This paper compares the Hou-Xue-Zhang four-factor model with the Fama-French five-factor model from an investing perspective both in- and out-of-sample. Without margin requirements and model uncertainty, the Hou-Xue-Zhang model outperforms the Fama-French model. However, the outperformance could become negligible if an investor is subject to margin requirements and model uncertainty. The Hou-Xue-Zhang model shows similar power as the Fama-French model in describing the covariance matrix of asset returns. Overall, the two models do not make a difference for investing in a realistic setting.

中文翻译：

---

新因子模型对投资组合配置有何影响？

本文从样本内和样本外的投资角度对Hou-Xue-Zhang 四因素模型与Fama-French 五因素模型进行了比较。在没有保证金要求和模型不确定性的情况下，Hou-Xue-Zhang 模型优于 Fama-French 模型。然而，如果投资者受到保证金要求和模型不确定性的影响，那么优异的表现可能会变得微不足道。Hou-Xue-Zhang 模型在描述资产收益协方差矩阵方面表现出与 Fama-French 模型相似的能力。总体而言，这两种模型对于现实环境中的投资没有什么影响。