Faktoreiden avulla lisähajautusta

Katsoin pitkästä aikaa tämän Ben Felixin videon:

https://youtu.be/apnM-y6sXVA?si=_arOK4LTLUFQoCPt

Videossa Ben toteaa, että ”factor diversification has been more effective than asset-class diversification in general, and, in particular, during crises.

Tuo oli hätkähdyttävä väite. Tuskin asiaa hieman lisää ja luin seuraavan artikkelin:

https://www.aqr.com/-/media/AQR/Documents/Journal-Articles/JPM-The-Death-of-Diversification-Greatly-Exaggerated.pdf

Ilmeisesti long-only -strategia ei anna läheskään yhtä hyvää hajautushyötyä kuin long-short -strategia, mutta hyötyä siitä silti on saanut. Artikkeli loppuu sanoihin: The benefits are meaningful even for long-only investors.

Salkkuni on kasvanut huimaa vauhtia viimeisen vuoden ajan. Samaan aikaan olen tullut yhä huolestuneemmaksi siitä, että tekoäly on kupla. Tämän takia haluan parantaa salkkuni hajautusta ilman, että joudun sijoittamaan osakemarkkinan ulkopuolelle. 

Tämän takia jatkan sijoittamista kuukausittain pelkästään AVWS:n, kunnes sen paino salkussani on tyydyttävä. 

Tässä myös erinomainen artikkeli faktoreiden hajautushyödyistä: 

https://pwlcapital.com/ignoring-factor-diversification-oversight/

Muutama poiminta artikkelista:

The benefits of factor investing are derived as much from diversification as from higher expected returns. Diversifying across factors is at least as important as diversifying across geographic regions, and it should be viewed that way. In practice, geographic diversification is generally accepted while factor diversification is often overlooked.

It may come as a surprise to some that factors have been less correlated with each other than various stock markets, and they have been negatively correlated with the market. This highlights the importance of factor diversification.

In a 2012 paper in the Journal of Portfolio Management titled The Death of Diversification Has Been Greatly Exaggerated, Antti Ilmanen and Jared Kizer demonstrated that while global diversification may fall apart in a crisis, factor diversification does not. The following table demonstrates that while the correlations between size, value, and profitability did increase in the financial crisis, the correlations between those factors and the market became increasingly negative.

In a 2017 paper published in the Journal of Portfolio Management, Louis Scott and Stefano Cavaglia looked at the effect of factor diversification on the odds of retirees not outliving their portfolios. Not only did they find that adding in factor exposure improved the expected outcomes for retirees, they also found that a factor diversified portfolio provided a smoother ride with smaller drawdowns. This favorable analysis even persisted when the study authors cut the expected factor premia in half.

However, as the paper demonstrates, market value and small cap value stocks are the least likely to lose money over most time periods due to the shape of their distribution.

The following table shows a sample of data from Fama and French’s paper. We see that over 10, 20, and 30-year time periods, there is a material probability of any premium being negative, but that probability is smallest for value stocks and small value stocks.

Despite some periods of underperformance, which should be expected, the diversification benefits of factors, and the statistical reliability of market value and small cap value stocks over long horizons, make ignoring factors in the portfolio construction process a potentially massive oversight.