https://www.amazon.com/Dao-Capital-Austrian-Investing-Distorted/dp/111834703X
前面八章都在講奧派經濟學理論
跟交易相關的章節集中在最後兩章
- Austrian Investing I: focus on monetary distortion
- 關注capital cycle
- 觀測Tobin's Equity Q ratio - Total U.S corporate equity divided by total U.S corporate net worth
- 當ratio低時, 未來報酬高, drawdown低; 當ratio高時, 未來報酬低, drawdown高
- 簡易回測: ratio>1.6, 賣出; ratio<0.7買入, 年化報酬會高於持有S&P 500 2%
- Tail Hedging an Equity Portfolio, case study如下
- Purchase 2-month 0.5 delta puts (approx. 30 percent out of the money, 40 percent implied volatility)
- After every month, the 2-month put options position is rolled
- Each month the portfolio spends one half of one percent(0.5%) on puts, and the remaining 99.5% stays invested in S&P
- No leverage
- When MS ratio is high (4th quartiles), this approach will add about 2~6% alpha compared with simply holding S&P
- Austrian Investing II: central bank hedging
- seeking "highly productive capital"
- 搜尋滿足以下兩個條件的公司
- high ROIC( = EBIT/invested capital), 不讓central bank的利率決策而影響
- low faustmann ratio( = market capitalization/net worth or invested capital plus cash minus debt and preferred equity)
- 每個月, 從最低的faustmann raio中挑選ROIC大於100%的公司。1978~2015, 回測績效為24.9%, S&P500為1.3%
- Austrian I and II可以各自獨立使用, 也彼此互補。
- Austrian Investing II跟Lu Zhang教授的研究相符 (link)
- Low investment and high Roe.
- Austrian Investing II說ROCE可以持續, 這個跟deep value investing的說法相左
留言