Smart Alpha: active management with unstable and latent factors
提出一种名为“智能阿尔法”的投资规则，避免押注先验因子，而是通过主动管理最小化系统性风险暴露并最大化阿尔法，实证表明该策略优于欧洲流行的因子投资指数和智能贝塔策略。
Factor investing has attracted increasing interest in the investment industry because purely active and passive solutions have underperformed. Its success depends critically on identifying the factors involved and timing this well, but this is hard to do because there is such a zoo of factors, and those factors and their loadings are time-varying. We thus propose an investment rule that we call ‘Smart Alpha’, which avoids betting on a-priori factors but focuses instead on an active approach that minimises the exposure of the portfolio to systematic sources of risk while maximising its alpha. This means our choice is to bet on alphas instead of alternative betas. We use stocks in the European STOXX 600 universe to show empirically that the Smart Alpha portfolio dominates many popular European factor investing indexes and smart beta strategies.