Thematic Investing: A Risk-Based Perspective
提出主题的风险定义，通过自举法检验主题篮子中股票残差收益的平均成对相关性是否显著，发现显著相关的篮子风险高于预期且存在趋势。
Thematic investing has grown in popularity even without a clear definition. We propose a risk-based definition of a theme and focus on themes that involve significant transient correlations of residual returns. We present a bootstrapping style approach to determine the statistical significance of the average pairwise correlation among stocks in a thematic basket. Analyzing thematic baskets provided by an investment bank, we find evidence of statistically significant correlations. The thematic baskets with statistically significant average pairwise correlation will have risk levels above predictions. Furthermore, they exhibit statistically significant trending. Baskets with insignificant average pairwise correlation do not trend on average.