Factor Investing - 1st Edition - ISBN: 9781785482014, 9780081019641

Factor Investing

1st Edition

From Traditional to Alternative Risk Premia

Editors: Emmanuel Jurczenko
eBook ISBN: 9780081019641
Hardcover ISBN: 9781785482014
Imprint: ISTE Press - Elsevier
Published Date: 9th October 2017
Page Count: 480
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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.

Key Features

  • 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

Readership

Asset managers, asset owners, private bankers, product managers and salespeople in asset management companies, University and Business school students (MSc and Phds). Risk managers, family officers, hedge fund managers, commodity advisers

Table of Contents

Introduction, Andrew Ang
1. The Price of Factors and the Implications for Active Investing, Inigo Fraser-Jenkins.
2. Factor Investing: The Rocky Road from Long-Only to Long-Short, Marie Brière and Ariane Szafarz.
3. Peering under the Hood of Rules-Based Portfolio Construction: The Impact of Security Selection and Weighting Decisions, Jennifer Bender, Xiaole Sun and Taie Wang.
4. Diversify and Purify Factor Premiums in Equity Markets, Raul Leote de Carvalho, Xiao Lu, François Soupé and Patrick Dugnolle.
5. The Predictability of Risk-Factor Returns, Robert J. Bianchi, Michael E. Drew and Scott N. Pappas.
6. Style Factor Timing, Yin Luo.
7. Go with the Flow or Hide from the Tide? Trading Flow as a Signal in Style Investing, Daniel Giamouridis, Michael Neumann and Michael Steliaros.
8. Investment and Profitability: A Quality Factor that Actually Works, Jason Hsu, Vitali Kalesnik and Engin Kose. 
9. Common Equity Factors in Corporate Bond Markets, Demir Bektic, Ulrich Neugebauer, Michael Wegener ?and Josef-Stefan Wenzler.
10. Alternative Risk Premia: What Do We Know?, Thierry Roncalli.
11. Strategic Portfolio Allocation With Factors, Bob Bass, David Greenberg and Michael Kishinevsky.
12. A Macro Risk-Based Approach to Alternative Risk Premia Allocation, Olivier Blin, Florian Ielpo, Joan Lee and Jérôme Teiletche. 
13. Optimizing Cross-Asset Carry, Nick Baltas.
14. Diversification and the Volatility Risk Premium, Harindra Desilva, Gregory M. McMurran and Megan N. Miller.
15. Factor Investing and ESG Integration, Dimitris Melas, Zoltan Nagy and Padmakar Kulkarni. 
16. The Alpha and Beta of Equity Hedge UCITS Funds: Implications for Momentum Investing, Nabil Bouamara, Kris Boudt, Benedict Peeters and James Thewissen.

Details

No. of pages:
480
Language:
English
Copyright:
© ISTE Press - Elsevier 2018
Published:
Imprint:
ISTE Press - Elsevier
eBook ISBN:
9780081019641
Hardcover ISBN:
9781785482014

About the Editor

Emmanuel Jurczenko

Emmanuel Jurczenko is Associate Dean and Professor of Finance at Ecole Hôtelière de Lausanne, Switzerland. His research focuses on portfolio and risk management with a particular interest in risk budgeting, factor investing, and public and private equity real estate investments. Prior to joining Ecole hôtelière de Lausanne, he worked for ABN-AMRO between 2000 and 2006 as head of quantitative analysts, where he was in charge of quantitative fund selection. Mr. Jurczenko has written numerous articles which have been published in academic and practitioner journals. He holds a Ph.D. in Economics from the University of Paris 1 Panthéon Sorbonne in France.

Affiliations and Expertise

Ecole Hôtelière de Lausanne, Switzerland