This paper investigates the so-called leakage effect of trading strategies generated functionally from rank-dependent portfolio generating functions. This effect measures the loss in wealth of trading strategies due to renewing the portfolio constituent stocks. Theoretically, the leakage effect of a trading strategy is expressed explicitly by a finite-variation term. The computation of the leakage is different from what previous research has suggested. The method to estimate leakage in discrete time is then introduced with some practical considerations. An empirical example illustrates the leakage of the corresponding trading strategies under different constituent list sizes.

本文研究了由排名相关的投资组合生成函数从功能上生成的交易策略的所谓泄漏效应。这种效应衡量了由于更新投资组合成分股而导致的交易策略财富损失。从理论上讲，交易策略的泄漏效应由有限变项明确表示。泄漏的计算方法与以前的研究有所不同。然后结合一些实际考虑，介绍了估计离散时间泄漏的方法。一个经验例子说明了在不同成分列表大小下相应交易策略的泄漏。