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Author: Jwan Ali
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
This thesis examines the cross-sectional dynamic performance of the US stock markets through Principal Components analysis (PCA). We examine the annual and semi-annual performance, from 1928 to 2015, of the portfolios obtained from the top five principal components from past returns. These capture seventy percent of the variation in assets returns. The first principal component has over ninety percent annual correlation with the market. The second, third, fourth and fifth principal components have persistent characteristics different from the market. A Sharpe Ratio of 0.79 and maximum drawdown of 0.27 could be obtained by investing in a combination of the principal portfolios, compared to a Sharpe ratio of 0.40 for the market and a maximum drawdown of 0.80. The four-factors (market, size, value and momentum) and betting against Beta regressions show a significantly positive alpha, whence portfolio performance cannot be explained by these factors. Importantly, the composite portfolios exposure to industry sectors that are most affected by downturns tends to decline before the downturns take place.
Author: Jwan Ali
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
This thesis examines the cross-sectional dynamic performance of the US stock markets through Principal Components analysis (PCA). We examine the annual and semi-annual performance, from 1928 to 2015, of the portfolios obtained from the top five principal components from past returns. These capture seventy percent of the variation in assets returns. The first principal component has over ninety percent annual correlation with the market. The second, third, fourth and fifth principal components have persistent characteristics different from the market. A Sharpe Ratio of 0.79 and maximum drawdown of 0.27 could be obtained by investing in a combination of the principal portfolios, compared to a Sharpe ratio of 0.40 for the market and a maximum drawdown of 0.80. The four-factors (market, size, value and momentum) and betting against Beta regressions show a significantly positive alpha, whence portfolio performance cannot be explained by these factors. Importantly, the composite portfolios exposure to industry sectors that are most affected by downturns tends to decline before the downturns take place.
Author: Bryan T. Kelly
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
We propose a new asset-pricing framework in which all securities' signals are used to predict each individual return. While the literature focuses on each security's own-signal predictability, assuming an equal strength across securities, our framework is flexible and includes cross-predictability--leading to three main results. First, we derive the optimal strategy in closed form. It consists of eigenvectors of a "prediction matrix,” which we call "principal portfolios.” Second, we decompose the problem into alpha and beta, yielding optimal strategies with, respectively, zero and positive factor exposure. Third, we provide a new test of asset pricing models. Empirically, principal portfolios deliver significant out-of-sample alphas to standard factors in several data sets.
Author: Carl R. Bacon
Publisher: John Wiley & Sons
ISBN: 1119995477
Category : Business & Economics
Languages : en
Pages : 488
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Book Description
Performance measurement and attribution are key tools in informing investment decisions and strategies. Performance measurement is the quality control of the investment decision process, enabling money managers to calculate return, understand the behaviour of a portfolio of assets, communicate with clients and determine how performance can be improved. Focusing on the practical use and calculation of performance returns rather than the academic background, Practical Portfolio Performance Measurement and Attribution provides a clear guide to the role and implications of these methods in today's financial environment, enabling readers to apply their knowledge with immediate effect. Fully updated from the first edition, this book covers key new developments such as fixed income attribution, attribution of derivative instruments and alternative investment strategies, leverage and short positions, risk-adjusted performance measures for hedge funds plus updates on presentation standards. The book covers the mathematical aspects of the topic in an accessible and practical way, making this book an essential reference for anyone involved in asset management.
Author: Genevieve Brown
Publisher: Corwin Press
ISBN: 9780761977001
Category : Business & Economics
Languages : en
Pages : 76
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Book Description
This resource shows how a portfolio can help administrators and principals engage in the reflection and continued growth necessary to create improved schools and learning. It contains hands-on, practical information on how to develop and use the portfolio to document growth, demonstrate the accomplishment of goals, and enhance performance and career advancement. This revised edition features a new section on electronic portfolios and contains expanded information on using portfolios for professional development and evaluation. There is a new focus on academic growth in administrator preparation. The chapters are: (1) "The Principal Portfolio: Why It's Needed"; (2) "What Is Included in the Principal Portfolio?"; (3) "The Principal Portfolio for Professional Growth"; (4) "The Principal Portfolio for Evaluation"; and (5) "The Principal Portfolio for Career Advancement." (Contains 18 figures and 46 references.) (SLD)
Author: Edwin J. Elton
Publisher: World Scientific
ISBN: 9814335401
Category : Business & Economics
Languages : en
Pages : 417
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Book Description
This book contains the recent contributions of Edwin J. Elton and Martin J. Gruber to the field of investments. All of the articles in this book have been published in the leading finance and economic journals. Sixteen of the twenty articles have been published in the last ten years. This book supplements the earlier contributions of the editors published by MIT Press in 1999.
Author: George O. Aragon
Publisher: Now Publishers Inc
ISBN: 1601980825
Category : Financial risk management
Languages : en
Pages : 123
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Book Description
This paper provides a review of the methods for measuring portfolio performance and the evidence on the performance of professionally managed investment portfolios. Traditional performance measures, strongly influenced by the Capital Asset Pricing Model of Sharpe (1964), were developed prior to 1990. We discuss some of the properties and important problems associated with these measures. We then review the more recent Conditional Performance Evaluation techniques, designed to allow for expected returns and risks that may vary over time, and thus addressing one major shortcoming of the traditional measures. We also discuss weight-based performance measures and the stochastic discount factor approach. We review the evidence that these newer measures have produced on selectivity and market timing ability for professional managed investment funds. The evidence includes equity style mutual funds, pension funds, asset allocation style funds, fixed income funds and hedge funds.
Author: Frank J. Fabozzi
Publisher: John Wiley & Sons
ISBN: 1119238145
Category : Business & Economics
Languages : en
Pages : 579
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Book Description
A detailed, multi-disciplinary approach to investment analytics Portfolio Construction and Analytics provides an up-to-date understanding of the analytic investment process for students and professionals alike. With complete and detailed coverage of portfolio analytics and modeling methods, this book is unique in its multi-disciplinary approach. Investment analytics involves the input of a variety of areas, and this guide provides the perspective of data management, modeling, software resources, and investment strategy to give you a truly comprehensive understanding of how today's firms approach the process. Real-world examples provide insight into analytics performed with vendor software, and references to analytics performed with open source software will prove useful to both students and practitioners. Portfolio analytics refers to all of the methods used to screen, model, track, and evaluate investments. Big data, regulatory change, and increasing risk is forcing a need for a more coherent approach to all aspects of investment analytics, and this book provides the strong foundation and critical skills you need. Master the fundamental modeling concepts and widely used analytics Learn the latest trends in risk metrics, modeling, and investment strategies Get up to speed on the vendor and open-source software most commonly used Gain a multi-angle perspective on portfolio analytics at today's firms Identifying investment opportunities, keeping portfolios aligned with investment objectives, and monitoring risk and performance are all major functions of an investment firm that relies heavily on analytics output. This reliance will only increase in the face of market changes and increased regulatory pressure, and practitioners need a deep understanding of the latest methods and models used to build a robust investment strategy. Portfolio Construction and Analytics is an invaluable resource for portfolio management in any capacity.
Author: Adam Butler
Publisher: John Wiley & Sons
ISBN: 1119220394
Category : Business & Economics
Languages : en
Pages : 244
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Book Description
Build an agile, responsive portfolio with a new approach to global asset allocation Adaptive Asset Allocation is a no-nonsense how-to guide for dynamic portfolio management. Written by the team behind Gestaltu.com, this book walks you through a uniquely objective and unbiased investment philosophy and provides clear guidelines for execution. From foundational concepts and timing to forecasting and portfolio optimization, this book shares insightful perspective on portfolio adaptation that can improve any investment strategy. Accessible explanations of both classical and contemporary research support the methodologies presented, bolstered by the authors' own capstone case study showing the direct impact of this approach on the individual investor. Financial advisors are competing in an increasingly commoditized environment, with the added burden of two substantial bear markets in the last 15 years. This book presents a framework that addresses the major challenges both advisors and investors face, emphasizing the importance of an agile, globally-diversified portfolio. Drill down to the most important concepts in wealth management Optimize portfolio performance with careful timing of savings and withdrawals Forecast returns 80% more accurately than assuming long-term averages Adopt an investment framework for stability, growth, and maximum income An optimized portfolio must be structured in a way that allows quick response to changes in asset class risks and relationships, and the flexibility to continually adapt to market changes. To execute such an ambitious strategy, it is essential to have a strong grasp of foundational wealth management concepts, a reliable system of forecasting, and a clear understanding of the merits of individual investment methods. Adaptive Asset Allocation provides critical background information alongside a streamlined framework for improving portfolio performance.
Author: David F. Swensen
Publisher: Simon and Schuster
ISBN: 1416554033
Category : Business & Economics
Languages : en
Pages : 433
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Book Description
In the years since the now-classic Pioneering Portfolio Management was first published, the global investment landscape has changed dramatically -- but the results of David Swensen's investment strategy for the Yale University endowment have remained as impressive as ever. Year after year, Yale's portfolio has trumped the marketplace by a wide margin, and, with over $20 billion added to the endowment under his twenty-three-year tenure, Swensen has contributed more to Yale's finances than anyone ever has to any university in the country. What may have seemed like one among many success stories in the era before the Internet bubble burst emerges now as a completely unprecedented institutional investment achievement. In this fully revised and updated edition, Swensen, author of the bestselling personal finance guide Unconventional Success, describes the investment process that underpins Yale's endowment. He provides lucid and penetrating insight into the world of institutional funds management, illuminating topics ranging from asset-allocation structures to active fund management. Swensen employs an array of vivid real-world examples, many drawn from his own formidable experience, to address critical concepts such as handling risk, selecting advisors, and weathering market pitfalls. Swensen offers clear and incisive advice, especially when describing a counterintuitive path. Conventional investing too often leads to buying high and selling low. Trust is more important than flash-in-the-pan success. Expertise, fortitude, and the long view produce positive results where gimmicks and trend following do not. The original Pioneering Portfolio Management outlined a commonsense template for structuring a well-diversified equity-oriented portfolio. This new edition provides fund managers and students of the market an up-to-date guide for actively managed investment portfolios.
Author: Edwin J. Elton
Publisher: John Wiley & Sons
ISBN: 0470388323
Category : Business & Economics
Languages : en
Pages : 748
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Book Description
An update of a classic book in the field, Modern Portfolio Theory examines the characteristics and analysis of individual securities as well as the theory and practice of optimally combining securities into portfolios. It stresses the economic intuition behind the subject matter while presenting advanced concepts of investment analysis and portfolio management. Readers will also discover the strengths and weaknesses of modern portfolio theory as well as the latest breakthroughs.
