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

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.

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:

Asset Management

Asset Management
Author: Andrew Ang
Publsiher: Oxford University Press
Total Pages: 368
Release: 2014-07-07
ISBN 10: 0199959331
ISBN 13: 9780199959334
Language: EN, FR, DE, ES & NL

Asset Management Book Review:

In Asset Management: A Systematic Approach to Factor Investing, Professor Andrew Ang presents a comprehensive, new approach to the age-old problem of where to put your money. Years of experience as a finance professor and a consultant have led him to see that what matters aren't asset class labels, but instead the bundles of overlapping risks they represent. Factor risks must be the focus of our attention if we are to weather market turmoil and receive the rewards that come with doing so. Clearly written yet full of the latest research and data, Asset Management is indispensable reading for trustees, professional money managers, smart private investors, and business students who want to understand the economics behind factor risk premiums, to harvest them efficiently in their portfolios, and to embark on the search for true alpha.

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.

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:

Practical Guide to Risk Based Investing

Practical Guide to Risk Based Investing
Author: Emmanuel Jurczenko,Jérà ́me Teiletche
Publsiher: Wiley-ISTE
Total Pages: 376
Release: 2016-01-11
ISBN 10: 9781848217195
ISBN 13: 1848217196
Language: EN, FR, DE, ES & NL

Practical Guide to Risk Based Investing Book Review:

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.

Portfolio Structuring and the Value of Forecasting

Portfolio Structuring and the Value of Forecasting
Author: Jacques Lussier,Andrew Ang,Mark Carhart,Craig Bodenstab,Philip E. Tetlock,Warren Hatch,David Rapach
Publsiher: CFA Institute Research Foundation
Total Pages: 36
Release: 2016-10-10
ISBN 10: 1944960090
ISBN 13: 9781944960094
Language: EN, FR, DE, ES & NL

Portfolio Structuring and the Value of Forecasting Book Review:

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.

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.

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.

Introduction to Risk Parity and Budgeting

Introduction to Risk Parity and Budgeting
Author: Thierry Roncalli
Publsiher: CRC Press
Total Pages: 440
Release: 2016-04-19
ISBN 10: 1482207168
ISBN 13: 9781482207163
Language: EN, FR, DE, ES & NL

Introduction to Risk Parity and Budgeting Book Review:

Although portfolio management didn’t change much during the 40 years after the seminal works of Markowitz and Sharpe, the development of risk budgeting techniques marked an important milestone in the deepening of the relationship between risk and asset management. Risk parity then became a popular financial model of investment after the global financial crisis in 2008. Today, pension funds and institutional investors are using this approach in the development of smart indexing and the redefinition of long-term investment policies. Written by a well-known expert of asset management and risk parity, Introduction to Risk Parity and Budgeting provides an up-to-date treatment of this alternative method to Markowitz optimization. It builds financial exposure to equities and commodities, considers credit risk in the management of bond portfolios, and designs long-term investment policy. The first part of the book gives a theoretical account of portfolio optimization and risk parity. The author discusses modern portfolio theory and offers a comprehensive guide to risk budgeting. Each chapter in the second part presents an application of risk parity to a specific asset class. The text covers risk-based equity indexation (also called smart beta) and shows how to use risk budgeting techniques to manage bond portfolios. It also explores alternative investments, such as commodities and hedge funds, and applies risk parity techniques to multi-asset classes. The book’s first appendix provides technical materials on optimization problems, copula functions, and dynamic asset allocation. The second appendix contains 30 tutorial exercises. Solutions to the exercises, slides for instructors, and Gauss computer programs to reproduce the book’s examples, tables, and figures are available on the author’s website.

Endowment Asset Management

Endowment Asset Management
Author: Shanta Acharya,Elroy Dimson
Publsiher: Oxford University Press on Demand
Total Pages: 368
Release: 2007-04-19
ISBN 10: 0199210918
ISBN 13: 9780199210916
Language: EN, FR, DE, ES & NL

Endowment Asset Management Book Review:

This unique study focuses on how the endowment assets of Oxford and Cambridge colleges are invested. Despite their shared missions, each interprets its investment objective differently, often resulting in remarkably dissimilar strategies. This thought provoking study provides new insights for all investors with a long-term investment horizon.

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.

High Returns from Low Risk

High Returns from Low Risk
Author: Pim van Vliet,Jan de Koning
Publsiher: John Wiley & Sons
Total Pages: 164
Release: 2017-01-17
ISBN 10: 1119351057
ISBN 13: 9781119351054
Language: EN, FR, DE, ES & NL

High Returns from Low Risk Book Review:

Chapter Eleven Slice and Dice, But Do It Wisely -- Chapter Twelve Sit Back and Relax -- Chapter Thirteen Trade Little, Be Patient -- Chapter Fourteen The Biggest Victory of All -- Chapter Fifteen The Golden Rule -- Chapter Sixteen The Paradox Is Everywhere -- Chapter Seventeen Will the Paradox Persist? -- See It -- Be Able to Exploit It -- Be Willing to Do It -- Chapter Eighteen Final Reflections -- Epilogue Jan's Perspective -- Appendix Paradox Investing.com -- Acknowledgments -- References -- Index -- EULA

Investment Governance for Fiduciaries

Investment Governance for Fiduciaries
Author: Michael E. Drew,Adam N. Walk
Publsiher: CFA Institute Research Foundation
Total Pages: 190
Release: 2019-04-22
ISBN 10: 1944960708
ISBN 13: 9781944960704
Language: EN, FR, DE, ES & NL

Investment Governance for Fiduciaries Book Review:

Governance is a word that is increasingly heard and read in modern times, be it corporate governance, global governance, or investment governance. Investment governance, the central concern of this modest volume, refers to the effective employment of resources—people, policies, processes, and systems—by an individual or governing body (the fiduciary or agent) seeking to fulfil their fiduciary duty to a principal (or beneficiary) in addressing an underlying investment challenge. Effective investment governance is an enabler of good stewardship, and for this reason it should, in our view, be of interest to all fiduciaries, no matter the size of the pool of assets or the nature of the beneficiaries. To emphasize the importance of effective investment governance and to demonstrate its flexibility across organization type, we consider our investment governance process within three contexts: defined contribution (DC) plans, defined benefit (DB) plans, and endowments and foundations (E&Fs). Since the financial crisis of 2007–2008, the financial sector’s place in the economy and its methods and ethics have (rightly, in many cases) been under scrutiny. Coupled with this theme, the task of investment governance is of increasing importance due to the sheer weight of money, the retirement savings gap, demographic trends, regulation and activism, and rising standards of behavior based on higher expectations from those fiduciaries serve. These trends are at the same time related and self-reinforcing. Having explored the why of investment governance, we dedicate the remainder of the book to the question of how to bring it to bear as an essential component of good fiduciary practice. At this point, the reader might expect investment professionals to launch into a discussion about an investment process focused on the best way to capture returns. We resist this temptation. Instead, we contend that achieving outcomes on behalf of beneficiaries is as much about managing risks as it is about capturing returns—and we mean “risks” broadly construed, not just fluctuations in asset values.

Risk Profiling and Tolerance Insights for the Private Wealth Manager

Risk Profiling and Tolerance  Insights for the Private Wealth Manager
Author: Joachim Klement
Publsiher: CFA Institute Research Foundation
Total Pages: 112
Release: 2018-05-01
ISBN 10: 1944960473
ISBN 13: 9781944960476
Language: EN, FR, DE, ES & NL

Risk Profiling and Tolerance Insights for the Private Wealth Manager Book Review:

If risk aversion and willingness to take on risk are driven by emotions and we as humans are bad at correctly identifying them, the finance profession has a serious challenge at hand—how to reliably identify the individual risk profile of a retail investor or high-net-worth individual. In this series of CFA Institute Research Foundation briefs, we have asked academics and practitioners to summarize the current state of knowledge about risk profiling in different key areas.

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."