改善投资的基本因素的实际应用:实用指南

Practical Application Pub Date : 2020-10-31 DOI:10.3905/pa.8.2.408

Pim Lausberg, Alfred Slager, Philip A. Stork

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引用次数: 0

摘要

《改善投资的基本因素:实用指南》的实际应用总结来自2019年10月的《投资杂志》，作者皮姆·劳斯伯格(APG资产管理公司)、阿尔弗雷德·斯莱格(TIAS商业与社会学院)和菲利普·斯托克(阿姆斯特丹自由大学)探讨了基本因素对投资组合回报的影响，而不是风格因素。作者提出了一个直观的框架来衡量和指导投资组合中的基本因素，并提供了如何识别因素集中风险和倾斜投资组合的例子。他们还就投资者如何在现有的投资流程中嵌入基于因素的方法提出了建议。主题:个体因素/风险溢价分析，投资组合构建，绩效评估

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Practical Applications of Fundamental Factors That Improve Your Investments: A Practical Guide

Practical Applications Summary In Fundamental Factors That Improve Your Investments: A Practical Guide, from the October 2019 issue of The Journal of Investing, authors Pim Lausberg (of APG Asset Management), Alfred Slager (of TIAS School for Business and Society), and Philip Stork (of VU University Amsterdam) explore the influence of fundamental factors—rather than style factors—on portfolio returns. The authors present an intuitive framework for measuring and steering fundamental factors in a portfolio and provide examples showing how to identify factor concentration risks and tilt portfolios to desired exposures. They also offer suggestions on how investors can embed the factor-based approach in their existing investment process. TOPICS: Analysis of individual factors/risk premia, portfolio construction, performance measurement

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Practical Application

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