股票因素：做空还是不做空，这是一个问题
Equity Factors: To Short Or Not To Short, That Is The Question
摘要：
什么是经典股票因子的最佳市场中立实现？人们应该利用短肢的特定可预测性来构建一个零贝塔的多空组合，尽管与做空相关的特定成本，还是更可取的做法是禁止做空，并用指数期货来对冲长肢？我们通过关注两条腿的相对可预测性、多样化问题和各种成本来源来重新审视这个问题。我们的结论是，使用相同的因子，多空组合的实施会比对冲多头组合带来更高的风险调整收益率，至少在管理的资产规模不太大的情况下是这样。
英文摘要：
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.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
