Risk Adjusted Momentum And Value Strategies

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Risk Adjusted Momentum and Value Strategies

Author : Alexander Birner
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (114 download)

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Book Synopsis Risk Adjusted Momentum and Value Strategies by : Alexander Birner

Download or read book Risk Adjusted Momentum and Value Strategies written by Alexander Birner and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Historically, the factor investments of momentum and value have consistently featured high excess returns since the introduction of Fama and French's three- (1993) and Carhart four-factor model (1997). Nevertheless, especially the momentum returns come at the high expense of large downturns in high variance regimes, in market rebounds and in panic states as described by Daniel and Moskowitz (2016) and Barroso and Santa-Clara (2015). They demonstrate that volatility scaling of momentum can immunize investors against these crashes. The results of this analysis can only partly confirm this finding. Therefore, a risk-adjusted and volatility scaled momentum and value strategy is proposed that almost triples the Sharpe ratio, significantly decreases excess kurtosis and provides monthly excess returns of 3.5%. The addition of the negatively correlated value asset to the portfolio furthermore reverses the negative effects of high variance and panic states.

Quantitative Momentum

Author : Wesley R. Gray
Publisher : John Wiley & Sons
ISBN 13 : 1119237262
Total Pages : 206 pages
Book Rating : 4.1/5 (192 download)

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Book Synopsis Quantitative Momentum by : Wesley R. Gray

Download or read book Quantitative Momentum written by Wesley R. Gray and published by John Wiley & Sons. This book was released on 2016-09-13 with total page 206 pages. Available in PDF, EPUB and Kindle. Book excerpt: The individual investor's comprehensive guide to momentum investing Quantitative Momentum brings momentum investing out of Wall Street and into the hands of individual investors. In his last book, Quantitative Value, author Wes Gray brought systematic value strategy from the hedge funds to the masses; in this book, he does the same for momentum investing, the system that has been shown to beat the market and regularly enriches the coffers of Wall Street's most sophisticated investors. First, you'll learn what momentum investing is not: it's not 'growth' investing, nor is it an esoteric academic concept. You may have seen it used for asset allocation, but this book details the ways in which momentum stands on its own as a stock selection strategy, and gives you the expert insight you need to make it work for you. You'll dig into its behavioral psychology roots, and discover the key tactics that are bringing both institutional and individual investors flocking into the momentum fold. Systematic investment strategies always seem to look good on paper, but many fall down in practice. Momentum investing is one of the few systematic strategies with legs, withstanding the test of time and the rigor of academic investigation. This book provides invaluable guidance on constructing your own momentum strategy from the ground up. Learn what momentum is and is not Discover how momentum can beat the market Take momentum beyond asset allocation into stock selection Access the tools that ease DIY implementation The large Wall Street hedge funds tend to portray themselves as the sophisticated elite, but momentum investing allows you to 'borrow' one of their top strategies to enrich your own portfolio. Quantitative Momentum is the individual investor's guide to boosting market success with a robust momentum strategy.

DIY Financial Advisor

Author : Wesley R. Gray
Publisher : John Wiley & Sons
ISBN 13 : 111907150X
Total Pages : 230 pages
Book Rating : 4.1/5 (19 download)

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Book Synopsis DIY Financial Advisor by : Wesley R. Gray

Download or read book DIY Financial Advisor written by Wesley R. Gray and published by John Wiley & Sons. This book was released on 2015-08-31 with total page 230 pages. Available in PDF, EPUB and Kindle. Book excerpt: DIY Financial Advisor: A Simple Solution to Build and Protect Your Wealth DIY Financial Advisor is a synopsis of our research findings developed while serving as a consultant and asset manager for family offices. By way of background, a family office is a company, or group of people, who manage the wealth a family has gained over generations. The term 'family office' has an element of cachet, and even mystique, because it is usually associated with the mega-wealthy. However, practically speaking, virtually any family that manages its investments—independent of the size of the investment pool—could be considered a family office. The difference is mainly semantic. DIY Financial Advisor outlines a step-by-step process through which investors can take control of their hard-earned wealth and manage their own family office. Our research indicates that what matters in investing are minimizing psychology traps and managing fees and taxes. These simple concepts apply to all families, not just the ultra-wealthy. But can—or should—we be managing our own wealth? Our natural inclination is to succumb to the challenge of portfolio management and let an 'expert' deal with the problem. For a variety of reasons we discuss in this book, we should resist the gut reaction to hire experts. We suggest that investors maintain direct control, or at least a thorough understanding, of how their hard-earned wealth is managed. Our book is meant to be an educational journey that slowly builds confidence in one's own ability to manage a portfolio. We end our book with a potential solution that could be applicable to a wide-variety of investors, from the ultra-high net worth to middle class individuals, all of whom are focused on similar goals of preserving and growing their capital over time. DIY Financial Advisor is a unique resource. This book is the only comprehensive guide to implementing simple quantitative models that can beat the experts. And it comes at the perfect time, as the investment industry is undergoing a significant shift due in part to the use of automated investment strategies that do not require a financial advisor's involvement. DIY Financial Advisor is an essential text that guides you in making your money work for you—not for someone else!

Price-Based Investment Strategies

Author : Adam Zaremba
Publisher : Springer
ISBN 13 : 3319915304
Total Pages : 325 pages
Book Rating : 4.3/5 (199 download)

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Book Synopsis Price-Based Investment Strategies by : Adam Zaremba

Download or read book Price-Based Investment Strategies written by Adam Zaremba and published by Springer. This book was released on 2018-07-25 with total page 325 pages. Available in PDF, EPUB and Kindle. Book excerpt: This compelling book examines the price-based revolution in investing, showing how research over recent decades has reinvented technical analysis. The authors discuss the major groups of price-based strategies, considering their theoretical motivation, individual and combined implementation, and back-tested results when applied to investment across country stock markets. Containing a comprehensive sample of performance data, taken from 24 major developed markets around the world and ranging over the last 25 years, the authors construct practical portfolios and display their performance—ensuring the book is not only academically rigorous, but practically applicable too. This is a highly useful volume that will be of relevance to researchers and students working in the field of price-based investing, as well as individual investors, fund pickers, market analysts, fund managers, pension fund consultants, hedge fund portfolio managers, endowment chief investment officers, futures traders, and family office investors.

Risk-Adjusted Cross-Sectional Momentum

Author : Myeong Hyeon Kim
Publisher :
ISBN 13 :
Total Pages : 23 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Risk-Adjusted Cross-Sectional Momentum by : Myeong Hyeon Kim

Download or read book Risk-Adjusted Cross-Sectional Momentum written by Myeong Hyeon Kim and published by . This book was released on 2017 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study proposes a new ranking criterion for constructing momentum portfolios, namely, risk-adjusted cross-sectional momentum. We propose the combination of traditional cross-sectional momentum strategies with different volatility timing strategies in the form of the Sharpe ratio. Then, we show that the traditional momentum trading is inferior to the risk-adjusted cross-sectional momentum strategy and employing the conditioning information can be beneficial with 3% annual returns. This finding is particularly pronounced in the presence of momentum crashes during the global financial crisis. In addition, we highlight the role of penny stocks and find that they significantly affect momentum crashes. Our findings have important implications for market practitioners.

Dual Momentum Investing: An Innovative Strategy for Higher Returns with Lower Risk

Author : Gary Antonacci
Publisher : McGraw Hill Professional
ISBN 13 : 0071849459
Total Pages : 256 pages
Book Rating : 4.0/5 (718 download)

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Book Synopsis Dual Momentum Investing: An Innovative Strategy for Higher Returns with Lower Risk by : Gary Antonacci

Download or read book Dual Momentum Investing: An Innovative Strategy for Higher Returns with Lower Risk written by Gary Antonacci and published by McGraw Hill Professional. This book was released on 2014-11-21 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt: The investing strategy that famously generates higher returns with substantially reduced risk--presented by the investor who invented it "A treasure of well researched momentum-driven investing processes." Gregory L. Morris, Chief Technical Analyst and Chairman, Investment Committee of Stadion Money Management, LLC, and author of Investing with the Trend Dual Momentum Investing details the author’s own momentum investing method that combines U.S. stock, world stock, and aggregate bond indices--a formula proven to dramatically increase profits while lowering risk. Antonacci reveals how momentum investors could have achieved long-run returns nearly twice as high as the stock market over the past 40 years, while avoiding or minimizing bear market losses--and he provides the information and insight investors need to achieve such success going forward. His methodology is designed to pick up on major changes in relative strength and market trend. Gary Antonacci has over 30 years experience as an investment professional focusing on under exploited investment opportunities. In 1990, he founded Portfolio Management Consultants, which advises private and institutional investors on asset allocation, portfolio optimization, and advanced momentum strategies. He writes and runs the popular blog and website optimalmomentum.com. Antonacci earned his MBA at Harvard.

Do Momentum Strategies Outperform on a Risk-adjusted Basis? -

Author :
Publisher :
ISBN 13 :
Total Pages : 65 pages
Book Rating : 4.:/5 (915 download)

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Book Synopsis Do Momentum Strategies Outperform on a Risk-adjusted Basis? - by :

Download or read book Do Momentum Strategies Outperform on a Risk-adjusted Basis? - written by and published by . This book was released on 2012 with total page 65 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Quantitative Value, + Web Site

Author : Wesley R. Gray
Publisher : John Wiley & Sons
ISBN 13 : 1118328078
Total Pages : 293 pages
Book Rating : 4.1/5 (183 download)

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Book Synopsis Quantitative Value, + Web Site by : Wesley R. Gray

Download or read book Quantitative Value, + Web Site written by Wesley R. Gray and published by John Wiley & Sons. This book was released on 2012-12-26 with total page 293 pages. Available in PDF, EPUB and Kindle. Book excerpt: A must-read book on the quantitative value investment strategy Warren Buffett and Ed Thorp represent two spectrums of investing: one value driven, one quantitative. Where they align is in their belief that the market is beatable. This book seeks to take the best aspects of value investing and quantitative investing as disciplines and apply them to a completely unique approach to stock selection. Such an approach has several advantages over pure value or pure quantitative investing. This new investing strategy framed by the book is known as quantitative value, a superior, market-beating method to investing in stocks. Quantitative Value provides practical insights into an investment strategy that links the fundamental value investing philosophy of Warren Buffett with the quantitative value approach of Ed Thorp. It skillfully combines the best of Buffett and Ed Thorp—weaving their investment philosophies into a winning, market-beating investment strategy. First book to outline quantitative value strategies as they are practiced by actual market practitioners of the discipline Melds the probabilities and statistics used by quants such as Ed Thorp with the fundamental approaches to value investing as practiced by Warren Buffett and other leading value investors A companion Website contains supplementary material that allows you to learn in a hands-on fashion long after closing the book If you're looking to make the most of your time in today's markets, look no further than Quantitative Value.

Risk-adjusted Momentum Strategies

Author : Tsz Hang Siu
Publisher :
ISBN 13 :
Total Pages : 122 pages
Book Rating : 4.:/5 (656 download)

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Book Synopsis Risk-adjusted Momentum Strategies by : Tsz Hang Siu

Download or read book Risk-adjusted Momentum Strategies written by Tsz Hang Siu and published by . This book was released on 2008 with total page 122 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Investment Strategies Combining Momentum and Volatility

Author : Markus Linder
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (953 download)

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Book Synopsis Investment Strategies Combining Momentum and Volatility by : Markus Linder

Download or read book Investment Strategies Combining Momentum and Volatility written by Markus Linder and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Purpose - The purpose of this thesis is to examine the added value of combining momentum strategies with volatility indicators and their behavior in varying market conditions. Design/methodology/approach - The sample consists of all US stocks traded on AMEX, NYSE and NASDAQ stock exchanges between 1985 and 2013. In particular, illiquid and low-priced stocks are excluded from the sample. The strategy sorts stocks based on past performance in five quintile portfolios. The top and bottom quintile portfolios are further divided into two decile portfolios according to past volatility which are evaluated based on raw and risk-adjusted returns. Findings - The results show that momentum/volatility strategies are able to enhance standard momentum strategies on a raw and risk-adjusted basis. In particular, a strategy that invests long in low volatility recent winners and short in high volatility recent losers is able to reduce overall volatility of the strategy without reducing total profits. Research limitations/implications - The strategy has only been applied to US stocks. It can be further extended into other countries or out-of-sample time periods to see whether it achieves similar results. Practical implications - Momentum strategies are subject to so-called momentum crashes when markets fall quickly and rebound. The presented strategy serves as a point to reduce volatility of the momentum strategy in volatile market conditions while out-performing the standard momentum strategy. Originality/value - To the authors' knowledge, this thesis is the first to analyze the added value from a combination of momentum and volatility indicators by using a double-sorting mechanism on a stock level basis and its impact in varying market conditions.

Risk Adjustment and Trading Strategies

Author : Dong-Hyun Ahn
Publisher :
ISBN 13 :
Total Pages : 60 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Risk Adjustment and Trading Strategies by : Dong-Hyun Ahn

Download or read book Risk Adjustment and Trading Strategies written by Dong-Hyun Ahn and published by . This book was released on 2012 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we assess the profitability of momentum trading strategies using a stochastic discount factor approach. We estimate the stochastic discount factor from a set of basis assets, assuming that the law of one price (or, alternatively, no-arbitrage) holds, and simultaneously assess the risk-adjusted performance of the trading strategies. Our method has the advantages that we need not specify (and therefore perhaps misspecify) a particular parametric model to assess performance, and the method can easily encompass conditional or time-varying moments. In unconditional tests, some profitability of the trading strategies remains relative to the basis asset benchmark, although the level of momentum profits declines substantially after risk adjustment. When expectations are allowed to vary conditional on a limited set of public information, no abnormal profits remain. This result contrasts sharply with those observed when a CAPM benchmark is used. To understand this difference, we investigate the relation between the risk of momentum strategies and the magnitude of the risk premium. We show analytically that the risk of a momentum strategy should be increasing with respect to the market risk premium. Empirically, while the risk measures of the strategies, estimated relative to the stochastic discount factor, behave as predicted, market betas do not. This suggests that the use of CAPM benchmarks to assess the risk-adjusted performance of momentum strategies may lead to incorrect inferences.

Risk-Based and Factor Investing

Author : Emmanuel Jurczenko
Publisher : Elsevier
ISBN 13 : 0081008112
Total Pages : 488 pages
Book Rating : 4.0/5 (81 download)

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Book Synopsis Risk-Based and Factor Investing by : Emmanuel Jurczenko

Download or read book Risk-Based and Factor Investing written by Emmanuel Jurczenko and published by Elsevier. This book was released on 2015-11-24 with total page 488 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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

The Effective Combination of Risk-Based Strategies with Momentum and Trend Following

Author : Grégory Guilmin
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis The Effective Combination of Risk-Based Strategies with Momentum and Trend Following by : Grégory Guilmin

Download or read book The Effective Combination of Risk-Based Strategies with Momentum and Trend Following written by Grégory Guilmin and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The Efficient Market Hypothesis (EMH) has been widely called into question in the investment literature, through two main anomalies: timing and low-volatility anomalies. In this paper, we aim to combine the predictive power of timing and low-volatility strategies to deliver better risk-adjusted portfolio performance. We adopt a two-step approach for a constant dataset composed of 18 country MSCI stock market indices over the 1975-2014 period. First, we use different timing strategies: moving averages and momentum. We select stock market indices based on different moving averages (6, 8, 10, and 12 months), while the momentum strategy ranks the different stock market indices into momentum subsets (low, medium, and high momentum). After the first step using the different timing strategies, the second step consists in building risk-based portfolios (MV, ERC, and MD) as well as 1/N benchmark portfolios for each of these timing strategies. Our results highlight the effectiveness, the relevance and the robustness of our approach. First, risk-based portfolios using relevant timing strategy indeed provide better returns, lower volatilities, higher Sharpe ratios, and lower Value-at-Risk (VaR) and Expected Shortfall (ES) than traditional risk-based portfolios. The second contribution of our approach features that risk-based strategies provide better risk-adjusted returns and lower VaR and ES than the 1/N portfolio within a context in which the first step is dedicated to the application of a relevant timing strategy. Finally, among these risk-based portfolios using relevant timing strategies, the MD and MV portfolios usually obtain the best risk-adjusted performance.

Your Complete Guide to Factor-Based Investing

Author : Andrew L. Berkin
Publisher :
ISBN 13 : 9780692783658
Total Pages : 360 pages
Book Rating : 4.7/5 (836 download)

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Book Synopsis Your Complete Guide to Factor-Based Investing by : Andrew L. Berkin

Download or read book Your Complete Guide to Factor-Based Investing written by Andrew L. Berkin and published by . This book was released on 2016-10-07 with total page 360 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Rule Based Investing

Author : Chiente Hsu
Publisher : Pearson Education
ISBN 13 : 0133354342
Total Pages : 188 pages
Book Rating : 4.1/5 (333 download)

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Book Synopsis Rule Based Investing by : Chiente Hsu

Download or read book Rule Based Investing written by Chiente Hsu and published by Pearson Education. This book was released on 2014 with total page 188 pages. Available in PDF, EPUB and Kindle. Book excerpt: Use rule-based investment strategies to maintain trading and investment discipline, and protect yourself from fear, greed, pride, and other costly emotions! Since the mid-1990s, assets under management in rule-based or non-discretionary hedge funds have outgrown those in discretionary or qualitative funds. Recent research shows that rule-based funds have outperformed discretionary funds on a risk-adjusted basis over the past 30 years, and have especially outperformed during recent financial crises. This is the first comprehensive guide to designing and applying these sophisticated strategies. Combining academic rigor and practical applications, it explains what rule-based investment strategies are, how to construct them, and how to distinguish bad ones from good ones. Unlike any other guide, it systematically covers every facet of the topic, including Forex, rates, emerging markets, equity, volatility, and other key topics. Credit Suisse head of global strategy and modeling, Chiente Hsu, covers carry, momentum, seasonality, and value-based strategies; as well as the construction of portfolios of rule-based strategies that support diversification. Replete with realistic examples, this book will be a valuable resource for everyone concerned with effective investing, from traders to specialists in applied corporate finance.

Comparing Value and Momentum Strategies

Author :
Publisher :
ISBN 13 :
Total Pages : 134 pages
Book Rating : 4.E/5 ( download)

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Book Synopsis Comparing Value and Momentum Strategies by :

Download or read book Comparing Value and Momentum Strategies written by and published by . This book was released on 1998 with total page 134 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Equity Smart Beta and Factor Investing for Practitioners

Author : Khalid Ghayur
Publisher : John Wiley & Sons
ISBN 13 : 1119583454
Total Pages : 496 pages
Book Rating : 4.1/5 (195 download)

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Book Synopsis Equity Smart Beta and Factor Investing for Practitioners by : Khalid Ghayur

Download or read book Equity Smart Beta and Factor Investing for Practitioners written by Khalid Ghayur and published by John Wiley & Sons. This book was released on 2019-05-29 with total page 496 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.