Читать книгу Alternative Investments - Black Keith H. - Страница 62

How does one perform risk allocation based on risk factors? Factor or risk allocation is no different from asset allocation. After all, one has to use assets to isolate risk factors. Two issues related to factor investing should be considered. First, it is not possible to create a benchmark for a passive factor investing strategy. This is because factors involve long/short strategies, and therefore it is unclear what the passive weights of a diversified portfolio of factors should be. Should the factors be equally weighted, or should they be volatility weighted? There is no clear answer to this question.

Second, direct factor investing requires the investor to actively manage portfolios that are supposed to represent risk factors. Therefore, there is no such thing as passively managed factor portfolios. It should be pointed out that if there are enough investment products (e.g., funds and ETFs) replicating each risk factor, then the investor could follow a buy-and-hold strategy involving these investment products. However, unless one is willing to allow the weights of some factor to become very high or low, the investor will have to rebalance the portfolio on a regular basis. In addition, direct investments may not be a viable strategy for some institutional investors, as most factor strategies would require long and short positions in certain asset classes, and many institutional investors may not be prepared to take short positions.

Several hedge fund strategies earn their returns by exploiting these risk factors. For instance, the merger arbitrage strategy earns a premium by exploiting a risk factor related to the uncertainty surrounding the completion of mergers. The convertible arbitrage strategy exploits a form of the implied volatility factor, and many equity long/short and equity market-neutral strategies have been shown to have significant exposures to risk factors of the equity markets (Zhang and Kazemi 2015). Finally, global macro strategies often rely heavily on the carry trade factor to generate returns.