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| Author | : Jacques Lussier |
| Publisher | : CFA Institute Research Foundation |
| Total Pages | : 40 |
| Release | : 2016-10-10 |
| Genre | : Business & Economics |
| ISBN | : 1944960090 |
| Author | : |
| Publisher | : |
| Total Pages | : |
| Release | : 2016 |
| Genre | : |
| ISBN | : 9781944960087 |
| Author | : Jacques Lussier |
| Publisher | : |
| Total Pages | : 40 |
| Release | : 2017 |
| Genre | : |
| ISBN | : |
On 8 October 2015, CFA Montréal hosted its annual Asset Allocation Forum under the theme “Portfolio Structuring and the Value of Forecasting.” Two asset management approaches were compared: • The factor investing approach, which relies on identifying common factors in security returns determining which factors represent compensated risks, and then extracting returns from a larger and more balanced set of compensated risks than traditional cap-weighted indices do • The traditional approach, which relies on explicit forecasts of security - or industry-specific expected returns made by asset managers Traditional asset management has sustained much criticism in recent years. Few active managers outperform their benchmark after fees over longer time horizons, such as 5 to 10 years. There has been much empirical evidence supporting the view that professional forecasters cannot predict or that their predictions explain only a very small part of the variability of asset returns. Hence, many investors are starting to embrace factor investing, which is becoming more commoditized and is often accessible at a lower cost. However, even the factor investing approach relies on forecasts of expected returns, although the forecasts are implicit. Factor investors are not forecasting that the utility sector is likely to outperform the energy sector by X% over the next year (an explicit forecast), but they make the implicit forecast that, for example, value stocks are likely to outperform growth stocks in the long run. Hence, both approaches rely on some form of forecasting. The objective of this forum was to shed some light on the factor investing approach, often called “smart beta,” while discussing recent developments in forecasting capabilities that may spur renewed interest in traditional asset management approaches. The conference attracted five top speakers in their respective field. Two of these speakers discussed the factor approach - Andrew Ang of BlackRock and Mark Carhart, CFA, of Kepos Capital. The other three speakers discussed our ability to predict - Craig Bodenstab, CFA, of Orbis, David Rapach of Saint Louis University, and Philip E. Tetlock of the University of Pennsylvania. Each speaker wrote up the most important aspects of his speech, and the write-ups are included in this brief.
| Author | : Stephen Satchell |
| Publisher | : Elsevier |
| Total Pages | : 299 |
| Release | : 2011-04-08 |
| Genre | : Business & Economics |
| ISBN | : 0080550673 |
Forecasting returns is as important as forecasting volatility in multiple areas of finance. This topic, essential to practitioners, is also studied by academics. In this new book, Dr Stephen Satchell brings together a collection of leading thinkers and practitioners from around the world who address this complex problem using the latest quantitative techniques. *Forecasting expected returns is an essential aspect of finance and highly technical *The first collection of papers to present new and developing techniques *International authors present both academic and practitioner perspectives
| Author | : John L. Maginn |
| Publisher | : John Wiley & Sons |
| Total Pages | : 1760 |
| Release | : 2010-03-18 |
| Genre | : Business & Economics |
| ISBN | : 0470635347 |
"A rare blend of a well-organized, comprehensive guide to portfolio management and a deep, cutting-edge treatment of the key topics by distinguished authors who have all practiced what they preach. The subtitle, A Dynamic Process, points to the fresh, modern ideas that sparkle throughout this new edition. Just reading Peter Bernstein's thoughtful Foreword can move you forward in your thinking about this critical subject." —Martin L. Leibowitz, Morgan Stanley "Managing Investment Portfolios remains the definitive volume in explaining investment management as a process, providing organization and structure to a complex, multipart set of concepts and procedures. Anyone involved in the management of portfolios will benefit from a careful reading of this new edition." —Charles P. Jones, CFA, Edwin Gill Professor of Finance, College of Management, North Carolina State University
| Author | : Söhnke M. Bartram |
| Publisher | : CFA Institute Research Foundation |
| Total Pages | : 95 |
| Release | : 2020-08-28 |
| Genre | : Business & Economics |
| ISBN | : 195292703X |
Artificial intelligence (AI) has grown in presence in asset management and has revolutionized the sector in many ways. It has improved portfolio management, trading, and risk management practices by increasing efficiency, accuracy, and compliance. In particular, AI techniques help construct portfolios based on more accurate risk and return forecasts and more complex constraints. Trading algorithms use AI to devise novel trading signals and execute trades with lower transaction costs. AI also improves risk modeling and forecasting by generating insights from new data sources. Finally, robo-advisors owe a large part of their success to AI techniques. Yet the use of AI can also create new risks and challenges, such as those resulting from model opacity, complexity, and reliance on data integrity.
| Author | : Richard O. Michaud |
| Publisher | : Oxford University Press |
| Total Pages | : 145 |
| Release | : 2008-03-03 |
| Genre | : Business & Economics |
| ISBN | : 0199715793 |
In spite of theoretical benefits, Markowitz mean-variance (MV) optimized portfolios often fail to meet practical investment goals of marketability, usability, and performance, prompting many investors to seek simpler alternatives. Financial experts Richard and Robert Michaud demonstrate that the limitations of MV optimization are not the result of conceptual flaws in Markowitz theory but unrealistic representation of investment information. What is missing is a realistic treatment of estimation error in the optimization and rebalancing process. The text provides a non-technical review of classical Markowitz optimization and traditional objections. The authors demonstrate that in practice the single most important limitation of MV optimization is oversensitivity to estimation error. Portfolio optimization requires a modern statistical perspective. Efficient Asset Management, Second Edition uses Monte Carlo resampling to address information uncertainty and define Resampled Efficiency (RE) technology. RE optimized portfolios represent a new definition of portfolio optimality that is more investment intuitive, robust, and provably investment effective. RE rebalancing provides the first rigorous portfolio trading, monitoring, and asset importance rules, avoiding widespread ad hoc methods in current practice. The Second Edition resolves several open issues and misunderstandings that have emerged since the original edition. The new edition includes new proofs of effectiveness, substantial revisions of statistical estimation, extensive discussion of long-short optimization, and new tools for dealing with estimation error in applications and enhancing computational efficiency. RE optimization is shown to be a Bayesian-based generalization and enhancement of Markowitz's solution. RE technology corrects many current practices that may adversely impact the investment value of trillions of dollars under current asset management. RE optimization technology may also be useful in other financial optimizations and more generally in multivariate estimation contexts of information uncertainty with Bayesian linear constraints. Michaud and Michaud's new book includes numerous additional proposals to enhance investment value including Stein and Bayesian methods for improved input estimation, the use of portfolio priors, and an economic perspective for asset-liability optimization. Applications include investment policy, asset allocation, and equity portfolio optimization. A simple global asset allocation problem illustrates portfolio optimization techniques. A final chapter includes practical advice for avoiding simple portfolio design errors. With its important implications for investment practice, Efficient Asset Management 's highly intuitive yet rigorous approach to defining optimal portfolios will appeal to investment management executives, consultants, brokers, and anyone seeking to stay abreast of current investment technology. Through practical examples and illustrations, Michaud and Michaud update the practice of optimization for modern investment management.
| Author | : Sebastien Page |
| Publisher | : McGraw Hill Professional |
| Total Pages | : 256 |
| Release | : 2020-11-10 |
| Genre | : Business & Economics |
| ISBN | : 1260474887 |
Generate solid, long-term profits with a portfolio allocated for your investing needs Asset allocation is the key to investing performance. Unfortunately, no single approach works perfectly—developing the right balance requires a clear-eyed look at the many models available to you, various investing methodologies, and your or your client’s level of risk tolerance. And that’s where this important guide comes in. Written by a leading allocation expert from T. Rowe Price, Beyond Diversification provides the knowledge, insights, and approaches you need to make the best allocation decisions for your goals. This deep dive into the how’s and why’s of asset allocation is organized by the three decisive components of a successfully allocated portfolio: Return Forecasting discusses the desired return investors seek. Risk Forecasting covers the level of risk investors are prepared to assume to achieve that return. Portfolio Construction calibrates the stock-bond mix that balances the risks and returns. With examples from T. Rowe Price’s asset allocation team showing you how the process works in the real world, Beyond Diversification provides everything you need to find the asset combination that will deliver the results you seek. You’ll learn how to choose the right tradeoffs, build the most effective asset allocation combination for your needs, and dramatically increase your odds of success for the long run.
| Author | : Michael McMillan |
| Publisher | : John Wiley & Sons |
| Total Pages | : 149 |
| Release | : 2011-02-08 |
| Genre | : Business & Economics |
| ISBN | : 047091582X |
Companion workbook to the CFA Institute's Investments: Principles of Portfolio and Equity Analysis Workbook In a world of specialization, no other profession likely requires such broad, yet in-depth knowledge than that of financial analyst. Investments: Principles of Portfolio and Equity Analysis provides the broad-based knowledge professionals and students of the markets need to manage money and maximize return. This companion Workbook, also edited by experts from the CFA Institute, allows busy professionals to gain a stronger understanding of core investment topics. The Workbook Includes learning outcomes, summaries, and problems and solutions sections for each chapter in the main book Blends theory and practice Provides access to the highest quality information on investment analysis and portfolio management With Investments: Analysis and Portfolio Management Workbook, busy professionals can reinforce what they've learned in reading Investments, while doing so at their own pace.
| Author | : John L. Maginn |
| Publisher | : John Wiley & Sons |
| Total Pages | : 242 |
| Release | : 2007-04-18 |
| Genre | : Business & Economics |
| ISBN | : 047017160X |
In the Third Edition of Managing Investment Portfolios, financial experts John Maginn, Donald Tuttle, Jerald Pinto, and Dennis McLeavey provide complete coverage of the most important issues surrounding modern portfolio management. Now, in Managing Investment Portfolios Workbook, Third Edition, they offer you a wealth of practical information and exercises that will solidify your understanding of the tools and techniques associated with this discipline. This comprehensive study guide--which parallels the main book chapter by chapter--contains challenging problems and a complete set of solutions as well as concise learning outcome statements and summary overviews. Topics reviewed include: The portfolio management process and the investment policy statement Managing individual and institutional investor portfolios Capital market expectations, fixed income, equity, and alternative investment portfolio management Monitoring and rebalancing a portfolio Global investment performance standards
