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FACTOR INVESTING [electronic resource].

Author
Jurczenko, Emmanuel
Published
[Place of publication not identified] : ELSEVIER, 2017.
Physical Description
1 online resource
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Contents
Machine generated contents note: ch. 1 The Price of Factors and the Implications for Active Investing / Inigo Fraser-Jenkins -- 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 not -- 1.9.Opportunities for asset managers and asset owners -- 1.10.Bibliography -- ch. 2 Factor Investing: The Rocky Road from Long-Only to Long-Short / Ariane Szafarz -- 2.1.Introduction -- 2.2.Short-selling and factor investing -- 2.3.Data and methods -- 2.3.1.Data -- 2.3.2.Methods -- 2.4.Empirical results -- 2.4.1.Efficient frontiers -- 2.4.2.Horizontal and vertical tests -- 2.5.Conclusion -- 2.6.Bibliography -- ch. 3 Peering under the Hood of Rules-Based Portfolio Construction: The Impact of Security Selection and Weighting Decisions / Taie Wang -- 3.1.Introduction -- 3.2.A framework for rules-based portfolio construction -- 3.3.Key decisions for rules-based portfolio construction: security selection and weighting -- 3.3.1.Security selection -- 3.3.2.Security weighting -- 3.4.The maximum effective multiplier -- 3.4.1.A closed-form solution to a limit on the MEM under certain assumptions -- 3.4.2.Effective multipliers under generalized conditions -- 3.5.Analyzing the MEM for several popular cases -- 3.6.Conclusion -- 3.7.Appendices -- 3.7.1.Appendix A: Description of the kinked multiplier scheme -- 3.7.2.Appendix B: Proof behind the limit to the MEM -- 3.7.3.Appendix C: Deriving a general relationship between the initial multipliers and effective multipliers -- 3.7.4.Appendix D: Derivations in section 3.5 -- 3.8.Bibliography -- ch. 4 Diversify and Purify Factor Premiums in Equity Markets / Patrick Dugnolle -- 4.1.Introduction -- 4.2.Factors -- 4.2.1.Raw factors -- 4.2.2.Factor premiums -- 4.3.Results -- 4.3.1.Factor z-scores -- 4.3.2.Factor portfolio construction -- 4.3.3.Impact of hedging beta and size neutralizing sectors and targeting volatility -- 4.3.4.Beta of hedged factor strategy returns -- 4.3.5.Sector neutralization -- 4.3.6.Region neutralization in global strategies -- 4.3.7.Contribution from stocks with positive and negative factor scores -- 4.3.8.Volatility, leverage and turnover of hedged factor strategies -- 4.3.9.Skewness and kurtosis of hedged factor strategy returns -- 4.4.Conclusions -- 4.5.Bibliography -- ch. 5 The Predictability of Risk-Factor Returns / Scott N. Pappas -- 5.1.Introduction -- 5.2.Literature review -- 5.3.Methodology -- 5.3.1.Predictive regression model -- 5.3.2.Forecast combination -- 5.3.3.Forecast evaluation -- 5.3.4.Economic significance -- 5.4.Data -- 5.5.Results -- 5.5.1.Single economic variable forecasts -- 5.5.2.Combination forecasts -- 5.6.Conclusion -- 5.7.Bibliography -- ch. 6 Style Factor Timing / Yin Luo -- 6.1.Introduction -- 6.1.1.The culprit and the verdict -- 6.1.2.Rising factor correlation and heightened downside risk -- 6.1.3.The impact of risk-on/risk-off -- 6.1.4.Factor payoff patterns are becoming increasingly nonlinear -- 6.2.Why does it matter? -- 6.3.Modeling techniques -- 6.3.1.Cross-sectional approach -- 6.3.2.Time series approach -- 6.4.Global macro database -- 6.4.1.Policy uncertainty -- 6.4.2.Nowcasting and economic cycle -- 6.4.3.Capital market variables -- 6.4.4.Seasonality -- 6.5.Conclusion -- 6.6.Bibliography -- ch. 7 Go with the Flow or Hide from the Tide? Trading Flow as a Signal in Style Investing / Michael Steliaros -- 7.1.Introduction -- 7.2.Data -- 7.3.Style portfolios and style flows -- 7.4.Style flows, returns and risk: a statistical perspective -- 7.4.1.Style flows and returns -- 7.4.2.Style flows and style risk -- 7.5.Economic significance -- 7.5.1.Single-factor strategies -- 7.5.2.Multifactor strategies -- 7.6.The effect of using non-overlapping data -- 7.7.Conclusions -- 7.8.Bibliography -- ch. 8 Investment and Profitability: A Quality Factor that Actually Works / Engin Kose -- 8.1.Introduction -- 8.1.1.Robustness of existing "quality" factor product offering categories -- 8.2.Literature review -- 8.2.1.Profitability (and investment) -- 8.2.2.Earnings stability -- 8.2.3.Capital structure -- 8.2.4.Growth in profitability -- 8.2.5.Accounting quality -- 8.2.6.Summary of the literature review -- 8.3.Robustness across geographies and definitions -- 8.3.1.Profitability -- 8.3.2.Earnings stability, capital structure and growth in profitability -- 8.3.3.Accounting quality -- 8.3.4.Summary of robustness tests -- 8.4.A more detailed examination of profitability and investment -- 8.4.1.Treating profitability and investment as a combined factor -- 8.4.2.Robustness of profitability and investment combination -- 8.5.Conclusion -- 8.6.Appendix: Profitability and investment from multifactor perspective - a practitioner's perspective -- 8.7.Bibliography -- ch. 9 Common Equity Factors in Corporate Bond Markets / Josef-Stefan Wenzler -- 9.1.Introduction -- 9.2.Traditional indices in fixed-income markets -- 9.3.Factor investing in credit markets -- 9.3.1.Size -- 9.3.2.Value -- 9.3.3.Momentum -- 9.3.4.Beta -- 9.4.Data and methodology -- 9.4.1.Data -- 9.4.2.Methodology -- 9.5.Empirical results -- 9.5.1.Comparing factor portfolio returns in credit markets -- 9.5.2.Single-factor performance -- 9.5.3.Multi-factor performance -- 9.5.4.Factor performance after transaction costs -- 9.6.Conclusion -- 9.7.Bibliography -- ch. 10 Alternative Risk Premia: What Do We Know? / Thierry Roncalli -- 10.1.Introduction -- 10.2.The rationale of ARP -- 10.2.1.Difference between common risk factors and arbitrage factors -- 10.2.2.Factor investing in the equity market -- 10.3.Defining ARP -- 10.3.1.Skewness risk premia and market anomalies -- 10.3.2.Identification of ARP N -- 10.3.3.Carry and momentum everywhere -- 10.4.Portfolio allocation with ARP -- 10.4.1.Volatility diversification -- 10.4.2.Skewness aggregation -- 10.4.3.Portfolio management -- 10.5.Conclusion -- 10.6.Appendix: Mathematical results -- 10.6.1.The contrarian (or reversal) strategy with a price target -- 10.6.2.The trend-following strategy with an EWMA trend -- 10.6.3.Skewness aggregation of two log-normal random variables -- 10.6.4.A skewness model of asset returns -- 10.7.Bibliography -- ch. 11 Strategic Portfolio Allocation With Factors / Michael Kishinevsky -- 11.1.Introduction -- 11.2.Factors -- 11.3.What do I own? -- 11.3.1.Scenario analysis -- 11.4.What do I want to own? -- 11.5.How do I get there? -- 11.6.Conclusion -- 11.7.Appendix -- 11.8.Bibliography -- ch. 12 A Macro Risk-Based Approach to Alternative Risk Premia Allocation / Jerome Teiletche -- 12.1.Introduction -- 12.2.Literature review -- 12.3.Alternative risk premia construction and empirical characteristics -- 12.3.1.Alternative risk premia construction -- 12.3.2.Empirical characteristics -- 12.4.Alternative risk premia and economic regimes: a first overview -- 12.5.A macro risk-based asset allocation framework -- 12.5.1.Methodology -- 12.5.2.Empirical results -- 12.6.Conclusion -- 12.7.Appendix: Nowcasting economic regimes -- 12.8.Bibliography -- ch. 13 Optimizing Cross-Asset Carry / Nick Baltas -- 13.1.Introduction -- 13.2.The concept of FX carry -- 13.3.Extending the idea across asset classes -- 13.4.Data and carry diagnostics -- 13.4.1.The universe of assets and asset classes -- 13.4.2.Measuring carry across asset classes -- 13.5.Constructing carry portfolios -- 13.5.1.Cross-sectional carry -- 13.5.2.Time-series carry -- 13.5.3.The relationship between XS and TS carry strategies -- 13.5.4.Optimized carry -- 13.6.Is it crash risk? -- 13.6.1.Downside risk analysis -- 13.6.2.Equity volatility risk analysis -- 13.6.3.Multiasset carry analysis -- 13.7.Concluding remarks -- 13.8.Appendix: Estimating the carry metric for each asset class -- 13.9.Bibliography -- ch. 14 Diversification and the Volatility Risk Premium / Megan N. Miller -- 14.1.Introduction -- 14.2.Definition of VRP -- 14.3.Why does it exist? -- 14.4.Evidence from CBOE Indices on VRP -- 14.5.Trading the VRP -- 14.6.Data construction -- 14.7.VRPs in a portfolio context -- 14.8.VRPs and PFPs -- 14.9.Conclusion -- 14.10.Bibliography -- ch. 15 Factor Investing and ESG Integration / Padmakar Kulkarni -- 15.1.Introduction -- 15.2.Data and methodology -- 15.3.Treating ESG as a factor -- 15.4.Integrating ESG into passive strategies -- 15.5.Integrating ESG into factor strategies -- 15.5.1.Integrating ESG into minimum volatility -- 15.5.2.Integrating ESG into quality strategies -- 15.5.3.Integrating ESG into yield strategies -- 15.5.4.Integrating ESG into value strategies -- 15.5.5.Integrating ESG into momentum strategies -- 15.5.6.Integrating ESG into low-size strategies -- 15.6.Summary of results and implications for portfolio construction -- 15.7.Conclusion -- 15.8.Appendices -- 15.8.1.Appendix 1: Does an ESG constraint improve the overall sustainability profile? -- 15.8.2.Appendix 2: Are factors significant sources of performance after integrating ESG? -- 15.8.3.Appendix 3: How much ESG should you add to your portfolio? -- 15.9.Bibliography -- ch. 16 The Alpha and Beta of Equity Hedge UCITS Funds: Implications for Momentum Investing / James Thewissen -- 16.1.Introduction -- 16.2.Literature review -- 16.2.1.UCITS fund structure -- 16.2.2.Prior research on alternative UCITS -- 16.2.3.Data biases of alternative UCITS -- 16.2.4.Review of the factor model approach to study fund performance -- 16.3.Data and methodology -- 16.3.1.Data -- 16.3.2.Factor model specification -- 16.4.The cross-section of factor exposures and residual performance -- 16.4.1.Style-based analysis -- 16.4.2.Risk factor analysis -- 16.4.3.Peer performance -- 16.5.Persistence of equity hedge UCITS managers -- 16.6.Concluding remarks -- 16.7.Bibliography.
Summary
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 new methods for constructing and harvesting traditional and alternative risk premia, building strategic and tactical multifactor portfolios, and assessing related systematic investment performances. This volume will be of help to portfolio managers, asset owners and consultants, as well as academics and students who want to improve their knowledge and understanding of systematic risk factor investing.
Subject(s)
ISBN
9780081019641 (electronic bk.)
0081019645 (electronic bk.)
1785482017
9781785482014
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