Multi-Asset Class Factor Premia: A Strategic Asset Allocation Perspective
研究了长期投资者在股票债券组合上叠加单资产或多资产类别因子溢价的好处，发现能提高积累目标达成概率、平滑过渡路径并改善提取阶段效果。
In this article, the authors explore the benefits of strategic allocations to factor premia for long-horizon investors. They consider single-asset-class and multi-asset-class factor premia overlays to underlying equity–bond investments. The benefits of the overlays are assessed across the accumulation and decumulation stages of an investor’s lifecycle. Their analysis suggests that factor premia provide notable benefits by increasing the likelihood of achieving accumulation goals, smoothing the transition path to achieving those goals, and enhancing decumulation outcomes.