Rip Van Winkle Indexing
研究发现，基于过时价格数据构建的模拟投资组合，其表现和风险调整后收益均优于使用最新市值权重的组合，且数据越陈旧效果越好，揭示了当前市值加权策略的缺陷。
A simulated portfolio deliberately based on stale price data—a Rip Van Winkle index fund—has both substantially higher performance and lower volatility than a portfolio that uses up-to-date cap weights. This holds true over the past 67 years in the United States and over shorter timespans in the world’s developed and emerging economies. An examination of the term structure of the stale price anomaly demonstrates that, beyond one year (when short-term momentum prevails), the older the data, the better the performance. In addition, a portfolio based on 20-year-old stale prices adds fully one-third as much risk-adjusted alpha as a hypothetical portfolio based on 20 years of look-ahead clairvoyance. Stale cap weighting is not a sensible strategy, but it sheds more light on the rather stark inadequacies of weighting a portfolio in proportion to a firm’s current price or market capitalization. <bold>TOPICS:</bold> <ext-link>Simulations</ext-link>, <ext-link>mutual fund performance</ext-link>, <ext-link>passive strategies</ext-link>