The role of portfolio construction in the implementation of equity market neutral factors is often underestimated. Taking the classical momentum strategy as an example, the authors 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, worldwide simulations and are shown to be universal. The authors’ findings are also general and hold true for a number of other equity factors. Finally, the authors discuss the details of a more realistic setup in which they also deal with transaction costs. TOPICS: Portfolio management/multiasset allocation, portfolio theory, portfolio construction Key Findings • Portfolio construction plays a key role in the implementation of equity market neutral strategies. • The Markowitz solution, when the correlation cleaning is correctly taken care of, leads to better results for the most well-known equity factors. • The Markowitz approach furthermore allows for a generalization of the optimization problem, which takes these costs into account.

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投资组合建设事项

人们常常低估了投资组合建设在实施股票市场中性因素中的作用。以经典的动量策略为例，作者表明，通过适当地照顾这一关键步骤，可以显着改善主要策略的功能。更准确地说，一种优化的投资组合构建算法可以显着提高夏普比率，减少行业风险和波动性，并减轻该策略与市场的偏度和尾部相关性。这些结果得到了长期的全球模拟的支持，并被证明具有普遍性。作者的发现也是一般性的，并适用于许多其他公平因素。最后，作者讨论了更现实的设置的细节，在该设置中他们还处理交易成本。主题：投资组合管理/多资产分配，投资组合理论，投资组合构建主要发现•投资组合构建在实施股票市场中性策略中扮演着关键角色。•正确处理了相关清洗后，Markowitz解决方案可为最知名的公平因素带来更好的结果。•Markowitz方法进一步考虑了优化问题，将这些成本考虑在内。