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
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1. The Price of Factors and the Implications for Active Investing 2. Factor Investing: The Rocky Road from Long-Only to Long-Short 3. Peering under the Hood of Rules-Based Portfolio Construction: The Impact of Security Selection and Weighting Decisions 4. Diversify and Purify Factor Premiums in Equity Markets 5. The Predictability of Risk-Factor Returns 6. Style Factor Timing 7. Go with the Flow or Hide from the Tide? Trading Flow as a Signal in Style Investing 8. Investment and Profitability: A Quality Factor that Actually Works 9. Common Equity Factors in Corporate Bond Markets 10. Alternative Risk Premia: What Do We Know? 11. Strategic Portfolio Allocation With Factors 12. A Macro Risk-Based Approach to Alternative Risk Premia Allocation 13. Optimizing Cross-Asset Carry 14. Diversification and the Volatility Risk Premium 15. Factor Investing and ESG Integration 16. The Alpha and Beta of Equity Hedge UCITS Funds: Implications for Momentum Investing
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.