Risk-Based and Factor Investing

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 RBFIFeatures contributions from leading academics and practitioners in this fieldFeatures discussions of new methods of building strategic and tactical risk-based portfolios for practitioners, academics and students

3.1. Introduction.

Front Cover ; Risk-Based and Factor Investing; Copyright ; Contents ; Acknowledgements ; Preface ; Chapter 1: Advances in Portfolio Risk Control.

1.1. Introduction 1.2. The Empirical Example and Preliminaries; 1.3. Maximum Sharpe Ratio Portfolio (MSRP); 1.4. 1/N or Equal-Weighting; 1.5. Minimum Variance Portfolio (MVP); 1.6. Maximum Diversification Portfolio (MDP); 1.7. Equal Risk Contribution Portfolio (ERCP): Full Risk Parity; 1.8. Inverse Volatility Portfolio (IVP): Naive Risk Parity; 1.9. Volatility Weighting over Time.

1.10. Evaluation 1.11. Appendix ; 1.12. Bibliography ; Chapter 2: Smart Beta: Managing Diversification of Minimum Variance Portfolios.

2.1. Introduction 2.2. Risk-based Investing and Variance Minimization ; 2.3. Managing the Diversification.

2.4. Understanding the Behavior of Smart Beta Portfolios 2.5. Conclusion ; 2.6. Appendix ; 2.7. Bibliography ; Chapter 3: Trend-Following, Risk-Parity and the Influence of Correlations.