如果有 non-traded factors,则它们的 factor mimicking portfolios 需要通过 test assets 构造,因此是有关的。不过为了本文的介绍,我们就考虑简单的情况。Barillas and Shanken (2017) 的结论对 nested assets 和 non-nested assets 都成立。 该文的核心出发点是,当比较多因子模型时,除了 test assets 之外,也应该...
Second, we present a new approach to compute factor-mimicking portfolios to build climate risk hedge portfolios. The new mimicking portfolio approach is much more efficient than traditional sorting or maximum correlation approaches by taking into account new methodologies of estimating large-dimensional ...
Factor-mimicking portfolios can be used to hedge out the unintended factor exposures of conventional benchmarks, which are aimed at targeting a particular beta factor, and thus enable plan sponsors to better manage their optimal allocations to beta factor risks. Additionally, factor-mimicking ...
Furthermore, consider the return covariance among factor mimicking portfolios: Cov(Mtrt)=MtβtΣfβt′Mt′+MtΣϵMt′. As N is large enough, MtΣϵMt′ is negligible. And by Mβt=IK, we have Cov(Mtrt)=Cov(Mtrt−rf1)≈Σf. Therefore, the excess returns of factor mimicking ...
factor-mimicking portfoliosnontraded factorsrisk premiumWe suggest the factor-mimicking portfolio (FMP) of a nontraded factor should jointly minimize the mispricing component of stock returns in a beta-pricing model.doi:10.2139/ssrn.3341604Pukthuanthong, Kuntara...
factor-mimicking portfoliosreturnsreplicate payoffsWorld countries industriesstylesglobal equity modelA key to deeper understanding of factor models lies in the concept of factor-mimicking portfolios, whose returns exactly replicate the payoffs to the factors....
In the case of tracking m risk factors, the optimal multi-factor tracking portfolio satisfies the (m+1)-fund separation theorem, in which the m+1 funds are m-factor mimicking portfolios and the MVP. In addition, we show that under a certain condition the multi-factor tracking portfolio is...
Factor mimicking portfolios constructed on the basis of book-to-market, size, and momentum therefore, serve as proxy composite macroeconomic risk factors. Conditional and unconditional cross-sectional asset pricing tests indicate that most of the macroeconomic factors considered are priced. The performance...
Fama-French factors are found through a process of sorting and bucketing stocks to build factor-mimicking portfolios while Barra factors are found through cross-sectional multivariate regression. Menchero (2010) provides a good discussion of the differences in factor estimation methodologies. MSCI Index...
(7)Rit−Rft=αi+bi(Rmt−Rft)+siSMBt+riRMWt+ciCMAt+miUMOt+εt(8)Rit−Rft=αi+bi(Rmt−Rft)+siSMBt+riRMWt+miUMOt+εtwhere SMBt and HMLt are the factor-mimicking portfolios for size and B/M while RMWt and CMAt are the factor-mimicking portfolios for profitability and investment...