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1、OTCOT n-0一鼠法wallt:I君臣W+灵车8吧皿肾一Rgf藤三ThirdBuildingBlock:SizingPositionsPositionsizingbalancesmanagersconfidenceintheiralphaandfactorinsightswhilemitigatingidiosyncraticriskscomingfromconcentratedpositions.Positionsizingwillaffectallthreesourcesofactiverisk,butthemostdramaticimpactwillbeonidiosyncratic
2、risk./Thegeneralruleisthatsmallerpositionsinagreaternumberofsecuritieswilldiversifyawayidiosyncraticriskandleadtolowerportfoliovolatility.Afactor-orientatedmanagerwhospreadstheirportfolioacrossmanyassetsislikelytominimizetheimpactofidiosyncraticrisk.Astock-pickerislikelytoholdmoreconcentratedpositio
3、nsbasedontheirinsightsintoindividualsecurities,andhence,deliberatelyassumeaHgheFegFeef4disyGFatie44sk2ActiveShareandActiveRiskAActiveSharemeasuresthedegreetowhichthenumberandsizingofthepositionsinamanager,sportfolioaredifferentfromthoseofabenchmark,andisgivenbythefollowingequation:liNActiveShare=2IW
4、eightPOrtfoliO/-Weightbenchmark,!IActiveSharetakesavaluebetweenOand1.IfaportfoliohasanActiveShareof0.5,wecanconcludethat50%oftheportfolioisidenticaltothatofthebenchmarkand50%isnot.Iftwoportfolioswiththesamebenchmarkinvestonlyinbenchmarksecurities,theportfoliowiththefewersecuritiesandthereforehigherd
5、egreeofconcentrationinpositionswillhaveahigherlevelofActiveShare.AActiverisk,alsocalledtrackingerror,isthestandarddeviationofactivereturns(portfolioreturnsminusbenchmarkreturns).Asanequation:AResearchconclusionsonthecompositionofactivereturninclude:Highnetexposuretoariskfactorleadstohighlevelofactiv
6、erisk.AportfoliowithnonetfactorexposurewillhaveactiveriskattributedentirelytoActiveShare.ActiveriskattributabletoActiveShareisinverselyproportionaltothenumberofsecuritiesintheportfolio.Activeriskincreasesasfactorandidiosyncraticrisklevelsincrease.InvestmentStyleDescriptionActiveShareandActiveRiskPur
7、eindexingNoactivepositions:portfolioisequaltothebenchmarkZeroActiveShareandzeroactiveriskFactorneutralNoactivefactorbetsidiosyncraticrisklowifdiversifiedLowactiveriskActiveSharelowifdiversifiedFactordiversifiedBalancedexposuretoriskfactorsandminimizedidiosyncraticriskthroughhighnumberofsecuritiesinp
8、ortfolioReasonablylowactiveriskhighActiveSharefromlargeamountofsecuritiesusedthatareunlikelytobeinthebenchmarkConcentratedfactorbetsTargetedfactorbetsidiosyncraticrisklikelytobehighHighActiveShareandhighactiveriskConcentratedstockpickerTargetedindividualstockbetsHighestActiveShareandhighestactiveris
9、k巨业创新憎值一UJBqS SA-OVLowActiveShareandActiveRiskInvestmentStyles,ActiveShare,andActiveRiskHighConcentrated泪NConcentratedstockPicksDiversifiedFactorBetsFactorNeutralandIactorBetsDiversifiedStockPicksClosetIndexing*PureIndexingHighActiveRiskAManagerstylescanalsobeidentifiedthroughobservingtheirsectorand
10、securityspecificconstraints.Forexample:Asectorrotatorwouldneedtohavelargepermitteddeviationsinsectorweights;Astockpickerwouldneedtohavelargepermitteddeviationsinindividualsecurityweights;Adiversifiedmulti-factorinvestorwouldnotneedsuchlargedeviationsfromindexweights,butwouldstillneedsomeflexibilityinordertogenerateamoderatelevelofactiveriskandreturn.3.AllocatingtheRiskBudgetingAllocatingtheRiskBudgetingRiskbudgetingisaprocessbywhichthetotalriskofaportfolioisallocatedtoconstituentsoftheportfoliointhemostefficientmanner.Itisanintegralparto
