Compensated and Uncompensated Risks in Global Factor Investing
研究发现全球权益因子中隐含的区域和行业暴露会带来非补偿性波动，同时对冲这两类暴露可使典型全球因子的夏普比率提升50%，对冲后的因子在模型和单独使用中均优于未对冲版本。
Global equity risk factors that are constructed by sorting stocks on firm characteristics associated with expected returns contain embedded region and sector exposures. The authors show that these positions lead to uncompensated volatility. Hedging out both region and sector exposures <italic>simultaneously</italic> increases the Sharpe ratio of the typical global factor by 50%. Hedged factors, individually or in a model, always subsume their nonhedged counterparts. The results have implications for international asset pricing and portfolio management.