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Author: Gary Antonacci
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Mean variance analysis has long been utilized as a tool for portfolio construction. In this paper we see how it can also be used for exploring the diverse asset classes represented by exchange traded funds and notes. Mid-cap stocks and mortgage-backed bonds may offer under exploited investment opportunities.We will also see how a timing overlay can add considerable value in constructing efficient portfolios of exchange traded funds and notes.
Author: Gary Antonacci
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Mean variance analysis has long been utilized as a tool for portfolio construction. In this paper we see how it can also be used for exploring the diverse asset classes represented by exchange traded funds and notes. Mid-cap stocks and mortgage-backed bonds may offer under exploited investment opportunities.We will also see how a timing overlay can add considerable value in constructing efficient portfolios of exchange traded funds and notes.
Author: Henrik Lumholdt
Publisher: Springer
ISBN: 3319895540
Category : Business & Economics
Languages : en
Pages : 259
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Book Description
This book covers each step in the asset allocation process, addressing as many of the relevant questions as possible along the way. How can we formulate expectations about long-term returns? How relevant are valuations? What are the challenges to optimizing the portfolio? Can factor investing add value and, if so, how can it be implemented? Which are the key performance drivers for each asset class, and what determines how they are correlated? How can we apply insights about the business cycle to tactical asset allocation? The book is aimed at finance professionals and others looking for a coherent framework for decision-making in asset allocation, both at the strategic and tactical level. It stresses analysis rather than pre-conceived ideas about investments, and it draws on both empirical research and practical experience to give the reader as strong a background as possible.
Author: Peng Wang
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
We present several active strategies for combining value and momentum strategies in a tactical asset allocation (TAA) framework. We refine the basic yield approach to valuation by standardizing the value signal using the Z-score. Such standardization not only enables us to directly compare valuation measures across asset classes, but also offers insight about each asset class's absolute valuation by its own standard. Under the nonlinear approach, it helps to identify market peaks and bottoms. We improve the momentum strategy by considering both relative and absolute performances. In the combined tactical asset allocation model, this modification to momentum acts as a simple mechanism to adjust the importance of value and momentum strategies under different market conditions. Our combined model takes advantage of both short-term momentum effects and long-term mean-reversion in valuation to achieve superior overall portfolio performance. Finally, we also provide alternative models for smaller tracking errors.
Author: Gary Antonacci
Publisher: McGraw Hill Professional
ISBN: 0071849459
Category : Business & Economics
Languages : en
Pages : 256
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Book Description
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.
Author: Wai Lee
Publisher: John Wiley & Sons
ISBN: 9781883249724
Category : Business & Economics
Languages : en
Pages : 168
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Book Description
Asset allocation has long been viewed as a safe bet for reducing risk in a portfolio. Asset allocators strive to buy when prices are low and sell when prices rise. Tactical asset allocation (TAA) practitioners tend to emphasize shorter-term adjustments, reducing exposure when recent market performance has been good, and increasing exposure in a slipping market (in contrast to dynamic asset allocation, or portfolio insurance). As interest in this technique continues to grow, J.P. Morgan's Wai Lee provides comprehensive coverage of the analytical tools needed to successfully implement and monitor tactical asset allocation.
Author: Peng Wang
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
The authors build on traditional mean-variance optimization with a quantitative framework for combining the best of science and judgment in selecting an asset allocation for long horizon investors such as endowments. The novelty of their approach lies in its ability to balance the desire for long-term returns with the need to manage short-term risk and funding constraints, important goals but often in conflict. In order to reap the benefits of long-term risk premia, investors must be able to withstand occasional short-run painful drawdowns. The authors show how their unified approach can be used to examine how different combinations of asset classes, spending rates, and even alpha impact the policy portfolio over various planning horizons. The framework merges the science of portfolio optimization with a structure that informs sound judgment in determining an organization's strategic asset allocation and spending policies.
Author: Emmanuel Jurczenko
Publisher: Elsevier
ISBN: 0081008112
Category : Business & Economics
Languages : en
Pages : 488
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Book Description
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
Author: Daniel Hosp
Publisher:
ISBN: 9783656367666
Category :
Languages : en
Pages : 28
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Book Description
Seminar paper from the year 2012 in the subject Business economics - Investment and Finance, grade: -, University of Innsbruck, course: Sales Management in Banking and Finance, language: English, comment: Under the current fincial crisis and the uncertain market conditions asset management strategies become even more important. But is a more complex and dynamic strategy which is mostly refered to higher costs really outperforming. This and other questions dealing with strategic and dynamic asset management are treated within this paper., abstract: Asset allocation strategies are a frequently discussed topic with increasing importance in times of crisis. Such strategies should prevent us from price deterioration in bad times and ensure high return potentials in good times. More and more tactical asset allocation funds emerge and promise better returns than simple strategy funds. They always try to be on the right market side, in up as well as in down phases. This seminar paper deals with some basic question about what strategic and tactical asset allocation is, when should it be used and if these strategies are appropriate in a highly uncertain environment like the current. It should give the reader a broad overview about the topic by referring to different accepted theories and studies. First the development of asset allocation methods will be described resulting in strategic and tactical asset allocation and an evaluation of them. Furthermore a link toward uncertain market conditions will be compounded.
Author: Sathish Umapathy
Publisher:
ISBN:
Category :
Languages : en
Pages : 22
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Book Description
Strategic asset allocations are based on the longer term view of the assets return and the tactical asset allocation captures the short term views from the market environment. Although numerous studies are conducted on these approaches separately, there are no studies which summarise the results of a combined approach. The studies conducted assume that the other model is readily available. In this paper, we would like to address this by analysing the effects of overlay approaches applied to the equal risk-weighted and equal-weighted portfolios. Minimum CVAR equal risk-weighted portfolio provides an attractive compromise between the good risk-adjusted return properties of the minimum risk portfolio and the positive return potential and low portfolio turnover of an equally weighted portfolio and this makes it a good candidate for a strategic portfolio. To enhance its returns, we constructed overlay approaches using value and momentum signals. We compared the results of the constructed portfolios against the equal-weighted portfolios with overlays and found that different overlays work well with different base portfolios. We found that the value strategy enhanced the risk-adjusted returns of an equal risk-weighted portfolio but not an equal-weighted portfolio. Similarly, we observed that a combined momentum-value strategy works well with the equal-weighted portfolio but not with the equal risk-weighted portfolio. We also found that the momentum strategy works well with both the portfolios. We extended our analysis to different crisis-periods and observed that the combined overlay has a positive effect on already well performing equal risk-weighted portfolios but not on the equal-weighted portfolios. We observed the reverse during the bull periods. Thus we conclude that the overlays add value to the strategic portfolios and the challenge is in identifying the right one under a given macro-economic condition.
Author: Bjoern Fastrich
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
The well-known difficulties in obtaining satisfactory results with Markowitz' intuitive portfolio theory have lead to an innumerable amount of proposed advancements by researchers and practitioners. As different as these approaches are, they typically appear to exhibit a satisfactory out-of-sample performance; however, at the same time, studies show that the equally weighted portfolio still cannot be dominated by them. The starting point of our study is therefore not an(other) entirely new idea, which is based on a new strategy we claim performs well, but instead the acknowledgement that the strategies proposed in earlier studies have specific advantages, which, though not consistently apparent, might prevail in specific and possible rare situations of dynamic markets. We therefore propose a strategy that "learns from" a population of already existing strategies and dynamically combines their respective characteristics, resulting in a strategy that is expected to perform best in light of the expected/predicted market situation. We show that our approach is successful by carrying out an empirical backtest study applied in a multi-asset setting for investor clienteles with mean-variance, mean-conditional value-at-risk, and maximum Omega utility functions. The improvements of our flexible approach, which include a higher mean return and lower volatility, stay (statistically) significant, even when we take into account transaction costs and improve the competing strategies by employing robust input parameter estimates.
