Style Rotation Strategies
研究了主动型基金经理实施风格轮动策略面临的预测模型、风险约束和交易成本问题，发现通过明确控制风险的规则，该策略对不同基准和风险约束的投资者均可行，且盈亏平衡交易成本合理。
Effective implementation of market-timing and style rotation strategies is challenging for an active fund manager. Problem #1 is devising a truly viable forecasting model. Problem #2 is that style rotation has direct implications for portfolio risk constraints and transaction costs; implementation depends moreover on institutional constraints and in-house investment philosophy. Applied using a variety of implementation rules that explicitly control for risk, style rotation strategies can be profitable for investors with different benchmarks and various risk constraints. More specifically, style rotation is as feasible for hedge fund managers who target absolute returns as it is for traditional fund managers who face tight risk constraints. The break-even transaction costs before style rotation strategies become unprofitable are reasonable, especially for fund managers who invest in medium-sized companies.