2008.9.

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:1
(HBS) MorningstarRusell
(SCS)Frank Russell Salomon Brother
2
(RBS) sharp

sharpRusell

87-93

Arnott, David and Christopher

75 1 95 6 1

Farrell(1996)
71 91
20.14%

Shao and Rennie(2007)

Gokani1 and Todorovic

63%
FTSE

p1

p1

 p2

1. ....................................................................................................................................3
1.1.
1.2.
1.3.

...........................................................................................................................3
.......................................................................................................3
...................................................................................................................4
1.3.1.
() ................................................................................................4
1.3.2.
() ....................................................................................................5

2. ....................................................................................................................................6
2.1.
2.2.

...........................................................................................................................................6
...........................................................................................................................7
2.2.1.
...............................................................................................................................7
2.2.2.
...........................................................................................................................8
2.2.3.
SCS ...........................................................................................................................9
2.2.4.
(Frank Russell)(Salomon Brother) ....................9
2.2.5.
.....................................................................................................................10
2.2.6.
.........................................................................................................................11

3. .................................................................................................................................. 11
3.1.
3.2.

3.3.
3.4.
3.5.
3.6.

.................................................................................................11
.................................................................................................................................11
3.2.1.
/ VS / ...........................................................................................11
3.2.2.
/............................................................................12
.............................................................................................14
.........................................................................................15
.............................................................................................................15
.....................................................................................................................16

p2

14 9 11

2 of 18

 p3

1.
1.1.

1.2.

p3

P/E

3 of 18

 p4

1.3.

p4

1.3.1. ()

4 of 18

 p5

2 1972 12 -1974 7

500

Beta

T.Rowe Price

39.8%
24.0%
20.0%
16.2%
100%

80.2%
8.7%
4.1%
7.0%
100%

10.5%
57.5%
18.0%
14.0%
100%

1.00
-29%

1.11
-16%

-1.09
-42%

James L.Farrell,Jr.,Homegeneous Stock Groupings:Implications for Portfolio

Management,Financial Analysts Journal,1975

500 T.Rowe Price

1972 12 -1974 7
29% 42% 16%

90% T.Rowe Price

80%
T.Rowe Price

1.3.2. ()

100 45

p5

5 of 18

 p6

500 145

2.
2.1.

Investment Company Institute

33
Fama and French
Roll1995Brown and
Goetzmann 1997 iBartolomeo and
Witkowski(1997)

Beta

P/E P/B
P/CF D/P

EPS BPS

p6

6 of 18

 p7

diBartolomeo and Witkowski (1997)

748 40%

1990-1994
3000

14.56%

3 1990-1994

3000

14.56%
11.78%
9.11%

16.68%
12.82%
12.62%

0.58
0.54
0.33

Bruce I.Jacobs and Kenneth N.Levy.Equity Management:Quantitive Analysis for Stock

Selection

2.2.
:1
(HBS)(Morningstar)(Rusell)
(SCS)(Frank Russell)(Salomon
Brother)2(RBS)

2.2.1.
5
Value

Blend

Growth

Mid

Small

Large

p7

Valuation

Size
Morningstar

7 of 18

 p8

33

(Size)
10 50 10-50
(Valuation)
500
500 2
1.75 2.25 1.75-2.25

2.2.2.
1
2
--
3
A

CumRatio0 < CR 100%

70%CR 70%
70%-90%70% < CR 90%
90%CR > 90%
10
1 5
5 OVS(Overall Value Score)
2 5
5 OGS(Overall Growth Score)
3 OVS-OGS-- VCG(Value Core Growth)

1/3
4

p8

50.00%
12.50%
12.50%
12.50%
12.50%

50.00%
12.50%
12.50%
12.50%
12.50%
8 of 18

 p9

Morningstar

2.2.3. SCS
(Rusell)(Style Classification SystemSCS) 6
Russell
2500 6 P/B
P/E
Russell 3000
1

Russell 2500 Russell 2500

Russell 2500
P/B2
2)
3

2.2.4. (Frank Russell)(Salomon Brother)

B/P

IBES(Institutional Brokerage Estimates Survey) P/B

/(GV)

1- 1
1

p9

GV
5
10%
10%

9 of 18

 p10

6 /(GV)

Sergio Bienstock and Eric H.Sorensen,Segregating Growth From Value:Its Not

Always Either/Or1992 7

2.2.5.
1 500 (B/P)
B/P
2 500
80%
5

500

500

Sharpe, William F.(1992),Asset Allocation: Management Style and Performance

Measurement,Journal of Portfolio Management, Vol.18, No.2, Winter 1992

12

0.5
1 12

p1

1
2

10 of 18

 p11

24-60
2.2.6.
(HBS)(RBS)

Radcliffe1989HBS
41.8%RBS
47.9% RBS

HBS
RBS

RBS
HBS

3.
3.1.

(1992) 1985-1989 97%

1991
57% 1993

48%

3.2.

p1

3.2.1. / VS /
1987-1993
18
9 S&P500
5 50

11 of 18

 p12

( PE ) 50

/
/
6

Amcap Fund
American Capital Pace
Fidelity Destiny
GE S&S Program
Growth Fund of America
Nicholas Fund
Smith Barney Shearson Appreciation Fund
T.Rowe Price Growth Stock
Twentieth Century Select

Affiliated Fund
American Mutual
Dreyfus Fund
Investment Company of American
Mutual Shares
Pioneer II
Putnam Growth & Income
Washington Mutual
Windsor Fund

Richard Berstein(1995)Merrill Lynch Quantitative Analysis

7 (1987-1993)
60
50
40

30
20
10
0
-10
-20
-30
1987

1988

1989

1990

1991

1992

1993

Richard Berstein(1995)Merrill Lynch Quantitative Analysis

3.2.2. /

p1

//

S&P500 50
( PE) PB
PCF PS DDM

/
DDM
DDM

12 of 18

 p13

8 (1987-1993)

PCF
DDM

60
50
40
30
20
10
0
-10
-20
-30
-40

1987

1988

PB
PS

1989

1990

1991

1992

1993

Richard Berstein(1995)Merrill Lynch Quantitative Analysis

7 12 (1987-1993)

PB
PCF
PS
DDM

0.81
0.86
0.78
0.72

PB

PCF

PS

0.96
0.98
0.78

0.97
0.87

0.80

DDM

Richard Berstein(1995)Merrill Lynch Quantitative Analysis

9 (1987-1993)

40

30
20
10
0
-10
-20
1987

1988

1989

1990

1991

1992

1993

p1

Richard Berstein(1995)Merrill Lynch Quantitative Analysis

13 of 18

 p14

8 12 (1987-1993)

0.63
0.85
0.71

0.87
0.94

0.92

Richard Berstein(1995)Merrill Lynch Quantitative Analysis

3.3.
Richard Roll E/P
B/P
1984 4 -1994 3
500
Robert Arnott, David and Christopher 1
P/B 1975 1 -1995
6
9 1975 1 -1995 6 1
1

23
42
37
12
14

14
24
10
5
9

64.3%
75.0%
270.0%
140.0%
55.6%

Exhibit 10 in David J. Leinweber,Robert D.Arnott,and Christopher G. Luck,The Many

Sides of Equity Style:Quantitative Management of Core,Value and Growth Portfolios,Chapter 11 in
T.Daniel Coggin,Frank J.Fabozzi,and Robert D.Arnott(eds.),The Handbook of Equity Style
Management:Second Edition(New Hope,PA:Frank J.Fabozzi Associates,1997),p.188

p1

RollRobert

Roll CAPM

14 of 18

 p15

3.4.

Levis and Liodakis(1999)

1968-1997 29.10%
1% 24.51%(FT-All Share) 16%
10 (1979-1994 )

31.93%
13.20%

18.73%

(Wiltshire)500

29.67%
13.98%

15.69%

First Madison Advisors

Farrell(1996)
1971 12 31 -1991 12 31
20.14%
11 500 1971-1991 %

1970/12-1972/06
1972/06-1973/06
1973/06-1974/06
1974/06-1975/06
1975/12-1976/12
1976/12-1980/12
1978/12-1983/12
1980/12-1984/12
1983/12-1985/12
1984/12-1987/12
1985/12-1988/12
1988/12-1991/12

48.50
22.50
8.50
45.00
41.00
85.00
56.00
17.00
41.00
40.00
28.00
89.00
43.56

500

21.70
0.20
-14.50
12.40
24.00
48.00
42.00
6.00
32.00
25.00
17.00
66.00
23.32

26.80
22.30
23.00
32.60
17.00
37.00
14.00
11.00
9.00
15.00
11.00
23.00
20.14

James L Farrell,Portfolio Management: Theory and Applications, McGraw-Hill/Irwin;

2 edition,1996.

p1

3.5.
Yingying Shao and Craig G.
Rennie(2007)
1

15 of 18

 p16

Bhavesh Gokani1 and Natasha Todorovic Logistic

63%
FTSE
FTSE 350
Logistic

3.6.

p1

16 of 18

: CPA2006
()2005

2006

17 of 18

168 29
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