老师,Equity 被动投资和主动投资都讲了用Factor做策略,我按照自己理解总结了一下,麻烦您看看我理解的对不对:
- Passive factor based:被动投资,Long only。策略只倾斜rewarded factor,但是不择时。缺点是和market cap做对比:因子风险集中+容易被copy策略
- Hedged portfolio: 主动投资,Long+ short:long 排名靠前的, Short 排名靠后的,择时+因子倾斜(Rewarded factor和unrewared factor),缺点:忽略了中间那段,得不到pure factor ,不让short等
- Factor tilting: 主动投资,Long only,择时+倾斜(Rewarded factor和unrewared factor)这个策略有什么缺点吗?我感觉这个策略相较于Passive factor based就是多了择时和倾斜Unrewarded factor?