投资组合业绩评价中的前瞻基准偏差
Look-Ahead Benchmark Bias in Portfolio Performance Evaluation
摘要：
投资管理人员的业绩是根据财务指数等基准进行评价的。由于大多数专业数据库不跟踪基准投资组合构成的变化这一操作限制，标准业绩测试在测试期结束时而不是在测试期开始时使用构成参考基准的资产时，会遭受“前瞻基准偏差”。在这里，我们报告说，“前瞻性基准偏差”可以表现出一个令人惊讶的大幅度的普通股投资组合（高达8%的标准普尔500指数作为基准）-而大多数研究都强调了相关的生存偏差的共同和对冲基金的表现，偏差可以预期会更大。我们使用1926年至2006年的CRSP数据库，并分析了美国前500名资本的运行情况，以证明这种偏差可以解释对夏普比率等绩效指标的严重高估以及对风险的低估，例如通过峰谷下降来衡量。我们证明了存在一个显着的偏差，在估计的生存和前瞻性的偏见在文献中研究。提出了一种检验投资策略性质的一般方法，该方法以具有相似投资约束的随机策略为基础。
英文摘要：
Performance of investment managers are evaluated in comparison with benchmarks, such as financial indices. Due to the operational constraint that most professional databases do not track the change of constitution of benchmark portfolios, standard tests of performance suffer from the "look-ahead benchmark bias," when they use the assets constituting the benchmarks of reference at the end of the testing period, rather than at the beginning of the period. Here, we report that the "look-ahead benchmark bias" can exhibit a surprisingly large amplitude for portfolios of common stocks (up to 8% annum for the S&P500 taken as the benchmark) -- while most studies have emphasized related survival biases in performance of mutual and hedge funds for which the biases can be expected to be even larger. We use the CRSP database from 1926 to 2006 and analyze the running top 500 US capitalizations to demonstrate that this bias can account for a gross overestimation of performance metrics such as the Sharpe ratio as well as an underestimation of risk, as measured for instance by peak-to-valley drawdowns. We demonstrate the presence of a significant bias in the estimation of the survival and look-ahead biases studied in the literature. A general methodology to test the properties of investment strategies is advanced in terms of random strategies with similar investment constraints.
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