Understanding Defensive Equity

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2016年7月¹

介绍
Over a 40-year working life, defined contribution (DC) plan savers try to maximize two basic investment outcomes: wealth accumulation and wealth preservation. However, these objectives present a basic tradeoff: for many retirement savers, the investments designed to promote wealth accumulation (equities) are different from the investments designed to promote wealth preservation (e.g., cash, bonds). Defensive equities seek to provide a “best of both worlds”: delivering the equity risk premium to achieve wealth accumulation, but by investing in less-risky equity securities to promote wealth preservation.

防守优惠
在金融领域最古老的一个结论是,劳r-risk stocks deliver returns that are “too high” compared to what traditional models predict.2 As shown in Figure 1, over the long term, lower-risk U.S. stocks (left side) have delivered approximately the same average return as higher-risk stocks (right side). Defensive equity^3.strategies seek to capture this premium by investing across a range of low-risk stocks, with the objective of achieving market-like returns but with less volatility.^4.

是什么推动防守溢价？
Various theories seek to explain why defensive stocks perform as well as they do. One of the oldest and most tested is “leverage aversion,” which considers what happens to stock prices when a meaningful subset of investors are unable or unwilling to use leverage.

一般而言，具有激进返回目标的股权投资者有两种选择：1）投资更高风险的股票，希望获得高度回报，或2）使用杠杆放大较低风险股票的回报。然而，在杠杆厌恶世界中，投资者在选项1和2之间没有选择。相反，他们被迫参加选项1：投资更高风险的股票。

The resulting high demand for higher- risk stocks means their prices get bid up and their expected returns go down. The opposite holds for lower-risk, or defensive, stocks: Because there is less demand for them, their prices are bid lower and thus may be expected to perform better than they otherwise would.

是什么让股票“防御”？
There are many ways to evaluate whether a security is defensive. These fall into two categories: fundamental and quantitative. From a fundamental perspective, companies with low risk may have relatively high margins, sustainable earnings and low credit risk.^5.从量化的角度来看，风险低的公司可能是具有较低β或对市场的敏感性的公司，或对市场的敏感性或低波动性。我们认为这两个类别对于识别防御性公司都很有用，并且该组合可能会产生更强大的真正防御性股票的投资组合。

防御和定义贡献
防御性股票可能是最适合满足财富积累和财富保护的双胞胎目标之一。Figure 2 charts the rolling threeyear average returns of two portfolios: a hypothetical U.S. large-cap defensive equity strategy and the Russell 1000. In good times the returns are comparable,which supports the idea that defensive equities may achieve returns on par with passive equities and thus provide a similar engine for growth.

但是，差异可以在图2的阴影区域中看到 - 当较低波动导致较小的拉长时，展示防御性股票可能更好地在降低市场的情况下更好。^6.当投资者通过市场缩减时，投资者越来越多的时间，这种特点显然是近期退休。但它也可能有助于年轻的储蓄者，他们可能不太可能在严重和潜在的延长熊市后扔进毛巾，维护他们需要积累足够节省的退休金所需的分配。

¹For more, see Frazzini, Friedman and Kim (2012), “Understanding Defensive Equity.”
²早期研究包括黑色（1972）。

^3.防御性股权，低β，最低差异，低波动性 - 这些名称全部描述了一般寻求超重安全证券和体重风险证券（相对于资本化重量基准）的投资策略。

^4.防御保费的证据是普遍存在的。Beyond the U.S., we find decades of evidence in international markets and in other asset classes—such as bonds and credit—that point to the same basic conclusion: Defensive strategies may generate returns similar to those of overall markets but with less volatility (and thus generally smaller drawdowns).

^5.与前面的证据，安全，有利可图和稳定的公司历史上历史上赢得了较高的风险，不可稳健的公司，如Piotroski（2002），Novy-Marx（2012），Asness，Frazzini和Pedersen（2012年）所示。

^6.Over the full period show in Figure 2, the average volatility and total return of the Russell 1000 are 15% and 11%, respectively. For the Hypothetical Defensive Strategy the average volatility and total return are 12% and 12%, respectively.

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Bibliography
Asness，A.，Frazzini，A.，Pedersen，L.H.（2012），“质量减去垃圾”，工作纸。
黑色，F.（1972），“资本市场均衡与受限制借款”，营业杂志那Vol. 45, No. 3, pp. 444-455.
Frazzini，A.，弗里德曼，J.，Kim，H.（2012），“了解防御性股权”，AQR白皮书。
Novy-Marx，Robert（2013），“其他一面：毛利率溢价，”金融经济学杂志108(1), 2013, 1-28. Piotroski, Joseph D. (2000), “Value Investing: The Use of Historical Financial Statement Information to Separate Winners from Losers,”会计研究杂志，38,1-41。

AQR is a global investment management firm
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投资者和投资专业人员。

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披露
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过去的性能不是未来表现的保证。
多元化不会消除体验投资损失的风险。
Broad-based securities indices are unmanaged and are not subject to fees and expenses typically associated with managed accounts or investment funds. Investments cannot be made directly in an index. The Russell 1000 Index is a stock market index that represents the highest-ranking 1,000 stocks in the Russell 3000 Index, which represents about 90% of the total market capitalization of that index.
This document is not research and should not be treated as research. This document does not represent valuation judgments with respect to any financial instrument, issuer, security or sector that may be described or referenced herein and does not represent a formal or official view of AQR.
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