This book is a collection of exclusive new articles written by leading academics and practitioners in the area of risk-based and factor investing (RBFI).
The articles introduce readers to some of the latest, cutting-edge research encountered by academics and professionals dealing with alternative non-return based portfolio construction techniques and quantitative investment 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.
1. Advances in Portfolio Risk Control, Winfried G. Hallerbach.
2. Smart Beta: Managing Diversification of Minimum Variance Portfolios, Jean-Charles Richard and Thierry Roncalli.
3. Trend-Following, Risk-Parity and the Influence of Correlations, Nick Baltas.
4. Diversifying Risk Parity: In Today, Out Tomorrow? Harald Lohre, Heiko Opfer and Gábor Ország
5. Robust Portfolio Allocation with Systematic Risk Contribution Restrictions, Serge Darolles, Christian Gourieroux and Emmanuelle Jay.
6. Risk-Based Investing but What Risk(s)? Emmanuel Jurczenko and Jérôme Teiletche
7. Target Volatility, Bernd Scherer.
8. Smart Beta Equity Investing Through Calm and Storm, Kris Boudt, Joakim Darras, Giang Ha Nguyen and Benedict Peeters.
9. Solving the Rebalancing Premium Puzzle, Vladyslav Dubikovskyy and Gabriele Susinno.
10. Smart Betas: Theory and Construction, Attilio Meucci.
11. Low-Risk Anomaly Everywhere: Evidence from Equity Sectors, Raul Leote De Carvalho, Majdouline Zakaria, Xiao Lu and Pierre Moulin.
12. The Low Volatility Anomaly and the Preference for Gambling, Jason C. Hsu and Vivek Viswanathan.
13. The Low Beta Anomaly and Interest Rates, Ed Fishwick and Steve Satchell.
14. Factoring Profitability, Lisa R. Goldberg, Ran Leshem and Michael Branch.
15. Deploying Multi-Factor Index Allocations in Institutional Portfolios, Jennifer Bender, Remy Briand, Dimitris Melas, Raman Aylur Subramanian and Madhu Subramanian.
16. Defining the Equity Premium, a Framework, Yves Choueifaty and Christophe Roehri.
17. Designing Multi-Factor Equity Portfolios, Noël Amenc, Romain Deguest, Felix Goltz, Ashish Lodh, Lionel Martellini and Eric Shirbini.
18. Factor Investing and Portfolio Construction Techniques, Yin Luo and Spyros Mésomeris.
19. Multi-Factor Portfolio Construction for Passively Managed Factor Portfolios, Jennifer Bender and Taie Wang.
20. Statistical Overfitting and Backtest Performance, David H. Bailey, Stephanie Ger, Marcos Lopez De Prado and Alexander Sim.