英文标题：
《Combining Independent Smart Beta Strategies for Portfolio Optimization》
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作者：
Phil Maguire, Karl Moffett, Rebecca Maguire
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最新提交年份：
2018
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英文摘要：
  Smart beta, also known as strategic beta or factor investing, is the idea of selecting an investment portfolio in a simple rule-based manner that systematically captures market inefficiencies, thereby enhancing risk-adjusted returns above capitalization-weighted benchmarks. We explore the idea of applying a smart strategy in reverse, yielding a \"bad beta\" portfolio which can be shorted, thus allowing long and short positions on independent smart beta strategies to generate beta neutral returns. In this article we detail the construction of a monthly reweighted portfolio involving two independent smart beta strategies; the first component is a long-short beta-neutral strategy derived from running an adaptive boosting classifier on a suite of momentum indicators. The second component is a minimized volatility portfolio which exploits the observation that low-volatility stocks tend to yield higher risk-adjusted returns than high-volatility stocks. Working off a market benchmark Sharpe Ratio of 0.42, we find that the market neutral component achieves a ratio of 0.61, the low volatility approach achieves a ratio of 0.90, while the combined leveraged strategy achieves a ratio of 0.96. In six months of live trading, the combined strategy achieved a Sharpe Ratio of 1.35. These results reinforce the effectiveness of smart beta strategies, and demonstrate that combining multiple strategies simultaneously can yield better performance than that achieved by any single component in isolation.
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中文摘要：
Smart beta，也称为战略贝塔或因子投资，是一种以简单的基于规则的方式选择投资组合的想法，这种方式可以系统地捕捉市场的低效率，从而提高风险调整后的回报率，使其高于资本化加权基准。我们探讨了反向应用smart策略的想法，产生了可以做空的“坏贝塔”投资组合，从而允许独立smart贝塔策略的多头和空头头寸产生贝塔中性回报。在本文中，我们详细介绍了月度重估投资组合的构建，包括两个独立的smart beta策略；第一个部分是长-短beta中性策略，该策略源于在一组动量指标上运行自适应boosting分类器。第二个组成部分是最小波动率投资组合，它利用了低波动率股票往往比高波动率股票产生更高的风险调整回报这一观察结果。在市场基准夏普比率为0.42的情况下，我们发现市场中性成分的比率为0.61，低波动率方法的比率为0.90，而组合杠杆策略的比率为0.96。在六个月的现场交易中，组合策略实现了1.35的夏普比率。这些结果增强了smart beta策略的有效性，并证明同时组合多个策略可以产生比单独使用任何单个组件更好的性能。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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