Modeling Models: Factor and Risk Decompositions of Model Portfolio Strategies
研究了约700个多资产模型组合的风格因子与风险分解，发现近50%的主动风险来自风格因子暴露，但除规模因子外，其他因子载荷较小或对溢价有负暴露。
We investigate style factor and risk decompositions of approximately 700 multi-asset model portfolios, which are third-party portfolios used by financial advisors and are constructed with ETFs and mutual funds to meet specific target risk levels or other investment outcomes. We find that close to 50% of active risk is due to style factor exposures of model portfolios, but with the exception of the size factor, the style factor loadings are small or have negative exposure to rewarded premiums. We also find similar amounts of active risk in models using 100% active, 100% index, and hybrid (active and index) funds, which is consistent with both index and active funds being used as implementations to take active risk.