英文标题：
《What Makes An Asset Useful?》
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作者：
Yves-Laurent Kom Samo, Dieter Hendricks
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最新提交年份：
2018
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英文摘要：
Given a new candidate asset represented as a time series of returns, how should a quantitative investment manager be thinking about assessing its usefulness? This is a key qualitative question inherent to the investment process which we aim to make precise. We argue that the usefulness of an asset can only be determined relative to a reference universe of assets and/or benchmarks the investment manager already has access to or would like to diversify away from, for instance, standard risk factors, common trading styles and other assets. We identify four features that the time series of returns of an asset should exhibit for the asset to be useful to an investment manager, two primary and two secondary. As primary criteria, we propose that the new asset should provide sufficient incremental diversification to the reference universe of assets/benchmarks, and its returns time series should be sufficiently predictable. As secondary criteria, we propose that the new asset should mitigate tail risk, and the new asset should be suitable for passive investment (e.g. buy-and-hold or short-and-hold). We discuss how to quantify incremental diversification, returns predictability, impact on tail risk, and suitability for passive investment, and for each criterion, we provide a scalable algorithmic test of usefulness.
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中文摘要：
考虑到以回报时间序列表示的新候选资产，定量投资经理应该如何考虑评估其有用性？这是投资过程固有的一个关键质量问题，我们的目标是使其精确。我们认为，一项资产的有用性只能根据投资经理已经获得或想要多样化的参考资产和/或基准来确定，例如，标准风险因素、常见交易风格和其他资产。我们确定了资产回报时间序列应显示的四个特征，即两个主要特征和两个次要特征，以使资产对投资经理有用。作为主要标准，我们建议新资产应为资产/基准的参考范围提供足够的增量多元化，其回报时间序列应具有足够的可预测性。作为次要标准，我们建议新资产应减轻尾部风险，新资产应适合被动投资（如买入并持有或空头并持有）。我们讨论了如何量化增量多元化、回报可预测性、对尾部风险的影响以及被动投资的适用性，对于每个标准，我们提供了一个可扩展的有用性算法测试。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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