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

1. Advances in Portfolio Risk Control
2. Smart Beta: Managing Diversification of Minimum Variance Portfolios
3. Trend-following, Risk-parity and the Influence of Correlations
4. Diversifying Risk Parity: In Today, Out Tomorrow?
5. Robust Portfolio Allocation with Systematic Risk Contribution Restrictions
6. Risk -based Investing but What Risk(s)?
7. Target Volatility
8. Smart Beta Equity Investing Through Calm and Storm
9. Solving the Rebalancing Premium Puzzle
10. Smart Betas: Theory and Construction
11. Low-risk Anomaly Everywhere: Evidence from Equity Sectors
12. The Low Volatility Anomaly and the Preference for Gambling
13. The Low Beta Anomaly and Interest Rates
14. Factoring Profitability
15. Deploying Multi-factor Index Allocations in Institutional Portfolios
16. Defining the Equity Premium, a Framework
17. Designing Multi-Factor Equity Portfolios
18. Factor Investing and Portfolio Construction Techniques
19. Multi-Factor Portfolio Construction for Passively Managed Factor Portfolios
20. Statistical Overfitting and Backtest Performance