the overall objective.

所以在我们的价值和动量产品中，我们确实把它们视为核心持仓，专注于两个最强因子。

So in our value and momentum products, we do think of these as more core holdings, focusing on two of the strongest factors.

我们希望这些因子始终存在于投资组合中。

We want to have those factors in our portfolio all the time.

所以，我们更倾向于把它当作核心持仓，因此我们确实需要注意组合中可能存在的个体风险。

And so again, we think of it more as core and therefore we do want to be mindful of idiosyncratic risks that could be present in the portfolio.

在这种情况下，我们选取整个股票池的四分之一，也就是25%。

So in this case, we take a quarter of the universe, so twenty five percent.

所以如果是大盘股，我们看的是最大的500只，我们会取125只，然后在整个股票池中重复这个操作，取前25%。

So if it's our large cap looking at the largest 500 names, we'll take a 125, and then we repeat that taking the top 25% across the universe.

所以我认为在这种情况下，25%是一个非常多元化的组合，没有任何一个个股会过度贡献组合的风险。

So I think that, you know, in this case, 25% is a very diverse mix of names where not any one individual name will overly contribute to the risk of the portfolio.

我们确实也有更集中的策略，我认为那是另一种做法。

So we do have strategies that are more concentrated, and I think that that is another way to do it.

但在这种情况下，既然这更像是一个核心任务，而且我们大多数使用这个产品的顾问和RIA都把它当作他们所用类别的主要组成部分，我们确实希望有更多的股票来分散风险。

But in this case, given that it is more of a core mandate and most of our advisors and RIAs that utilize the product are using it as a primary component of whichever bucket they're utilizing, we do want to have more names to spread that risk out just a little bit more.

那行业集中度方面有什么限制吗？

What about guardrails for sector concentration?

这个，我们看到了所谓的“大扩散”。

This has been We saw what we call the great broadening.

我不是说这是我们发明的，但我们在春天和夏天一直在讨论这个大扩散，然后出现了那种反转，基本上就是科技股对其他所有股票，科技股加通信股。

I'm not saying we made it up, but we were talking about the great broadening over the, I don't know, spring summer and that reverse hard where basically it's tech versus everything else, tech plus communications.

你怎么看设置一些限制，确保这不会变成半导体ETF？

How do you think about putting some guardrails to make sure that this doesn't become a semiconductor ETF?

这是个好问题。

That's a great question.

有几件事很重要。

There's a couple of things that are important.

首先，当我们评估价值和动量时，我之前提到的所有指标，这些都是相对于股票自身行业来计算的。

The first is that when we're assessing value and momentum, so all the metrics that I mentioned before, those are all done relative to a stock's own sector.

所以我们是在比较科技股和其他科技股，或者消费股和其他消费股。

So we're looking at technology stocks compared to other technology stocks or consumer stocks compared to other consumers.

所以按照定义，我们总是会在各个行业之间都有分布。

So we're always by definition going to get a representation across the various sectors.

所以不会过度集中在某个行业。

So we will not be overly concentrated to one sector or the other.

但从分散投资的角度，我们还有一个额外的措施，就是在权重上做文章。

But then an additional thing that we do from a diversification perspective is on the weighting.

很多策略可能会给个股设定权重上限。

So a lot of strategies, you know, might cap weight their names.

或者采用等权配置。

They might equal weight their names.

一旦我们选定了那些具备我们喜欢的特质的股票，我们会认真思考如何最大化分散风险。

We really put a lot of thought into once we've selected those names that have those attributes we like, we want to be as diversified as possible.

我们不希望任何一只股票对组合的风险贡献过大。

We want no name to overly contribute to the risk of the portfolio.

更机械的做法是按风险来分配权重，比如你提到的半导体股票波动性很大，我们就稍微降低它们的权重，而把更多权重给那些波动性较小的股票。

The way to do that more mechanically is you can weight based off of the risk where a name that has a very high volatility, let's maybe like the semiconductor stocks that you mentioned that are incredibly volatile, will lower the weight of those names ever so slightly, and then we'll put a little bit higher of a weight into names that have less volatility.

思路是这样的，比如大盘股有125只。

The idea is that let's take large cap with 125 names.

我们希望这125只股票在组合里承担相同的风险，这样就能对任何单只股票起到约束作用。

We want each of those 125 names to have the same risk in the portfolio, which then serves as a guardrail on any individual name.

评分中的行业中性成分能防止过度集中于某个行业。

The sector neutrality component of the scoring prevents it from being overly concentrated in one sector.

所以这一切都回到它作为核心持仓的理念，我们不希望它在任何行业或任何个股上过度集中。

So all this kind of goes back to the idea of it being a core holding where we don't expect it to be too concentrated in any sector or in any name.

我觉得评估量化策略的一个难点是，你可以让回测看起来非常非常好看。

I think one of the hard parts about evaluating quantitative strategies is you can make a backtest look really, really good.

你可以随意摆弄数据之类的。

You can torture the data or whatever.

所以作为量化专家，我很好奇，当你看到这种策略的回测数据时，哪些是你的警示信号，什么会让你说，哎，不不不，这不现实或者那...

So I'm just curious as a quant yourself, what do you find as red flags for if you see some backtested data of a strategy like this and what causes you to say, hey, no, no, no, there's no way that's realistic or that's...

你的预期有点不切实际。

Your expectations are out of whack.

就是说，你觉得对于评价这类策略的人来说，什么算是不好的信号？

Like, what do you think is a bad sign for somebody evaluating these types of strategies?

我觉得这又回到了我之前提到的那个棒球例子，我非常喜欢听产品背后的指标和精确度。

I think it comes back to even my baseball example earlier where I really like to listen for what are the metrics and the precision that went into a product.

我希望我们构建和评估的产品都有很强的学术严谨性。

I want the products that we build and the products that we evaluate to have a lot of academic rigor around them.

但有时候，就像你说的，这些东西很容易过度优化。

But then sometimes, to your point, it could be very easy to over optimize these things.

在我们的案例中，价值动量是各占一半。

So in our case, value momentum are fiftyfifty each.

当然，从历史数据来看，肯定有一些组合方式，或者说如果我们在某些时间点调整了这些权重，回报可能会更好。

There are certainly mixes that we could have done historically or we could have said if we had changed these at certain times, the returns would have been better.

我们可以用量化方法来驱动这个。

We could quantitatively drive that.

这两个各占一半。

Those are fiftyfifty each.

我考虑的是我们用的那些指标，就像我说的，相对基础或者常见的指标，比如市盈率、市净率、市现率，每个报表里取一个，这些权重都是一样的。

I think about the metrics that we utilize, like I said, relatively basic or common metrics in the sense of price to earnings, price to book, price to cash flow, one from each statement, those are all equally weighted.

所以对我来说，一个危险信号就是当你开始看到一些数字或者结构，如果我们是坐下来聊天的话，这些数字或结构不会那么直观。

And so to me, a red flag is when you start to see kind of numbers or constructions that wouldn't be just intuitive if we were sitting and talking about something.

比如说，如果我们说夏季月份动量占64%，然后秋季占36%，对吧？

If we said, you know, I have 64% momentum in the summer months and then I do 36 in the fall, right?

我们都会说，嗯，为什么要那么做？

We would all kind of say, well, why would you do that?

尽管数据可能表明，从历史来看，那样做也许更好。

Even though the data would suggest that perhaps that was a better way of doing it historically.

所以对我来说，我真的想了很多关于精确性的问题，如果我感觉到有太多精确性可能不够直观，我反而会更加紧张，因为在我看来，那可能只是说明那样测试出来的结果最好。

So to me, I just think a lot about the precision, and I almost get a little bit more nervous if I feel like there's a lot of precision that might not make intuitive sense because to me, that indicates that maybe that was just simply what tested the best.

最后，关于价值和动量，我特别想说，我肯定不是你们节目第一个或者最后一个谈论价值和动量的人。

And the last thing I'll mention on value and momentum in particular, I certainly will not be the first person or the last on your show to talk about value and momentum.

价值和动量可能是历史上数据最丰富、研究最充分的两个因子。

They are probably the two factors that do have the longest and most comprehensive set of data on them historically.

所以这也是我们在构建这些产品时让我感到放心的原因，因为它们不是那种数据挖掘出来的因子，因为关于价值和动量有效性的数据，已经有整整一百年了。

And so that also is something that as we built these products, gave me a lot of comfort that these aren't necessarily data mined factors because there's literally a hundred years of data on how value and momentum have been effective.

但这个问题问得好。随着我们进一步使用人工智能、机器学习和增强定量能力，这也是我会特别关注的一点。

But it's a good question and something that as we get further along with AI, machine learning, enhanced quantitative capabilities, that's something that I look for quite a bit.

好了，Lance，你还有什么要补充的吗？

All right, Lance, any final thoughts?

我觉得这是一次很好的对话。

I think this has been a great conversation.

总的来说，这些产品其实就是把刚才提到的两个因子结合在一起。

I think overall, these products are really about combining two factors that I just mentioned.

这两个因子虽然有着历史上最久远、最全面的研究，但最关键的还是我们如何去组合它们，因为价值和动量各自都有一些不足之处。

I've had the longest and most comprehensive research done historically, But then the most important component is, again, how we combine them where both value and momentum do have some downsides.

它们确实有一些阴暗面。

They do have some dark sides.

把它们放在一起，确实能帮助平滑掉它们各自可能带来的那些回撤。

By putting them together, you do help smooth out some of those drawdowns that each could produce on their own.

所以再说一次，我们的思路是找到那些估值不错但显示出改善迹象的股票，理想情况下避开那些价值陷阱，或者那些涨得火热但经常会出现大幅回调的动量股。

And so again, the idea is to find stocks that have a good valuation but are showing signs of improvement, ideally avoiding those value traps or those hot running momentum names that oftentimes can have sharp pullbacks.

所以把这些结合起来，我们认为这是一种更核心的方式，让价值和动量指标作为基础层出现在你的投资组合中。

So bringing that all together, we think is a way to, in a more core fashion, have those value momentum measures present in your portfolio as that base layer.

那么，Lance，对于所有想了解更多这些不同价值动量基金的人来说，我们应该让他们去哪里呢？

So Lance, for all the people who want to learn more about all of these different value momentum funds, where do we send them?

他们可以去我们的网站 vcm.com，那里有关于这些策略的额外教育材料。

They can go to our website at vcm.com where we have additional educational material on the strategies.

当然，他们也可以直接联系我们，提出任何具体问题。

And then, of course, they can reach out to us directly with any specific questions.

太好了。

Perfect.

谢谢你来做客。

Thanks for coming on the show.

谢谢大家。

Thanks, guys.

非常感谢。

Appreciate it.

好的。

Okay.

感谢Lance。

Thanks to Lance.

记住，去dcm.com了解更多，并给我们发邮件到 analystreiscompoundnews.com。

Remember, check out dcm.com to learn more and email us analystreiscompoundnews dot com.