Читать книгу Alternative Investments - Black Keith H. - Страница 61

Are all risk factors investable? While 20 years ago it might have been difficult and costly to create investment strategies that represented various risk factors, financial innovations of the past two decades have substantially reduced the cost of such strategies. For example, in recent years, exchange-traded funds (ETFs) have become available that track value, volatility, momentum, size, and roll factors. These strategies are often described as using smart beta. Another term for describing the investability of a risk factor is that it is tradable.

While many factors are tradable, they may not be fully implementable. For example, the value factor has been shown to be strongest for the very small-cap firms. However, there is limited capacity for investing in these firms, and the bid-ask spreads for their stocks are quite wide. Since creating the value factor would require frequent rebalancing of the portfolio, it may not be possible to fully implement factor investing in value stocks. Therefore, traded investment products designed to replicate the value factor tend to concentrate their allocations to large-cap stocks, which have shown to be poor representatives of the value factor.

Even when pure risk factors may not be fully traded, their return properties are useful in measuring risk exposures of investment products (e.g., hedge funds) and in determining if they offer any alpha. If one were to regress the excess return of an investment product against the returns of several traded factors, the intercept would represent the alpha of the investment product.