Risk-based and factor investing:
Saved in:
| Other Authors: | |
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| Format: | Book |
| Language: | English |
| Published: |
London
ISTE Press
2015
Kidlington Elsevier 2015 |
| Series: | Quantitative finance set
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| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Item Description: | Literaturangaben |
| Physical Description: | xiv, 468 Seiten Diagramme |
| ISBN: | 9781785480089 |
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| adam_text | Contents
Acknowledgements................................................................ xv
Preface......................................................................... xvii
Chapter 1. Advances in Portfolio Risk Control................................... 1
Winfried G. Hallerbach
1.1. Introduction.................................................................. 1
1.2. The empirical example and preliminaries................................. 3
1.2.1. Money allocation versus risk allocation................................... 4
1.2.2. Implied risk premia and the implied Sharpe ratios................... 5
1.3. Maximum Sharpe ratio portfolio (MSRP)................................... 7
1.4. 1/N or equal-weighting........................................................ 9
1.5. Minimum variance portfolio (MVP)............................................ 10
1.6. Maximum diversification portfolio (MDP)...................................... 12
1.7. Equal risk contribution portfolio (ERCP): full risk parity.............. 14
1.8. Inverse volatility portfolio (IVP): naive risk parity................... 18
1.9. Volatility weighting over time.............................................. 19
1.10. Evaluation............................................................... 21
1.11. Appendix................................................................... 23
1.11.1. Asset and portfolio (excess) returns .............................. 23
1.11.2. Marginal and component contributions to
portfolio (excess) return....................................................... 23
1.11.3. Portfolio risk premium.................................................. 24
1.11.4. Portfolio variance...................................................... 24
1.11.5. Decomposing portfolio volatility........................................ 24
1.11.6. Portfolio optimality: maximize the Sharpe ratio......................... 26
1.11.7. Reverse optimization: implied risk premia.......................... 28
1.12. Bibliography.............................................................. 28
vi Risk-Based and Factor Investing
Chapter 2. Smart Beta: Managing Diversification of
Minimum Variance Portfolios............................................................ 31
Jean-Charles Richard and Thierry Roncalli
2.1. Introduction.................................................................. 31
2.2. Risk-based investing and variance minimization................................ 33
2.2.1. MV portfolio............................................................. 34
2.2.2. ERC portfolio............................................................. 35
2.2.3. Most diversified portfolio................................................ 37
2.2.4. Comparing the trade-off relationships..................................... 39
2.3. Managing the diversification.................................................. 41
2.3.1. Mixing the constraints.................................................... 41
2.3.2. A unified optimization framework.......................................... 43
2.3.3. Diversification profile of risk-based portfolios..................... 45
2.4. Understanding the behavior of smart beta portfolios...................... 48
2.4.1. Volatility reduction...................................................... 50
2.4.2. Normalizing the smart beta portfolios................................ 51
2.4.3. Performance of the smart beta portfolios............................. 53
2.4.4. Dynamic smart beta strategies............................................. 55
2.5. Conclusion.................................................................... 55
2.6. Appendix...................................................................... 56
2.6.1. Managing the tracking error volatility............................... 56
2.6.2. Solving the general optimization problem
using the CCD algorithm.......................................................... 57
2.7. Bibliography.................................................................. 62
Chapter 3. Trend-Following, Risk-Parity and the
Influence of Correlations.............................................................. 65
Nick Balt as
3.1. Introduction.................................................................. 65
3.2. Methodology................................................................... 69
3.2.1 Constructing a trend-following strategy.................................... 69
3.2.2. Volatility-parity scheme.................................................. 70
3.3. Data description.............................................................. 71
3.4. Performance evaluation of trend-following..................................... 74
3.4.1. Volatility-parity ignores pairwise correlations........................... 77
3.5. Risk-parity principles........................................................ 80
3.5.1. Risk-parity............................................................... 80
3.5.2. Risk-budgeting............................................................ 82
3.5.3. Long-short risk-budgeting................................................. 83
3.5.4. Trend-following meets risk-parity......................................... 84
3.6. Performance evaluation of risk-parity trend-following......................... 85
3.7. Conclusion.................................................................... 91
Contents vii
3.8. Appendix: solving for risk parity............................................ 91
3.9. Bibliography............................................................ 92
Chapter 4. Diversifying Risk Parity: In Today, Out Tomorrow?..................... 97
Harald Lohre, Heiko Opfer and Gâbor ORSZÂG
4.1. Managing diversification................................................ 99
4.2. Rationalizing principal portfolios...................................... 101
4.2.1. Data and descriptive statistics..................................... 101
4.2.2, Extracting and interpreting principal portfolios.................... 102
4.3. Risk-based asset allocation................................................. 106
4.3.1. Risk-based asset allocation schemes................................. 106
4.3.2. Performance of risk-based asset allocation schemes.................. 110
4.3.3. How diversified are the risk-based asset
allocation schemes?........................................................ 112
4.3.4. In today, out tomorrow? Risk-based strategies
in a rising interest rate environment...................................... 118
4.4. Conclusion.................................................................. 119
4.5. Acknowledgments............................................................. 120
4.6. Bibliography................................................................ 121
Chapter 5. Robust Portfolio Allocation with Systematic
Risk Contribution Restrictions....................................................... 123
Serge Darolles, Christian Gouriéroux and Emmanuelle Jay
5.1. Introduction.............................................................. 123
5.2. Portfolio allocation with risk contribution restrictions................ 126
5.2.1. Minimum risk portfolios................................................. 126
5.2.2. Portfolios with risk contribution restrictions.......................... 126
5.2.3. Risk contribution restrictions and portfolio turnover............... 127
5.3. Portfolio allocation with systematic
risk contribution restrictions................................................... 129
5.3.1. Systematic and idiosyncratic risks...................................... 129
5.3.2. Systematic and idiosyncratic risk contributions......................... 130
5.3.3. Portfolios with systematic risk contribution restrictions........... 131
5.4. Illustrations with different risk measures.................................. 132
5.4.1. The volatility risk measure............................................. 132
5.4.2. The a-VaR risk measure.................................................. 133
5.4.3. Distorsion risk measures................................................ 136
5.5. Application................................................................. 136
5.5.1. The investment universe................................................. 136
5.5.2. Portfolio management with total risk
contribution restrictions...................................................... 137
viii Risk-Based and Factor Investing
5.5.3. Portfolio management with systematic
risk contribution Restrictions........................................... 139
5.6. Concluding remarks........................................................ 143
5.7. Bibliography.............................................................. 144
Chapter 6. Risk-Based Investing but What Risk(s)?.............................. 147
Emmanuel Jurczenko and Jérôme Teiletche
6.1. Introduction.............................................................. 147
6.2. Expected shortfall as risk measure........................................ 148
6.2.1. Expected shortfall: definition and properties..................... 148
6.2.2. Contribution to expected shortfall and
risk-based portfolios.................................................... 150
6.3. Broadening risk measures.............................................. 151
6.3.1. Volatility and correlation risks...................................... 151
6.3.2. Valuation risk........................................................ 151
6.3.3. Asymmetry and tail risks.............................................. 152
6.3.4. Illiquidity risk...................................................... 154
6.4. Empirical results......................................................... 154
6.4.1. Data overview and preliminary analysis............................ 154
6.4.2. Equal risk contribution under different risk models............... 158
6.5. Conclusion................................................................ 160
6.6. Mathematical Appendix..................................................... 161
6.7. Data Appendix............................................................. 167
6.8. Bibliography.............................................................. 170
Chapter 7. Target Volatility................................................... 173
Bemd Scherer
7.1. Introduction.............................................................. 173
7.2. Better leverage and the Samuelson puzzle.................................. 174
7.3. Target volatility and Sharpe ratio improvement........................... 177
7.4. Informative or uninformative leverage..................................... 182
7.5. Target volatility and tail hedging........................................ 185
7.6. Asymmetric leverage....................................................... 187
7.7. Target volatility across asset classes.................................... 189
7.8. Conclusions............................................................... 191
7.9. Bibliography............................................................. 193
Chapter 8. Smart Beta Equity Investing
Through Calm and Storm......................................................... 195
Kris Boudt, Joakim D arras, Giang Ha Nguyen and Benedict Peeters
8.1. Introduction
195
Contents ix
8.2. A regime switching approach to market timing.......................... 198
8.2.1. Faber’s timing model based on rolling
price averages........................................................... 198
8.2.2. Timing model based on the predicted return
distribution from a mean-variance regime switching
model with state variables driving the transition probabilities.......... 200
8.2.3. Performance evaluation............................................ 204
8.3. Sample and variable description....................................... 205
8.3.1. Choice of risky asset............................................. 205
8.3.2. Variables in the multivariate regression model.................... 206
8.4. Results............................................................... 207
8.4.1. Impact of choice of smart beta equity
strategies on portfolio performance...................................... 210
8.4.2. Impact of market timing strategies on
portfolio performance.................................................... 212
8.5. Conclusion............................................................ 220
8.6. Acknowledgments....................................................... 220
8.7. Appendix.............................................................. 220
8.7.1. Hamilton’s filter................................................. 221
8.7.2. Calculation of expected shortfall of stock
returns under the RS model............................................... 221
8.8. Bibliography.......................................................... 222
Chapter 9. Solving the Rebalancing Premium Puzzle.............................. 227
Viadyslav Dubikovskyy and Gabriele Susinno
9.1. Introduction.......................................................... 227
9.2. Rebalancing as a risk premium......................................... 229
9.3. Probing the limits: when simulations provide more insight............. 233
9.4. Beating the best asset: a path to the
low-risk anomaly explanation............................................... 236
9.5. When rebalancing pays off............................................. 239
9.6. Conclusions........................................................... 243
9.7. Appendix.............................................................. 244
9.7.1. Rebalancing premium: the multi-asset case......................... 244
9.8. Bibliography.......................................................... 245
Chapter 10. Smart Betas: Theory and Construction............................... 247
Attilio Meucci
10.1. Introduction......................................................... 247
10.2. Signals.............................................................. 248
10.3. Fundamental law of active management................................. 252
x Risk-Based and Factor Investing
10.4. Factors construction....................................................... 255
10.4.1. Direct construction.................................................... 256
10.4.2. Characteristic portfolios.............................................. 257
10.5. Conclusions................................................................ 263
10.6. Bibliography............................................................... 263
Chapter 11. Low-Risk Anomaly Everywhere:
Evidence from Equity Sectors......................................................... 265
Raul Leote De Carvalho, Majdouline Zakaria, Xiao Lu and Pierre Moulin
11.1. Introduction............................................................... 265
11.2. Low volatility or low beta?............................................ 267
11.3. Sector-neutral low-risk investing.......................................... 270
11.3.1. Motivation............................................................. 270
11.3.2. Universality of the low-risk anomaly in equity sectors............. 273
11.3.3. Diversification in sector-neutral low-volatility investing......... 277
11.3.4. Tail risk in sector-neutral low-volatility investing................... 279
11.4. Sector-neutral versus non-sector neutral low-risk investing............ 281
11.4.1. Performance and sector exposures....................................... 281
11.4.2. Persistence of volatility.............................................. 283
11.4.3. Liquidity of low-volatility strategies................................. 284
11.5. Conclusions................................................................ 285
11.6. Acknowledgments............................................................ 287
11.7. Bibliography............................................................... 287
Chapter 12. The Low Volatility Anomaly and
the Preference for Gambling.......................................................... 291
Jason C. Hsu and Vivek Viswanathan
12.1. Introduction............................................................... 291
12.2. A brief review of the literature........................................... 293
12.3. Lottery and volatility double sort......................................... 296
12.4. International evidence..................................................... 298
12.5. Conclusion................................................................. 300
12.6. Appendix................................................................... 300
12.7. Bibliography............................................................... 302
Chapter 13. The Low Beta Anomaly and Interest Rates.............................. 305
Cherry Muijsson, Ed Fishwick and Steve Satchell
13.1. Literature review.......................................................... 307
13.2. The anomaly and interest rates............................................. 309
13.3. Model specification........................................................ 311
13.4. Empirical analysis and results............................................. 312
Contents xi
13.5. The anomaly and interest maturity mismatch.................................. 318
13.6. Model specification......................................................... 321
13.7. Results..................................................................... 323
13.8. Concluding remarks.......................................................... 325
13.9. Bibliography................................................................ 326
Chapter 14. Factoring Profitability............................................... 329
Lisa R. Goldberg, Ran Leshem and Michael Branch
14.1. Quality is an active investment strategy with
a long and distinguished history.............................................. 330
14.2. Replicating gross profitability with style factors...................... 331
14.3. The four-factor Fama-French-Carhart model
does not explain gross profitability.......................................... 332
14.4. The Barra USE4 model explains a substantial
portion of gross profitability over the past two decades...................... 333
14.5. Conclusion.............................................................. 336
14.6. Disclosure.............................................................. 336
14.7. Bibliography................................................................ 337
Chapter 15. Deploying Multi-Factor Index Allocations
in Institutional Portfolios........................................................... 339
Jennifer Bender, Remy Briand, Dimitris Melas, Raman Aylur Subramanian
and Madhu Subramanian
15.1. Introduction................................................................ 339
15.2. Implementing factors through multi-factor
index allocations................................................................. 340
15.2.1. Multi-factor indexes: anew approach
for institutional mandates...................................................... 340
15.2.2. Deploying factor allocations............................................ 343
15.3. Selecting the right blend of factors........................................ 345
15.3.1. Correlations matter when selecting factors:
the diversification effects of multi-factor index allocations................... 346
15.3.2. Considerations for combining factor indexes............................. 349
15.4. Implementation considerations............................................... 351
15.4.1. Understanding the exposure versus
investability trade-off......................................................... 351
15.4.2. Reducing trading costs by leveraging
the benefits of natural crossing................................................ 357
15.5. Multi-factor index allocations: examples.................................... 359
15.5.1. Example #1: Strategic long-term risk-adjusted return................ 360
15.5.2. Example #2: De-risking with yield enhancement........................... 361
xii Risk-Based and Factor Investing
15.6. Conclusion................................................................ 363
15.7. Bibliography.............................................................. 363
Chapter 16. Defining the Equity Premium, a Framework........................... 365
Yves Choueifaty and Christophe Roehri
16.1. Introduction.............................................................. 366
16.2. Defining the equity premium............................................... 368
16.3. Risk-rewards homogeneity and the equity premium.................... 370
16.4. A taxonomy of smart beta and risk factors driven strategies............... 370
16.5. Being practical: a core-satellite portfolio allocation.................... 371
16.6. Conclusion................................................................ 374
16.7. Bibliography.............................................................. 375
Chapter 17. Designing Multi-Factor Equity Portfolios........................... 377
Noël Amenc, Romain Deguest, Felix Goltz, Ashish Lodh, Lionel Martellini
and Eric Shirbini
17.1. Introduction.............................................................. 377
17.1.1. Designing efficient and investable
proxies for risk premia...................................................... 378
17.1.2. Risk allocation with smart factor indices........................ 380
17.2. Absolute return perspective............................................... 381
17.2.1. Absolute risk management without factor
risk exposure constraints.................................................... 382
17.2.2. Introducing risk-budgeting constraints............................... 385
17.2.3. Long-term evidence in the USA universe............................... 390
17.3. Relative risk perspective................................................. 391
17.3.1. Methodology........................................................ 392
17.3.2. Risk contributions and performance................................... 393
17.3.3. Relative risk allocation using long-term
USA factor indices........................................................... 395
17.4. Conclusion: index design and allocation
decisions for multi-factor equity portfolios.................................... 397
17.5. Bibliography.............................................................. 398
Chapter 18. Factor Investing and Portfolio
Construction Techniques............................................................ 401
Yin Luo and Spyros Mesomeris
18.1. Introduction.............................................................. 401
18.2. Risk factor investing: the new paradigm................................... 402
18.3. Theory meets practice..................................................... 403
18.4. Taxonomy of risk premia strategies........................................ 406
Contents xiii
18.5. Is risk premia allocation inherently superior
to asset-class allocation?........................................................ 410
18.5.1. Efficient frontier analysis............................................ 411
18.6. Portfolio construction techniques.......................................... 414
18.7. An alternative approach for defining diversification................... 417
18.7.1. Introducing the copul a model...................................... 418
18.7.2. Minimum tail dependence portfolio
optimization algorithm......................................................... 420
18.7.3. Alternative beta portfolios............................................ 421
18.8. An alternative definition of risk.......................................... 423
18.8.1. Minimum CVaR portfolio................................................. 423
18.8.2. CVaR optimization theory............................................... 424
18.8.3. Mean-CVaR efficient frontier and
minimum CVaR portfolio......................................................... 424
18.8.4. Robust minimum CVaR optimization....................................... 424
18.8.5. Choice of alpha parameter.............................................. 428
18.9. Comparison of different risk-based portfolio
construction techniques........................................................... 428
18.9.1. The philosophy of portfolio construction........................... 428
18.9.2. A horse race of risk-based portfolio
construction techniques........................................................ 430
18.10. Conclusion................................................................ 430
18.11. Bibliography.............................................................. 431
Chapter 19. Multi-Factor Portfolio Construction
for Passively Managed Factor Portfolios............................................... 435
Jennifer Bender and Taie Wang
19.1. A short history of passively managed factor portfolios..................... 435
19.2. Single-factor portfolio construction....................................... 436
19.3. Why combine multiple factors?.............................................. 439
19.4. Multi-factor portfolio construction........................................ 442
19.5. Conclusion............................................................... 445
19.6. Appendix A: description of tilted factor portfolios........................ 446
19.7. Bibliography............................................................... 447
Chapter 20. Statistical Overfitting
and Backtest Performance.............................................................. 449
David H. Bailey, Stephanie Ger, Marcos Lopez De Prado and Alexander Sim
20.1. Introduction............................................................... 450
20.2. Backtest overfitting in finance and investments............................ 451
20.3. Quantifying backtest overfitting effects................................... 453
20.4. An online demonstration of backtest overfitting............................ 454
xiv Risk-Based and Factor Investing
20.4.1. Simple example of backtest overfitting (SEBO)..................... 455
20.4.2. How SEBO is used.................................................. 456
20.4.3. Understanding the results......................................... 457
20.5. Conclusion............................................................ 459
20.6. Acknowledgments....................................................... 460
20.7. Bibliography.......................................................... 460
List of Authors................................................................. 463
Index
467
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| isbn | 9781785480089 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-030153180 |
| oclc_num | 950549372 |
| open_access_boolean | |
| owner | DE-473 DE-BY-UBG |
| owner_facet | DE-473 DE-BY-UBG |
| physical | xiv, 468 Seiten Diagramme |
| publishDate | 2015 |
| publishDateSearch | 2015 |
| publishDateSort | 2015 |
| publisher | ISTE Press Elsevier |
| record_format | marc |
| series2 | Quantitative finance set |
| spelling | Risk-based and factor investing edited by Emmanuel Jurczenko London ISTE Press 2015 Kidlington Elsevier 2015 xiv, 468 Seiten Diagramme txt rdacontent n rdamedia nc rdacarrier Quantitative finance set Literaturangaben Risikomanagement (DE-588)4121590-4 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content Portfolio Selection (DE-588)4046834-3 s Risikomanagement (DE-588)4121590-4 s DE-604 Jurczenko, Emmanuel 1968- (DE-588)1095576704 edt Erscheint auch als Onlineausgabe 978-0-08-100811-9 Digitalisierung UB Bamberg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=030153180&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Risk-based and factor investing Risikomanagement (DE-588)4121590-4 gnd Portfolio Selection (DE-588)4046834-3 gnd |
| subject_GND | (DE-588)4121590-4 (DE-588)4046834-3 (DE-588)4143413-4 |
| title | Risk-based and factor investing |
| title_auth | Risk-based and factor investing |
| title_exact_search | Risk-based and factor investing |
| title_full | Risk-based and factor investing edited by Emmanuel Jurczenko |
| title_fullStr | Risk-based and factor investing edited by Emmanuel Jurczenko |
| title_full_unstemmed | Risk-based and factor investing edited by Emmanuel Jurczenko |
| title_short | Risk-based and factor investing |
| title_sort | risk based and factor investing |
| topic | Risikomanagement (DE-588)4121590-4 gnd Portfolio Selection (DE-588)4046834-3 gnd |
| topic_facet | Risikomanagement Portfolio Selection Aufsatzsammlung |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=030153180&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT jurczenkoemmanuel riskbasedandfactorinvesting |