By Emmanuel Jurczenko

This ebook is a compilation of contemporary articles written through top lecturers and practitioners within the sector of risk-based and issue making an investment (RBFI).

The articles are meant to introduce readers to a couple of the newest, leading edge examine encountered by way of lecturers and pros facing RBFI ideas. jointly the authors aspect either replacement non-return established portfolio development options and making an investment type hazard premia strategies.

Each bankruptcy offers with new tools of creating strategic and tactical risk-based portfolios, developing and mixing systematic issue options and assessing the similar rules-based funding performances. This publication might help portfolio managers, asset vendors, experts, lecturers and scholars who desire to additional their knowing of the technological know-how and paintings of risk-based and issue investing.

  • Contains updated study from the components of RBFI
  • Features contributions from top lecturers and practitioners during this field
  • Features discussions of recent tools of creating strategic and tactical risk-based portfolios for practitioners, teachers and students

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Sample text

This rule shows that the behavior of traditional smart beta portfolios (EW, GMV, ERC and MDP) is not homogeneous across time in terms of volatility reduction and tracking error. 11. The bottom and top of the box indicate the first and third quartiles of the statistics, the line inside the box corresponds to the median, whereas the ends of whiskers are the minimum and the maximum. We notice that the volatility reduction depends on the underlying index. However, we do not observe a strong relationship with the size of the universe, except for the GMV portfolio.

We consider the following set of parameters: Set (1) (2) (3) (4) (5) Achievable λ Portfolios RP-ERC-MDP ∈ R+ CW-ERC-MDP 0 CW-ERC ∈ R+ CW-GMV 0 EW-MDP ∈ R+ γ δ κ 1 0 0 1 0 ∈ [0, 1] 1 0 1 0 1 − κ ∈ [0, 1] 1 1 − e−λ 0 For each set, we indicate the achievable portfolios. For instance, if κ = 1 (and δ = 0), we obtain the CW portfolio. Depending on the values of λ and γ, we can then build risk-based portfolios between CW and another smart beta portfolio. For instance, if λ ∈ R+ and γ = 1, we obtain solutions between the CW portfolio and the ERC portfolio.

How to rate management of investment funds”, Harvard Business Review, vol. 43, pp. 63–75, 1966. , “Dynamic asset allocation strategies based on unexpected volatility”, The Journal of Alternative Investments, vol. 16, no. 4, pp. 37–50, 2014. 2 Smart Beta: Managing Diversification of Minimum Variance Portfolios In this chapter, we consider a new framework for understanding risk-based portfolios (global minimum variance (GMV), equally weighted (EW), equal risk contribution (ERC) and most diversified portfolio (MDP)).

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