Factor Investing Revisited
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| Author | : David Blitz |
| Publisher | : |
| Total Pages | : 22 |
| Release | : 2015 |
| Genre | : |
| ISBN | : |
This paper takes another look at the recommendation of Blitz [2012] to allocate strategically to the value, momentum and low-volatility factor premiums in the equity market. Five years of fresh data shows that such a factor investing strategy continued to deliver out-of-sample. The potential added value of the two new factors in the Fama-French 5-factor model, operating profitability and investment, is investigated and found to depend critically on the performance metric that is considered most important. The paper also reviews the role of small-cap stocks, factor timing, long-only versus long-short portfolio construction, international evidence and factor investing beyond equities.
| Author | : James Maendel |
| Publisher | : John Wiley & Sons |
| Total Pages | : 311 |
| Release | : 2022-12-01 |
| Genre | : Business & Economics |
| ISBN | : 1119906741 |
Systematically secure your financial future—Dummies makes it easy Factor Investing For Dummies helps you go beyond the investment basics, with proven techniques for making informed and sophisticated investment decisions. Using factor investing, you’ll select stocks based on some predetermined, well, factors. Momentum, value, interest rates, economic growth, credit risk, liquidity—all these things can help you identify killer stocks and improve your returns. This book explains it all, and helps you implement a strategic factor investing plan, so you can boost your portfolio’s performance, reduce volatility, and enhance diversification. You’ll also learn what not to do, with coverage of the factors that have failed to deliver consistent returns over time. We explore factor-based ETFS and loads of other ideas for injecting some factors into your investment game. Learn what factor investing is and how you can use it to level up your portfolio Understand the various types of factors and how to use them to select winning stocks Choose from a bunch of factor investing strategies, or build one of your own Generate wealth in a more sophisticated, more effective way This is the perfect Dummies guide for beginner to seasoned investors who want to explore more consistent outperformance potential. Factor Investing For Dummies can also help portfolio managers, consultants, academics, and students who want to understand more about the science of factor investing.
| Author | : Emmanuel Jurczenko |
| Publisher | : Elsevier |
| Total Pages | : 482 |
| Release | : 2017-10-17 |
| Genre | : Business & Economics |
| ISBN | : 0081019645 |
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
| Author | : Vasant Naik |
| Publisher | : CFA Institute Research Foundation |
| Total Pages | : 192 |
| Release | : 2016-12-30 |
| Genre | : Business & Economics |
| ISBN | : 1944960155 |
| Author | : Joop Huij |
| Publisher | : |
| Total Pages | : 19 |
| Release | : 2014 |
| Genre | : |
| ISBN | : |
Various studies recommend investing in factor premiums beyond the classic market risk premium, such as the small-cap, value, momentum, and low-volatility premiums. It is unclear, however, if factor investing can best be implemented using a long-only or a long-short approach. We empirically compare both approaches and find that although a long-short approach is superior theoretically, a long-only approach seems to be the preferred alternative in most scenarios, after accounting for practical issues such as benchmark restrictions, implementation costs and factor decay. In fact, we show that costs and decay may completely offset the value added of a long-short implementation. We conclude that investors should carefully consider the pros and cons of long-only and long-short approaches when implementing factor investing. The framework described in this paper is intended to help investors make that decision.
| Author | : Pim van Vliet |
| Publisher | : John Wiley & Sons |
| Total Pages | : 180 |
| Release | : 2017-01-17 |
| Genre | : Business & Economics |
| ISBN | : 1119351057 |
Believing "high-risk equals high-reward" is holding your portfolio hostage High Returns from Low Risk proves that low-volatility, low-risk portfolios beat high-volatility portfolios hands down, and shows you how to take advantage of this paradox to dramatically improve your returns. Investors traditionally view low-risk stocks as safe but unprofitable, but this old canard is based on a flawed premise; it fails to see beyond the monthly horizon, and ignores compounding returns. This book updates the thinking and brings reality to modelling to show how low-risk stocks actually outperform high-risk stocks by an order of magnitude. Easy to read and easy to implement, the plan presented here will help you construct a portfolio that delivers higher returns per unit of risk, and explains how to achieve excellent investment results over the long term. Do you still believe that investors are rewarded for bearing risk, and that the higher the risk, the greater the reward? That old axiom is holding you back, and it is time to start seeing the whole picture. This book shows you, through deep historical simulation, how to reap the rewards of smarter investing. Learn how and why low-risk, low-volatility stocks beat the market Discover the formula that outperforms Greenblatt's Construct your own low-risk portfolio Select the right ETF or low-risk fund to manage your money Great returns and lower risk sound like a winning combination — what happens once everyone is doing it? The beauty of the low-risk strategy is that it continues to work even after the paradox is widely known; long-term investment success is possible for anyone who can shake off the entrenched wisdom and go low-risk. High Returns from Low Risk provides the proof, model and strategy to reign in your exposure while raking in the profit.
| Author | : Mikhail Samonov |
| Publisher | : |
| Total Pages | : 320 |
| Release | : 2020-06-17 |
| Genre | : |
| ISBN | : 9781119597766 |
| Author | : H. Kent Baker |
| Publisher | : John Wiley & Sons |
| Total Pages | : 448 |
| Release | : 2020-08-20 |
| Genre | : Business & Economics |
| ISBN | : 1119632943 |
Sharpen your understanding of the financial markets with this incisive volume Equity Markets, Valuation, and Analysis brings together many of the leading practitioner and academic voices in finance to produce a comprehensive and empirical examination of equity markets. Masterfully written and edited by experts in the field, Equity Markets, Valuation, and Analysis introduces the basic concepts and applications that govern the area before moving on to increasingly intricate treatments of sub-fields and market trends. The book includes in-depth coverage of subjects including: · The latest trends and research from across the globe · The controversial issues facing the field of valuation and the future outlook for the field · Empirical evidence and research on equity markets · How investment professionals analyze and manage equity portfolios This book balances its comprehensive discussion of the empirical foundations of equity markets with the perspectives of financial experts. It is ideal for professional investors, financial analysts, and undergraduate and graduate students in finance.
| Author | : Kees C. G. Koedijk |
| Publisher | : |
| Total Pages | : |
| Release | : 2016 |
| Genre | : |
| ISBN | : |
Factors represent certain parts in the market, which are more attractive in the long term than other parts. In the case of equities for example, leading academic studies demonstrate that momentum, small cap and low-volatility stocks systematically generate higher risk-adjusted returns. Factors can also be applied in other asset classes such as bonds. Strategically allocating toward factors is called factor investing.The prospect of higher risk-adjusted returns is obviously appealing to institutional investors. Many are investigating the opportunities provided by factor investing. This leads to a new question: how can factor investing be embedded in the investment management process?In this study, our focus is therefore on the practical aspects. We analyze how pension funds and other institutional investors:- can implement new insights concerning factor investing;- work with the factors that drive asset returns as a portfolio construction tool;- change the investment models they use;- learn from peers that have already taken the steps towards implementation.We also review hurdles of the implementation process and analyze the reasons behind them. Our findings are translated into a checklist for implementing factor investing. We find that three approaches to factor investing are emerging and we discuss case studies to examine how these approaches are implemented and correspond to our checklist.A point about our relationship with Robeco. Robeco considers factor investing as essential for its institutional and other professional clients. It does extensive research on this matter and supports external research. This external research is not limited to the theory, but includes the challenges investors face when implementing research findings. Therefore, we were given the assignment to write this research report.
| Author | : Tuğrul U. Daim |
| Publisher | : Springer Nature |
| Total Pages | : 765 |
| Release | : 2021-03-16 |
| Genre | : Business & Economics |
| ISBN | : 3030505022 |
This volume presents a portfolio of cases and applications on technology roadmapping (TRM) for products and services. It provides a brief overview on criteria or metrics used for evaluating the success level of TRM and then offers six case examples from sectors such as transportation, smart technologies and household electronics. A new innovation in this book is a section of detailed technology roadmap samples that technology managers can apply to emerging technologies.
