Читать книгу Competitive Advantage in Investing - Steven Abrahams - Страница 33

J. Benson Durham at the Federal Reserve Bank of New York noticed Frazzini and Pedersen's surprising results with betting-against-beta in the US Treasury market and decided to repeat the test and extend the analysis to 10 other global government bond markets (Durham, 2015). In the US Treasury market, widely assumed to be one of the most efficient in the world, Durham found betting-against-beta from 1962 through 2013 delivered better returns—more return for each measure of risk—than either the overall Treasury market itself or even the overall US equity markets. He tried the same test in the government bond markets for Germany, France, the Netherlands, Belgium, Italy, Spain, Japan, the UK, Canada, and Switzerland. Betting-against-beta only delivered better returns than the overall bond market in Italy, but it beat the equity markets in all countries. The results for government bonds beyond the US Treasury market could reflect a relatively smaller proportion of investors who are limited by leverage in those markets. In the US, a larger share of investment coming from individuals, mutual funds, and foreign portfolios averse to leverage may explain the good results from betting-against-beta in the US Treasury market.