Why Are High Exposures to Factor Betas Unlikely to Deliver Anticipated Returns?
研究发现，基于基本面特征构建的因子能获得高回报，而基于统计贝塔的因子回报接近零，因此投资者应追求基本面暴露而非因子贝塔暴露。
By choosing investment strategies that intentionally create exposure to factor betas, investors may be obtaining uncompensated risks. The authors show, across a wide variety of factors and geographical markets, that factors constructed from fundamental characteristics have earned high returns, whereas those constructed from statistical betas have earned returns close to zero. When designing factor-based investment strategies, investors should seek exposure to the fundamental characteristics that define a factor and use statistical measures of factor betas to manage factor risks. Conversely, seeking to gain exposure to factor betas is a misguided means of obtaining the returns available from factor investing.