Does an Economic Profit Strategy Outperform the Market? A Long-Term Study Using EVA-Style Analysis
研究了近25年经济增加值（EVA）策略的表现，发现正EVA策略能提供更高的风险调整后收益，并可作为低系统性风险的组合对冲工具。
Our long-term performance study on economic profit over the past quarter century reveals that economic value added (EVA) still matters. An EVA-style strategy outperforms the market by providing higher risk-adjusted returns compared to large-cap benchmarks, including the S&P 500 and Russell 1000. Our performance assessment reveals that the positive EVA styles outperform the negative EVA styles in terms of absolute returns and risk-adjusted returns. As such, the positive EVA styles provide relatively attractive returns and may serve as a natural portfolio hedge with below-average systematic risk. Our multifactor regression tests using Fama–French methods reveal that an EVA-style effect remains in asset returns because the alphas are significant across the EVA styles. We note some interesting return differences and a structural break that occurred during the Global Financial Crisis. We also modify the traditional investment strategy recommendations for EVA-style analysis to better reflect the empirical results observed.