Financial Analysts Journal· VOL72,NO.2· March/April 2016.

約束對最小方差組合的影響

作者：Tzee-Man Chow(vice president of product research at Research Affiliates, LLC), Engin Kose(vice president of equity research at Research Affiliates, LLC), Feifei Li(partner and head of investment management at Research Affiliates, LLC)

摘要：最優的最小方差策略傾向于選擇低流動性、高換手率、高跟蹤誤差以及集中的股票、部門和國家定位。最小方差指數提供者通常靠加強約束來緩和這些實現問題。作者為美國、全球發達市場和新興市場構建最小方差組合，并應用常用約束來确定它們對模拟組合特征、績效和交易成本的影響。他們測試的約束能夠提高投資能力，但是卻将投資組合特征轉移為資本加權基準。特别地，每個附加約束增加了波動性。盡管如此，最小方差策略是風險厭惡投資者的有效選擇。

The Impact of Constraints on Minimum-Variance Portfolios

Tzee-Man Chow(vice president of product research at Research Affiliates, LLC), Engin Kose(vice president of equity research at Research Affiliates, LLC), Feifei Li(partner and head of investment management at Research Affiliates, LLC)

ABSTRACT

Optimized minimum-variance strategies tend to have low liquidity; high turnover; high tracking error; and concentrated stock, sector, and country positions. Minimum-variance index providers typically mitigate these implementation problems by imposing constraints. The authors construct minimum-variance portfolios for the United States, global developed markets, and emerging markets and apply commonly used constraints to determine their effect on simulated portfolio characteristics, performance, and trading costs. The constraints they test succeed in improving investability but shift portfolio characteristics toward those of the capitalization-weighted benchmark. In particular, each additional constraint increases volatility. Nonetheless, minimum-variance strategies are a valid choice for risk-averse investors.

原文鍊接： http://dx.doi.org/10.2469/faj.v72.n2.5

翻譯：趙勝旺