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How to Combine Investment Signals in Long/Short Strategies - Insights from Simulations and Empirical Analyses

Stephan Kessler

出版	SSRN, 2018
URL	http://books.google.com.hk/books?id=kn4AzwEACAAJ&hl=&source=gbs_api

註釋

We analyse the relative advocacy of competing approaches for the combination of investment signals in long/short portfolios. Specifically we study if it is preferable to (1) calculate weights for individual signals and then combine those weights (Mixed); or (2) combine signals and then calculate weights (Integrated). In our analysis we contrast insights obtained through a conceptual theoretical angle in simulations with a concrete application of Mixed and Integrated using empirical data to gain a broader perspective on the results. In both frameworks we find no meaningful performance differences between the methodologies. Transaction costs for the portfolio containing the combined signal are not significantly different between the two methodologies as long as trades are netted.