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Інформація × Реєстраційний номер 2124U004712, Матеріали видань та локальних репозитаріїв Категорія Препринт Назва роботи Factor-based portfolio diversification across asset classes Автор Sukhorskyy Yuriy Дата публікації 01-01-2024 Постачальник інформації Український католицький університет Першоджерело https://hdl.handle.net/20.500.14570/4842 Видання Опис Factor investing is a well-known equity portfolio construction technique that is mainly based on targeting different firm characteristics that drive the expected re- turn of the stocks. However, the modern financial market offers access to other classes of risky assets that demonstrate good investment potential. This research aims to find out whether a traditional factor-based portfolio formed on equity can be improved by introducing factors of other asset classes, such as currency and cryp- tocurrency. In addition, this work reveals some insights regarding the individual performance of factor-based portfolios based on selected asset classes. Within this study, a methodology was chosen that is flexible enough to freely combine factors of different asset classes in one portfolio. Besides, different allocation strategies are considered. It was found that the investor can significantly benefit from combining equity- based factors and cryptocurrency-based factors. In addition, although a cryptocurrency- only portfolio demonstrates the highest Sharpe ratio within most allocation strate- gies, for investors who prioritise avoiding high downside risks, it is potentially bet- ter to consider combining equity and cryptocurrency. We also show that factor-based portfolios formed using the CVaR allocation strategy tend to avoid large investments in cryptocurrency and are characterised by low downside risks. Besides, we provide a comprehensive analysis of changes in factor exposures at different time periods. Додано в НРАТ 2025-05-09 Закрити