Journal of Portfolio Management·Multi-Asset Special Issue 2018; Volume 44,Issue 2

技术阿尔法：投资风格的应用

作者：Ronen Israel（AQR Capital Management, LLC）

Sarah Jiang（AQR Capital Management, LLC）

Adrienne Ross（AQR Capital Management, LLC）

摘要：成功的投资需要将稳健的投资理念转化为实际的交易策略。作者研究了许多基金经理在使用多种资产类别构建多风格投资组合时应该注意的许多细节。本文重点讨论构建投资组合的选择，包括如何将信号转换为组合权重，以及如何将多种风格、优化、风险控制和交易组合起来。尽管任何类型的投资策略都需要做出这些决定，但它们在风格投资的背景下尤其重要，因为在投资策略中，那些影响投资成败的技术选择是无处不在的。事实上，精妙地选择目标市场和获得来自投资风格的溢价，即是一种阿尔法，作者称之为“技术阿尔法”。

Craftsmanship Alpha: An Application to Style Investing

Ronen Israel（AQR Capital Management, LLC）；Sarah Jiang（AQR Capital Management, LLC）；Adrienne Ross（AQR Capital Management, LLC）

ABSTRACT

Successful investing requires translating sound investment concepts into actual trading strategies. The authors study many implementation details that portfolio managers should pay attention to when constructing multistyle portfolios across asset classes. The article focuses on portfolio implementation choices, including how to transform signals into portfolio weights and how to combine multiple styles, optimization, risk control, and trading. While these kinds of decisions apply to any type of investment strategy, they are particularly important in the context of style investing, where the craftsmanship choices that can impact investment success are ubiquitous. In fact, the skillful targeting and capturing of style premia may constitute a form of alpha on its own—one that the authors refer to as “craftsmanship alpha.”

原文链接：

http://jpm.iijournals.com/content/44/2/23

翻译：黄涛