This paper investigates the mean–variance and diversification properties of risk-based strategies executed on style or basis portfolios. We show that the performance of these risk strategies is highly sensitive to the sorting procedure used to form the basis assets. Whereas the extant literature provides mixed support for the outperformance of smart beta strategies based on scientific diversification, our designed strategies outperform both the market model and multifactor model. Our testing framework is based on bootstrapped mean–variance spanning tests and shows valid conclusions when controlling for multiple testing, transaction costs, and luck from random basis portfolio construction rules. Economically, our results are supported by diversification-based properties.

本文研究了在风格或基础投资组合上执行的基于风险的策略的均值-方差和多样化特性。我们表明，这些风险策略的表现对用于形成基础资产的分类程序高度敏感。尽管现有文献为基于科学多元化的 smart beta 策略的表现提供了混合支持，但我们设计的策略优于市场模型和多因素模型。我们的测试框架基于自举均值-方差跨越测试，并在根据随机基础投资组合构建规则控制多重测试、交易成本和运气时显示有效结论。在经济上，我们的结果得到了基于多样化的属性的支持。