Quality Assurance: Demystifying the Quality Factor in Equities and Bonds
研究了质量因子在股票和固定收益中的跨资产特性，发现两者相关性低于传统基准，60/40质量组合能提供显著回报并降低尾部风险，对寻求分散化的投资者有参考价值。
This article focuses on the cross-asset-class properties of <i>quality</i> as a factor, particularly its joint behavior across equities and fixed income. The authors aim to provide further insight into quality, a relatively newer factor, and to shed light on the implications for portfolio allocation. Their results show that the correlation between quality variants in equities and fixed income is actually historically lower than that between equities and fixed-income core benchmarks. A 60/40 allocation to the quality cross-asset-class mix offers a statistically significant return, with lower tail risk reflecting the greater possible diversification benefits from factor allocations compared to traditional cap-weighted allocations. <b>TOPICS:</b>Analysis of individual factors/risk premia, portfolio construction