Financial Analysts Journal·VOL72,NO.5·September/October 2016

你的因子能兌現嗎？因子穩健性和實施成本的檢驗

作者：Noah Beck (senior researcher in equity research, Research Affiliates, LLC), Jason Hsu (chairman and CEO of Rayliant Global Advisors, Hong Kong), Vitali Kalesnik (partner and head of equity research, Research Affiliates, LLC), Helge Kostka (CIO of Maseco LLP, London)

摘要：多因子投資模型在指數領域已經變得非常流行。學界和業界的研究者記錄了數以百計的因子。但是一旦實施後，這其中的因子哪些可能使投資者獲利？我們發現許多因子都缺乏穩健性。規模和質量——兩個最著名的因子，顯示出了弱穩健性，然而價值、動量、非流動性和低貝塔相對更穩健。進一步研究因子的可實施性，我們發現流動性需求的因子，諸如非流動性和動量，比其他因子具有更高的交易成本。投資者通過積極管理而不是指數化可以更好地從這些因子中獲利。

Will Your Factor Deliver? An Examination of Factor Robustness and Implementation Costs

Noah Beck (senior researcher in equity research, Research Affiliates, LLC), Jason Hsu (chairman and CEO of Rayliant Global Advisors, Hong Kong), Vitali Kalesnik (partner and head of equity research, Research Affiliates, LLC), Helge Kostka (CIO of Maseco LLP, London)

ABSTRACT

The multifactor investing framework has become very popular in the indexing community. Both academic and practitioner researchers have documented hundreds of equity factors. But which of these factors are likely to profit investors once implemented? We find that many of the documented factors lack robustness. Size and quality, two of the more prominent factors, show weak robustness, whereas value, momentum, illiquidity, and low beta are more robust. Further examining implementation characteristics, we find that liquidity-demanding factors, such as illiquidity and momentum, are associated with significantly higher trading costs than are other factors. Investors may be better off accessing these factors through active management rather than indexation.

原文鍊接：http://www.cfapubs.org/doi/pdf/10.2469/faj.v72.n5.6

翻譯：趙勝旺