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

Autor:	Jack Davies, Sara Shores, Dave Gibbon, Josephine Smith
Rok vydání:	2019
Předmět:	Microeconomics Momentum (finance) Investment strategy Factor (programming language) Value (economics) General Earth and Planetary Sciences Business Project portfolio management Investment (macroeconomics) computer Implementation General Environmental Science computer.programming_language
Zdroj:	Practical Applications. 7:1.12-6
ISSN:	2329-020X 2329-0196
Popis:	Practical Applications Summary In Implementation Matters: Relaxing Constraints Can Improve the Potential Returns of Factor Strategies, which appeared in the 2019 Quantitative Special Issue of The Journal of Portfolio Management, Jack Davies, Dave Gibbon, Sara Shores, and Josephine Smith (all of BlackRock, Inc.) investigated the differences in the performance of various factor strategy portfolios when investment constraints were placed on investment vehicles. They created several hypothetical portfolios based on momentum and value strategies, and imposed constraints representative of five types of investment vehicles: private funds, UCITS, 130/30 funds, long-only funds, and long-only ETF. The authors found that, in general, the hypothetical implementations with fewer constraints performed better. These findings suggest that investors should pay attention to the real-world restrictions placed on the investment vehicles they choose when pursuing style-factor investment strategies.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::e74277bc1701f4c4b84c573c852cc533 https://doi.org/10.3905/pa.7.3.361 Zobrazit plný text záznamu