Strategic Style Allocation: Absolute or Relative?
研究了投资者如何根据绝对收益或相对基准的目标，在股票风格间进行战略配置，发现防御因子提升夏普比率但增加相对风险，而整合多因子与短期信号能同时改善两种比率。
This paper explores how investors can allocate strategically across equity styles depending on their objective: absolute return or benchmark-relative performance. Defensive factors improve Sharpe ratios over full cycles but come with higher relative risk and weaker information ratios. By contrast, benchmark-relative strategies benefit most from return-oriented factors. Dynamic allocation rarely survives costs and requires unusually high skill. The most effective approach is integration: combining multiple factors and short-term signals within one framework reduces timing risk, lowers turnover, and improves both Sharpe and information ratios. These findings demonstrate how factor combinations can be tailored to meet different investment objectives, whether absolute or relative.