Machine Learning for Factor Investing R Version

Machine Learning for Factor Investing  R Version
Author: Guillaume Coqueret,Tony Guida
Publsiher: CRC Press
Total Pages: 321
Release: 2020-08-31
ISBN 10: 1000176762
ISBN 13: 9781000176766
Language: EN, FR, DE, ES & NL

Machine Learning for Factor Investing R Version Book Review:

Machine learning (ML) is progressively reshaping the fields of quantitative finance and algorithmic trading. ML tools are increasingly adopted by hedge funds and asset managers, notably for alpha signal generation and stocks selection. The technicality of the subject can make it hard for non-specialists to join the bandwagon, as the jargon and coding requirements may seem out of reach. Machine Learning for Factor Investing: R Version bridges this gap. It provides a comprehensive tour of modern ML-based investment strategies that rely on firm characteristics. The book covers a wide array of subjects which range from economic rationales to rigorous portfolio back-testing and encompass both data processing and model interpretability. Common supervised learning algorithms such as tree models and neural networks are explained in the context of style investing and the reader can also dig into more complex techniques like autoencoder asset returns, Bayesian additive trees, and causal models. All topics are illustrated with self-contained R code samples and snippets that are applied to a large public dataset that contains over 90 predictors. The material, along with the content of the book, is available online so that readers can reproduce and enhance the examples at their convenience. If you have even a basic knowledge of quantitative finance, this combination of theoretical concepts and practical illustrations will help you learn quickly and deepen your financial and technical expertise.

Factor Investing

Factor Investing
Author: Emmanuel Jurczenko
Publsiher: Elsevier
Total Pages: 480
Release: 2017-10-17
ISBN 10: 0081019645
ISBN 13: 9780081019641
Language: EN, FR, DE, ES & NL

Factor Investing Book Review:

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. A practical scope An extensive coverage and up-to-date researcch contributions Covers the topic of factor investing strategies which are increasingly popular amongst practitioners

Your Complete Guide to Factor Based Investing

Your Complete Guide to Factor Based Investing
Author: Andrew L. Berkin,Larry E. Swedroe
Publsiher: Unknown
Total Pages: 360
Release: 2016-10-07
ISBN 10: 9780692783658
ISBN 13: 0692783652
Language: EN, FR, DE, ES & NL

Your Complete Guide to Factor Based Investing Book Review:

There are hundreds of exhibits in the investment "factor zoo." Which ones are actually worth your time, and your money? Andrew L. Berkin and Larry E. Swedroe, co-authors of The Incredible Shrinking Alpha, bring you a thorough yet still jargon-free and accessible guide to applying one of today's most valuable quantitative, evidence-based approaches to outperforming the market: factor investing. Designed for savvy investors and professional advisors alike, Your Complete Guide to Factor-Based Investing: The Way Smart Money Invests Today takes you on a journey through the land of academic research and an extensive review of its 50-year quest to uncover the secret of successful investing. Along the way, Berkin and Swedroe cite and distill more than 100 academic papers on finance and introduce five unique criteria that a factor (at its most basic, a characteristic or set of characteristics common among a broad set of securities) must meet to be considered worthy of your investment. In addition to providing explanatory power to portfolio returns and delivering a premium, Swedroe and Berkin argue a factor should be persistent, pervasive, robust, investable and intuitive. By the end, you'll have learned that, within the entire "factor zoo," only certain exhibits are worth visiting and only a handful of factors are required to invest in the same manner that made Warren Buffett a legend. Your Complete Guide to Factor-Based Investing: The Way Smart Money Invests Today offers an in-depth look at the evidence practitioners use to build portfolios and how you as an investor can benefit from that knowledge, rendering it an essential resource for making the informed and prudent investment decisions necessary to help secure your financial future.

Equity Smart Beta and Factor Investing for Practitioners

Equity Smart Beta and Factor Investing for Practitioners
Author: Khalid Ghayur,Ronan G. Heaney,Stephen C. Platt
Publsiher: John Wiley & Sons
Total Pages: 496
Release: 2019-06-12
ISBN 10: 1119583225
ISBN 13: 9781119583226
Language: EN, FR, DE, ES & NL

Equity Smart Beta and Factor Investing for Practitioners Book Review:

A guide to the popular and fast growing investment opportunities of smart beta Equity Smart Beta and Factor Investing for Practitioners offers a hands-on guide to the popular investment opportunities of smart beta, which is one of the fastest growing areas within the global equity asset class. This well-balanced book is written in accessible and understandable terms and contains an in-depth manual filled with analytical information and new ideas. The authors—noted experts in the field—include a definition of smart beta investing and detail its history. They also explore the distinguishing characteristics of smart beta strategies, offer an overview of factor investing, and reveal the implementation of smart beta approaches. Comprehensive in scope, the book contains helpful examples of applications, real-life illustrative case studies, and contributions from leading and respected practitioners that explain how they approach smart beta investing. This important book: Contains an in-depth exploration of smart beta investing Includes the information written in clear and accessible language Presents helpful case studies, illustrative examples, and contributions from leading and respected experts Offers a must have resource coauthored by the Head of Goldman Sachs’ equity smart beta business Written for investors who want to tap into the opportunities that smart beta offers, Equity Smart Beta and Factor Investing for Practitioners is the comprehensive resource for learning how to create more efficient overall equity portfolios.

Asset Management

Asset Management
Author: Andrew Ang
Publsiher: Oxford University Press (UK)
Total Pages: 704
Release: 2014
ISBN 10: 0199959323
ISBN 13: 9780199959327
Language: EN, FR, DE, ES & NL

Asset Management Book Review:

Stocks and bonds? Real estate? Hedge funds? Private equity? If you think those are the things to focus on in building an investment portfolio, Andrew Ang has accumulated a body of research that will prove otherwise. In his new book Asset Management: A Systematic Approach to Factor Investing, Ang upends the conventional wisdom about asset allocation by showing that what matters aren't asset class labels but the bundles of overlapping risks they represent. Making investments is like eating a healthy diet, Ang says: you've got to look through the foods you eat to focus on the nutrients they contain. Failing to do so can lead to a serious case of malnutrition - for investors as well as diners. The key, in Ang's view, is bad times, and the fact that every investor's bad times are somewhat different. The notion that bad times are paramount is the guiding principle of the book, which offers a new approach to the age-old problem of where do you put your money? Years of experience,both as a finance professor and as a consultant, have led Ang to see that the traditional approach, with its focus on asset classes, is too crude and ultimately too costly to serve investors adequately. He focuses instead on factor risks," the peculiar sets of hard times that cut across asset classes, and that must be the focus of our attention if we are to weather market turmoil and receive the rewards that come with doing so. Optimally harvesting factor premiums - on our own or by hiring others -r equires identifying your particular set of hard times, and exploiting the difference between them and those of the average investor. Clearly written yet chock-full of the latest research and data, Asset Management will be indispensable reading for trustees, professional money managers, smart private investors, and business students who want to understand the economics behind factor risk premiums, harvest them efficiently in their portfolios, and embark on the search for true alpha."

Risk Based and Factor Investing

Risk Based and Factor Investing
Author: Emmanuel Jurczenko
Publsiher: Elsevier
Total Pages: 486
Release: 2015-11-24
ISBN 10: 0081008112
ISBN 13: 9780081008119
Language: EN, FR, DE, ES & NL

Risk Based and Factor Investing Book Review:

This book is a compilation of recent articles written by leading academics and practitioners in the area of risk-based and factor investing (RBFI). The articles are intended to introduce readers to some of the latest, cutting edge research encountered by academics and professionals dealing with RBFI solutions. Together the authors detail both alternative non-return based portfolio construction techniques and investing style risk premia strategies. Each chapter deals with new methods of building strategic and tactical risk-based portfolios, constructing and combining systematic factor strategies and assessing the related rules-based investment performances. This book can assist portfolio managers, asset owners, consultants, academics and students who wish to further their understanding of the science and art of risk-based and factor investing. Contains up-to-date research from the areas of RBFI Features contributions from leading academics and practitioners in this field Features discussions of new methods of building strategic and tactical risk-based portfolios for practitioners, academics and students

Factor Investing and Asset Allocation A Business Cycle Perspective

Factor Investing and Asset Allocation  A Business Cycle Perspective
Author: Vasant Naik,Mukundan Devarajan,Andrew Nowobilski ,Sébastien Page, CFA,Niels Pedersen
Publsiher: CFA Institute Research Foundation
Total Pages: 190
Release: 2016-12-30
ISBN 10: 1944960155
ISBN 13: 9781944960155
Language: EN, FR, DE, ES & NL

Factor Investing and Asset Allocation A Business Cycle Perspective Book Review:

Index Fund Management

Index Fund Management
Author: Fadi Zaher
Publsiher: Springer Nature
Total Pages: 248
Release: 2019-08-28
ISBN 10: 3030194000
ISBN 13: 9783030194000
Language: EN, FR, DE, ES & NL

Index Fund Management Book Review:

This book brings simplicity to passive investing, smart beta, and factor investing, which is the fastest growing type of investment in the asset management industry. The subject has a strong academic foundation but often taught and presented in a quite complex and unorganized way. In recent years, index and factor investing solutions have been bestsellers. But factor investing success is not a foregone conclusion, and there are plenty of quirks and misprints in the literature. Do investors need a novel approach? The book provides answers to some of these questions in an open and objective fashion. Index fund management is increasingly taught in finance courses at universities. For market practitioners including trustees and investors, this book facilitates an increased understanding of how to invest in index and smart beta strategies, how to implement them, and what to be aware of with concrete and practical real-world examples.

Risk Based and Factor Investing

Risk Based and Factor Investing
Author: Emmanuel Jurczenko
Publsiher: Iste Press - Elsevier
Total Pages: 486
Release: 2015-11-18
ISBN 10: 9781785480089
ISBN 13: 1785480081
Language: EN, FR, DE, ES & NL

Risk Based and Factor Investing Book Review:

This book is a compilation of recent articles written by leading academics and practitioners in the area of risk-based and factor investing (RBFI). The articles are intended to introduce readers to some of the latest, cutting edge research encountered by academics and professionals dealing with RBFI solutions. Together the authors detail both alternative non-return based portfolio construction techniques and investing style risk premia strategies. Each chapter deals with new methods of building strategic and tactical risk-based portfolios, constructing and combining systematic factor strategies and assessing the related rules-based investment performances. This book can assist portfolio managers, asset owners, consultants, academics and students who wish to further their understanding of the science and art of risk-based and factor investing. Contains up-to-date research from the areas of RBFI Features contributions from leading academics and practitioners in this field Features discussions of new methods of building strategic and tactical risk-based portfolios for practitioners, academics and students

The Current State of Quantitative Equity Investing

The Current State of Quantitative Equity Investing
Author: Ying L. Becker,Marc R. Reinganum
Publsiher: CFA Institute Research Foundation
Total Pages: 72
Release: 2018-05-10
ISBN 10: 1944960457
ISBN 13: 9781944960452
Language: EN, FR, DE, ES & NL

The Current State of Quantitative Equity Investing Book Review:

Quantitative equity management techniques are helping investors achieve more risk efficient and appropriate investment outcomes. Factor investing, vetted by decades of prior and current research, is growing quickly, particularly in in the form of smart-beta and ETF strategies. Dynamic factor-timing approaches, incorporating macroeconomic and investment conditions, are in the early stages but will likely thrive. A new generation of big data approaches are rendering quantitative equity analysis even more powerful and encompassing.

Smart er Investing

Smart er  Investing
Author: Elisabetta Basilico,Tommi Johnsen
Publsiher: Springer Nature
Total Pages: 154
Release: 2019-12-11
ISBN 10: 3030266923
ISBN 13: 9783030266929
Language: EN, FR, DE, ES & NL

Smart er Investing Book Review:

This book identifies and discusses the most successful investing practices with an emphasis on the academic articles that produced them and why this research led to popular adoption and growth in $AUM. Investors are bombarded with ideas and prescriptions for successful investing every day. Given the steady stream of information on stock tips, sector timing, asset allocation, etc., how do investors decide? How do they judge the quality and reliability of the investment advice they are given on a day-to-day basis? This book identifies which academic articles turned investment ideas were the most innovative and influential in the practice of investment management. Each article is discussed in terms of the asset management process: strategy, portfolio construction, portfolio implementation, and risk management. Some examples of topics covered are factor investing, the extreme growth of trading instruments like Exchange Traded Funds, multi-asset investing, socially responsible investing, big data, and artificial intelligence. This book analyzes a curated selection of peer-reviewed academic articles identified among those published by the scientific investment community. The book briefly describes each of the articles, how and why each one changed the way we think about investing in that specific asset class, and provides insights as to the nuts and bolts of how to take full advantage of this successful investment idea. It is as timely as it is informative and will help each investor to focus on the most successful strategies, ideas, and implementation that provide the basis for the efficient accumulation and management of wealth.

A Practitioner s Guide to Factor Models

A Practitioner s Guide to Factor Models
Author: Anonim
Publsiher: Unknown
Total Pages: 87
Release: 1994-01-01
ISBN 10: 9780943205243
ISBN 13: 0943205247
Language: EN, FR, DE, ES & NL

A Practitioner s Guide to Factor Models Book Review:

The People Factor

The People Factor
Author: Linda J. Bilmes,W. Scott Gould
Publsiher: Brookings Institution Press
Total Pages: 359
Release: 2009-08-01
ISBN 10: 9780815701576
ISBN 13: 0815701578
Language: EN, FR, DE, ES & NL

The People Factor Book Review:

Successful businesses have spent the past two decades retooling and rethinking how to manage their people better. Most big companies that have survived and prospered in the 21st century view employees as a vital strategic asset. In comparison, the U.S. federal government is a Stone Age relic, with its top-down bureaucracy, stovepiping of labor and responsibilities, and lack of training and investment in its own public servants. The inevitable result is a government not keeping up with the complex demands placed on it. In T he People Factor, Linda Bilmes and Scott Gould present a blueprint for reinvigorating the public sector in order to deliver results for America. Their premise is that the federal government can achieve the same gains as the best private sector and military organizations by managing its people better. Their new vision for public service is based on "The People Factor," a set of management tools drawn from best practices in successful companies, the military, and high-performing government agencies. Part One of The People Factor book shows why the U.S. personnel system needs reform, revealing the high price of inaction. Part Two lays out the specific steps that must be taken to achieve the necessary gains. Part Three focuses on how to implement the People Factor and make the authors' vision a reality. They argue that the next president needs to turn this issue into a top priority and use political capital to push reform. Highlights of the book include: • Extensive original survey research • Case studies from government and the military • Interviews with leading thinkers on strategic human capital • A number of specific proposed innovations • A detailed proposal for a nationwide effort to train and revitalize the public service

Country Asset Allocation

Country Asset Allocation
Author: Adam Zaremba,Jacob Shemer
Publsiher: Springer
Total Pages: 262
Release: 2016-10-26
ISBN 10: 1137591919
ISBN 13: 9781137591913
Language: EN, FR, DE, ES & NL

Country Asset Allocation Book Review:

This book demonstrates how quantitative country-level investment strategies can be successfully employed to manage money in international markets. It offers a range of state-of-the-art quantitative strategies, describing their theoretical bases, implementation details, and performance in over 70 countries between 1995 and 2015. International diversification has long been a key to stable investing. However, the increased integration and openness of global financial markets has led to rising correlations between stock market returns in particular countries, driving down the benefits of diversification and increasing the importance of country selection strategies as part of an investment process. Zaremba and Shemer explain the efficiency of quantitative investing, which captures huge amounts of data of limited scope very quickly. In the traditional approach, this data compilation is an immense undertaking, limited in scope and vulnerable to behavioral errors, but this can be overcome with the help of a new paradigm of quantitative investment at the country level. Quantitative country asset allocation can be efficiently accomplished by using wealth insights that have been generated in the academic literature, discovering many anomalies and regular patterns in asset prices. Armed with this information, investors and managers can process large amounts of data more efficiently when deciding to invest in ETFs, index funds, or futures markets.

Expected Returns

Expected Returns
Author: Antti Ilmanen
Publsiher: John Wiley & Sons
Total Pages: 352
Release: 2011-04-20
ISBN 10: 9781119990772
ISBN 13: 1119990777
Language: EN, FR, DE, ES & NL

Expected Returns Book Review:

This comprehensive reference delivers a toolkit for harvesting market rewards from a wide range of investments. Written by a world-renowned industry expert, the reference discusses how to forecast returns under different parameters. Expected returns of major asset classes, investment strategies, and the effects of underlying risk factors such as growth, inflation, liquidity, and different risk perspectives, are also explained. Judging expected returns requires balancing historical returns with both theoretical considerations and current market conditions. Expected Returns provides extensive empirical evidence, surveys of risk-based and behavioral theories, and practical insights.

Factor Investing

Factor Investing
Author: Anonim
Publsiher: Unknown
Total Pages: 378
Release: 2015
ISBN 10: 9783898799454
ISBN 13: 389879945X
Language: EN, FR, DE, ES & NL

Factor Investing Book Review:

Modern Investment Management

Modern Investment Management
Author: Bob Litterman,Quantitative Resources Group
Publsiher: John Wiley & Sons
Total Pages: 648
Release: 2004-11-19
ISBN 10: 0471480657
ISBN 13: 9780471480655
Language: EN, FR, DE, ES & NL

Modern Investment Management Book Review:

Introduces the modern investment management techniques used by Goldman Sachs asset management to a broad range of institutional and sophisticated investors. * Along with Fischer Black, Bob Litterman created the Black-Litterman asset allocation model, one of the most widely respected and used asset allocation models deployed by institutional investors. * Litterman and his asset management group are often a driving force behind the asset allocation and investment decision-making of the world's largest 100 pension funds.

Quantitative Equity Portfolio Management

Quantitative Equity Portfolio Management
Author: Edward E. Qian,Ronald H. Hua,Eric H. Sorensen
Publsiher: CRC Press
Total Pages: 464
Release: 2007-05-11
ISBN 10: 1420010794
ISBN 13: 9781420010794
Language: EN, FR, DE, ES & NL

Quantitative Equity Portfolio Management Book Review:

Quantitative equity portfolio management combines theories and advanced techniques from several disciplines, including financial economics, accounting, mathematics, and operational research. While many texts are devoted to these disciplines, few deal with quantitative equity investing in a systematic and mathematical framework that is suitable for quantitative investment students. Providing a solid foundation in the subject, Quantitative Equity Portfolio Management: Modern Techniques and Applications presents a self-contained overview and a detailed mathematical treatment of various topics. From the theoretical basis of behavior finance to recently developed techniques, the authors review quantitative investment strategies and factors that are commonly used in practice, including value, momentum, and quality, accompanied by their academic origins. They present advanced techniques and applications in return forecasting models, risk management, portfolio construction, and portfolio implementation that include examples such as optimal multi-factor models, contextual and nonlinear models, factor timing techniques, portfolio turnover control, Monte Carlo valuation of firm values, and optimal trading. In many cases, the text frames related problems in mathematical terms and illustrates the mathematical concepts and solutions with numerical and empirical examples. Ideal for students in computational and quantitative finance programs, Quantitative Equity Portfolio Management serves as a guide to combat many common modeling issues and provides a rich understanding of portfolio management using mathematical analysis.

Equity Smart Beta and Factor Investing for Practitioners

Equity Smart Beta and Factor Investing for Practitioners
Author: Khalid Ghayur,Ronan G. Heaney,Stephen C. Platt
Publsiher: John Wiley & Sons
Total Pages: 496
Release: 2019-05-29
ISBN 10: 1119583454
ISBN 13: 9781119583455
Language: EN, FR, DE, ES & NL

Equity Smart Beta and Factor Investing for Practitioners Book Review:

A guide to the popular and fast growing investment opportunities of smart beta Equity Smart Beta and Factor Investing for Practitioners offers a hands-on guide to the popular investment opportunities of smart beta, which is one of the fastest growing areas within the global equity asset class. This well-balanced book is written in accessible and understandable terms and contains an in-depth manual filled with analytical information and new ideas. The authors—noted experts in the field—include a definition of smart beta investing and detail its history. They also explore the distinguishing characteristics of smart beta strategies, offer an overview of factor investing, and reveal the implementation of smart beta approaches. Comprehensive in scope, the book contains helpful examples of applications, real-life illustrative case studies, and contributions from leading and respected practitioners that explain how they approach smart beta investing. This important book: Contains an in-depth exploration of smart beta investing Includes the information written in clear and accessible language Presents helpful case studies, illustrative examples, and contributions from leading and respected experts Offers a must have resource coauthored by the Head of Goldman Sachs’ equity smart beta business Written for investors who want to tap into the opportunities that smart beta offers, Equity Smart Beta and Factor Investing for Practitioners is the comprehensive resource for learning how to create more efficient overall equity portfolios.

Machine Learning for Factor Investing R Version

Machine Learning for Factor Investing  R Version
Author: Guillaume Coqueret,Tony Guida
Publsiher: CRC Press
Total Pages: 319
Release: 2020-09-01
ISBN 10: 1000176800
ISBN 13: 9781000176803
Language: EN, FR, DE, ES & NL

Machine Learning for Factor Investing R Version Book Review:

Machine learning (ML) is progressively reshaping the fields of quantitative finance and algorithmic trading. ML tools are increasingly adopted by hedge funds and asset managers, notably for alpha signal generation and stocks selection. The technicality of the subject can make it hard for non-specialists to join the bandwagon, as the jargon and coding requirements may seem out of reach. Machine Learning for Factor Investing: R Version bridges this gap. It provides a comprehensive tour of modern ML-based investment strategies that rely on firm characteristics. The book covers a wide array of subjects which range from economic rationales to rigorous portfolio back-testing and encompass both data processing and model interpretability. Common supervised learning algorithms such as tree models and neural networks are explained in the context of style investing and the reader can also dig into more complex techniques like autoencoder asset returns, Bayesian additive trees, and causal models. All topics are illustrated with self-contained R code samples and snippets that are applied to a large public dataset that contains over 90 predictors. The material, along with the content of the book, is available online so that readers can reproduce and enhance the examples at their convenience. If you have even a basic knowledge of quantitative finance, this combination of theoretical concepts and practical illustrations will help you learn quickly and deepen your financial and technical expertise.