由Irina Pacheco，CFA，定量战略家和投资组合经理多资产解决方案，BMO Global Asset Management，CFA，CFA，副总裁，经理选择，多资产解决方案，BMO Global Asset Management
2017年投资者在国际股票市场跨越非凡的回报，可以轻松地为被动投资增加了增加的热情。为什么当MSCI EAFE指数超过25％时支付活动管理，并且MSCI新兴市场指数上升37％？与此同时，大多数投资者都知道2017年的高回报和低波动性，实际上是非凡的。
然而，2018年的市场动荡是导致暂停和仔细研究投资宇宙BMO全球资产管理调用“高信念”（HC）积极战略的子集，并评估它们是否提供可衡量的福利与指数资金或低跟踪误差主动策略。
什么是高信念宇宙？
在我们的分析中，我们使用了向晨星报告的综合数据1， 和focused on international developed markets and emerging markets. We used five different characteristics to identifying HC strategies: tracking error, beta, R-squared, upside/downside capture, and active share. The table below shows the filtering guidelines for each characteristic.
我们通过包括这些过滤指南创建的五个组中出现的复合材料，建立了整体HC宇宙。（在这些过滤指南之外落下的策略是“非HC”策略。）减轻了用于创建HC Universe的相同历史数据的关切，也用于测量其施加高频（大于50％的性能）对于所有特征而且有效份额）关于达到三项过滤指南所需策略的频率如何2。这让我们更大的信心，即使其他时间段用于过滤，所选的策略也会填充HC Universe。生存偏差也会影响我们的结果，因为表现成分可能退出宇宙。然而，从某种意义上说，生存偏差使我们的结果是一种更保守的倾斜，因为幸存策略的向上压力以优于基准和他们的同龄人。
风险/退货观察
In order to evaluate the HC universe, weexamined the historical risk/return trade-off使用平均单位和三年的滚动返回与年度风险（标准偏差）。所有五种过滤指南都揭示了HC策略具有更高的平均返回和滚动窗口的标准偏差与完整宇宙，基准和ETF的平均偏差3designed to track the benchmark. Risk/return data is shown in the following charts:
Downside risk mitigation
HC strategies also offered advantages in terms of downside risk mitigation. We looked at the percentage of time three-year returns were in the bottom quartile of the full universe and found that HC strategies appeared in the bottom quartile less often than the non-HC strategies. Moreover, the maximum drawdown for HC strategies over 15 years was notably smaller than that of non-HC strategies (-34% versus -41% for international developed markets and -32% versus -47% for emerging markets). This result may be a bit surprising to investors who expect the median HC strategies to experience wider performance swings.
进入并留在
虽然它们大约50％的时间发出了高分子的性能，但HC策略有时表现不足他们的同伴宇宙。我们发现HC策略表现出更广泛的排名分散，它们的性能有时将它们放在底部四分位数。然而，这种分散在国际发达市场中没有受到更长的绩效，因为HC策略（55％）在底部四分位数后三年内提供全高分子性能的概率（55％），而不是非高管策略（24％）。
相反，在顶部四分位数的三年内递送底部四分位数的可能性低于非HC策略（38％）。在新兴市场内，HC和非HC策略之间提高/下降概率的差异较窄，但HC策略在过去的20年中仍然表现出强大的性能优势，提供了近50％的最高四分位数与26％的性能。对于非HC策略。
这些结果表明，表现不佳的HC策略可能为新投资者提供买入机会。与此同时，数据强调了耐心为目前投资者的耐心策略。如果投资者对HC经理的进程充满信心，因此由于强劲反弹与更广泛的宇宙的概率更大，因此不可能将这些策略转向。
Lastly, we reviewed strategies in the top quartile for performance over three-, five- and 10-year periods. These results suggest that the HC universe could help investment decision-makers identify active strategies capable of outperformance over the long term. Within international developed-market equities, 69% of HC strategies delivered top-quartile performance over ten years, while just 15% of non-HC managers did so over the same time period. HC strategies in emerging markets displayed a similarly attractive probability of long-term outperformance versus non-HC strategies.
耐心优先
较短时间范围或底部四分位数性能低的投资者可能对HC策略有更多的困难。正如我们所看到的那样，表现不佳的短期观点可能会忽视买入机会，同时对HC经理产生不耐烦可能导致禁止反弹。如果HC策略在底部四分位数中，除非提供了一些更大的上下文，否则客户可能会质疑其投资组合中的存在。我们认为这项研究说明了通过提供在表现不佳的数量和持续期间进入和留在不成计的概率的良好概率来偿还的良好哲学的益处。
下表说明了在拨入国际发达市场和新兴市场的分配中加入HC策略的优势。为了比较目的，我们还增加了50％HC策略/ 50％ETF的样品分配3（旨在跟踪索引）。
In both markets, the 50/50 allocation provided excess return, notably more than 2% over a three-year period, while reducing volatility versus the ETF alone. These results suggest HC strategies can help financial professionals add value in both portfolio construction and manager selection. As an additional benefit, the HC universe can isolate truly active strategies from “closet” index strategies and thus help clients optimize their fee budget for active management.
进入完整的报告和listen in on ourpodcast for more insightsfrom the authors to help drive better conversations and better outcomes.
免责声明
1机构单独的账户，费用的费用，在01/02/2012之前的成立日期。HC Universe和所有子集的统计数据使用01/01/1998至12/31/2017的中位数返回计算。由经理自我报告给Morningstar的综合信息，并未独立验证。
2在国际发达的市场中，141个策略中的22个符合标准。在新兴市场，132个策略中有26个这样做。
3Ishares MSCI EAFE ETF（Inception 08/14/2001）和Ishares MSCI新兴市场ETF（Inception 04/07/2003）。对于在初始之前的时段，相应的索引被替换为构建与该分析中使用的其他复合材料相同长度的性能记录。
国际开发的市场数据在晨略的外国大型混合类别上过滤。新兴市场在晨星多样化新兴市场类别上过滤了数据。摩根士丹利首都国际欧洲，澳大利亚和远东指数（EAFE）是一家标准的非托管外国证券指数，代表着主要的非美国。股票市场，由摩根股票般资本国际（MSCI）监测。
The MSCI Emerging Markets Index is a market capitalization weighted index comprised of over 800 companies representative of the market structure of emerging countries in Europe, Latin America, Africa, Middle East and Asia. Prior to January 1, 2002, the returns of the MSCI were presented before the application of withholding taxes.
投资不能达到指数。
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This is not intended to serve as a complete analysis of every material fact regarding any company, industry or security. The opinions expressed here reflect our judgment at this date and are subject to change. Information has been obtained from sources we consider to be reliable, but we cannot guarantee the accuracy. This publication is prepared for general information only. This material does not constitute investment advice and is not intended as an endorsement of any specific investment. It does not have regard to the specific investment objectives, financial situation and the particular needs of any specific person who may receive this report. Investors should seek advice regarding the appropriateness of investing in any securities or investment strategies discussed or recommended in this report and should understand that statements regarding future prospects may not be realized. Investment involves risk. Market conditions and trends fluctuate. The value of an investment as well as income associated with investments may rise or fall. Accordingly, investors may receive back less than originally invested.
过去的性能不一定是未来性能指南。
所有投资涉及风险，包括校长可能损失。
投资产品是：不是FDIC保险 - 不存款 - 不是银行保证 - 可能会失去价值
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