wolfe定量研究进入企业生命周期的切合实际的观点.pdf

QUANTITATIVE RESEARCH QUANTITATIVE RESEARCH PORTFOLIO DESIGN AND SELECTION PORTFOLIO DESIGN AND SELECTION March 16, 2010 PRACTICAL (AND PROFITABLE) INSIGHTS INTO THE CORPORATE LIFE CYCLE PRACTICAL (AND PROFITABLE) INSIGHTS INTO THE CORPORATE LIFE CYCLE Regular readers of our work know that we like to slice the equity universe into very specific buckets, namely cyclical and non-cyclical. We believe that this simple breakdown helps explain returns across the business cycle. In today’s quant piece, we attempt to carve the equity universe a little differently. Indeed, our aim this time is to identify the different stages of a company’s life cycle. There have been many articles and textbooks over the years that discuss this concept in theory. We thought we would take a stab at applying it. Surprisingly, given our initial inclination, the returns are solid. More importantly, we now believe that it is essential for investors to know what stage of the corporate life cycle a potential investment falls into as it carries enormous implications for analysis and returns. The Stages Of A Firm’s Life Cycle Influence Returns Across Time 2.63 1.99 )