英文标题：
《Portfolio Construction Matters》
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作者：
Stefano Ciliberti and Stanislao Gualdi
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最新提交年份：
2018
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英文摘要：
The role of portfolio construction in the implementation of equity market neutral factors is often underestimated. Taking the classical momentum strategy as an example, we show that one can significantly improve the main strategy\'s features by properly taking care of this key step. More precisely, an optimized portfolio construction algorithm allows one to significantly improve the Sharpe Ratio, reduce sector exposures and volatility fluctuations, and mitigate the strategy\'s skewness and tail correlation with the market. These results are supported by long-term, world-wide simulations and will be shown to be universal. Our findings are quite general and hold true for a number of other \"equity factors\". Finally, we discuss the details of a more realistic set-up where we also deal with transaction costs.
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中文摘要：
投资组合构建在实施股票市场中性因素方面的作用往往被低估。以经典动量策略为例，我们表明，如果适当注意这一关键步骤，可以显著改善主要策略的特性。更准确地说，优化的投资组合构建算法可以显著提高夏普比率，减少部门风险敞口和波动性波动，并缓解策略的偏斜和与市场的尾部相关性。这些结果得到了全球长期模拟的支持，并将被证明具有普遍性。我们的调查结果相当普遍，适用于许多其他“公平因素”。最后，我们讨论了更现实的设置的细节，其中我们还处理交易成本。
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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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