Financial Analysts Journal·VOL72,NO.5·September/October 2016

你的因子能兑现吗？因子稳健性和实施成本的检验

作者：Noah Beck (senior researcher in equity research, Research Affiliates, LLC), Jason Hsu (chairman and CEO of Rayliant Global Advisors, Hong Kong), Vitali Kalesnik (partner and head of equity research, Research Affiliates, LLC), Helge Kostka (CIO of Maseco LLP, London)

摘要：多因子投资模型在指数领域已经变得非常流行。学界和业界的研究者记录了数以百计的因子。但是一旦实施后，这其中的因子哪些可能使投资者获利？我们发现许多因子都缺乏稳健性。规模和质量——两个最著名的因子，显示出了弱稳健性，然而价值、动量、非流动性和低贝塔相对更稳健。进一步研究因子的可实施性，我们发现流动性需求的因子，诸如非流动性和动量，比其他因子具有更高的交易成本。投资者通过积极管理而不是指数化可以更好地从这些因子中获利。

Will Your Factor Deliver? An Examination of Factor Robustness and Implementation Costs

Noah Beck (senior researcher in equity research, Research Affiliates, LLC), Jason Hsu (chairman and CEO of Rayliant Global Advisors, Hong Kong), Vitali Kalesnik (partner and head of equity research, Research Affiliates, LLC), Helge Kostka (CIO of Maseco LLP, London)

ABSTRACT

The multifactor investing framework has become very popular in the indexing community. Both academic and practitioner researchers have documented hundreds of equity factors. But which of these factors are likely to profit investors once implemented? We find that many of the documented factors lack robustness. Size and quality, two of the more prominent factors, show weak robustness, whereas value, momentum, illiquidity, and low beta are more robust. Further examining implementation characteristics, we find that liquidity-demanding factors, such as illiquidity and momentum, are associated with significantly higher trading costs than are other factors. Investors may be better off accessing these factors through active management rather than indexation.

原文链接：http://www.cfapubs.org/doi/pdf/10.2469/faj.v72.n5.6

翻译：赵胜旺