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Buffett's Alpha Abstract Berkshire Hathaway has realized a Sharpe ratio of 0.79 with significant alpha to traditional risk factors. However, the alpha becomes insignificant when controlling for exposures to Betting-Against-Beta and Quality-Minus-Junk factors. Further, we estimate that Buffett’s leverage is about 1.7-to-1 on average. Therefore, Buffett’s returns appear to be neither luck nor magic, but, rather, reward for leveraging cheap, safe, quality stocks. Decomposing Berkshires’ portfolio into ownership in publicly traded stocks versus wholly-owned private companies, we find that the former performs the best, suggesting that Buffett’s returns are more due to stock selection than to his effect on management. Keywords: investments, market efficiency, leverage, quality, value, betting against beta https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3197185 |
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| aus der Diskussion: | Warren Buffett - nur mit Fundamentalanalyse 62 Milliarden Dollar schwer |
| Autor (Datum des Eintrages): | kosto1929 (11.01.20 02:58:35) |
| Beitrag: | 182 von 210 (ID:62343776) |
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