The Role of Factors in Asset Allocation
讨论了投资者在构建投资组合时应如何考虑因子，指出因子在资产配置中的正确角色和常见误用，并建议战略配置以资产类别为主，同时通过因子倾斜来提升绩效。
For many decades, asset classes have been the main building blocks for constructing portfolios, and, appropriately, they still are. However, in recent years investors increasingly have considered factors as an alternative to asset classes. In some cases, the motivation to substitute factors for asset classes is misguided, but factors can serve a valuable role in portfolio composition. The author discusses how investors should consider factors when constructing portfolios and, in doing so, exposes their misuse as well as their proper role in asset allocation. <b>TOPICS:</b>Factor-based models, portfolio construction, performance measurement <b>Key Findings</b> ▪ Investors should allocate to asset classes instead of factors for strategic asset allocation. ▪ Investors should allocate to factors to improve performance. ▪ Investors can have it both ways by allocating to asset classes, but in a way that tilts toward preferred factor exposures.