The statement 'It is hard to code' is not a shortcoming of the screen technique. In fact, one of the advantages of the screen technique is its simplicity in implementation, which makes its coding relatively easy. The screen technique involves ranking stocks based on their alpha, a process that can be easily coded and automated. Therefore, the assertion that the screen technique is hard to code is incorrect and does not represent a limitation of this method.

Choice A is incorrect. The screen technique indeed ignores all information in the alphas apart from rankings. This is a limitation because it does not consider the magnitude of alpha, only its relative position.

Choice B is incorrect. The screen technique does not protect against biases in the alphas. If there are any systematic errors or biases in the calculation of alpha, these will be carried forward into the portfolio selection process.

Choice C is incorrect. The screen technique may result in more risky portfolios as it focuses on stocks with high alpha without considering their associated risks or correlations with other assets in the portfolio.

Things to Remember

• Screen technique involves ranking stocks based on their alpha, ignoring all information in the alphas apart from rankings.
• It does not protect against biases in the alphas, so any systematic errors or biases in alpha calculations can affect the portfolio selection process.
• Using the screen technique may lead to more risky portfolios as it focuses solely on high alpha stocks without considering associated risks or correlations.
• One advantage of the screen technique is its simplicity in implementation, making coding relatively easy and automation feasible.