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Author: Sebastian Riegler-Rittner
Publisher: BoD – Books on Demand
ISBN: 3941482211
Category :
Languages : en
Pages : 270
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Book Description
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.
Author: Sebastian Riegler-Rittner
Publisher: BoD – Books on Demand
ISBN: 3941482211
Category :
Languages : en
Pages : 270
Get Book Here
Book Description
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.
Author: Martin L. Leibowitz
Publisher: John Wiley & Sons
ISBN: 0470484942
Category : Business & Economics
Languages : en
Pages : 504
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Book Description
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.
Author: Institutional Investor (Firm)
Publisher:
ISBN:
Category : Hedging (Finance)
Languages : en
Pages : 255
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Book Description
Author: Alex Frino
Publisher:
ISBN:
Category :
Languages : en
Pages : 53
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Book Description
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.
Author: Stephen Satchell
Publisher: John Wiley & Sons
ISBN: 1119599326
Category : Business & Economics
Languages : en
Pages : 448
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Book Description
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.
Author: H. Kent Baker
Publisher: John Wiley & Sons
ISBN: 1118282582
Category : Business & Economics
Languages : en
Pages : 660
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Book Description
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.
Author: Brian R. Bruce
Publisher:
ISBN: 9780980048513
Category :
Languages : en
Pages : 255
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Book Description
Author: Martin L. Leibowitz
Publisher: John Wiley & Sons
ISBN: 0470398531
Category : Business & Economics
Languages : en
Pages : 548
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Book Description
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.
Author: Nikiforos T. Laopodis
Publisher: Routledge
ISBN: 0415891620
Category : Business & Economics
Languages : en
Pages : 599
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Book Description
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.
Author: Corporation Limited Essvale Corporation Limited
Publisher: Essvale Corporation Limited
ISBN: 0955412412
Category : Business & Economics
Languages : en
Pages : 183
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Book Description
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.
