隐含宏观风险因子体系的构建及其应用

Construction and Application of Implied Macro Risk Factor System

随着我国资本市场的不断发展与完善,资产配置的理念愈发受到关注,结合宏观基本面信息辅助配置的观念也逐渐开始兴起。基于此,本文运用2008~2019年我国金融市场中权益、固收以及商品等主要指数数据,通过多资产组合的方式构建了一套隐含的宏观风险因子体系,并将这一体系应用于大类资产的宏观风险因子定价、模拟单一风险因子暴露的投资组合以及大类资产配置。实证研究表明,与低频的真实因子相比,运用隐含宏观风险因子体系不仅能够提高大类资产的宏观风险因子定价有效性,还能在大类资产配置模型中显著提升组合表现,并且结果是稳健的。本文基本打通了大类资产与宏观因子之间的联系,拓宽了宏观因子在资产配置中的应用。

With the continuous development and improvement of China’s capital market, the concept of asset allocation has attracted more and more attention, and asset allocation combined with macro-fundamental information has gradually begun to emerge. Based on this, this paper uses the main index data of equity, fixed income and commodities in China’s financial market from 2008 to 2019 to build an implied macro risk factor system through multi-asset portfolios and apply this system to macro-risk pricing of asset classes, investment portfolios that simulate a single risk factor exposure,and multi-asset allocation. Empirical research shows that, compared with low-frequency real factors, the implied macro risk factor system can not only improve the effectiveness of macro-risk pricing for asset classes, but also significantly improve the portfolio’s performance of asset allocation. And the robustness of this result is proved by rigorous test. This article has basically opened up the connection between large-scale assets and macro factors, and broadened the application of macro factors in asset allocation.