In the latest edition of the In Practice series, Mark Harrison, CFA, and Phil Davis summarize recent research into whether buying US equities that are underpriced based on simple fundamental-to-price ratios yields better performance than investing in broad market indexes.
Mark Harrison, CFA, looks at combining factors in multifactor portfolios and considers issues of performance measurement in factor investing, in the third installment of his Shortcuts to Factor Investing series.
In the latest installment of his Shortcuts to Factor Investing series, Mark Harrison, CFA, takes a deeper dive into equities and factor investing's wider applications to other asset classes, including fixed income.
After the dust settles, virtually nothing of modern portfolio theory (MPT) will remain, asserts C. Thomas Howard and Jason Voss, CFA. The three pillars on which MPT rests have been toppled, and it is time to move on. There is an alternative way to view securities markets, their movements, and their participants: behavioral finance.
Lidia Bolla, CFA, takes the basic model of factor exposure and applies it to the concept of fundamental indexing in the bond market in her new article, "Fundamental Indexing in the Global Bond Markets: The Risk Exposure Explains It All." She discusses her findings in an interview with Ron Rimkus, CFA.
If investors have the option to cheaply replicate their desired exposures to help solve their portfolio problems, then why shouldn't they? Mark Harrison, CFA, curates the latest insights on what is meant by smart beta and factor investing and how they differ.
“It is not only a low interest rate world, it is also a low expected return world on any long-only investment,” said Antti Ilmanen, in his presentation at the 2016 CFA Institute European Investment Conference. Low expected returns are going to anchor bad news for all of us for the rest of our working lifetimes, he said, and maybe beyond.
Instead of creating complex multilinear factor regressions, investors can outperform the market simply by selecting the stocks with the smoothest return profile — good, old, boring stocks that show no drama and a lot of stability, writes Joachim Klement, CFA.
In this reissued book, the authors explore credit risk from four distinct quantitative perspectives — the occurrence, frequency, timing, and severity of a loss — and focus on the core econometric techniques for measuring each aspect. Given the industry failings associated with the recent global financial crisis, it is more important than ever for financial analysts to understand the mechanics of quantitative risk tools.
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