Читать книгу Alternative Investments - Black Keith H. - Страница 63

Do allocations based on risk factors outperform allocations based on asset classes? In theory, allocations based on risk factors should provide the same risk-adjusted return as allocations based on assets if the same information sets are used (Idzorek and Kowara 2013). It can be shown that in a perfect world, where all risk factors can be traded and all asset returns can be explained by risk factors, neither approach is inherently superior to the other. Research using real-world data has demonstrated that either approach may be superior over a given period of time (Idzorek and Kowara 2013). In particular, in some cases, the apparent superiority of risk factors is a simple result of the fact that risk factors can be conceptualized as being an alternative set of asset classes that can be identified when the long-only constraint is removed. For instance, a portion of the return earned by the value factor is due to the fact that it shorts growth stocks. Therefore, an asset allocation strategy that would permit the investor to short stocks should be able to match the performance of a portfolio that allocates to the value factor. If all risk factors were traded and short sale constraints were removed, then it would be difficult to imagine that a portfolio constructed using risk allocation could outperform a portfolio constructed using asset allocation on a consistent basis.

Several practical issues associated with risk-factor-based asset allocation must be highlighted (Idzorek and Kowara 2013). First, portfolio construction using risk factors is not likely to become globally adopted, because it implies allocation strategies that are not sustainable (i.e., not consistent on the macro level). That is, not everyone can be short growth stocks or commodities that are in contango. Therefore, the capacity is likely to be limited, and as more money is allocated to factor investing, the strategies will become expensive and the risk premium will shrink or disappear altogether. Second, risk allocation requires asset owners to take extreme positions in some asset classes. Many institutional investors are not allowed to make such allocations. For example, taking short positions in all growth stocks, including such names as Google, Amazon, and Facebook, is not something that most investors are prepared to do. Third, risk allocation is not a magic bullet that will automatically lead to asset allocations that will dominate those based on asset classes. Similar to other investment products, the cost of the strategy must be taken into account. Flows into some of these factors have already reduced the size of the premium (e.g., size and low volatility factors have not performed well in recent years). Finally, alternative investments are important vehicles for accessing some of these risk factors, but they typically represent a bundle of risk factors; as such, a pure risk allocation approach cannot be applied to alternatives. However, measuring factor exposures of alternative assets can provide valuable information about their risk-return profiles, which should be taken into account when allocations to traditional asset classes are considered. For instance, factor exposure analysis of private equity will highlight the fact that it has significant exposures to size and credit factors. Therefore, the investor may choose to tilt the exposure of the portfolio's traditional assets to other factors.