系统性股票策略的建模能力

IF 1.5 Q3 BUSINESS, FINANCE Journal of Asset Management Pub Date : 2024-02-29 DOI:10.1057/s41260-024-00350-7
Carmine de Franco, Luc Dumontier
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引用次数: 0

摘要

本文将容量的概念从投资组合层面推广到系统性股票策略的投资过程。容量通常被理解为管理资产的最大值,超过这个值,额外的资金流入就会对业绩产生过大的负面影响。容量的概念通常仅限于对特定投资组合的研究。然而,建立容量管理框架必须考虑到投资组合未来可能出现的情况。这对于自行决定的投资组合来说显然很复杂,但如果我们能模拟所有可能的情况,那么对于实施系统性策略的投资组合来说,理论上是可行的。在我们的框架中,我们将容量的传统定义从一个数字扩展为一个随机变量,使投资组合经理能够将容量纳入他们的风险考量中。我们举例说明了投资组合经理如何利用全搜索或建模方法来解决这个问题。我们的框架包括多个容量指标,这些指标可以联合使用,也可以根据每个策略的特点进行选择。
本文章由计算机程序翻译,如有差异,请以英文原文为准。

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Modelling capacity for systematic equity strategies

This paper generalizes the concept of capacity from the portfolio level to the investment process for systematic equity strategies. Capacity is often understood as the maximum asset under management, above which additional inflows would have too great a negative impact on performance. The concept of capacity is often limited to the study of a given portfolio. However, setting up a capacity management framework must consider what the portfolio might look like in the future. This is obviously complicated for discretionary portfolios but theoretically conceivable for portfolios implementing systematic strategies, if we can simulate all possible scenarios. In our framework, we extend the traditional definition of capacity from a number to a random variable, allowing portfolio managers to integrate it into their risk considerations. We provide examples of how portfolio managers can approach this problem, with full-search or modelling methods. Our framework includes several capacity metrics that can be used jointly or selected to align better with the features of each strategy.

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来源期刊
Journal of Asset Management
Journal of Asset Management BUSINESS, FINANCE-
CiteScore
4.10
自引率
0.00%
发文量
44
期刊介绍: The Journal of Asset Management covers:new investment strategies, methodologies and techniquesnew products and trading developmentsimportant regulatory and legal developmentsemerging trends in asset managementUnder the guidance of its expert Editors and an eminent international Editorial Board, Journal of Asset Management has developed to provide an international forum for latest thinking, techniques and developments for the Fund Management Industry, from high-growth investment strategies to modelling and managing risk, from active management to index tracking. The Journal has established itself as a key bridge between applied academic research, commercial best practice and regulatory interests, globally.Each issue of Journal of Asset Management publishes detailed, authoritative briefings, analysis, research and reviews by leading experts in the field, to keep subscribers up to date with the latest developments and thinking in asset management.Journal of Asset Management covers:asset allocation hedge fund strategies risk definition and management index tracking performance measurement stock selection investment methodologies and techniques portfolio management and weighting product development and innovation active asset management style analysis strategies to match client profiles time horizons emerging markets alternative investments derivatives and hedging instruments pensions economics
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