英文标题：
《Diversification, Volatility, and Surprising Alpha》
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作者：
Adrian Banner, Robert Fernholz, Vassilios Papathanakos, Johannes Ruf,
David Schofield
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最新提交年份：
2018
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英文摘要：
It has been widely observed that capitalization-weighted indexes can be beaten by surprisingly simple, systematic investment strategies. Indeed, in the U.S. stock market, equal-weighted portfolios, random-weighted portfolios, and other naive, non- optimized portfolios tend to outperform a capitalization-weighted index over the long term. This outperformance is generally attributed to beneficial factor exposures. Here, we provide a deeper, more general explanation of this phenomenon by decomposing portfolio log-returns into an average growth and an excess growth component. Using a rank-based empirical study we argue that the excess growth component plays the major role in explaining the outperformance of naive portfolios. In particular, individual stock growth rates are not as critical as is traditionally assumed.
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中文摘要：
人们普遍认为，资本化加权指数可以被令人惊讶的简单、系统的投资策略击败。事实上，在美国股市中，等权投资组合、随机加权投资组合和其他幼稚、未优化的投资组合往往在长期内表现优于资本化加权指数。这种跑赢大市通常归因于有利因素敞口。在这里，我们通过将投资组合对数收益分解为平均增长和超额增长两部分，对这一现象提供了更深入、更一般的解释。通过基于排名的实证研究，我们认为过度增长部分在解释幼稚投资组合的表现方面起着主要作用。特别是，个体股票增长率并不像传统假设的那样关键。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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