{"title":"Stock Specific Negative Return Drift in Optimized Portfolios","authors":"Dominic Clermont","doi":"10.2139/ssrn.3501326","DOIUrl":null,"url":null,"abstract":"Most Quant PMs have observed that while their alpha strategy delivers good returns, performance attribution have an unexpected behavior. It shows that while they are making money on Common Factor bets, they are systematically losing money on stock specific bets. The negative stock specific drift can be very significant. Understanding the causes of such negative contribution leads to significant performance improvement.","PeriodicalId":143061,"journal":{"name":"Practitioner Articles & Resources eJournal","volume":"18 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2019-12-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Practitioner Articles & Resources eJournal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3501326","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0
Abstract
Most Quant PMs have observed that while their alpha strategy delivers good returns, performance attribution have an unexpected behavior. It shows that while they are making money on Common Factor bets, they are systematically losing money on stock specific bets. The negative stock specific drift can be very significant. Understanding the causes of such negative contribution leads to significant performance improvement.
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