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Risk Based And Factor Investing

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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

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.

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

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

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."

Risk Based Capital

Risk Based Capital Book
Author : Lawrence D. Cluff
Publisher : DIANE Publishing
Release : 2000-01
ISBN : 0788186701
Language : En, Es, Fr & De

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Book Description :

Download Risk Based Capital book written by Lawrence D. Cluff, available in PDF, EPUB, and Kindle, or read full book online anywhere and anytime. Compatible with any devices.

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 supervision of pension funds a review of internation experience and preliminary assessment of the first outcomes

risk based supervision of pension funds  a review of internation experience and preliminary assessment of the first outcomes Book
Author : Anonim
Publisher : World Bank Publications
Release : 2020-12-02
ISBN : 0987650XXX
Language : En, Es, Fr & De

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Book Description :

Download risk based supervision of pension funds a review of internation experience and preliminary assessment of the first outcomes book written by , available in PDF, EPUB, and Kindle, or read full book online anywhere and anytime. Compatible with any devices.

Bond Portfolio Investing and Risk Management

Bond Portfolio Investing and Risk Management Book
Author : Vineer Bhansali
Publisher : McGraw Hill Professional
Release : 2010-09-17
ISBN : 0071713255
Language : En, Es, Fr & De

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Book Description :

Learn the fine art of risk measurement and control—from a senior member of PIMCO! Bond Portfolio Investing and Risk Management is designed for one purpose—to help you do the most important part of your job. A top player in the upper echelon of PIMCO, Vineer Bhansali understands the nuances and complexities of managing risk in fixed-income investing better than anyone. In this highly practical guide, he puts his years of experience and the latest research to work in order to help you contend with such issues as: Liquidity and stress risks Asset allocation Market anomalies Cross-market relationships Tail-risk measurement Cyclical returns Macroeconomic data Bond Portfolio Investing and Risk Management details the tools used to offset risk, including their advantages and drawbacks, and explains when to use each one. Bhansali provides practical investment techniques to give you a firm handle on the value and risk of a fixed-income instrument.

Proceedings of the Casualty Actuarial Society

Proceedings of the Casualty Actuarial Society Book
Author : Casualty Actuarial Society
Publisher : Unknown
Release : 1997
ISBN : 0987650XXX
Language : En, Es, Fr & De

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Book Description :

List of members for the years 1914-20 are included in v. 1-7, after which they are continued in the Year book of the society, begun in 1922.

Global Risk Based Capital Regulations Management and funding strategies

Global Risk Based Capital Regulations  Management and funding strategies Book
Author : Charles A. Stone,Anne Zissu
Publisher : Irwin Professional Pub
Release : 1994
ISBN : 9781556237898
Language : En, Es, Fr & De

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Book Description :

The second volume in this timely set is composed of analyses which examine the interaction between asset management and funding strategies which are being adopted by banks in the U.S., Europe, and Japan. Stone and Zissu analyze the effect of risk-based capital regulations on the allocation of capital within the banking industry and consider the value of structured finance transactions and asset securitization as effective ways to raise capital.

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.

Cost of Capital

Cost of Capital Book
Author : Shannon P. Pratt,Roger J. Grabowski
Publisher : John Wiley & Sons
Release : 2014-03-12
ISBN : 1118852826
Language : En, Es, Fr & De

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Book Description :

A one-stop shop for background and current thinking on the development and uses of rates of return on capital Completely revised for this highly anticipated fifth edition, Cost of Capital contains expanded materials on estimating the basic building blocks of the cost of equity capital, the risk-free rate, and equity risk premium. There is also discussion of the volatility created by the financial crisis in 2008, the subsequent recession and uncertain recovery, and how those events have fundamentally changed how we need to interpret the inputs to the models we use to develop these estimates. The book includes new case studies providing comprehensive discussion of cost of capital estimates for valuing a business and damages calculations for small and medium-sized businesses, cross-referenced to the chapters covering the theory and data. Addresses equity risk premium and the risk-free rate, including the impact of Federal Reserve actions Explores how to use Morningstar's Ibbotson and Duff Phelps Risk Premium Report data Discusses the global cost of capital estimation, including a new size study of European countries Cost of Capital, Fifth Edition puts an emphasis on practical application. To that end, this updated edition provides readers with exclusive access to a companion website filled with supplementary materials, allowing you to continue to learn in a hands-on fashion long after closing the book.

Risk based Supervision of Pension Funds

Risk based Supervision of Pension Funds Book
Author : Greg Brunner,Richard P. Hinz
Publisher : World Bank Publications
Release : 2008
ISBN : 0987650XXX
Language : En, Es, Fr & De

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Book Description :

'Risk-Based Supervision of Pension Funds' provides a review of the design and experience of risk-based pension fund supervision in countries that have been leaders in the development of these methods. The utilization of risk-based methods originates primarily in the supervision of banks. In recent years it has increasingly been extended to other types of financial intermediaries, including pension funds and insurers. The trend toward risk-based supervision of pensions reflects an increasing focus on risk management in both banking and insurance based on three key elements: capital requirements, supervisory review, and market discipline. Although similar in concept to the techniques developed in banking, its application to pension funds has required modifications, particularly for defined contribution funds that transfer investment risk to fund members. The countries examined–Australia, Denmark, Mexico, and the Netherlands–provide a range of experience that illustrates both the diversity of pension systems and the approaches to risk-based supervision, and also presents a commonality of focus on sound risk management and effective supervisory outcomes.

The Code of Federal Regulations of the United States of America

The Code of Federal Regulations of the United States of America Book
Author : Anonim
Publisher : Unknown
Release : 1991
ISBN : 0987650XXX
Language : En, Es, Fr & De

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Book Description :

The Code of Federal Regulations is the codification of the general and permanent rules published in the Federal Register by the executive departments and agencies of the Federal Government.

Investment Management

Investment Management Book
Author : Frank J. Fabozzi
Publisher : Unknown
Release : 1995
ISBN : 0987650XXX
Language : En, Es, Fr & De

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Book Description :

This text ties together theory and practice with an institutional perspective.

Predicting Outcomes of Investments in Maintenance and Repair of Federal Facilities

Predicting Outcomes of Investments in Maintenance and Repair of Federal Facilities Book
Author : National Research Council,Division on Engineering and Physical Sciences,Board on Infrastructure and the Constructed Environment,Committee on Predicting Outcomes of Investments in Maintenance and Repair for Federal Facilities
Publisher : National Academies Press
Release : 2012-03-01
ISBN : 0309221862
Language : En, Es, Fr & De

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Book Description :

The deteriorating condition of federal facilities poses economic, safety, operational, and environmental risks to the federal government, to the achievement of the missions of federal agencies, and to the achievement of public policy goals. Primary factors underlying this deterioration are the age of federal facilities--about half are at least 50 years old--and decades of inadequate investment for their maintenance and repair. These issues are not new and there are no quick fixes. However, the current operating environment provides both the impetus and the opportunity to place investments in federal facilities' maintenance and repair on a new, more sustainable course for the 21st Century. Despite the magnitude of investments, funding for the maintenance and repair of federal facilities has been inadequate for many years, and myriad projects have been deferred. Predicting Outcomes of Investments in Maintenance and Repair of Federal Facilities identifies processes and practices for transforming the current portfolio of federal facilities into one that is more economically, physically, and environmentally sustainable. This report addresses ways to predict or quantify the outcomes that can be expected from a given level of maintenance and repair investments in federal facilities or facilities' systems, and what strategies, measures, and data should be in place to determine the actual outcomes of facilities maintenance and repair investments.

Mutual Fund Performance and Performance Persistence

Mutual Fund Performance and Performance Persistence Book
Author : Peter Lückoff
Publisher : Springer Science & Business Media
Release : 2011-01-13
ISBN : 3834927805
Language : En, Es, Fr & De

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Book Description :

Peter Lückoff investigates why fund flows and manager changes act as equilibrium mechanisms and drive the performance of both previously outperforming and previously underperforming funds back to average levels.

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.

The Proceedings

The Proceedings Book
Author : Conference of Consulting Actuaries. Meeting
Publisher : Unknown
Release : 1994
ISBN : 0987650XXX
Language : En, Es, Fr & De

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Book Description :

Download The Proceedings book written by Conference of Consulting Actuaries. Meeting, available in PDF, EPUB, and Kindle, or read full book online anywhere and anytime. Compatible with any devices.