j*****h
发帖数: 3292 | 1 可能不是你想看的那种
BUYING THE WORST PERFORMING STOCKS
If you’re looking for a great way to underperform the market, look no
further. A $10,000 investment on December 31, 1951, in those 50 stocks from
the All Stocks universe having the worst one-year price performance, was
worth just $79,226 at the end of 2003, a compound return of 4.06 percent a
year. Only those 50 stocks having the highest price-to-sales ratios did
worse. The standard deviation of return for the 50 losers was 32.63 percent,
considerably higher than All Stocks’ 20.11 percent. With such abysmal
returns, any risk will wreak havoc with the Sharpe ratio, and here it’s a
pathetic 10. Base rates are atrocious, with the 50 losers beating All Stocks
in only 14 of the 52 years reviewed. The rolling five-year returns are even
worse. The 50 losers beat All Stocks only twice in 48 five-year periods.
And the magnitude of all rolling five-year losses was huge as well, with
those 50 stocks having the worst performance on average almost 10 percent
behind the average return
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