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arXiv · 1906.05187

The Case for Long-Only Agnostic Allocation Portfolios

Pierre-Alain Reigneron·Vincent Nguyen·Stefano Ciliberti·Philip Seager·Jean-Philippe Bouchaud
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Abstract

We advocate the use of Agnostic Allocation for the construction of long-only portfolios of stocks. We show that Agnostic Allocation Portfolios (AAPs) are a special member of a family of risk-based portfolios that are able to mitigate certain extreme features (excess concentration, high turnover, strong exposure to low-risk factors) of classical portfolio construction methods, while achieving similar performance. AAPs thus represent a very attractive alternative risk-based portfolio construction framework that can be implemented in different situations, with or without an active trading signal.

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Pierre-Alain Reigneron, Vincent Nguyen, Stefano Ciliberti, Philip Seager, Jean-Philippe Bouchaud. 2019-06-12. The Case for Long-Only Agnostic Allocation Portfolios. https://arxiv.org/abs/1906.05187

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