Читать книгу Alternative Investments - Black Keith H. - Страница 59

Do all risk factors offer the same risk premium? The answer to this question has already been provided by the two factors that were presented in Exhibit 2.10. Those two factors offered different risk-return profiles. Different risk factors offer different risk premiums, and the sizes of the risk premiums are not constant through time. Therefore, while a passive allocation to several risk factors could produce attractive results, a more sophisticated approach would consider the size of the premium attached to each risk factor and create an asset allocation that would take advantage of changes in risk premiums. In other words, it might be beneficial to apply tactical asset allocation to risk factors by assigning higher weights to risk factors that are believed to be offering more attractive risk premiums. In addition, academic research has shown that those risk factors that provide poor returns during bad times are the ones that provide attractive returns during normal times. Risk premiums associated with legitimate risk factors are there because these factors perform poorly during bad times. Investors should be willing to hold them only if they provide attractive returns during normal times. Actually, the first step in determining whether an observed source of return is a legitimate risk factor is to compare its return during good and bad times. If the factor provides an attractive return during good and bad times, then it is not a risk factor – it is an arbitrage opportunity.