Journal of Portfolio Management, Special Issue 2016, pp. 39-50

整體大于部分的總和嗎？自下向上與自上向下的多因子組合構建策略

作者：Jennifer Bender, (State Street Global Advisors, Boston, MA), Taie Wang (State Street Global Advisors, Hong Kong)

摘要：在最近幾年裡，基于規則因子（rules-based factor）投資組合和多因子結合已經變得越來越受歡迎。一個關于投資組合構建常被提及的問題是：基于單因子的投資組合結合在一起是否等價于一個自下向上的多因子投資組合。後者具有理論優勢，因為每一支證券在組合中的權重取決于它同時根據多個因子排序的次序。而前一種方法，将多個單因子組合結合在一起，可能會遺漏證券在不同因子中的橫截面交互效應。作者分析了這些效應的大小，并且發現這些交互效應實際上會顯著影響投資組合的業績。直覺和實證證據都贊成構建自下向上的多因子投資組合。

Can the Whole Be More Than the Sum of the Parts? Bottom-Up versus Top-Down Multifactor Portfolio Construction

Jennifer Bender, (State Street Global Advisors, Boston, MA), Taie Wang (State Street Global Advisors, Hong Kong)

ABSTRACT

Rules-based factor portfolios combining multiple factors have become increasingly popular in recent years. One often-asked question concerning portfolio construction is whether combining individual factor portfolios is equivalent to building a bottom-up multifactor portfolio. The latter approach has theoretical merit, because each security's weight in the portfolio will depend on how well it ranks on multiple factors simultaneously. The former approach, combining single-factor portfolios, may miss cross-sectional interaction between the factors at the security level. The authors analyze the magnitude of these effects and find that these interaction effects can in fact have a significant impact on portfolio performance. Both intuition and empirical evidence favor bottom-up multifactor portfolio construction.

原文鍊接：

http://www.iijournals.com/doi/pdfplus/10.3905/jpm.2016.42.5.039

翻譯：吳雨玲