Financial Analyst Journal, Volume 73, Issue 4, October 2017

估计时变的因子暴露

作者：Andrew Ang (managing director at BlackRock)

Ananth Madhavan (managing director at BlackRock)

Aleksander Sobczyk (director at BlackRock)

摘要：我们开发了一种利用横断面风险特性估计动态因子载荷的方法。我们利用在美国注册的共同基金的数据集，将主动收益成因分为三部分(1)持续因子暴露(例如：一种向价值股的倾斜)，(2)时变因子暴露，以及(3)证券选择。我们发现，大盘型增长基金往往集中于两个因素(动量和质量)，而大盘型混合基金最具因子多样性。研究还发现，衡量基金经理技术的常用方法可能具有误导性。

Estimating Time-Varying Factor Exposures

Andrew Ang (managing director at BlackRock), Ananth Madhavan (managing director at BlackRock), Aleksander Sobczyk (director at BlackRock)

ABSTRACT

We develop a methodology to estimate dynamic factor loadings using cross-sectional risk characteristics. Applying it to a dataset of US-domiciled mutual funds, we distinguish the components of active returns attributable to (1) constant factor exposures (e.g., a tilt to value stocks), (2) time-varying factor exposures, and (3) security selection. We find that large-cap growth funds tend to be concentrated in two factors (momentum and quality) whereas large-cap blend funds have the most factor diversity. We also find that common measures to gauge manager skill may be misleading.

原文链接：

http://www.cfapubs.org/doi/abs/10.2469/faj.v73.n4.6

翻译：秦秀婷