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

有效因子投资的基本原理

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：将长期约束因子的子组合联合起来通常并不是一个捕捉预期因子收益的均值-方差有效方法。例如，四个完全投资因子的子组合所形成的组合——低beta、小规模、价值和动量——仅捕捉到了超过市场组合的夏普比率潜在增长的40%。相反，使用相同的风险模型和回报预测，一个仅由单只证券形成长期组合，能够捕捉到80%的潜在增长。我们使用来自美国证券市场1968-2015年间的1000只普通股，调整传统的投资组合理论以适应最近普及的基于因子的投资，并且模拟了因子和证券投资组合的最优组合。

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.

原文链接：http://www.cfapubs.org/doi/pdf/10.2469/faj.v72.n6.3

翻译：赵胜旺