Performance Of 130 30 Strategies

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Performance of 130/30 Strategies

Author : Sebastian Riegler-Rittner
Publisher : BoD – Books on Demand
ISBN 13 : 3941482211
Total Pages : 270 pages
Book Rating : 4.9/5 (414 download)

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Book Synopsis Performance of 130/30 Strategies by : Sebastian Riegler-Rittner

Download or read book Performance of 130/30 Strategies written by Sebastian Riegler-Rittner and published by BoD – Books on Demand. This book was released on 2009 with total page 270 pages. Available in PDF, EPUB and Kindle. Book excerpt: One of the latest innovations in asset management that has rapidly increased in popularity in recent years is the so-called '130/30 strategy'. Through a combination of leverage and short selling this strategy enables portfolio managers to underweight unattractive securities to a much bigger extent than it is possible with long-only portfolios. This book analyzes the performance of 130/30 and other active extension portfolios that are built according to a quantitative security selection model using typical value fundamentals, such as the dividend yield or the price-to-earnings ratio. In comparison to the benchmark and traditional long-only portfolios the 130/30 strategy does outperform the former two over a 15-year time period from 1993 to early 2008, even after accounting for costs. When analyzing the risk-adjusted returns in more detail it becomes obvious that a 130/30 strategy is an especially promising alternative to passive or active long-only investment strategies in rather weak market phases as they were present during the early years of this decade. That is why a dynamic strategy that switches between 130/30, long-only and index depending on the respective market phase is analyzed as well. When using for example an autoregressive model to select the appropriate strategy such a dynamic approach delivers significantly higher returns than a static active extension portfolio does.

Modern Portfolio Management

Author : Martin L. Leibowitz
Publisher : John Wiley & Sons
ISBN 13 : 0470484942
Total Pages : 504 pages
Book Rating : 4.4/5 (74 download)

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Book Synopsis Modern Portfolio Management by : Martin L. Leibowitz

Download or read book Modern Portfolio Management written by Martin L. Leibowitz and published by John Wiley & Sons. This book was released on 2009-01-08 with total page 504 pages. Available in PDF, EPUB and Kindle. Book excerpt: Active 130/30 Extensions is the newest wave of disciplined investment strategies that involves asymmetric decision-making on long/short portfolio decisions, concentrated investment risk-taking in contrast to diversification, systematic portfolio risk management, and flexibility in portfolio design. This strategy is the building block for a number of 130/30 and 120/20 investment strategies offered to institutional and sophisticated high net worth individual investors who want to manage their portfolios actively and aggressively to outperform the market.

A Guide to 130/30 Strategies

Author : Institutional Investor (Firm)
Publisher :
ISBN 13 :
Total Pages : 255 pages
Book Rating : 4.:/5 (67 download)

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Book Synopsis A Guide to 130/30 Strategies by : Institutional Investor (Firm)

Download or read book A Guide to 130/30 Strategies written by Institutional Investor (Firm) and published by . This book was released on 2008 with total page 255 pages. Available in PDF, EPUB and Kindle. Book excerpt:

The Performance of the 130/30 Strategy in the Australian Equities Market

Author : Alex Frino
Publisher :
ISBN 13 :
Total Pages : 53 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis The Performance of the 130/30 Strategy in the Australian Equities Market by : Alex Frino

Download or read book The Performance of the 130/30 Strategy in the Australian Equities Market written by Alex Frino and published by . This book was released on 2009 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper empirically tests two 130/30 strategies using the top 50 stocks listed on the Australian Stock Exchange: a momentum returns driven 130/30 strategy, and a fundamental value based 130/30 strategy. The performance of these enhanced active strategies is evaluated, against traditional buy and hold strategies used by long-only managers as well as naive investments in market indices, over an eight year period with quarterly rebalancing. The results of back-testing and out of sample simulations reveal that momentum driven 130/30 strategies can earn significant alpha over a long investment horizon. The 130/30 portfolios also have higher information ratios and earn higher risk-adjusted returns compared to their long only counterparts.

Market Momentum

Author : Stephen Satchell
Publisher : John Wiley & Sons
ISBN 13 : 1119599326
Total Pages : 448 pages
Book Rating : 4.1/5 (195 download)

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Book Synopsis Market Momentum by : Stephen Satchell

Download or read book Market Momentum written by Stephen Satchell and published by John Wiley & Sons. This book was released on 2020-12-02 with total page 448 pages. Available in PDF, EPUB and Kindle. Book excerpt: A one-of-a-kind reference guide covering the behavioral and statistical explanations for market momentum and the implementation of momentum trading strategies Market Momentum: Theory and Practice is a thorough, how-to reference guide for a full range of financial professionals and students. It examines the behavioral and statistical causes of market momentum while also exploring the practical side of implementing related strategies. The phenomenon of momentum in finance occurs when past high returns are followed by subsequent high returns, and past low returns are followed by subsequent low returns. Market Momentum provides a detailed introduction to the financial topic, while examining existing literature. Recent academic and practitioner research is included, offering a more up-to-date perspective. What type of book is Market Momentum and how does it serve a range of readers’ interests and needs? A holistic market momentum guide for industry professionals, asset managers, risk managers, firm managers, plus hedge fund and commodity trading advisors Advanced text to help graduate students in finance, economics, and mathematics further develop their funds management skills Useful resource for financial practitioners who want to implement momentum trading strategies Reference book providing behavioral and statistical explanations for market momentum Due to claims that the phenomenon of momentum goes against the Efficient Markets Hypothesis, behavioral economists have studied the topic in-depth. However, many books published on the subject are written to provide advice on how to make money. In contrast, Market Momentum offers a comprehensive approach to the topic, which makes it a valuable resource for both investment professionals and higher-level finance students. The contributors address momentum theory and practice, while also offering trading strategies that practitioners can study.

˜Aœ Guide to 130/30 Strategies

Author : Brian R. Bruce
Publisher :
ISBN 13 : 9780980048513
Total Pages : 255 pages
Book Rating : 4.0/5 (485 download)

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Book Synopsis ˜Aœ Guide to 130/30 Strategies by : Brian R. Bruce

Download or read book ˜Aœ Guide to 130/30 Strategies written by Brian R. Bruce and published by . This book was released on 2008 with total page 255 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Alternative Investments

Author : H. Kent Baker
Publisher : John Wiley & Sons
ISBN 13 : 1118282582
Total Pages : 660 pages
Book Rating : 4.1/5 (182 download)

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Book Synopsis Alternative Investments by : H. Kent Baker

Download or read book Alternative Investments written by H. Kent Baker and published by John Wiley & Sons. This book was released on 2013-03-06 with total page 660 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive guide to alternative investments that reveals today's latest research and strategies Historically low interest rates and bear markets in world stock markets have generated intense interest in alternative investments. With returns in traditional investment vehicles relatively low, many professional investors view alternative investments as a means of meeting their return objectives. Alternative Investments: Instruments, Performance, Benchmarks, and Strategies, can put you in a better position to achieve this difficult goal. Part of the Robert W. Kolb Series in Finance, Alternative Investments provides an in-depth discussion of the historic performance, benchmarks, and strategies of every major alternative investment market. With contributions from professionals and academics around the world, it offers valuable insights on the latest trends, research, and thinking in each major area. Empirical evidence about each type of alternative investment is featured, with research presented in a straightforward manner. Examines a variety of major alternative asset classes, from real estate, private equity, and commodities to managed futures, hedge funds, and distressed securities Provides detailed insights on the latest research and strategies, and offers a thorough explanation of historical performance, benchmarks, and other critical information Blends knowledge from the conceptual world of scholars with the pragmatic view of practitioners in this field Alternative investments provide a means of diversification, risk control, and return enhancement and, as such, are attractive to many professional investors. If you're looking for an effective way to hone your skills in this dynamic area of finance, look no further than this book.

Modern Portfolio Management

Author : Martin L. Leibowitz
Publisher : John Wiley & Sons
ISBN 13 : 0470398531
Total Pages : 548 pages
Book Rating : 4.4/5 (73 download)

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Book Synopsis Modern Portfolio Management by : Martin L. Leibowitz

Download or read book Modern Portfolio Management written by Martin L. Leibowitz and published by John Wiley & Sons. This book was released on 2009-01-09 with total page 548 pages. Available in PDF, EPUB and Kindle. Book excerpt: Active 130/30 Extensions is the newest wave of disciplined investment strategies that involves asymmetric decision-making on long/short portfolio decisions, concentrated investment risk-taking in contrast to diversification, systematic portfolio risk management, and flexibility in portfolio design. This strategy is the building block for a number of 130/30 and 120/20 investment strategies offered to institutional and sophisticated high net worth individual investors who want to manage their portfolios actively and aggressively to outperform the market.

Understanding Investments

Author : Nikiforos T. Laopodis
Publisher : Routledge
ISBN 13 : 0415891620
Total Pages : 599 pages
Book Rating : 4.4/5 (158 download)

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Book Synopsis Understanding Investments by : Nikiforos T. Laopodis

Download or read book Understanding Investments written by Nikiforos T. Laopodis and published by Routledge. This book was released on 2012 with total page 599 pages. Available in PDF, EPUB and Kindle. Book excerpt: The author's main goal in writing Understanding Investments is to present the classic theories and strategies in the field of finance in a new, intuitive, and practical way. This text offers context and grounding information to students truly looking, as the title indicates, to understand investments. This textbook brings a number of innovative features to the field: 1. Presentation of material from the economics point of view, stressing the interpretation of concepts, rather than their mere memorization and mechanical application. 2. Shorter, more streamlined chapters, so instructors and students won't be distracted by superfluous detail, and can instead focus on the most relevant issues. 3. Fewer chapters than in current textbooks, so instructors can comfortably cover all material within a semester. 4. Boxes with 'International Focus' vignettes, discussions 'Applying Economic Analysis' to relevant topics, and featured 'Lessons from our Times', allowing students to gain a deeper understanding of the material and its relevant context and applications. 5. Sections in each chapter discussing different investment strategies and their pros and cons. 6. Questions that solicit students' critical thinking skills and problems that require their quantitative expertise to address real-life problems - rather than rote, mechanical questions that merely require regurgitation.

Business Knowledge for IT in Investment Management

Author : Corporation Limited Essvale Corporation Limited
Publisher : Essvale Corporation Limited
ISBN 13 : 0955412412
Total Pages : 183 pages
Book Rating : 4.9/5 (554 download)

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Book Synopsis Business Knowledge for IT in Investment Management by : Corporation Limited Essvale Corporation Limited

Download or read book Business Knowledge for IT in Investment Management written by Corporation Limited Essvale Corporation Limited and published by Essvale Corporation Limited. This book was released on 2007 with total page 183 pages. Available in PDF, EPUB and Kindle. Book excerpt: A handbook for the discerning IT professional, this volume provides easy-to-follow guidelines on the business knowledge needed to forge a career in the exciting world of investment management.

130/30

Author : Andrew W. Lo
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis 130/30 by : Andrew W. Lo

Download or read book 130/30 written by Andrew W. Lo and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Long-only portfolio managers and investors have acknowledged that the long-only constraint is a potentially costly drag on performance, and loosening this constraint can add value. However, the magnitude of the performance drag is difficult to measure without a proper benchmark for a 130/30 portfolio. In this paper, we provide a passive but dynamic benchmark consisting of a quot;plain-vanillaquot; 130/30 strategy using simple factors to rank stocks and standard methods for constructing portfolios based on these rankings. Based on this strategy, we produce two types of indexes: investable and quot;look-aheadquot; indexes, in which the former uses only prior information and the latter uses realized returns to produce an upper bound on performance. We provide historical simulations of our 130/30 benchmarks that illustrate their advantages and disadvantages under various market conditions.

Business Knowledge for It in Hedge Funds

Author : Essvale Corporation Limited
Publisher : Essvale Corporation Limited
ISBN 13 : 0955412455
Total Pages : 277 pages
Book Rating : 4.9/5 (554 download)

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Book Synopsis Business Knowledge for It in Hedge Funds by : Essvale Corporation Limited

Download or read book Business Knowledge for It in Hedge Funds written by Essvale Corporation Limited and published by Essvale Corporation Limited. This book was released on 2008 with total page 277 pages. Available in PDF, EPUB and Kindle. Book excerpt: A handbook for the discerning IT professional, this resource provides easy-to-follow guidelines on the knowledge needed to forge a career in the mysterious world of hedge funds.

Advanced REIT Portfolio Optimization

Author : W. Brent Lindquist
Publisher : Springer Nature
ISBN 13 : 3031152867
Total Pages : 268 pages
Book Rating : 4.0/5 (311 download)

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Book Synopsis Advanced REIT Portfolio Optimization by : W. Brent Lindquist

Download or read book Advanced REIT Portfolio Optimization written by W. Brent Lindquist and published by Springer Nature. This book was released on 2022-11-09 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides an investor-friendly presentation of the premises and applications of the quantitative finance models governing investment in one asset class of publicly traded stocks, specifically real estate investment trusts (REITs). The models provide highly advanced analytics for REIT investment, including: portfolio optimization using both historic and predictive return estimation; model backtesting; a complete spectrum of risk assessment and management tools with an emphasis on early warning systems, risk budgeting, estimating tail risk, and factor analysis; derivative valuation; and incorporating ESG ratings into REIT investment. These quantitative finance models are presented in a unified framework consistent with dynamic asset pricing (rational finance). Given its scope and practical orientation, this book will appeal to investors interested in portfolio optimization and innovative tools for investment risk assessment.

Metaheuristics for Portfolio Optimization

Author : G. A. Vijayalakshmi Pai
Publisher : John Wiley & Sons
ISBN 13 : 111948278X
Total Pages : 322 pages
Book Rating : 4.1/5 (194 download)

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Book Synopsis Metaheuristics for Portfolio Optimization by : G. A. Vijayalakshmi Pai

Download or read book Metaheuristics for Portfolio Optimization written by G. A. Vijayalakshmi Pai and published by John Wiley & Sons. This book was released on 2017-12-27 with total page 322 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book is a monograph in the cross disciplinary area of Computational Intelligence in Finance and elucidates a collection of practical and strategic Portfolio Optimization models in Finance, that employ Metaheuristics for their effective solutions and demonstrates the results using MATLAB implementations, over live portfolios invested across global stock universes. The book has been structured in such a way that, even novices in finance or metaheuristics should be able to comprehend and work on the hybrid models discussed in the book.

Hedge Funds

Author : Andrew W. Lo
Publisher : Princeton University Press
ISBN 13 : 140083581X
Total Pages : 388 pages
Book Rating : 4.4/5 (8 download)

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Book Synopsis Hedge Funds by : Andrew W. Lo

Download or read book Hedge Funds written by Andrew W. Lo and published by Princeton University Press. This book was released on 2010-07-01 with total page 388 pages. Available in PDF, EPUB and Kindle. Book excerpt: The hedge fund industry has grown dramatically over the last two decades, with more than eight thousand funds now controlling close to two trillion dollars. Originally intended for the wealthy, these private investments have now attracted a much broader following that includes pension funds and retail investors. Because hedge funds are largely unregulated and shrouded in secrecy, they have developed a mystique and allure that can beguile even the most experienced investor. In Hedge Funds, Andrew Lo--one of the world's most respected financial economists--addresses the pressing need for a systematic framework for managing hedge fund investments. Arguing that hedge funds have very different risk and return characteristics than traditional investments, Lo constructs new tools for analyzing their dynamics, including measures of illiquidity exposure and performance smoothing, linear and nonlinear risk models that capture alternative betas, econometric models of hedge fund failure rates, and integrated investment processes for alternative investments. In a new chapter, he looks at how the strategies for and regulation of hedge funds have changed in the aftermath of the financial crisis.

Do-It-Yourself Hedge Funds

Author : Wayne Weddington
Publisher : Business Plus
ISBN 13 : 0446543357
Total Pages : 176 pages
Book Rating : 4.4/5 (465 download)

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Book Synopsis Do-It-Yourself Hedge Funds by : Wayne Weddington

Download or read book Do-It-Yourself Hedge Funds written by Wayne Weddington and published by Business Plus. This book was released on 2009-01-09 with total page 176 pages. Available in PDF, EPUB and Kindle. Book excerpt: Even with the recent upheaval and turmoil on Wall Street, it's still currently estimated that the hedge fund industry exceeds one trillion dollars in assets, and continues to expand. Hedge funds are all over the news, as their managers become multi-millionaires and seemingly come up with new, increasingly ostentatious ways to spend their massive fortunes. And until now, the average investor has been kept out of this world, being led to believe that one needs a MBA from a top university and millions of dollars to invest. In Do it Yourself Hedge Funds Wayne Weddington, a senior portfolio manager of one of the world's top hedge funds, demonstrates how one can learn to play this high-stakes game. In these times of uncertainty, everybody is looking for a way to maximum their investing strategies, and in Do it Yourself Hedge Funds, Weddington breaks down the complicated rules of hedging using easy-to-understand, real-life examples that can help you gain an investing edge. Weddington explains the basics of hedge funds in layman's terms, defines the words investors need to know, and lays out the necessary steps for investing in hedge funds. And even more importantly, he shows the ways in which hedge funds can go wrong. If you've ever wondered how these guys make their millions, Do it Yourself Hedge Funds is must reading.

Handbook of Portfolio Construction

Author : John B. Guerard, Jr.
Publisher : Springer Science & Business Media
ISBN 13 : 0387774394
Total Pages : 796 pages
Book Rating : 4.3/5 (877 download)

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Book Synopsis Handbook of Portfolio Construction by : John B. Guerard, Jr.

Download or read book Handbook of Portfolio Construction written by John B. Guerard, Jr. and published by Springer Science & Business Media. This book was released on 2009-12-12 with total page 796 pages. Available in PDF, EPUB and Kindle. Book excerpt: Portfolio construction is fundamental to the investment management process. In the 1950s, Harry Markowitz demonstrated the benefits of efficient diversification by formulating a mathematical program for generating the "efficient frontier" to summarize optimal trade-offs between expected return and risk. The Markowitz framework continues to be used as a basis for both practical portfolio construction and emerging research in financial economics. Such concepts as the Capital Asset Pricing Model (CAPM) and the Arbitrage Pricing Theory (APT), for example, provide the foundation for setting benchmarks, for predicting returns and risk, and for performance measurement. This volume showcases original essays by some of today’s most prominent academics and practitioners in the field on the contemporary application of Markowitz techniques. Covering a wide spectrum of topics, including portfolio selection, data mining tests, and multi-factor risk models, the book presents a comprehensive approach to portfolio construction tools, models, frameworks, and analyses, with both practical and theoretical implications.