RT Journal Article
SR Electronic
T1 Craftsmanship Alpha: <em>An Application to Style Investing</em>
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 23
OP 39
DO 10.3905/jpm.2018.44.2.023
VO 44
IS 2
A1 Ronen Israel
A1 Sarah Jiang
A1 Adrienne Ross
YR 2017
UL https://pm-research.com/content/44/2/23.abstract
AB 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.”TOPICS: Portfolio construction, style investing