Portable Beta and Total Portfolio Management
研究了如何将另类风险溢价策略与参考投资组合整合，以实现最优整体投资组合效果，发现因子分散化覆盖能降低风险并捕获福利增强的分散化溢价。
Alternative Risk Premia (ARP) strategies have traditionally been sold as stand-alone products to complement a reference portfolio. We illustrate how ARP can be integrated with a reference portfolio to achieve optimal total portfolio outcomes. From 1931 to 2020, a factor diversifying overlay reduces the risk of the reference portfolio and captures a welfare enhancing diversification premium. The relaxation of the risk budget enhances the fund Sharpe ratios through strategic factor tilts and by levering existing asset class or active management exposures. We provide a modular framework illustrating how ARP overlays may complement the decentralized investment management model to benefit plan constituents.