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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

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.

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 : 2019-06-12
ISBN : 1119583225
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.

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."

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.

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.

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

Factor Investing

Factor Investing Book
Author : Anonim
Publisher : Unknown
Release : 2015
ISBN : 9783898799454
Language : En, Es, Fr & De

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Book Description :

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

Your Complete Guide to Factor Based Investing

Your Complete Guide to Factor Based Investing Book
Author : Andrew L. Berkin,Larry E. Swedroe
Publisher : Unknown
Release : 2016-10-07
ISBN : 9780692783658
Language : En, Es, Fr & De

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Book Description :

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.

Country Asset Allocation

Country Asset Allocation Book
Author : Adam Zaremba,Jacob Shemer
Publisher : Springer
Release : 2016-10-26
ISBN : 1137591919
Language : En, Es, Fr & De

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Book Description :

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.

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.

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

IPO Journal

IPO Journal Book
Author : Anonim
Publisher : Unknown
Release : 1998
ISBN : 0987650XXX
Language : En, Es, Fr & De

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Book Description :

Download IPO Journal book written by , available in PDF, EPUB, and Kindle, or read full book online anywhere and anytime. Compatible with any devices.

Factor Investing

Factor Investing Book
Author : Anonim
Publisher : Unknown
Release : 2016
ISBN : 0987650XXX
Language : En, Es, Fr & De

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Book Description :

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

Equity Management The Art and Science of Modern Quantitative Investing Second Edition

Equity Management  The Art and Science of Modern Quantitative Investing  Second Edition Book
Author : Bruce I. Jacobs,Kenneth N. Levy
Publisher : McGraw Hill Professional
Release : 2016-10-28
ISBN : 1259835251
Language : En, Es, Fr & De

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Book Description :

The classic guide to quantitative investing—expanded and updated for today’s increasingly complex markets From Bruce Jacobs and Ken Levy—two pioneers of quantitative equity management— the go-to guide to stock selection has been substantially updated to help you build portfolios in today’s transformed investing landscape. A powerful combination of in-depth research and expert insights gained from decades of experience, Equity Management, Second Edition includes 24 new peer-reviewed articles that help leveraged long-short investors and leverage-averse investors navigate today’s complex and unpredictable markets. Retaining all the content that made an instant classic of the first edition—including the authors’ innovative approach to disentangling the many factors that influence stock returns, unifying the investment process, and integrating long and short portfolio positions—this new edition addresses critical issues. Among them-- • What’s the best leverage level for long-short and leveraged long-only portfolios? • Which behavioral characteristics explain the recent financial meltdown and previous crises? • What is smart beta—and why should you think twice about using it? • How do option-pricing theory and arbitrage strategies lead to market instability? • Why are factor-based strategies on the rise? Equity Management provides the most comprehensive treatment of the subject to date. More than a mere compilation of articles, this collection provides a carefully structured view of modern quantitative investing. You’ll come away with levels of insight and understanding that will give you an edge in increasingly complex and unpredictable markets. Well-established as two of today’s most innovative thinkers, Jacobs and Levy take you to the next level of investing. Read Equity Management and design the perfect portfolio for your investing goals.

Factor Investing in the Crypto World

Factor Investing in the Crypto World Book
Author : Georg Johannes Kopp
Publisher : Unknown
Release : 2019
ISBN : 0987650XXX
Language : En, Es, Fr & De

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Book Description :

This paper analyzes the feasibility and profitability of factor investing in the emerging market of crypto-assets. It combines the factor models of Carhart (1997) and Hubrich (2017) with the findings of Asness, Moskowitz and Pedersen (2013) and Li and Yi (2018) to establish 4 considerable risk factors based on the largest 20 crypto-assets: value, size, momentum, and carry. Whereas the momentum strategy has the highest expected return, the size factor exhibits the lowest volatility and downside risk. The 4 risk factors offer considerable cross- and within-asset class diversification potential due to the low correlation with traditional investments and with each other. Based on various portfolio allocation methodologies, the constituents and corresponding weights of multi-factor portfolios are streamlined in order to maximize the risk-adjusted performance and the diversification. It can be shown that an optimized factor portfolio has outperformed the total crypto-market and the traditional asset classes by far. Moreover, adding crypto-assets and especially the constructed factor portfolios to a traditional US equity or multi-asset portfolio enhances the risk-adjusted performance notably. Finally, a sophisticated composition of crypto-factors is able to cushion market shocks and even earn positive returns in downturn periods. These results underline the fact that it may be valuable for private and professional investors to consider crypto-assets in the decision-making process.

An Analysis of Foreign Direct Investment and Foreign Affiliates in Japan

An Analysis of Foreign Direct Investment and Foreign Affiliates in Japan Book
Author : Akihiko Shinozaki
Publisher : Unknown
Release : 1997
ISBN : 0987650XXX
Language : En, Es, Fr & De

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Book Description :

Download An Analysis of Foreign Direct Investment and Foreign Affiliates in Japan book written by Akihiko Shinozaki, available in PDF, EPUB, and Kindle, or read full book online anywhere and anytime. Compatible with any devices.

ETF Investment Strategies Best Practices from Leading Experts on Constructing a Winning ETF Portfolio

ETF Investment Strategies  Best Practices from Leading Experts on Constructing a Winning ETF Portfolio Book
Author : Aniket Ullal
Publisher : McGraw Hill Professional
Release : 2013-08-23
ISBN : 007181535X
Language : En, Es, Fr & De

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Book Description :

Top ETF investors reveal how to best leverage today’s hottest investment vehicle for both long- and short-term profits Aniket Ullal reveals the secrets of profiting from Exchange-Traded Funds. In the tradition of Market Wizards, Ullal interviews top ETF investors to find out their ETF investing strategies and how they construct their portfolios. The book explains the basics of ETFs, how they work, why they're growing in popularity, and how you can get your share of the profits. Aniket Ullal is the founder of First Bridge Data, a provider of institutional quality data and analytics on ETFs, whose clients include financial advisors and hedge funds.

The Man Who Solved the Market

The Man Who Solved the Market Book
Author : Gregory Zuckerman
Publisher : Penguin UK
Release : 2019-11-05
ISBN : 0241981344
Language : En, Es, Fr & De

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Book Description :

SHORTLISTED FOR THE FT AND MCKINSEY BUSINESS BOOK OF THE YEAR AWARD 2019 Jim Simons is the greatest moneymaker in modern financial history. His record bests those of legendary investors, including Warren Buffett, George Soros and Ray Dalio. Yet Simons and his strategies are shrouded in mystery. The financial industry has long craved a look inside Simons's secretive hedge fund, Renaissance Technologies and veteran Wall Street Journal reporter Gregory Zuckerman delivers the goods. After a legendary career as a mathematician and a stint breaking Soviet codes, Simons set out to conquer financial markets with a radical approach. Simons hired physicists, mathematicians and computer scientists - most of whom knew little about finance - to amass piles of data and build algorithms hunting for the deeply hidden patterns in global markets. Experts scoffed, but Simons and his colleagues became some of the richest in the world, their strategy of creating mathematical models and crunching data embraced by almost every industry. As Renaissance became a major player in the financial world, its executives began exerting influence on other areas. Simons became a major force in scientific research, education and Democratic politics, funding Hilary Clinton's presidential campaign. While senior executive Robert Mercer is more responsible than anyone else for the Trump presidency, placing Steve Bannon in the campaign, funding Trump's victorious 2016 effort and backing alt-right publication Breitbart. Mercer also impacted the success of the Brexit campaign. For all his prescience, Simons failed to anticipate how Mercer's activity would impact his firm and the world. In this fast-paced narrative, Zuckerman examines how Simons launched a quantitative revolution on Wall Street, and reveals the impact that Simons, the quiet billionaire king of the quants, has had on worlds well beyond finance.

Factor Investing

Factor Investing Book
Author : Mikhail Samonov,Wesley R. Gray
Publisher : Unknown
Release : 2020-06-17
ISBN : 9781119597766
Language : En, Es, Fr & De

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Book Description :

Download Factor Investing book written by Mikhail Samonov,Wesley R. Gray, available in PDF, EPUB, and Kindle, or read full book online anywhere and anytime. Compatible with any devices.