Exotic Beta Revisited
Exotic Beta Revisited
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重温奇异的贝塔版
DOI：
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发表时间：
2011
期刊：
影响因子：
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通讯作者：
Kepos Capital
中科院分区：
文献类型：
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作者：
Kepos Capital
虽然传统的投资组合是由他们的资产类别配置来定义的--尤其是对股票的配置--但我们提出了由简单而直观的风险溢价组成的投资组合，这些风险溢价与股票无关，我们称之为“奇异贝塔”。动态调整这些奇异的Beta风险敞口，以反映风险溢价随时间的可观察变化，类似于价值投资，可以提高传统投资组合的风险和回报。这些奇异的测试版在各种市场条件下表现良好，成本低，可以以透明和相对流动性的形式提供。
While traditional portfolios are defined by their asset class allocations—especially to equities—we propose portfolios comprised of simple and intuitive risk premia that are uncorrelated with equities, which we call “exotic betas.” Dynamically adjusting exposures across these exotic betas to reflect observable variation in risk premia over time is akin to value investing and can improve both risk and return in traditional portfolios. These exotic betas perform well over a variety of market conditions, are low cost, and can be delivered in transparent and relatively liquid form.