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Portfolio Strategy Portfolio Construction Techniques: A Brief Review Nov. 12, 2015 9:07 PM ET5 comments by: Guglielmo de Stefano Finally, it is worth mentioning a special group of strategies that are extremely popular among asset management firms, known as Smart Beta strategies. Smart Beta strategies are virtually placed between pure alpha strategies and beta strategies, and emphasise capturing investment factors in a transparent way, such as value, size, quality and momentum. Examples of these strategies are risk parity, minimum volatility, maximum diversification and many others. Apart from the wide range of these kinds of techniques, it is critical to highlight why they are so diffuse among practitioners. Their enormous success is due to several interesting advantages, including the flexibility to access tailored market exposures, improved control of portfolio exposures and the potential to achieve improved return/risk trade-offs. Final Remarks This article aims to be a summary of the most notorious techniques considered in the existing literature, but the list is far from being complete. Moreover, the article does not analyze which strategy is the best, since I believe that the success of an investment technique depends on several factors, including the time frame considered, the kind of assets, the geography of the examined portfolio, the client’s preferences, and it surely must rely on a quantitative application using real or simulated data. Disclosure: I/we have no positions in any stocks mentioned, and no plans to initiate any positions within the next 72 hours. I wrote this article myself, and it expresses my own opinions. I am not receiving compensation for it (other than from Seeking Alpha). I have no business relationship with any company whose stock is mentioned in this article. JOIN THE CONVERSATION Page 1 of 1Portfolio Construction Techniques: A Brief Review | Seeking Alpha 18/12/2018… 欢迎咨询51作业君


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