An Optimization Strategy for Enhancing thePerformance of Fund-of-Funds Portfolios
Larsen和Resnick的研究表明，对基于市值、市盈率等指标构建的行业基金进行事前优化，可以提升基金中基金的整体绩效，优于等权或市值加权基准。
Previous research provides evidence that much of the crosssectional variation in equity returns can be explained by firm characteristics or sectors. One popular money management technique is to construct a portfolio (fund) using other managed portfolios (funds). The resulting overall portfolio is generally referred to as a fund-of-funds portfolio. This study by Larsen and Resnick demonstrates the potential for performance enhancement in a fund of funds when portfolio optimization techniques are employed on sector funds in order to construct the overall fund. Notably, ex ante optimization over sector funds that are constructed on the basis of market capitalization, price-to-earnings ratios, change in operating earnings, and book-to-market ratios demonstrates the potential for enhancing an overall equity fund performance relative to value-weighted and equal-weighted benchmark portfolios that are constructed from the population of stocks from which the sector portfolios are formed. <b>TOPICS:</b>Portfolio construction, accounting and ratio analysis, equity portfolio management