【JPMorgan】投资组合中跨资产系统风险管理 2013年12月

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Contents
Investing in Risk Factors Across Assets ...............................6
Introduction to Risk Premia Investing .........................................................................7
From Risk Factors to Systematic Strategies...............................................................10
Summary....................................................................................................................13
Classification of Risk Factors ...............................................14
Risk Factor Framework..............................................................................................15
Traditional Assets ......................................................................................................25
Carry ..........................................................................................................................29
Momentum.................................................................................................................34
Value..........................................................................................................................39
Volatility ....................................................................................................................43
Factor Correlations ....................................................................................................49
Factor Selection and Factor on Factor .......................................................................54
Construction and Risk Management of Factor Portfolios ..58
Introduction................................................................................................................59
Cross-Sectional Risk Allocation - Theory .................................................................62
Time Series Risk Allocation - Theory .......................................................................88
Practical Application of Risk Factor Portfolios .......................................................100
Appendices ...........................................................................123
J.P. Morgan Investment Strategies Research ...........................................................124
J.P. Morgan Tradable Risk Factor Indices ...............................................................133
Theory of Risk Premia .............................................................................................159
Factor Styles and HFR Classification ......................................................................163
Factor Rankings .......................................................................................................169
Implied Volatilities Across Assets...........................................................................172
Independent Risk Factors.........................................................................................173
Equivalent Portfolio Methods ..................................................................................183
Implementing Portfolio Methods.............................................................................185
Academic References...............................................................................................189
Glossary ...................................................................................................................194
Contacts ...................................................................................................................201
Disclaimers ..............................................................................................................202

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