论文标题
公平因素：简而言之，这就是问题
Equity Factors: To Short Or Not To Short, That Is The Question
论文作者
论文摘要
经典权益因素的最佳市场中立实施是什么？尽管与短路相关的具体成本，还是使用短腿的特定可预测性来建立零beta beta长期投资组合，或者最好禁止短裤并与 - 例如 - 索引未来对冲长腿？我们通过关注两条腿的相对可预测性，多元化问题以及各种成本来源来重新审视这个问题。我们的结论是，使用相同的因素，长期实施的实施会带来较高的风险调整回报，至少在管理资产不大的情况下至少不大的时候。
What is the best market-neutral implementation of classical Equity Factors? Should one use the specific predictability of the short-leg to build a zero beta Long-Short portfolio, in spite of the specific costs associated to shorting, or is it preferable to ban the shorts and hedge the long-leg with -- say -- an index future? We revisit this question by focusing on the relative predictability of the two legs, the issue of diversification, and various sources of costs. Our conclusion is that, using the same Factors, a Long-Short implementation leads to superior risk-adjusted returns than its Hedged Long-Only counterpart, at least when Assets Under Management are not too large.
