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迪丽热6 · 2025年07月01日

FURLING 的最后一行,选股标准有attractive relative valuation相对价值法

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NO.PZ201809170400000403

问题如下:

Which manager is most likely to get caught in a value trap?

选项:

A.

Furlings

B.

Asgard

C.

Tokra

解释:

C is the correct answer. A value trap occurs when a stock that appears to have an attractive valuation because of a low P/E and/or P/B multiple (or other relevant value proxies) appears cheap only because of its worsening growth prospects. Although a pitfall such as value trap is more common in fundamental investing, a quantitative process that relies on historical information and does not integrate future expectations about cash flows or profitability may be unable to detect a value trap.

A is an incorrect answer. Although Furlings is a top-down manager, its sector portfolios are built through investing in a small number of high-conviction securities after its analysts have dissected the financial statements and analyzed the competitive landscape and growth prospects. Managers at Furlings are more likely than managers at Tokra to be aware of the significant deteriorating prospects of a security they are considering for investment.

B is an incorrect answer. One of Asgard’s investment criteria is identifying firms that have good potential cash flow growth over the next three years. The firm has access to database and support tools, allowing its analysts to evaluate many potential growth metrics. Managers at Asgard are more likely than managers at Tokra to be aware of the significant deteriorating prospects of a security they are considering for investment.

而且furling 是fundamental的方法,更应该出现value trap呀,为什么会选C

1 个答案

笛子_品职助教 · 2025年07月02日

嗨,爱思考的PZer你好:


FURLING 的最后一行,选股标准有attractive relative valuation相对价值法。而且furling 是fundamental的方法

是的,FURLING 提到了attractive relative valuation,并且可以看出furling 是Fundamental 方法。

同学理解正确的。


更应该出现value trap呀,为什么会选C

这里就需要用这道题来掌握一个结论:

虽然量化与基本面都会有value trap的问题,但量化方法比基本面方法,更容易出现value trap。


value trap是指一个股票的估值很低,看起来价格很便宜,但这只股票的未来业绩预期可能很不好。

以现在的业绩来估值,便宜。以未来的业绩来估值,不便宜。

这就是value trap。


举例来说:

A公司股价9元,今年的EPS为3元,市盈率3倍。现在很便宜。

但是明年,A公司业绩下降90%,EPS变为0.3元,如果股价还是9元,市盈率30倍,就不再便宜。

这就是value trap。


所以要避免value trap的问题,就需要对未来业绩进行预测。


基本面会对未来业绩做预测,但预测的业绩不一定是实际的业绩,预测有可能出错,如果出错,会导致掉入价值陷阱。

例如:

上面例子里的A公司,如果基本面预测未来业绩会下降90%,就不会买入,因此不会掉入价值陷阱。

但如果基本面预测错误,认为未来业绩与现有业绩一样,可以维持,就会掉入价值陷阱。

那么对于CFA专业人士来说,预测的成功率默认大于50%,因此基本面分析掉入价值陷阱的概率,小于50%。


如果是量化交易,量化交易是不会对公司未来的earning做预测的,因此掉入价值的陷阱,可以认为是一半一半,就是50%。


基本面掉入value trap的概率小于50%

量化掉入value trap的概率等于50%

量化更容易掉入value trap。






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