In this article, the authors conduct a horse race between representative risk parity portfolios and other asset allocation strategies, including equal weighting, minimum variance, mean–variance optimization, classic 60/40 equity/ bond portfolio. They find that traditional portfolio construction does not consistently outperform (in terms of risk-adjusted return) weighting or model pension fund anchored to equity/bond structure. However, it significantly such optimized strategies as variance...

The United Nations Development Summit in 2015 adopted the “2030 Agenda for Sustainable Development”, establishing a framework Goals (SDGs) with aim of achieving coordinated economic, social, and ecological development worldwide by 2030. “environmental, governance” (ESG) approach is important within concept SDGs subject increasing attention from scholars. Despite China’s significant contributions to SDGs, it still faces numerous challenges terms environmental governance development. With...

This article presents two simple algorithms to calculate the portfolio weights for a risk parity strategy, where asset class covariance information is appropriately taken into consideration achieve “true” equal contribution. Previous implementations of either used naïve 1/vol solution, which ignores correlations, or computed using relatively complicated optimizations solve quadratic minimization program with nonlinear constraints. The iterative presented require only computations and quickly...

In this paper we present new empirical evidence on the agency based asset pricing model of Brennan (1993). We find strong that in recent period stocks whose returns covary more with idiosyncratic component S&P500 return have significantly lower returns, holding constant either market beta or loadings Fama-French factors. The effect is confined mainly to large capitalization stocks, which consistent previous these are favored by institutional investment managers. lack for an earlier years...

Abstract In this paper we summarise and extend the agency‐based model of asset pricing Brennan (1993) to show that implied agency effects on are too small be empirically detectable: empirical tests confirm positive findings Gomez Zapatero (2003) due their choice sample. We also derive new implications for composition institutional investment portfolios major result, will short minimum variance portfolio.

This article presents two simple algorithms to calculate the portfolio weights for a risk parity strategy, where asset class covariance information is appropriately taken into consideration achieve “true” equal contribution. Previous implementations of either used naïve 1/vol solution, which ignores correlations, or computed using relatively complicated optimizations solve quadratic minimization program with nonlinear constraints.The iterative presented require only computations and quickly...

Although hidden, the implicit market impact costs of factor investing may substantially erode a strategy's expected excess returns. The rebalancing data suite large and long-standing factor-investing indexes are used in this study to model these costs. A framework assess activities is introduced. These then attributed characteristics that intuitively describe strategies' demands on liquidity, such as rate turnover concentration turnover. number popular implementations identified, authors...

Author(s): Brennan, Michael J; Li, Feifei; Torous, Walt | Abstract: Dollar Cost Averaging is a strategy for purchasing equity securities that widely recommended by professional investment advisors and commentators, but which has been virtually ignored academic theorists textbook writers. In this paper we explore whether the another instance of irrational behavior individual investors, or it an heuristic survival value in environment security prices exhibit mean reversion only belatedly...

The risks embedded in asset-based risk parity portfolios are explored using a simple, economically motivated approach. Such an approach can go long way toward demystifying and making more explicit the drivers of performance portfolios. Investors use this for robust portfolio construction benchmarking differentiating various approaches. <b>TOPICS:</b>Portfolio management, real assets/alternative investments/private equity,

In historical testing, valuation-indifferent weighting applied to U.S. and global equities has produced statistically significant economically large outperformance when compared with traditional capitalization-weighted benchmarks. this article, the authors apply investment-grade corporate bonds,U.S. high-yield bonds, hard-currency emerging market bonds.They find that fixed-income portfolios constructed using outperform their corresponding cap-weighted The also is higher for markets in which...

Stock characteristics have two sources of predictive power. First, a characteristic might be valuable in identifying high or low expected returns across industries. Second, useful individual stock within an industry. Past studies generally find that the firm-specific component is strongest predictor, leading many to sector neutralize their factor exposures. We show both analytically and empirically average long–short investor more likely benefit from hedging out bets, whereas long-only...

It is well established that stocks with lower price fluctuations tend to outperform riskier ones. This article reviews plausible explanations for the low volatility anomaly and reproduce performance of strategies in different market environments as geographical applications. We further attribute outperformance by decomposing excess returns into well-known sources equity factor premiums. find standard long-only capture not just premium, but, many cases, also rely on other Additionally, we...

Optimized minimum-variance strategies tend to have low liquidity; high turnover; tracking error; and concentrated stock, sector, country positions. Minimum-variance index providers typically mitigate these implementation problems by imposing constraints. The authors construct portfolios for the United States, global developed markets, emerging markets apply commonly used constraints determine their effect on simulated portfolio characteristics, performance, trading costs. they test succeed...

The authors compare the qualitative properties and risk return profiles of simulated multifactor portfolios constructed in accordance with two different methodologies. first, integrating approach, is a process that searches universe for securities have exposures to various target factors selects ones highest composite scores. second, mixing achieves desired exposure multiple by allocating assets across single-factor portfolios. tested designed capture value, momentum, profitability,...

Purpose Corporate entrepreneurship is an important way for organizations to gain competitive advantages and achieve sustainable development. However, few studies pay attention the influence of CEO strategic leadership on corporate entrepreneurship. Drawing social identity theory uncertainty-identity theory, this study aims investigate whether relationship-focused impacts through middle managers’ (MMs’) organizational identification indirect effect moderated by environmental uncertainty....

Investors are displaying a fast-rising appetite for low volatility strategies, given growing academic and empirical evidence of consistent outperformance over the markets from which they drawn. However, many existing volatile strategies optimized, creating biases toward smaller cap stocks over-concentration in small number sectors and/or countries. Instead, we develop heuristic-based design that leads to practical portfolio with superior Sharpe ratio as well more investor- friendly...

At present, the digital economy has become development trend of China's economy. The a huge promotion effect on existing financial transformation, and may even subvert current service model. era requires improving configuration personnel. allows resources to have opportunity flow solve problem idleness In economy, personnel are required thinking. New will require not only understand business, dare innovate, but also diversified skills, including skills business skills. conjunction with new...

In historical testing, valuation-indifferent indexing produces statistically significant and economically large outperformance relative to traditional capitalization-weighted indexes. This result has been found for both U.S. global equity data, as well corporate bonds emerging market bonds. article reports a research application of the method construct two indexes covering international-listed real estate companies. The authors find that outperform corresponding cap-weighted benchmark by...

In this study, the authors examine hypothetical performance of various low volatility strategies in historical U.S., global developed, and emerging markets. The we replicated outperformed cap-weighted market indices due to exposure value, BAB (betting against beta), duration factors. (The factor introduced by here is new literature.) A reduction beta drives drop volatility. report that can contribute a more risk-diversified equity portfolio which earns long-term returns from multiple premium...

Abstract An information‐correction method for testlet‐based tests is introduced. This takes advantage of both generalizability theory ( GT ) and item response IRT ). The measurement error the examinee proficiency parameter often underestimated when a unidimensional conditional‐independence model specified testlet dataset. By using design effect ratio composed random variances that can be easily derived from analysis, it becomes possible to adjust models more appropriate level. In this paper,...