导航世界各地的因素动物园:一个机构投资者观点的角度
Söhnke M Bartram1,2, Harald Lohre3,4,5, Peter F Pope6
1Centre for Economic Policy Research (CEPR), London, UK.
概括
机构投资者可以通过专注于实际证据来导航超过450个股票回报因子. 股票和其他资产类别中的节的一组因素提供了有意义的投资组合构建成分.
科学领域:
- 量化金融 量化金融
- 投资管理 投资管理
背景情况:
- 学术文献确定了450多个因素,用于横截面的股票回报可预测性.
- 由于数据挖掘的担忧和交易成本,许多已记录的因素可能对机构投资者没有实际相关性.
研究的目的:
- 评估众多股票回报因子对机构投资者的实际相关性.
- 为基于因素的投资策略确定一组节的强有力的因素.
主要方法:
- 从机构投资者的角度分析关于股票回报因素的学术文献.
- 专注于理论理由和现实考虑,如流动性和交易成本.
- 检查跨股票,货币,固定收益和商品的因素.
主要成果:
- 许多学术因素在实践中不那么重要,通常依赖于具有高交易成本的小市值股票.
- 一组较小,节的因素在各种资产类别中显示出实际效用.
- 这些强大的因素可以有效地用于投资组合构建.
结论:
- 机构投资者应批判性地评估因素证据,优先考虑理论健全性和实际实施.
- 对于基于因素的投资,以少数强有力的因素为中心的方法比考虑整个450多个因素的宇宙更有效.
- 关键因素存在于各种资产类别,对于构建投资组合有价值.
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