股票外汇技术分析解析英文版ppt (23).ppt

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1、FuquaInvestmentAnalyticsStefanD.GertschBrianWachobBuildingBlocksforaLong/ShortStrategyDrivenbyQuantitativeStockSelectionPurposeofStudyBuildaquantitativestockselectionmodeltoguideportfoliomanagementatalong/shorthedgefund.Adoptedperspectiveofafundwith$100MinassetsundermanagementThisfun

2、dsizeestimateguidedinvestableuniversedefinition.AssumedgoalofmaximizingreturnswithnegligiblecorrelationtootherassetclassesInpractice,wedidconsidervarianceaswell,butitisofmuchlesserimportanceifcorrelationswithotherassetclassesareindeednegligible.April27,20052©Gertsch&WachobOverviewDef

3、initions:Universe,Methodology,ConventionsCross-Sectional(TimeInvariant)FactorResearchIdentificationandEvaluationFactorRefinementNegativeFactorValuesandCounter-IntuitiveResultantRankingsTheseconcernsareoftenoverlookedbyothersandariseamongverycommonfactordefinitions(suchasforwardearnin

4、gsyield)IndustryNormalizationOptimalFractileResolutionandClustering/Groupings/AggregationIntegrationofFactorPortfoliosintoaMultivariateModelBasedonMean-VariancePortfolioOptimizationwiththeImpositionofCustomConstraintsMultivariateModel’sOut-of-SamplePerformanceForecastingFactorPortfol

5、ioReturnsDemonstrationofdynamicfactorweightingsbasedonfactorperformanceforecastsApril27,20053©Gertsch&WachobUniverseDefinitionU.S.stocksonlyTime-scaledmin.marketcapthreshold$54Min1987,risesby7%annuallyto$200Min2005Time-scaledmin.estimatedmeandailydollarvolumethreshold$84Kin1987,rises

6、by10.4%annuallyto$500Kin2005ExcludedETFsandotherinvestmentfundstradingasstocksExcluded3instancesoflikelyerroneousCompustatreturnsdataNumberofstocksinuniversegrowswithtime998on1/31/19872,649on11/31/2001≈3,336today(4/27/2005)April27,20054©Gertsch&WachobMethodology/ConventionsIn-samplep

7、eriod:February1987–December2001Out-of-sampleperiod:January2002–March2005*FactSetAlphaTestingfractilesortsMonthlyrebalancing,1monthholdingperiodConvention:Highfactorvaluesareassignedtolow-numberedfractiles**Whenhistoricaldatanecessarytoevaluatetheunivariatesortingfactorforagivenstocki

8、sunavailable