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Your Complete Guide to Factor-Based Investing

Your Complete Guide to Factor-Based Investing
  • Author : Andrew L. Berkin,Larry E. Swedroe
  • Publisher :Unknown
  • Release Date :2016-10-07
  • Total pages :360
  • ISBN : 0692783652
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Summary : There are hundreds of exhibits in the investment "factor zoo." Which ones are actually worth your time, and your money? Andrew L. Berkin and Larry E. Swedroe, co-authors of The Incredible Shrinking Alpha, bring you a thorough yet still jargon-free and accessible guide to applying one of today's most valuable quantitative, evidence-based approaches to outperforming the market: factor investing. Designed for savvy investors and professional advisors alike, Your Complete Guide to Factor-Based Investing: The Way Smart Money Invests Today takes you on a journey through the land of academic research and an extensive review of its 50-year quest to uncover the secret of successful investing. Along the way, Berkin and Swedroe cite and distill more than 100 academic papers on finance and introduce five unique criteria that a factor (at its most basic, a characteristic or set of characteristics common among a broad set of securities) must meet to be considered worthy of your investment. In addition to providing explanatory power to portfolio returns and delivering a premium, Swedroe and Berkin argue a factor should be persistent, pervasive, robust, investable and intuitive. By the end, you'll have learned that, within the entire "factor zoo," only certain exhibits are worth visiting and only a handful of factors are required to invest in the same manner that made Warren Buffett a legend. Your Complete Guide to Factor-Based Investing: The Way Smart Money Invests Today offers an in-depth look at the evidence practitioners use to build portfolios and how you as an investor can benefit from that knowledge, rendering it an essential resource for making the informed and prudent investment decisions necessary to help secure your financial future.

Factor Investing

Factor Investing
  • Author : Emmanuel Jurczenko
  • Publisher :Unknown
  • Release Date :2017-10-17
  • Total pages :480
  • ISBN : 9780081019641
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Summary : 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

Equity Smart Beta and Factor Investing for Practitioners

Equity Smart Beta and Factor Investing for Practitioners
  • Author : Khalid Ghayur,Ronan G. Heaney,Stephen C. Platt
  • Publisher :Unknown
  • Release Date :2019-06-12
  • Total pages :496
  • ISBN : 9781119583226
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Summary : A guide to the popular and fast growing investment opportunities of smart beta Equity Smart Beta and Factor Investing for Practitioners offers a hands-on guide to the popular investment opportunities of smart beta, which is one of the fastest growing areas within the global equity asset class. This well-balanced book is written in accessible and understandable terms and contains an in-depth manual filled with analytical information and new ideas. The authors—noted experts in the field—include a definition of smart beta investing and detail its history. They also explore the distinguishing characteristics of smart beta strategies, offer an overview of factor investing, and reveal the implementation of smart beta approaches. Comprehensive in scope, the book contains helpful examples of applications, real-life illustrative case studies, and contributions from leading and respected practitioners that explain how they approach smart beta investing. This important book: Contains an in-depth exploration of smart beta investing Includes the information written in clear and accessible language Presents helpful case studies, illustrative examples, and contributions from leading and respected experts Offers a must have resource coauthored by the Head of Goldman Sachs’ equity smart beta business Written for investors who want to tap into the opportunities that smart beta offers, Equity Smart Beta and Factor Investing for Practitioners is the comprehensive resource for learning how to create more efficient overall equity portfolios.

Asset Management

Asset Management
  • Author : Andrew Ang
  • Publisher :Unknown
  • Release Date :2014-07-07
  • Total pages :368
  • ISBN : 9780199959334
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Summary : In Asset Management: A Systematic Approach to Factor Investing, Professor Andrew Ang presents a comprehensive, new approach to the age-old problem of where to put your money. Years of experience as a finance professor and a consultant have led him to see that what matters aren't asset class labels, but instead the bundles of overlapping risks they represent. Factor risks must be the focus of our attention if we are to weather market turmoil and receive the rewards that come with doing so. Clearly written yet full of the latest research and data, Asset Management is indispensable reading for trustees, professional money managers, smart private investors, and business students who want to understand the economics behind factor risk premiums, to harvest them efficiently in their portfolios, and to embark on the search for true alpha.

Machine Learning for Factor Investing: R Version

Machine Learning for Factor Investing: R Version
  • Author : Guillaume Coqueret,Tony Guida
  • Publisher :Unknown
  • Release Date :2020-08-31
  • Total pages :321
  • ISBN : 9781000176766
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Summary : Machine learning (ML) is progressively reshaping the fields of quantitative finance and algorithmic trading. ML tools are increasingly adopted by hedge funds and asset managers, notably for alpha signal generation and stocks selection. The technicality of the subject can make it hard for non-specialists to join the bandwagon, as the jargon and coding requirements may seem out of reach. Machine Learning for Factor Investing: R Version bridges this gap. It provides a comprehensive tour of modern ML-based investment strategies that rely on firm characteristics. The book covers a wide array of subjects which range from economic rationales to rigorous portfolio back-testing and encompass both data processing and model interpretability. Common supervised learning algorithms such as tree models and neural networks are explained in the context of style investing and the reader can also dig into more complex techniques like autoencoder asset returns, Bayesian additive trees, and causal models. All topics are illustrated with self-contained R code samples and snippets that are applied to a large public dataset that contains over 90 predictors. The material, along with the content of the book, is available online so that readers can reproduce and enhance the examples at their convenience. If you have even a basic knowledge of quantitative finance, this combination of theoretical concepts and practical illustrations will help you learn quickly and deepen your financial and technical expertise.

Risk-Based and Factor Investing

Risk-Based and Factor Investing
  • Author : Emmanuel Jurczenko
  • Publisher :Unknown
  • Release Date :2015-11-24
  • Total pages :486
  • ISBN : 9780081008119
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Summary : This book is a compilation of recent articles written by leading academics and practitioners in the area of risk-based and factor investing (RBFI). The articles are intended to introduce readers to some of the latest, cutting edge research encountered by academics and professionals dealing with RBFI solutions. Together the authors detail both alternative non-return based portfolio construction techniques and investing style risk premia strategies. Each chapter deals with new methods of building strategic and tactical risk-based portfolios, constructing and combining systematic factor strategies and assessing the related rules-based investment performances. This book can assist portfolio managers, asset owners, consultants, academics and students who wish to further their understanding of the science and art of risk-based and factor investing. Contains up-to-date research from the areas of RBFI Features contributions from leading academics and practitioners in this field Features discussions of new methods of building strategic and tactical risk-based portfolios for practitioners, academics and students

Factor Investing and Asset Allocation: A Business Cycle Perspective

Factor Investing and Asset Allocation: A Business Cycle Perspective
  • Author : Vasant Naik,Mukundan Devarajan,Andrew Nowobilski ,Sébastien Page, CFA,Niels Pedersen
  • Publisher :Unknown
  • Release Date :2016-12-30
  • Total pages :190
  • ISBN : 9781944960155
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Summary :

Asset Management

Asset Management
  • Author : Andrew Ang
  • Publisher :Unknown
  • Release Date :2014
  • Total pages :704
  • ISBN : 9780199959327
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Summary : Stocks and bonds? Real estate? Hedge funds? Private equity? If you think those are the things to focus on in building an investment portfolio, Andrew Ang has accumulated a body of research that will prove otherwise. In his new book Asset Management: A Systematic Approach to Factor Investing, Ang upends the conventional wisdom about asset allocation by showing that what matters aren't asset class labels but the bundles of overlapping risks they represent. Making investments is like eating a healthy diet, Ang says: you've got to look through the foods you eat to focus on the nutrients they contain. Failing to do so can lead to a serious case of malnutrition - for investors as well as diners. The key, in Ang's view, is bad times, and the fact that every investor's bad times are somewhat different. The notion that bad times are paramount is the guiding principle of the book, which offers a new approach to the age-old problem of where do you put your money? Years of experience,both as a finance professor and as a consultant, have led Ang to see that the traditional approach, with its focus on asset classes, is too crude and ultimately too costly to serve investors adequately. He focuses instead on factor risks," the peculiar sets of hard times that cut across asset classes, and that must be the focus of our attention if we are to weather market turmoil and receive the rewards that come with doing so. Optimally harvesting factor premiums - on our own or by hiring others -r equires identifying your particular set of hard times, and exploiting the difference between them and those of the average investor. Clearly written yet chock-full of the latest research and data, Asset Management will be indispensable reading for trustees, professional money managers, smart private investors, and business students who want to understand the economics behind factor risk premiums, harvest them efficiently in their portfolios, and embark on the search for true alpha."

Index Fund Management

Index Fund Management
  • Author : Fadi Zaher
  • Publisher :Unknown
  • Release Date :2019-09-20
  • Total pages :248
  • ISBN : 3030193993
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Summary : This book brings simplicity to passive investing, smart beta, and factor investing, which is the fastest growing type of investment in the asset management industry. The subject has a strong academic foundation but often taught and presented in a quite complex and unorganized way. In recent years, index and factor investing solutions have been bestsellers. But factor investing success is not a foregone conclusion, and there are plenty of quirks and misprints in the literature. Do investors need a novel approach? The book provides answers to some of these questions in an open and objective fashion. Index fund management is increasingly taught in finance courses at universities. For market practitioners including trustees and investors, this book facilitates an increased understanding of how to invest in index and smart beta strategies, how to implement them, and what to be aware of with concrete and practical real-world examples.

Factor Investing

Factor Investing
  • Author : Emmanuel Jurczenko
  • Publisher :Unknown
  • Release Date :2017-10-17
  • Total pages :480
  • ISBN : 9780081019641
GET BOOK HERE

Summary : 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

Risk-Based and Factor Investing

Risk-Based and Factor Investing
  • Author : Emmanuel Jurczenko
  • Publisher :Unknown
  • Release Date :2015-11-24
  • Total pages :486
  • ISBN : 9780081008119
GET BOOK HERE

Summary : This book is a compilation of recent articles written by leading academics and practitioners in the area of risk-based and factor investing (RBFI). The articles are intended to introduce readers to some of the latest, cutting edge research encountered by academics and professionals dealing with RBFI solutions. Together the authors detail both alternative non-return based portfolio construction techniques and investing style risk premia strategies. Each chapter deals with new methods of building strategic and tactical risk-based portfolios, constructing and combining systematic factor strategies and assessing the related rules-based investment performances. This book can assist portfolio managers, asset owners, consultants, academics and students who wish to further their understanding of the science and art of risk-based and factor investing. Contains up-to-date research from the areas of RBFI Features contributions from leading academics and practitioners in this field Features discussions of new methods of building strategic and tactical risk-based portfolios for practitioners, academics and students

Machine Learning for Factor Investing: R Version

Machine Learning for Factor Investing: R Version
  • Author : Guillaume Coqueret,Tony Guida
  • Publisher :Unknown
  • Release Date :2020-08-31
  • Total pages :321
  • ISBN : 9781000176766
GET BOOK HERE

Summary : Machine learning (ML) is progressively reshaping the fields of quantitative finance and algorithmic trading. ML tools are increasingly adopted by hedge funds and asset managers, notably for alpha signal generation and stocks selection. The technicality of the subject can make it hard for non-specialists to join the bandwagon, as the jargon and coding requirements may seem out of reach. Machine Learning for Factor Investing: R Version bridges this gap. It provides a comprehensive tour of modern ML-based investment strategies that rely on firm characteristics. The book covers a wide array of subjects which range from economic rationales to rigorous portfolio back-testing and encompass both data processing and model interpretability. Common supervised learning algorithms such as tree models and neural networks are explained in the context of style investing and the reader can also dig into more complex techniques like autoencoder asset returns, Bayesian additive trees, and causal models. All topics are illustrated with self-contained R code samples and snippets that are applied to a large public dataset that contains over 90 predictors. The material, along with the content of the book, is available online so that readers can reproduce and enhance the examples at their convenience. If you have even a basic knowledge of quantitative finance, this combination of theoretical concepts and practical illustrations will help you learn quickly and deepen your financial and technical expertise.

Does Factor Investing Improve Risk-adjusted Returns?

Does Factor Investing Improve Risk-adjusted Returns?
  • Author : Áron Kovács
  • Publisher :Unknown
  • Release Date :2018
  • Total pages :79
  • ISBN : OCLC:1190672915
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Summary : Factor investing has been on continuous rise in the past two decades. However, there have been a lack of studies confirming factor-based strategies can improve risk-adjusted returns on the long run.The thesis investigates if the position of factor investing between the traditional active and passive investment management styles is justified by asking the research questions: Do factor investing strategies improve risk-adjusted returns? To answer the question the performance of six MSCI USA factor indices are compared to the MSCI USA broad market index, based on monthly returns. Furthermore, 15 equally-weighted and 15 risk parity monthly rebalancing portfolios are created from these indices and compared to the market. The performance of the indices and the portfolios are captured by the information ratio.In the extensive analysis it was found, that all the indices and the portfolios outperform the benchmark over the time frame of 2001-2017. Moreover, 25 of the 30 portfolios surpassed the best performing standalone index on risk-adjusted terms, even with transaction costs included for rebalancing.Therefore, it was concluded that factor-based investing strategies can improve risk-adjusted returns. However, further examination is needed as effect of certain might styles can diminish and the minimum-volatility style is still an anomaly.*****Factor investing has been on continuous rise in the past two decades. However, there have been a lack of studies confirming factor-based strategies can improve risk-adjusted returns on the long run.The thesis investigates if the position of factor investing between the traditional active and passive investment management styles is justified by asking the research questions: Do factor investing strategies improve risk-adjusted returns? To answer the question the performance of six MSCI USA factor indices are compared to the MSCI USA broad market index, based on monthly returns. Furthermore, 15 equally-weighted and 15 risk parity monthly

Quantitative Value, + Web Site

Quantitative Value, + Web Site
  • Author : Wesley R. Gray,Tobias E. Carlisle
  • Publisher :Unknown
  • Release Date :2012-12-26
  • Total pages :288
  • ISBN : 9781118328071
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Summary : Legendary investment gurus Warren Buffett and Ed Thorp represent different ends of the investing spectrum: one a value investor, the other a quant. While Buffett and Thorp have conflicting philosophical approaches, they agree that the market is beatable. In Quantitative Value, Wesley Gray and Tobias Carlisle take the best aspects from the disciplines of value investing and quantitative investing and apply them to a completely unique and winning approach to stock selection. As the authors explain, the quantitative value strategy offers a superior way to invest: capturing the benefits of a value investing philosophy without the behavioral errors associated with "stock picking." To demystify their innovative approach, Gray and Carlisle outline the framework for quantitative value investing, including the four key elements of the investment process: How to avoid stocks that can cause a permanent loss of capital: Learn how to uncover financial statement manipulation, fraud, and financial distress How to find stocks with the highest quality: Discover how to find strong economic franchises and robust financial strength. Gray and Carlisle look at long-term returns on capital and assets, free cash flow, and a variety of metrics related to margins and general financial strength The secret to finding deeply undervalued stocks: Does the price-to-earnings ratio find undervalued stocks better than free cash flow? Gray and Carlisle examine the historical data on over 50 valuation ratios, including some unusual metrics, rare multi-year averages, and uncommon combinations The five signals sent by smart money: The book uncovers the signals sent by insiders, short sellers, shareholder activists, and institutional investment managers After detailing the quantitative value investment process, Gray and Carlisle conduct a historical test of the resulting quantitative value model. Their conclusions are surprising and counterintuitive. This reliable resource includes a companion website that offers a monthly-updated screening tool to find stocks using the model outlined in the book, an updated back-testing tool, and a blog about recent developments in quantitative value investing. For any investor who wants to make the most of their time in today's complex marketplace, they should look no further than Quantitative Value.

Smart(er) Investing

Smart(er) Investing
  • Author : Elisabetta Basilico,Tommi Johnsen
  • Publisher :Unknown
  • Release Date :2019-12-11
  • Total pages :154
  • ISBN : 9783030266929
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Summary : This book identifies and discusses the most successful investing practices with an emphasis on the academic articles that produced them and why this research led to popular adoption and growth in $AUM. Investors are bombarded with ideas and prescriptions for successful investing every day. Given the steady stream of information on stock tips, sector timing, asset allocation, etc., how do investors decide? How do they judge the quality and reliability of the investment advice they are given on a day-to-day basis? This book identifies which academic articles turned investment ideas were the most innovative and influential in the practice of investment management. Each article is discussed in terms of the asset management process: strategy, portfolio construction, portfolio implementation, and risk management. Some examples of topics covered are factor investing, the extreme growth of trading instruments like Exchange Traded Funds, multi-asset investing, socially responsible investing, big data, and artificial intelligence. This book analyzes a curated selection of peer-reviewed academic articles identified among those published by the scientific investment community. The book briefly describes each of the articles, how and why each one changed the way we think about investing in that specific asset class, and provides insights as to the nuts and bolts of how to take full advantage of this successful investment idea. It is as timely as it is informative and will help each investor to focus on the most successful strategies, ideas, and implementation that provide the basis for the efficient accumulation and management of wealth.

Factor Investing

Factor Investing
  • Author : Mikhail Samonov,Wesley R. Gray
  • Publisher :Unknown
  • Release Date :2020-06-17
  • Total pages :320
  • ISBN : 1119597765
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Summary :

Country Asset Allocation

Country Asset Allocation
  • Author : Adam Zaremba,Jacob Shemer
  • Publisher :Unknown
  • Release Date :2016-10-26
  • Total pages :262
  • ISBN : 9781137591913
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Summary : This book demonstrates how quantitative country-level investment strategies can be successfully employed to manage money in international markets. It offers a range of state-of-the-art quantitative strategies, describing their theoretical bases, implementation details, and performance in over 70 countries between 1995 and 2015. International diversification has long been a key to stable investing. However, the increased integration and openness of global financial markets has led to rising correlations between stock market returns in particular countries, driving down the benefits of diversification and increasing the importance of country selection strategies as part of an investment process. Zaremba and Shemer explain the efficiency of quantitative investing, which captures huge amounts of data of limited scope very quickly. In the traditional approach, this data compilation is an immense undertaking, limited in scope and vulnerable to behavioral errors, but this can be overcome with the help of a new paradigm of quantitative investment at the country level. Quantitative country asset allocation can be efficiently accomplished by using wealth insights that have been generated in the academic literature, discovering many anomalies and regular patterns in asset prices. Armed with this information, investors and managers can process large amounts of data more efficiently when deciding to invest in ETFs, index funds, or futures markets.

Equity Factor Investing

Equity Factor Investing
  • Author : Reto Trachsel
  • Publisher :Unknown
  • Release Date :2019
  • Total pages :229
  • ISBN : OCLC:1108876072
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Summary : The objective and contribution of this thesis is to develop three Machine Learning models (Regression Tree, LASSO Regression and Random Forest) that predict a one-month ahead forecast for expected returns of well-researched factors and dynamically allocate the capital according to those predictions. As such, Machine Learning will be further introduced to the topic of investing and asset allocation, thereby closing the existing research gap in the field of style factor investing.

The Current State of Quantitative Equity Investing

The Current State of Quantitative Equity Investing
  • Author : Ying L. Becker,Marc R. Reinganum
  • Publisher :Unknown
  • Release Date :2018-05-10
  • Total pages :72
  • ISBN : 9781944960452
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Summary : Quantitative equity management techniques are helping investors achieve more risk efficient and appropriate investment outcomes. Factor investing, vetted by decades of prior and current research, is growing quickly, particularly in in the form of smart-beta and ETF strategies. Dynamic factor-timing approaches, incorporating macroeconomic and investment conditions, are in the early stages but will likely thrive. A new generation of big data approaches are rendering quantitative equity analysis even more powerful and encompassing.

Factor Investing in the Crypto World

Factor Investing in the Crypto World
  • Author : Georg Johannes Kopp
  • Publisher :Unknown
  • Release Date :2019
  • Total pages :229
  • ISBN : OCLC:1130397801
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Summary : This paper analyzes the feasibility and profitability of factor investing in the emerging market of crypto-assets. It combines the factor models of Carhart (1997) and Hubrich (2017) with the findings of Asness, Moskowitz and Pedersen (2013) and Li and Yi (2018) to establish 4 considerable risk factors based on the largest 20 crypto-assets: value, size, momentum, and carry. Whereas the momentum strategy has the highest expected return, the size factor exhibits the lowest volatility and downside risk. The 4 risk factors offer considerable cross- and within-asset class diversification potential due to the low correlation with traditional investments and with each other. Based on various portfolio allocation methodologies, the constituents and corresponding weights of multi-factor portfolios are streamlined in order to maximize the risk-adjusted performance and the diversification. It can be shown that an optimized factor portfolio has outperformed the total crypto-market and the traditional asset classes by far. Moreover, adding crypto-assets and especially the constructed factor portfolios to a traditional US equity or multi-asset portfolio enhances the risk-adjusted performance notably. Finally, a sophisticated composition of crypto-factors is able to cushion market shocks and even earn positive returns in downturn periods. These results underline the fact that it may be valuable for private and professional investors to consider crypto-assets in the decision-making process.

High Returns from Low Risk

High Returns from Low Risk
  • Author : Pim van Vliet,Jan de Koning
  • Publisher :Unknown
  • Release Date :2017-01-17
  • Total pages :164
  • ISBN : 9781119351054
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Summary : Chapter Eleven Slice and Dice, But Do It Wisely -- Chapter Twelve Sit Back and Relax -- Chapter Thirteen Trade Little, Be Patient -- Chapter Fourteen The Biggest Victory of All -- Chapter Fifteen The Golden Rule -- Chapter Sixteen The Paradox Is Everywhere -- Chapter Seventeen Will the Paradox Persist? -- See It -- Be Able to Exploit It -- Be Willing to Do It -- Chapter Eighteen Final Reflections -- Epilogue Jan's Perspective -- Appendix Paradox Investing.com -- Acknowledgments -- References -- Index -- EULA