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Factor investing[electronic resource] :from traditional to alternative risk premia /

紀錄類型:	書目-電子資源 : Monograph/item
杜威分類號:	332.6
書名/作者:	Factor investing : from traditional to alternative risk premia // edited by Emmanuel Jurczenko.
其他作者:	Jurczenko, Emmanuel,
出版者:	London, UK : : ISTE Press ;, 2017.
面頁冊數:	1 online resource (xxiii, 455 p.) : : ill. (some col.)
標題:	Investments.
標題:	Asset allocation.
標題:	Portfolio management.
標題:	BUSINESS & ECONOMICS - Finance.
ISBN:	9780081019641 (electronic bk.)
ISBN:	0081019645 (electronic bk.)
ISBN:	1785482017
ISBN:	9781785482014
書目註:	Includes bibliographical references and index.
內容註:	Front Cover -- Factor Investing: From Traditional to Alternative Risk Premia -- Copyright -- Contents -- Foreword -- Acknowledgements -- Introduction -- Bibliography -- 1. The Price of Factors and the Implications for Active Investing -- 1.1. Introduction -- 1.2. Smart beta: the Uber of asset management -- 1.3. Allocating to smart beta: an unambiguously active decision -- 1.4. Adoption of smart beta -- 1.5. Organizational issues for smart beta -- 1.6. Toward idiosyncratic returns -- 1.7. The role of benchmarks: has the benchmark triumphed, or is it dead?
摘要、提要註:	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.
電子資源:	https://www.sciencedirect.com/science/book/9781785482014

Factor investing[electronic resource] :from traditional to alternative risk premia /
Factor investingfrom traditional to alternative risk premia /[electronic resource] :edited by Emmanuel Jurczenko. - London, UK :ISTE Press ;2017. - 1 online resource (xxiii, 455 p.) :ill. (some col.) - Quantitative finance set.

Includes bibliographical references and index.

Front Cover -- Factor Investing: From Traditional to Alternative Risk Premia -- Copyright -- Contents -- Foreword -- Acknowledgements -- Introduction -- Bibliography -- 1. The Price of Factors and the Implications for Active Investing -- 1.1. Introduction -- 1.2. Smart beta: the Uber of asset management -- 1.3. Allocating to smart beta: an unambiguously active decision -- 1.4. Adoption of smart beta -- 1.5. Organizational issues for smart beta -- 1.6. Toward idiosyncratic returns -- 1.7. The role of benchmarks: has the benchmark triumphed, or is it dead?

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.

ISBN: 9780081019641 (electronic bk.)Subjects--Topical Terms:

172350
Investments.
Index Terms--Genre/Form:

336502
Electronic books.

LC Class. No.: HG4521 / .F263 2017

Dewey Class. No.: 332.6

Factor investing[electronic resource] :from traditional to alternative risk premia /
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245 0 0 $a Factor investing $h [electronic resource] : $b from traditional to alternative risk premia / $c edited by Emmanuel Jurczenko.
260 $a London, UK : $b ISTE Press ; $a Kidlington, Oxford, UK : $b Elsevier, $c 2017.
300 $a 1 online resource (xxiii, 455 p.) : $b ill. (some col.)
490 0 $a Quantitative finance set
504 $a Includes bibliographical references and index.
505 0 $a Front Cover -- Factor Investing: From Traditional to Alternative Risk Premia -- Copyright -- Contents -- Foreword -- Acknowledgements -- Introduction -- Bibliography -- 1. The Price of Factors and the Implications for Active Investing -- 1.1. Introduction -- 1.2. Smart beta: the Uber of asset management -- 1.3. Allocating to smart beta: an unambiguously active decision -- 1.4. Adoption of smart beta -- 1.5. Organizational issues for smart beta -- 1.6. Toward idiosyncratic returns -- 1.7. The role of benchmarks: has the benchmark triumphed, or is it dead?
505 8 $a 1.8. Idiosyncratic returns: the emergence of a multivariate benchmark whether one likes it or not1.9. Opportunities for asset managers and asset owners -- 1.10. Bibliography -- 2. Factor Investing: The Rocky Roadfrom Long-Only to Long-Short -- 2.1. Introduction -- 2.2. Short-selling and factor investing -- 2.3. Data and methods -- 2.4. Empirical results -- 2.5. Conclusion -- 2.6. Bibliography -- 3. Peering under the Hood of Rules-Based Portfolio Construction: The Impact of Security Selection and Weighting Decisions -- 3.1. Introduction
505 8 $a 3.2. A framework for rules-based portfolio construction3.3. Key decisions for rules-based portfolio construction: security selection and weighting -- 3.4. The maximum effective multiplier -- 3.5. Analyzing the MEM for several popular cases -- 3.6. Conclusion -- 3.7. Appendices -- 3.8. Bibliography -- 4. Diversify and Purify Factor Premiums in Equity Markets -- 4.1. Introduction -- 4.2. Factors -- 4.3. Results -- 4.4. Conclusions -- 4.5. Bibliography -- 5. The Predictability of Risk-Factor Returns -- 5.1. Introduction -- 5.2. Literature review
505 8 $a 5.3. Methodology5.4. Data -- 5.5. Results -- 5.6. Conclusion -- 5.7. Bibliography -- 6. Style Factor Timing -- 6.1. Introduction -- 6.2. Why does it matter? -- 6.3. Modeling techniques -- 6.4. Global macro database -- 6.5. Conclusion -- 6.6. Bibliography -- 7. Go with the Flow or Hide from the Tide? Trading Flow as a Signal in Style Investing -- 7.1. Introduction -- 7.2. Data -- 7.3. Style portfolios and style flows -- 7.4. Style flows, returns and risk: a statistical perspective -- 7.5. Economic significance
505 8 $a 7.6. The effect of using non-overlapping data7.7. Conclusions -- 7.8. Bibliography -- 8. Investment and Profitability: A Quality Factor that Actually Works -- 8.1. Introduction -- 8.2. Literature review -- 8.3. Robustness across geographies and definitions -- 8.4. A more detailed examination of profitability and investment -- 8.5. Conclusion -- 8.6. Appendix: Profitability and investment from multifactor perspective a practitioner perspective -- 8.7. Bibliography -- 9. Common Equity Factors in Corporate Bond Markets -- 9.1. Introduction
520 $a 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.
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650 0 $a Investments. $3 172350
650 0 $a Asset allocation. $3 180658
650 0 $a Portfolio management. $3 177532
650 7 $a BUSINESS & ECONOMICS $x Finance. $2 bisacsh $3 443903
655 4 $a Electronic books. $2 local $3 336502
655 7 $a Conference papers and proceedings. $2 fast $3 651008
700 1 $a Jurczenko, Emmanuel, $e editor. $3 753014
856 4 0 $u https://www.sciencedirect.com/science/book/9781785482014