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Factor Investing
From Traditional to Alternative Risk Premia
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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.
Inhaltsverzeichnis
1. The Price of Factors and the Implications for Active Investing
2. Factor Investing: The Rocky Road from Long-Only to Long-Short
3. Peering under the Hood of Rules-Based Portfolio Construction: The Impact of Security Selection and Weighting Decisions
4. Diversify and Purify Factor Premiums in Equity Markets
5. The Predictability of Risk-Factor Returns
6. Style Factor Timing
7. Go with the Flow or Hide from the Tide? Trading Flow as a Signal in Style Investing
8. Investment and Profitability: A Quality Factor that Actually Works
9. Common Equity Factors in Corporate Bond Markets
10. Alternative Risk Premia: What Do We Know?
11. Strategic Portfolio Allocation With Factors
12. A Macro Risk-Based Approach to Alternative Risk Premia Allocation
13. Optimizing Cross-Asset Carry
14. Diversification and the Volatility Risk Premium
15. Factor Investing and ESG Integration
16. The Alpha and Beta of Equity Hedge UCITS Funds: Implications for Momentum Investing
2. Factor Investing: The Rocky Road from Long-Only to Long-Short
3. Peering under the Hood of Rules-Based Portfolio Construction: The Impact of Security Selection and Weighting Decisions
4. Diversify and Purify Factor Premiums in Equity Markets
5. The Predictability of Risk-Factor Returns
6. Style Factor Timing
7. Go with the Flow or Hide from the Tide? Trading Flow as a Signal in Style Investing
8. Investment and Profitability: A Quality Factor that Actually Works
9. Common Equity Factors in Corporate Bond Markets
10. Alternative Risk Premia: What Do We Know?
11. Strategic Portfolio Allocation With Factors
12. A Macro Risk-Based Approach to Alternative Risk Premia Allocation
13. Optimizing Cross-Asset Carry
14. Diversification and the Volatility Risk Premium
15. Factor Investing and ESG Integration
16. The Alpha and Beta of Equity Hedge UCITS Funds: Implications for Momentum Investing
Produktdetails
Erscheinungsdatum
09. Oktober 2017
Sprache
englisch
Seitenanzahl
480
Herausgegeben von
Emmanuel Jurczenko
Verlag/Hersteller
Produktart
gebunden
Gewicht
770 g
Größe (L/B/H)
236/158/32 mm
ISBN
9781785482014
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