Är historisk avkastning verkligen irrelevant?

[Marknadstajmarn]

I forskningen så säger man att historisk avkastning måste uppfylla vissa villkor för att det ska finnas god anledningen till att tro att den historiska avkastningen ska kunna säga något om framtida avkastning.

A factor should be required to meet five criteria before the premium can be expected to continue.

The factor should be:

• Persistent — It holds across long periods of time and different economic regimes.
• Pervasive — It holds across countries, regions, sectors and even asset classes.
• Robust — It holds for various definitions (for example, there is a value premium, whether it is measured by price-to-book [P/B], earnings, cash flow or sales).
• Investable — It holds up not just on paper but also after considering actual implementation issues, such as trading costs.
• Intuitive — There are logical risk-based or behavioral-based explanations for its premium and why it should continue to exist.