Craftsmanship Alpha: An Application to Style Investing
研究了跨资产类别构建多风格投资组合时，信号转化、权重设定、风格组合、优化、风险控制和交易等实施细节，指出这些工艺选择本身可能构成一种阿尔法。
Successful investing requires translating sound investment concepts into actual trading strategies. The authors study many implementation details that portfolio managers should pay attention to when constructing multistyle portfolios across asset classes. The article focuses on portfolio implementation choices, including how to transform signals into portfolio weights and how to combine multiple styles, optimization, risk control, and trading. While these kinds of decisions apply to any type of investment strategy, they are particularly important in the context of style investing, where the craftsmanship choices that can impact investment success are ubiquitous. In fact, the skillful targeting and capturing of style premia may constitute a form of alpha on its own—one that the authors refer to as “craftsmanship alpha.” <b>TOPICS:</b>Portfolio construction, style investing