Implementation Matters: Relaxing Constraints Can Improve the Potential Returns of Factor Strategies

Autor:	Josephine Smith, Dave Gibbon, Jack Davies, Sara Shores
Rok vydání:	2019
Předmět:	Microeconomics Economics and Econometrics Investment strategy Accounting Sharpe ratio Equity (finance) Business General Business Management and Accounting Finance
Zdroj:	The Journal of Portfolio Management. 45:101-114
ISSN:	2168-8656 0095-4918
Popis:	Eligible investors seeking factor exposures may have a choice of different investment vehicles to implement an investment strategy, ranging from fully transparent, index-based exchange-traded funds to private funds or undertakings for collective investment in transferable securities. In this article, the authors assess the impact of constraints common to these investment vehicles through the lens of hypothetical equity momentum and value factor strategies. As constraints—leverage, trading frequency, and risk levels—on the factor strategies are relaxed, risk-adjusted potential returns may improve. Conversely, moving from an unconstrained implementation to a low-turnover, long-only implementation may decrease the Sharpe ratios of momentum and value strategies by as much as 60%.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::77549b85b123cfddbf80526887c56174 https://doi.org/10.3905/jpm.2019.45.3.101 Zobrazit plný text záznamu