The purpose of this paper is to test the time-invariance of the beta coefficients estimated by the Adaptive Multi-Factor (AMF) model. The AMF model is implied by the generalized arbitrage pricing theory (GAPT), which implies constant beta coefficients. The AMF model utilizes a Groupwise Interpretable Basis Selection (GIBS) algorithm to identify the relevant factors from among all traded ETFs. We compare the AMF model with the Fama-French 5-factor (FF5) model. We show that for nearly all time periods with length less than 6 years, the beta coefficients are time-invariant for the AMF model, but not for the FF5 model. This implies that the AMF model with a rolling window (such as 5 years) is more consistent with realized asset returns than is the FF5 model.
翻译:本文的目的是测试由适应性多因素模型估计的贝塔系数的时间差。AMF模型隐含于普遍套利定价理论(GAPT)中,它意味着恒定的贝系数。AMF模型使用一组可解释基础选择算法(GIBS)从所有交易的ETF中找出相关因素。我们比较了AMF模型和法法法5因因素模型(FF5)模型。我们显示,几乎在所有时间里,长度小于6年的AMF模型中,ABM系数是时间变数,而不是FF5模型,这意味着带有滚动窗口(例如5年)的AMF模型比FF5模型更符合已实现的资产回报。