{"title":"隐形投资组合","authors":"Sina Ehsani, Juhani T. Linnainmaa","doi":"10.2139/ssrn.3855066","DOIUrl":null,"url":null,"abstract":"A portfolio sorted on the intercepts of a multi-factor model - the invisible portfolio - is the optimal portfolio for improving the model's mean-variance efficiency. This portfolio, similar to the betting-against-beta (BAB) factor, benefits from the distortions in the security market (or factor) lines. Whereas the BAB factor adjusts for the flatness in any one factor's security factor line, the invisible portfolio optimally adjusts for all such distortions. The invisible portfolio increases the five-factor model's out-of-sample maximum squared Sharpe ratio from 0.98 to 1.38. The invisible portfolio is an intuitive and theoretically founded method for improving all factor models.","PeriodicalId":260048,"journal":{"name":"Capital Markets: Market Efficiency eJournal","volume":"60 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2021-05-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"The Invisible Portfolio\",\"authors\":\"Sina Ehsani, Juhani T. Linnainmaa\",\"doi\":\"10.2139/ssrn.3855066\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"A portfolio sorted on the intercepts of a multi-factor model - the invisible portfolio - is the optimal portfolio for improving the model's mean-variance efficiency. This portfolio, similar to the betting-against-beta (BAB) factor, benefits from the distortions in the security market (or factor) lines. Whereas the BAB factor adjusts for the flatness in any one factor's security factor line, the invisible portfolio optimally adjusts for all such distortions. The invisible portfolio increases the five-factor model's out-of-sample maximum squared Sharpe ratio from 0.98 to 1.38. The invisible portfolio is an intuitive and theoretically founded method for improving all factor models.\",\"PeriodicalId\":260048,\"journal\":{\"name\":\"Capital Markets: Market Efficiency eJournal\",\"volume\":\"60 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2021-05-27\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Capital Markets: Market Efficiency eJournal\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3855066\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Capital Markets: Market Efficiency eJournal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3855066","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
A portfolio sorted on the intercepts of a multi-factor model - the invisible portfolio - is the optimal portfolio for improving the model's mean-variance efficiency. This portfolio, similar to the betting-against-beta (BAB) factor, benefits from the distortions in the security market (or factor) lines. Whereas the BAB factor adjusts for the flatness in any one factor's security factor line, the invisible portfolio optimally adjusts for all such distortions. The invisible portfolio increases the five-factor model's out-of-sample maximum squared Sharpe ratio from 0.98 to 1.38. The invisible portfolio is an intuitive and theoretically founded method for improving all factor models.
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