Optimal rebalancing strategies for efficient asset pricing factor investments

继2008年全球金融危机之后，投资者面临着一个具有挑战性的投资环境，其特点是持续的低利率和持续的高或极端市场波动。不断下降的主权债券收益率推高了固定收益负债，使保险公司和养老基金更难实现担保产品的目标回报。为了符合风险/回报目标，许多投资者根据透明和个别的风险因素构建了他们的资产配置。在这种低收益环境下，被动型指数化产品（以最小的交易成本获取市场风险溢价）的收费非常低，甚至不收费（托管除外）。虽然这类产品跟随市场走势，但许多投资者为了寻求超额回报，将其投资组合从中性资本权重转向一个可选择的因素，例如小公司股票。在低利率的情况下，有效实施这类产品是关键，尤其是帮助养老基金或保险公司等保守投资者的表现不会低于其负债基准。虽然后者将对子孙后代的财务福祉产生可怕的后果，但对最佳再平衡策略的设计以及与交易成本模型的相互作用的研究却很少。本研究项目旨在通过理论研究各种要素策略的最优再平衡，并通过实证设计交易成本模型来帮助和指导其实际实施，从而填补这一空白。

Following the 2008 global financial crisis investors have faced a challenging investment environmentcharacterized by sustained low interest rates and ongoing periods of high or extreme marketvolatility. Falling sovereign bond yields have driven up defined benefit liabilities and made it harderfor insurers and pension funds to meet target returns on guaranteed products. To remain compliantwith risk/return targets, many investors have structured their asset allocation to transparent andindividual risk factors.In this low-yield environment, passive indexation products (which capture the market risk premiumwith minimal transaction costs) are offered on a very low or no fee basis (other than custody). Whilesuch products track the market, many investors seek excess returns by tilting their portfolio awayfrom the neutral capitalisation weights toward a factor of choice, e.g. small company stocks. Withlow interest rates an efficient implementation of such offerings is key, especially helpingconservative investors like pension funds or insurers to not underperform their liability benchmarks.While the latter would have dire consequences for the financial well-being of future generations,there is little research into the design of optimal rebalancing strategies and the interplay withtransaction costs modelling. This research project is aimed at filling this gap by theoreticallyinvestigating optimal rebalancing of various factor strategies and empirically devising transactioncost models that aid and guide their practical implementation.