Facts about Factors
评估了用因子分层替代资产分层的优劣，发现因子协方差不如资产协方差稳定，因此用因子构建投资组合更困难，但因子分层可能有助于发现风险溢价和未预期的风险。
The authors evaluate the merits of factor stratification as an alternative to asset stratification. Their analysis reveals that it is more challenging to use factors than assets as the building blocks for forming portfolios because factor covariances are less stable than asset covariances. Nonetheless, factor stratification may be advantageous for a variety of other reasons. It may be that certain factors offer risk premiums; or it could be that by decomposing a portfolio into a set of factor exposures, investors will discover unintended risks. And awareness of a portfolio’s factor exposures may help to explain its performance. <b>TOPICS:</b>Analysis of individual factors/risk premia, factor-based models, portfolio construction