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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.
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