{"title":"优化投资组合中股票特定负收益漂移","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":"{\"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}","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}
Stock Specific Negative Return Drift in Optimized Portfolios
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.
京公网安备 11010802042870号
京ICP备2023020795号-1
分享
求助内容：
应助结果提醒方式：
扫码关注我们
