Financial Analysts Journal·VOL72,NO.6·November/December 2016

有效因子投資的基本原理

作者：Roger Clarke (chairman of Analytic Investors), Harindra de Silva (president of Analytic Investors), Steven Thorley (Marriott School of Management, Brigham Young University)

摘要：将長期約束因子的子組合聯合起來通常并不是一個捕捉預期因子收益的均值-方差有效方法。例如，四個完全投資因子的子組合所形成的組合——低beta、小規模、價值和動量——僅捕捉到了超過市場組合的夏普比率潛在增長的40%。相反，使用相同的風險模型和回報預測，一個僅由單隻證券形成長期組合，能夠捕捉到80%的潛在增長。我們使用來自美國證券市場1968-2015年間的1000隻普通股，調整傳統的投資組合理論以适應最近普及的基于因子的投資，并且模拟了因子和證券投資組合的最優組合。

Fundamentals of Efficient Factor Investing

Roger Clarke (chairman of Analytic Investors), Harindra de Silva (president of Analytic Investors), Steven Thorley (Marriott School of Management, Brigham Young University)

ABSTRACT

Combining long-only-constrained factor subportfolios is generally not a mean–variance-efficient way to capture expected factor returns. For example, a combination of four fully invested factor subportfolios—low beta, small size, value, and momentum—captures less than half (e.g., 40%) of the potential improvement over the market portfolio’s Sharpe ratio. In contrast, a long-only portfolio of individual securities, using the same risk model and return forecasts, captures most (e.g., 80%) of the potential improvement. We adapt traditional portfolio theory to more recently popularized factor-based investing and simulate optimal combinations of factor and security portfolios, using the largest 1,000 common stocks in the US equity market from 1968 to 2015.

原文鍊接：http://www.cfapubs.org/doi/pdf/10.2469/faj.v72.n6.3

翻譯：趙勝旺