Perspective: Asset Classes versus Risk Factors or Asset ClassesandRisk Factors?
探讨资产类别收益与风险因素的关系，指出风险因素在分散投资中的优势与挑战，并提出长期投资中平均暴露度的使用建议。
This article explores the relationship between asset class returns and risk factors. The author discusses traditional equity and fixed income factors. Risk factors, often less constrained than asset classes, are attractive options for portfolio diversification, but elements such as rapidly changing risk factor exposures within asset classes pose challenges. The author proposes using average exposures for long-term investment horizons and assigning the residual to idiosyncratic volatility. He also addresses the debate surrounding risk factors as risk premiums and the ease of constructing risk premium strategies. He underscores the need for live track records, theoretical foundations, and a careful analysis of tail risks and correlations when considering risk factors in portfolio construction.