Factor Investing
From Traditional to Alternative Risk Premia
Erschienen am 17. Oktober 2017
480 Seiten
978-0-08-101964-1 (ISBN)
Beschreibung
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
Weitere Details
Weitere Ausgaben
Inhalt
1. The Price of Factors and the Implications for Active Investing2. Factor Investing: The Rocky Road from Long-Only to Long-Short3. Peering under the Hood of Rules-Based Portfolio Construction: The Impact of Security Selection and Weighting Decisions4. Diversify and Purify Factor Premiums in Equity Markets5. The Predictability of Risk-Factor Returns6. Style Factor Timing7. Go with the Flow or Hide from the Tide? Trading Flow as a Signal in Style Investing8. Investment and Profitability: A Quality Factor that Actually Works9. Common Equity Factors in Corporate Bond Markets10. Alternative Risk Premia: What Do We Know?11. Strategic Portfolio Allocation With Factors12. A Macro Risk-Based Approach to Alternative Risk Premia Allocation13. Optimizing Cross-Asset Carry14. Diversification and the Volatility Risk Premium15. Factor Investing and ESG Integration16. The Alpha and Beta of Equity Hedge UCITS Funds: Implications for Momentum Investing
