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

整体大于部分的总和吗？自下向上与自上向下的多因子组合构建策略

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

摘要：在最近几年里，基于规则因子（rules-based factor）投资组合和多因子结合已经变得越来越受欢迎。一个关于投资组合构建常被提及的问题是：基于单因子的投资组合结合在一起是否等价于一个自下向上的多因子投资组合。后者具有理论优势，因为每一支证券在组合中的权重取决于它同时根据多个因子排序的次序。而前一种方法，将多个单因子组合结合在一起，可能会遗漏证券在不同因子中的横截面交互效应。作者分析了这些效应的大小，并且发现这些交互效应实际上会显著影响投资组合的业绩。直觉和实证证据都赞成构建自下向上的多因子投资组合。

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.

原文链接：

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

翻译：吴雨玲