行业分层的要素复制

IF 3.4 3区经济学 Q1 BUSINESS, FINANCE

Financial Analysts Journal Pub Date : 2023-06-16 DOI:10.1080/0015198X.2023.2215252

Surpreet Bharjana, Rohan Fletcher, P. Lajbcygier

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引用次数: 0

摘要

要素投资利用资产价格的异常来提高基金收益。与传统的市值指数不同，因子具有繁重的复制成本。我们考虑在分层因子复制投资组合中按行业忽略昂贵的小盘股的影响。与竞争方法相比，这种行业分层实现了更广泛的行业覆盖，降低了跟踪误差。我们表明，跟踪误差的改善是由于增强了行业覆盖，而不是风险暴露，从而产生了可观的经济效益。

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Factor Replication with Industry Stratification

Abstract Factor investing exploits asset pricing anomalies to enhance fund returns. Unlike traditional market capitalization indexes, factors have onerous replication costs. We consider the impact of omitting costly, small stocks by industry in stratified factor-replicating portfolios. Such industry stratification achieves broader industry coverage and lowers tracking error compared with competing approaches. We show that the improvement in tracking error is due to enhanced industry coverage, not risk exposure, resulting in substantial economic benefits.

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来源期刊

Financial Analysts Journal BUSINESS, FINANCE-

CiteScore

5.40

自引率

7.10%

发文量

期刊介绍： The Financial Analysts Journal aims to be the leading practitioner journal in the investment management community by advancing the knowledge and understanding of the practice of investment management through the publication of rigorous, peer-reviewed, practitioner-relevant research from leading academics and practitioners.