Alice’s Adventures in Factorland: Three Blunders That Plague Factor Investing
指出因子投资未能兑现承诺的三个被低估问题：数据挖掘和拥挤导致的过高预期、下行风险冲击、以及经济条件变化时分散化失效，提醒投资者理解风险后再采用该框架。
Factor investing has failed to live up to its many promises. Its success is compromised by three problems that are often underappreciated by investors. First, many investors develop exaggerated expectations about factor performance as a result of data mining, crowding, unrealistic trading cost expectations, and other concerns. Second, for investors using naive risk management tools, factor returns can experience downside shocks far larger than would be expected. Finally, investors are often led to believe their factor portfolio is diversified. Diversification can vanish, however, in certain economic conditions when factor returns become much more correlated. Factor investing is a powerful tool, but understanding the risks involved is essential before adopting this investment framework. <b>TOPICS:</b>Analysis of individual factors/risk premia, performance measurement, risk management, portfolio construction