Multifactor portfolio construction by factor risk parity strategies: An empirical comparison of global stock markets
Multifactor portfolio construction by factor risk parity strategies: An empirical comparison of global stock markets
复制标题
通过因子风险平价策略构建多因子投资组合：全球股票市场的实证比较
DOI：
10.1007/s10690-019-09274-4
复制
发表时间：
2019
期刊：
影响因子：
--
通讯作者：
T.
中科院分区：
文献类型：
--
作者：
Shimizu;H. and Shiohama;T.
自2008年金融危机以来，要素投资引起了投资经理和资产所有者的关注。一个基于因素的投资组合可以享受有效的多样化，并以低于主动管理者的成本获得因素风险溢价。在股票投资中，“智能贝塔”投资已成为一种常见的投资风格，多因素策略近年来已成为最受欢迎的投资策略。本研究为多因素投资中基于风险的资产配置的实证研究做出了贡献。我们通过构建日本、美国、英国和欧元四个股票市场的积极股票FRP投资组合，验证了要素风险平价（FRP）策略的有效性。在日本市场，我们采用了四个被认为在市场上有效的因素来构建FRP组合。对于其他市场，我们通过均衡周期性和防御性因素之间的因素风险贡献来构建FRP投资组合。我们发现，FRP策略是一个前瞻性的方法来捕捉因素风险溢价，因为它可以充分分配风险的因素，在积极的FRP投资组合中贡献正回报。
Since the financial crisis in 2008, factor investing has attracted the attention of investment managers and asset owners. A factor-based investment portfolio can enjoy effective diversification and acquire factor risk premiums at lower cost than active managers can. In equity investments, “smart beta” investing has been established as a common investment style and the multifactor strategy has become the most popular in recent years. This study makes an additional contribution to empirical research for risk-based asset allocation in multifactor investing. We verified the effectiveness of the factor risk parity (FRP) strategy by constructing active equity FRP portfolios for four stock markets, Japan, the United States, United Kingdom, and Euro countries. For the Japanese market, four factors considered to be effective in the market were adopted for constructing FRP portfolios. For the other markets, we constructed FRP portfolios by equalizing factor risk contributions between the cyclical and defensive factors. We found that the FRP strategy is a prospective method for capturing factor risk premiums, since it can adequately allocate risk to factors that contribute positive returns in the active FRP portfolios.