Optimal Blending of Smart Beta and Multifactor Portfolios
针对机构投资者中智能贝塔产品日益增多的问题，本文提出了一个标准框架，帮助投资者在总组合中混合单因子和多因子智能贝塔，并通过案例展示如何构建更优的投资组合。
As smart beta investments in institutional portfolios have grown—along with the additional complexity introduced by multifactor approaches—there is an emerging need for guidance on how to allocate across the ever-increasing array of smart beta products. Smart beta and multifactor investments are exposed to a common subset of elementary smart betas, combined with more idiosyncratic residual exposures. Accounting for the incidental exposures to common factors as well as the idiosyncratic exposures is necessary in designing a well-diversified and efficient portfolio. Accordingly, this article develops a standard framework for investors to blend single-factor and multifactor smart beta within a total portfolio context. A case study demonstrates how the methodology can be applied to attain better portfolios. <b>TOPICS:</b>Analysis of individual factors/risk premia, portfolio construction