Читать книгу Asset Allocation - William Kinlaw, Mark P. Kritzman - Страница 19

 Some investors believe that factors offer greater potential for diversification than asset classes because they appear less correlated than asset classes.

 Factors appear less correlated only because the portfolio of assets designed to mimic them includes short positions.

 Given the same constraints and the same investable universe, it is mathematically impossible to regroup assets into factors and produce a better efficient frontier.

 Some investors also believe that consolidating a large group of securities into a few factors reduces noise more effectively than consolidating them into a few asset classes.

 Consolidation reduces noise around means, but no more so by using factors than by using asset classes.

 Consolidation does not reduce noise around covariances.

 Our results challenge the notion that investors should use factors as portfolio building blocks.

 Nevertheless, factors can be useful for other reasons. Factor analysis can help investors understand and manage risk, harvest risk premiums, and enhance returns for investors who are skilled at predicting factor behavior. But we should weigh these potential benefits of factor investing against the incremental noise and trading costs associated with factor replication.