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Factor Investing

Factor Investing Book
Author : Emmanuel Jurczenko
Publisher : Elsevier
Release : 2017-10-17
ISBN : 0081019645
Language : En, Es, Fr & De

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Book Description :

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

Risk Based and Factor Investing

Risk Based and Factor Investing Book
Author : Emmanuel Jurczenko
Publisher : Elsevier
Release : 2015-11-24
ISBN : 0081008112
Language : En, Es, Fr & De

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Book Description :

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

Machine Learning for Factor Investing R Version

Machine Learning for Factor Investing  R Version Book
Author : Guillaume Coqueret,Tony Guida
Publisher : CRC Press
Release : 2020-08-31
ISBN : 1000176762
Language : En, Es, Fr & De

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Book Description :

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.

Equity Smart Beta and Factor Investing for Practitioners

Equity Smart Beta and Factor Investing for Practitioners Book
Author : Khalid Ghayur,Ronan G. Heaney,Stephen C. Platt
Publisher : John Wiley & Sons
Release : 2019-05-29
ISBN : 1119583446
Language : En, Es, Fr & De

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Book Description :

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.

Factor Investing and Smart Beta

Factor Investing and Smart Beta Book
Author : Jérôme Baume
Publisher : Unknown
Release : 2018
ISBN : 0987650XXX
Language : En, Es, Fr & De

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Book Description :

This paper empirically investigates the relationship between ESG scores and portfolio performance and analyses the predictive power of various indicators for factor timing strategies. Using S&P 500 data, evidence for a robust ESG score-based factor has been found. An equally-weighted portfolio with a long position in companies with an ESG combined score in the bottom decile ("irresponsible firms") and a short position in companies with an ESG combined score in the top decile ("responsible firms"), achieved an average monthly return of 0.495% over the period of February 2002 to January 2017. With regards to factor timing, several indicators have been shown to have some substantial forecasting ability for factor strategies. Especially combined measures such as the business confidence index, the composite leading indicator, and the behavioural finance-based measure of investor sentiment are highly significant leading indicators for factor strategies. A factor timing model that incorporates these indicators outperformed on average the static portfolio from 1963-2017 by 2.1% per year.

Asset Management

Asset Management Book
Author : Andrew Ang
Publisher : Oxford University Press (UK)
Release : 2014
ISBN : 0199959323
Language : En, Es, Fr & De

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Book Description :

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."

Does Factor Investing Improve Risk adjusted Returns

Does Factor Investing Improve Risk adjusted Returns  Book
Author : Áron Kovács
Publisher : Unknown
Release : 2018
ISBN : 0987650XXX
Language : En, Es, Fr & De

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Book Description :

Factor investing has been on continuous rise in the past two decades. However, there have been a lack of studies confirming factor-based strategies can improve risk-adjusted returns on the long run.The thesis investigates if the position of factor investing between the traditional active and passive investment management styles is justified by asking the research questions: Do factor investing strategies improve risk-adjusted returns? To answer the question the performance of six MSCI USA factor indices are compared to the MSCI USA broad market index, based on monthly returns. Furthermore, 15 equally-weighted and 15 risk parity monthly rebalancing portfolios are created from these indices and compared to the market. The performance of the indices and the portfolios are captured by the information ratio.In the extensive analysis it was found, that all the indices and the portfolios outperform the benchmark over the time frame of 2001-2017. Moreover, 25 of the 30 portfolios surpassed the best performing standalone index on risk-adjusted terms, even with transaction costs included for rebalancing.Therefore, it was concluded that factor-based investing strategies can improve risk-adjusted returns. However, further examination is needed as effect of certain might styles can diminish and the minimum-volatility style is still an anomaly.*****Factor investing has been on continuous rise in the past two decades. However, there have been a lack of studies confirming factor-based strategies can improve risk-adjusted returns on the long run.The thesis investigates if the position of factor investing between the traditional active and passive investment management styles is justified by asking the research questions: Do factor investing strategies improve risk-adjusted returns? To answer the question the performance of six MSCI USA factor indices are compared to the MSCI USA broad market index, based on monthly returns. Furthermore, 15 equally-weighted and 15 risk parity monthly

Equity Factor Investing

Equity Factor Investing Book
Author : Reto Trachsel
Publisher : Unknown
Release : 2019
ISBN : 0987650XXX
Language : En, Es, Fr & De

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Book Description :

The objective and contribution of this thesis is to develop three Machine Learning models (Regression Tree, LASSO Regression and Random Forest) that predict a one-month ahead forecast for expected returns of well-researched factors and dynamically allocate the capital according to those predictions. As such, Machine Learning will be further introduced to the topic of investing and asset allocation, thereby closing the existing research gap in the field of style factor investing.

Essays on Factor Investing

Essays on Factor Investing Book
Author : Georgi Kyosev
Publisher : Unknown
Release : 2019
ISBN : 9789058925350
Language : En, Es, Fr & De

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Book Description :

Download Essays on Factor Investing book written by Georgi Kyosev, available in PDF, EPUB, and Kindle, or read full book online anywhere and anytime. Compatible with any devices.

Factor Investing and Asset Allocation A Business Cycle Perspective

Factor Investing and Asset Allocation  A Business Cycle Perspective Book
Author : Vasant Naik,Mukundan Devarajan,Andrew Nowobilski ,Sébastien Page, CFA,Niels Pedersen
Publisher : CFA Institute Research Foundation
Release : 2016-12-30
ISBN : 1944960155
Language : En, Es, Fr & De

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Book Description :

Download Factor Investing and Asset Allocation A Business Cycle Perspective book written by Vasant Naik,Mukundan Devarajan,Andrew Nowobilski ,Sébastien Page, CFA,Niels Pedersen, available in PDF, EPUB, and Kindle, or read full book online anywhere and anytime. Compatible with any devices.

Sovereign Wealth Funds and Long Term Investing

Sovereign Wealth Funds and Long Term Investing Book
Author : Patrick Bolton,Frederic Samama,Joseph E. Stiglitz
Publisher : Columbia University Press
Release : 2011-11-15
ISBN : 0231530285
Language : En, Es, Fr & De

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Book Description :

Sovereign wealth funds (SWFs) are state-owned investment funds with combined asset holdings that are fast approaching four trillion dollars. Recently emerging as a major force in global financial markets, SWFs have other distinctive features besides their state-owned status: they are mainly located in developing countries and are intimately tied to energy and commodities exports, and they carry virtually no liabilities and have little redemption risk, which allows them to take a longer-term investment outlook than most other institutional investors. Edited by a Nobel laureate, a respected academic at the Columbia Business School, and a longtime international banker and asset manager, this volume examines the specificities of SWFs in greater detail and discusses the implications of their growing presence for the world economy. Based on essays delivered in 2011 at a major conference on SWFs held at Columbia University, this volume discusses the objectives and performance of SWFs, as well as their benchmarks and governance. What are the opportunities for SWFs as long-term investments? How do they fulfill their socially responsible mission? And what role can SWFs play in fostering sustainable development and greater global financial stability? These are some of the crucial questions addressed in this one-of-a-kind volume.

Index Fund Management

Index Fund Management Book
Author : Fadi Zaher
Publisher : Springer Nature
Release : 2019-08-28
ISBN : 3030194000
Language : En, Es, Fr & De

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Book Description :

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.

Investment Management A Science to Teach Or an Art to Learn

Investment Management A Science to Teach Or an Art to Learn  Book
Author : Frank J. Fabozzi,Sergio M. Focardi,Caroline Jonas
Publisher : CFA Institute Research Foundation
Release : 2014-05-16
ISBN : 1934667730
Language : En, Es, Fr & De

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Book Description :

Following the 2007–09 financial crisis, mainstream finance theory was criticized for failing to forecast the market crash, which resulted in large losses for investors. Has our finance theory, which many consider an idealization that does not take reality into account, failed investors? Do we need to reconsider the theory and how it is taught (and practiced)? This book explores current critiques of mainstream theory and discusses implications for the curricula of finance programs as well as for practitioners. In so doing, the authors integrate a review of the literature supported by conversations with finance professors, asset managers, and other market players.

The Values Factor

The Values Factor Book
Author : John F. Demartini
Publisher : Penguin
Release : 2013-10-01
ISBN : 1101608293
Language : En, Es, Fr & De

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Book Description :

Based on his landmark research and teachings, Dr. John Demartini has discovered the key to fulfillment in all aspects of life. What is the most important step you can take to achieve the life you’ve always dreamed of? You might think the answer is something like, start saving money, get a better job, find my soul mate, or improve my marriage. Solutions like these might offer temporary satisfaction, but none of them can provide true, lasting fulfillment or help you achieve your unique purpose in life. The Values Factor shows you how to create a life in which every minute can be inspiring and fulfilling. The first step is to identify what you find most meaningful—the values in life that are most important to you. Once you understand your own unique values and align your life accordingly, you can achieve fulfillment in every aspect of your life: deepening your loving relationships, creating an inspiring career, establishing financial freedom, and tapping into a rich spiritual life. Dr. Demartini’s provocative thirteen-part questionnaire will reveal to you what you value most. The answers may surprise you! Then, each chapter of this book explains how to align every aspect of your life with your true values, so that you can finally achieve the success that you were capable of all along.

Real Estate Investing

Real Estate Investing Book
Author : Benedetto Manganelli
Publisher : Springer
Release : 2014-07-21
ISBN : 3319063979
Language : En, Es, Fr & De

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Book Description :

This book describes in full the major approaches used to evaluate investment in real estate and shows how theory informs decision-aid methods and tools to support such evaluation. The inclusion of numerous examples makes it also a practical guide to assessing the suitability of an investment property. The first part of the text is devoted to an analysis of the housing market through the study of micro- and macroeconomic variables influencing supply and demand, with illustration of how these two components of the market interact. Special attention is given to market research and other preparatory activities able to influence the outcome of the investment. In fact, the quality of the parameters used for the evaluation depends on these activities. The final chapters describe the valuation techniques and highlight their essential features, limitations and potential in relation to ability to manage the investment risk. The book is aimed at graduates who wish to deepen their study of the real estate market and of the methods used to support investment decisions in real estate but also at professionals and managers of companies operating in the real estate market.

Consumer Credit and the American Economy

Consumer Credit and the American Economy Book
Author : Thomas A. Durkin,Gregory Elliehausen,Michael E. Staten,Todd J. Zywicki
Publisher : Oxford University Press
Release : 2014-07-16
ISBN : 0199384967
Language : En, Es, Fr & De

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Book Description :

Consumer Credit and the American Economy examines the economics, behavioral science, sociology, history, institutions, law, and regulation of consumer credit in the United States. After discussing the origins and various kinds of consumer credit available in today's marketplace, this book reviews at some length the long run growth of consumer credit to explore the widely held belief that somehow consumer credit has risen "too fast for too long." It then turns to demand and supply with chapters discussing neoclassical theories of demand, new behavioral economics, and evidence on production costs and why consumer credit might seem expensive compared to some other kinds of credit like government finance. This discussion includes review of the economics of risk management and funding sources, as well discussion of the economic theory of why some people might be limited in their credit search, the phenomenon of credit rationing. This examination includes review of issues of risk management through mathematical methods of borrower screening known as credit scoring and financial market sources of funding for offerings of consumer credit. The book then discusses technological change in credit granting. It examines how modern automated information systems called credit reporting agencies, or more popularly "credit bureaus," reduce the costs of information acquisition and permit greater credit availability at less cost. This discussion is followed by examination of the logical offspring of technology, the ubiquitous credit card that permits consumers access to both payments and credit services worldwide virtually instantly. After a chapter on institutions that have arisen to supply credit to individuals for whom mainstream credit is often unavailable, including "payday loans" and other small dollar sources of loans, discussion turns to legal structure and the regulation of consumer credit. There are separate chapters on the theories behind the two main thrusts of federal regulation to this point, fairness for all and financial disclosure. Following these chapters, there is another on state regulation that has long focused on marketplace access and pricing. Before a final concluding chapter, another chapter focuses on two noncredit marketplace products that are closely related to credit. The first of them, debt protection including credit insurance and other forms of credit protection, is economically a complement. The second product, consumer leasing, is a substitute for credit use in many situations, especially involving acquisition of automobiles. This chapter is followed by a full review of consumer bankruptcy, what happens in the worst of cases when consumers find themselves unable to repay their loans. Because of the importance of consumer credit in consumers' financial affairs, the intended audience includes anyone interested in these issues, not only specialists who spend much of their time focused on them. For this reason, the authors have carefully avoided academic jargon and the mathematics that is the modern language of economics. It also examines the psychological, sociological, historical, and especially legal traditions that go into fully understanding what has led to the demand for consumer credit and to what the markets and institutions that provide these products have become today.

Real Estate Investing For Canadians For Dummies

Real Estate Investing For Canadians For Dummies Book
Author : Douglas Gray,Peter Mitham
Publisher : John Wiley & Sons
Release : 2010-09-27
ISBN : 0470680946
Language : En, Es, Fr & De

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Book Description :

Real estate remains one of the most stable investments available in Canada, offering a higher return than GICs and more security than stocks. Real Estate Investing For Canadians For Dummies, 2nd Edition offers a clear, comprehensive, and Canadian look at investing in real estate, from investigating properties (and other investment options, such as REITs), to securing financing, to managing properties, to knowing when to sell. Real-life anecdotes, useful web resources, and a balanced perspective will make this the ideal book for people looking to explore this lucrative field. Content in this revised edition covers the new opportunities available (such as foreclosures), the significant changes to financing, and changes to property management laws that every investor must know. Gray and Mitham also explore how investors can manage risk and survive (and thrive) in a volatile market and offer new advice on how to manage maintenance costs.

Evolutions in Sustainable Investing

Evolutions in Sustainable Investing Book
Author : Cary Krosinsky,Nick Robins,Stephen Viederman
Publisher : John Wiley & Sons
Release : 2011-10-14
ISBN : 1118157923
Language : En, Es, Fr & De

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Book Description :

Sustainable Investing is fast becoming an essential method of generating long-term returns, moving beyond the negative approaches to socially responsible investing that have dominated the field. This book, our second on the subject, provides over 15 case studies of leading global investors and companies demonstrating how they successfully apply sustainability aspects to their core strategies. Learn from prominent thought leaders Dan Esty and Paul Hawken among others who have contributed key chapters. Our chapter on performance shows clearly how these strategies have been working once negative approaches are parsed out by those examining fund returns. This book also examines in great depth what data exists, and what's on the horizon, to best measure & capture sustainability successfully. Regional perspectives, including 3 chapters on Asia, and focuses on Canada, Australia, Africa & India are also included, as is a look across asset classes. Sustainable Investing, when performed with a positive perspective, has been outperforming the mainstream, unlike negative approaches designed to match benchmark returns. From eco-efficiency to sustainability-driven innovation and beyond, investors of all shapes & sizes need to know how best to position themselves for the radical market shifts underway.

The People Factor

The People Factor Book
Author : Linda J. Bilmes,W. Scott Gould
Publisher : Brookings Institution Press
Release : 2009-08-01
ISBN : 9780815701576
Language : En, Es, Fr & De

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Book Description :

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