Download or read book The Profitability of Style Rotation Strategies in the United Kingdom written by Mario Levis and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The authors investigate the profitability of size and value/growth rotation strategies in the United Kingdom over the last thirty years after adjusting for various levels of forecasting skills and transaction costs. Furthermore, the authors link the size and the value/growth style spreads with a number of business cycle variables, and assess trading rules built upon their ex ante predictions. Their findings provide strong support for small versus large, but not value versus growth style rotation strategies.

Download or read book Flexible Style Investment the Profitability of Style Rotation Strategies in Japan written by Emmanouil Koutsounakis and published by . This book was released on 2003 with total page 98 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Profitability of Style Rotation Strategies in the United Kingdom Value growth and Momentum written by Kam Chuen Tse and published by . This book was released on 2003 with total page 150 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Profitability of Style Rotation Strategies written by Simone Hollenwäger and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Diese Untersuchung überprüft die Profitabilität von Stil Rotationsstrategien in China, Hong Kong, Indien und Singapur. Der Anlagestilwechsel wird anhand der Signalwirkung von makroökonomischen Daten gewechselt. Die Rotationsstrategien werden im Bereich der Unternehmen mit geringem Börsenwert vs. mit hohem Börsenwert und im Bereich der Wertaktien vs. Wachstumsaktien geprüft. Die Resultate werden ebenfalls Robustheitstests unterzogen um eine Aussage über die Implementierbarkeit für private Investoren treffen zu können.

Download or read book Style Rotation Strategies written by Mario Levis and published by . This book was released on 2004 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: Effective implementation of market timing and style rotation strategies poses challenging questions to an active fund manager. In addition to the problems associated in devising a truly viable forecasting model, style rotation has direct implications on portfolio risk constraints and transaction costs; furthermore, implementation depends on institutional constraints and the in-house investment philosophy. Using a variety of implementation rules that explicitly control for risk, we find that style rotation strategies are profitable for investors with different benchmarks and various risk constraints. More specifically, style rotation is as feasible for hedge fund managers who target absolute returns as it is for traditional fund managers who face tight risk constraints. The break-even transaction costs required before the style rotation strategies become unprofitable, are reasonable especially for fund managers who invest in medium sized companies.

Download or read book Equity Style Timing written by Karim Panju and published by . This book was released on 2003 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In their search for "excess returns", investors have always considered timing strategies to be potential value-enhancement tools. While transaction costs in the past have often rendered such strategies unprofitable, we can expect the ongoing decline in these costs to be accompanied by a proliferation of timing strategies by investors. Therefore, being able to time the market accurately has significant implications for researchers and practitioners alike. In this paper, we develop a timing model based on macroeconomic and fundamental public information using Frank Russell large-cap and small-cap style indexes. Despite the fact that there exists an extensive literature on equity style timing, our study differs from other studies in that it attempts to time four different markets segments simultaneously and use a multinomial logit approach as opposed to the more common binary logit approach. The results show that the terminal wealth for the portfolio generated by our model is more than two times larger than the terminal wealth of the best performing buy-and-hold portfolio, suggesting that significant opportunities for "excess returns" can be exploited by implementing a multi-style rotation strategy that employs the investment recommendations of our model. Additional finding shows that the profitability of pursuing such strategy remains in the presence of reasonable levels of transaction costs.

Download or read book Computational Management written by Srikanta Patnaik and published by Springer Nature. This book was released on 2021-05-29 with total page 682 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book offers a timely review of cutting-edge applications of computational intelligence to business management and financial analysis. It covers a wide range of intelligent and optimization techniques, reporting in detail on their application to real-world problems relating to portfolio management and demand forecasting, decision making, knowledge acquisition, and supply chain scheduling and management.

Download or read book Factor Investing written by Emmanuel Jurczenko and published by Elsevier. This book was released on 2017-10-17 with total page 482 pages. Available in PDF, EPUB and Kindle. Book excerpt: This new edited volume consists of a collection of original articles written by leading industry experts in the area of factor investing.The chapters introduce readers to some of the latest research developments in the area of equity and alternative investment strategies.Each chapter deals with new methods for constructing and harvesting traditional and alternative risk premia, building strategic and tactical multifactor portfolios, and assessing related systematic investment performances. This volume will be of help to portfolio managers, asset owners and consultants, as well as academics and students who want to improve their knowledge and understanding of systematic risk factor investing. A practical scope An extensive coverage and up-to-date researcch contributions Covers the topic of factor investing strategies which are increasingly popular amongst practitioners

Download or read book Forecasting Global Style Returns written by and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Investors employing style rotation strategy often face two important challenges: (1) they need a viable forecasting method to predict which styles will outperform the market in the next period, and (2) the effect of transaction cost can potentially eliminate any profit gained from style switching. In this paper, a forecasting framework was developed for two type of econometric approaches: probabilistic and level estimation. The framework was backtested out-of-sample from December 1996 to January 2014, and found to have significant predictive power, with the former approach having more robust performance than the latter. A number of strategies based on the forecasts was constructed and tested against the benchmark MSCI World and the equal holding of selected style indices. The constructed style rotation portfolios was found to be significantly more profitable then the benchmarks, with and without transaction cost. In those portfolios with greater holding periods, the effect of transaction cost was reduced substantially while the benefit of style rotation still retained, thus leaving the proposed forecasting framework and strategy a viable investment alternative for investors.

Download or read book Computational Intelligence Techniques for Trading and Investment written by Christian Dunis and published by Routledge. This book was released on 2014-03-26 with total page 236 pages. Available in PDF, EPUB and Kindle. Book excerpt: Computational intelligence, a sub-branch of artificial intelligence, is a field which draws on the natural world and adaptive mechanisms in order to study behaviour in changing complex environments. This book provides an interdisciplinary view of current technological advances and challenges concerning the application of computational intelligence techniques to financial time-series forecasting, trading and investment. The book is divided into five parts. The first part introduces the most important computational intelligence and financial trading concepts, while also presenting the most important methodologies from these different domains. The second part is devoted to the application of traditional computational intelligence techniques to the fields of financial forecasting and trading, and the third part explores the applications of artificial neural networks in these domains. The fourth part delves into novel evolutionary-based hybrid methodologies for trading and portfolio management, while the fifth part presents the applications of advanced computational intelligence modelling techniques in financial forecasting and trading. This volume will be useful for graduate and postgraduate students of finance, computational finance, financial engineering and computer science. Practitioners, traders and financial analysts will also benefit from this book.

Download or read book Integrated Wealth Management written by Jean L. P. Brunel and published by Euromoney Books. This book was released on 2006 with total page 440 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is an examination of the management of portfolios of high net worth individuals (HNWIs). Jean L.P. Brunel identifies the factors which demand a different approach from that of traditional portfolio management strategy. He suggests a new approach to wealth management, proposing practical steps which will take you beyond the role of portfolio manager to that of "wealth manager". Punctuated by examples and case histories from the author's extensive experience, the book examines each aspect of wealth management in detail, such as the importance of investor psychology; how to maximize tax efficiency including a tax-efficient portfolio construction model; the implications of multiple asset locations; capital market opportunities and forecasting; strategic asset allocation; the importance of manager selection; and the multimanager approach. This ground-breaking book should show you the route to a more effective wealth management strategy. By understanding the needs of the individual investor, maximizing the tax efficiencies and applying a fully integrated approach you can become a successful "wealth manager." -- Publisher description.

Download or read book Study of the Effectiveness of Style Rotation Strategies with Size and Value Effects in European Market written by 黃信閔 and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Dual Momentum Investing An Innovative Strategy for Higher Returns with Lower Risk written by Gary Antonacci and published by McGraw Hill Professional. This book was released on 2014-11-21 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt: The investing strategy that famously generates higher returns with substantially reduced risk--presented by the investor who invented it "A treasure of well researched momentum-driven investing processes." Gregory L. Morris, Chief Technical Analyst and Chairman, Investment Committee of Stadion Money Management, LLC, and author of Investing with the Trend Dual Momentum Investing details the author’s own momentum investing method that combines U.S. stock, world stock, and aggregate bond indices--a formula proven to dramatically increase profits while lowering risk. Antonacci reveals how momentum investors could have achieved long-run returns nearly twice as high as the stock market over the past 40 years, while avoiding or minimizing bear market losses--and he provides the information and insight investors need to achieve such success going forward. His methodology is designed to pick up on major changes in relative strength and market trend. Gary Antonacci has over 30 years experience as an investment professional focusing on under exploited investment opportunities. In 1990, he founded Portfolio Management Consultants, which advises private and institutional investors on asset allocation, portfolio optimization, and advanced momentum strategies. He writes and runs the popular blog and website optimalmomentum.com. Antonacci earned his MBA at Harvard.

Download or read book Predictability of the Swiss Stock Market with Respect to Style written by Patrick Scheurle and published by Springer Science & Business Media. This book was released on 2010-07-03 with total page 185 pages. Available in PDF, EPUB and Kindle. Book excerpt: Patrick Scheurle investigates refined market segments such as small value stocks or large growth stocks with respect to return predictability. The empirical research reveals significant positive first-order serial correlation in the returns of large value stocks, large neutral stocks, small neutral stocks, and small growth stocks.

Download or read book Investment Philosophies written by Aswath Damodaran and published by John Wiley & Sons. This book was released on 2012-06-22 with total page 615 pages. Available in PDF, EPUB and Kindle. Book excerpt: The guide for investors who want a better understanding of investment strategies that have stood the test of time This thoroughly revised and updated edition of Investment Philosophies covers different investment philosophies and reveal the beliefs that underlie each one, the evidence on whether the strategies that arise from the philosophy actually produce results, and what an investor needs to bring to the table to make the philosophy work. The book covers a wealth of strategies including indexing, passive and activist value investing, growth investing, chart/technical analysis, market timing, arbitrage, and many more investment philosophies. Presents the tools needed to understand portfolio management and the variety of strategies available to achieve investment success Explores the process of creating and managing a portfolio Shows readers how to profit like successful value growth index investors Aswath Damodaran is a well-known academic and practitioner in finance who is an expert on different approaches to valuation and investment This vital resource examines various investing philosophies and provides you with helpful online resources and tools to fully investigate each investment philosophy and assess whether it is a philosophy that is appropriate for you.

Download or read book Sector Rotation 4th Edition written by Tony Pow and published by . This book was released on 2020-02 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt: Sector rotation has been proven to make good profits at the least risk if it is properly implemented. This book improves your odds in making profits than traditional schemes in sector rotation by: -Market Timing. When the market is plunging, do not buy any stock including sector ETFs and sector funds. This book provides a simple chart to detect market plunges. Basically it is a sector rotation between SPY (an ETF that simulates the market) and cash (or an ETF of short-term bonds).-The next rotation strategy involves four ETFs in a rising market. Optionally, you can include a contra ETF to time the market. Buy the best performer of last month of the selected ETFs.-Some sectors perform better in different stages of a market cycle.-Many free sites describe the best sector performers such as Seeking Alpha and CNNfn.-Evaluate sector using Technical Analysis (simple charts available free from the web and Fundamental Analysis. Use the same tools to evaluate individual stocks within a performing sector - top-down investing.-You should spend one hour or two a month to determine which sector to rotate to or move your portfolio to cash when the market is risky. The "Buy and hold" strategy does not perform since 2000.-Subscription services. There are many. Even if you subscribe these services, you should read this book to evaluate their services and use this book as a second opinion. When your portfolio is over $100,000, $100 for a yearly subscription should pay itself in the long run.-Market timing by calendar and presidential cycle.-My recent experiences in sector trading. -Be careful on many books on this topic were written by professors who may never make a buck in the stock market. -Some "best" sellers were written more than 10 years ago that do not have today's basic tools such as technical analysis and bear any resemblance to today's market, which can be manipulated by institutional investors.-Most large companies today are global companies. The importance in investing foreign companies to diversify is less important than before.-When China expands, natural resource-rich countries would most likely benefit.-Most similar books have one strategy and this book has 17 strategies. You can combine the strategies such as market timing with last month's best-performed sector.Besides industrial sectors, I include bonds, contra ETFs, sector mutual funds, countries, commodities, etc. Today, most sectors are covered by ETFs. For example, you do not need to buy gold coins to invest in that sector but the ETF GLD.I am not a writer but a retail investor similar to most of my readers. I've been making a comfortable living via my investment ideas that I'm sharing in this book. *** "Sector Rotation: 21 Strategies", a new version, is available. Initially it is the same as this book until mid 2021.Initial version: 02/2020Last update: 01/2021Size: 425 pages (6*9)

Download or read book Performance of 130 30 Strategies written by Sebastian Riegler-Rittner and published by BoD – Books on Demand. This book was released on 2009 with total page 270 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.