Equity, Active 2 chapters

Behavioural Bias

Style Consistency



Facts about Fundamental & Quantitative / Top-Down & Bottom-Up

Growth at a reasonable price (GARP), however—a growth-based approach—is a bottom-up asset selection strategy

Building Block of Active Portfolio Construction

The three main building blocks of portfolio construction are alpha skills, position sizing, and rewarded factor weighting.


Information Ratio = Active Return / Active Risks = IC * TC * \sqrt{BR}

Expected Active Return = IR * Active Risks

(Active Risks = \sigma_{R_A}) 是s.d. 没有 squared

Well Constructed Portfolio

A well constructed portfolio has lower "un-explained" part.

Active Share & Risks

Efficiency of Active Investment

因为# 大,diversification大,active risk 理应被 diversified。但是如果 # 少,active risk 还小,那么就是 cost-efficient

Investment Approach

Active Risk: the extra volatility caused from not exactly copying the benchmark 取决于tilt, & diversification

Active Share 只要 active 了就有



Event Driven:

tend to be exposed to some natural equity market beta risk. 受 market beta 影响小(因为对冲了一部分),因为 neutralised,但是受 left-tail risks like in the stress market period.

Opportunistic Strategy

  1. Global Macro Strategy

  2. Managed Future Strategy

    • cross-sectional momentum approach are implemented with a cross-section of assets (generally within an asset class, which in this case is highly rated corporate bonds) by going long those that are rising in price the most and by shorting those that are falling the most.

    • Time-series trading strategies are driven by the past performance of the individual assets. The manager will take long positions for assets that are rising in value and short positions for assets that are falling in value.