Factor investing : from traditional to alternative risk premia /

This new edited volume consists of a collection of original articles written by leading industry experts in the area of factor investing. The chapters introduce readers to some of the latest research developments in the area of equity and alternative investment strategies. Each chapter deals with ne...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Otros Autores: Jurczenko, Emmanuel (Editor )
Formato: Electrónico eBook
Idioma:Inglés
Publicado: London, UK : Kidlington, Oxford, UK : ISTE Press ; Elsevier, 2017.
Colección:Quantitative finance set
Temas:
Investments.
Asset allocation.
Portfolio management.
Investments
Investissements.
Affectation de l'actif.
Gestion de portefeuille.
BUSINESS & ECONOMICS > Finance.
Portfolio management
Asset allocation
Congress
proceedings (reports)
Conference papers and proceedings
Conference papers and proceedings.
Actes de congr�es.
Acceso en línea:Texto completo
Tabla de Contenidos:
  • Front Cover
  • Factor Investing: From Traditional to Alternative Risk Premia
  • Copyright
  • Contents
  • Foreword
  • Acknowledgements
  • Introduction
  • Bibliography
  • 1. The Price of Factors and the Implications for Active Investing
  • 1.1. Introduction
  • 1.2. Smart beta: the Uber of asset management
  • 1.3. Allocating to smart beta: an unambiguously active decision
  • 1.4. Adoption of smart beta
  • 1.5. Organizational issues for smart beta
  • 1.6. Toward idiosyncratic returns
  • 1.7. The role of benchmarks: has the benchmark triumphed, or is it dead?
  • 1.8. Idiosyncratic returns: the emergence of a multivariate benchmark whether one likes it or not1.9. Opportunities for asset managers and asset owners
  • 1.10. Bibliography
  • 2. Factor Investing: The Rocky Roadfrom Long-Only to Long-Short
  • 2.1. Introduction
  • 2.2. Short-selling and factor investing
  • 2.3. Data and methods
  • 2.4. Empirical results
  • 2.5. Conclusion
  • 2.6. Bibliography
  • 3. Peering under the Hood of Rules-Based Portfolio Construction: The Impact of Security Selection and Weighting Decisions
  • 3.1. Introduction
  • 3.2. A framework for rules-based portfolio construction3.3. Key decisions for rules-based portfolio construction: security selection and weighting
  • 3.4. The maximum effective multiplier
  • 3.5. Analyzing the MEM for several popular cases
  • 3.6. Conclusion
  • 3.7. Appendices
  • 3.8. Bibliography
  • 4. Diversify and Purify Factor Premiums in Equity Markets
  • 4.1. Introduction
  • 4.2. Factors
  • 4.3. Results
  • 4.4. Conclusions
  • 4.5. Bibliography
  • 5. The Predictability of Risk-Factor Returns
  • 5.1. Introduction
  • 5.2. Literature review
  • 5.3. Methodology5.4. Data
  • 5.5. Results
  • 5.6. Conclusion
  • 5.7. Bibliography
  • 6. Style Factor Timing
  • 6.1. Introduction
  • 6.2. Why does it matter?
  • 6.3. Modeling techniques
  • 6.4. Global macro database
  • 6.5. Conclusion
  • 6.6. Bibliography
  • 7. Go with the Flow or Hide from the Tide? Trading Flow as a Signal in Style Investing
  • 7.1. Introduction
  • 7.2. Data
  • 7.3. Style portfolios and style flows
  • 7.4. Style flows, returns and risk: a statistical perspective
  • 7.5. Economic significance
  • 7.6. The effect of using non-overlapping data7.7. Conclusions
  • 7.8. Bibliography
  • 8. Investment and Profitability: A Quality Factor that Actually Works
  • 8.1. Introduction
  • 8.2. Literature review
  • 8.3. Robustness across geographies and definitions
  • 8.4. A more detailed examination of profitability and investment
  • 8.5. Conclusion
  • 8.6. Appendix: Profitability and investment from multifactor perspective �a#x80;#x93; a practitioner�a#x80;#x99;s perspective
  • 8.7. Bibliography
  • 9. Common Equity Factors in Corporate Bond Markets
  • 9.1. Introduction

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