Factor Construction Zoo: Are Factor Exposures Created Equal?
研究发现因子暴露与收益的关系是非线性的，不同构建方法得到的相似暴露会导致预期收益和风险特征显著不同，暴露越大差异越大，因此某些因子暴露更高效。
The answer is no. Factor investing provides investors with a low-cost avenue to participate in stock selection. Investors earn excess returns for taking on factor risk, which is often measured by factor exposure. However, the relation between the return and factor exposure is nonlinear. Large-scale simulation shows that similar target factor exposures can be engineered using various portfolio construction methodologies, but the resulting portfolios exhibit significant dispersion in expected returns and co-movement with the market and across factor funds. The dispersion increases with target factor exposures. As such, some factor exposures are more efficient than others. This article further studies a comprehensive list of portfolio construction choices for value, momentum, and quality funds; discusses the trade-off at work; and provides a framework for the assessment of factor exposure efficiency. It is important to account for nonlinearity in constructing or evaluating factor funds.