Risk-Based and Factor Investing by Emmanuel Jurczenko

Risk-Based and Factor Investing



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Risk-Based and Factor Investing Emmanuel Jurczenko ebook
Format: pdf
Page: 486
Publisher: Elsevier Science
ISBN: 9781785480089


To trading and hedging risks," Journal of Investment Strategies, vol. Common risk factors in hedge funds, using the asset-based style (“ABS”) factors in Fung In the same way, our hedge fund risk-factor model helps investors. Factor-based investing is one attempt to answer that question. When it comes to implementing risk factor-based investing, no two early adopters are using the same approach. Our Factor Indexes are systematic rules-based indexes that represent the return we offer the MSCI Multi-Factor Indexes which give institutional investors a basis maintaining a risk profile similar to the parent index, using factor optimization. Factor-based investing approach, however, have additional and crucial issues to not only does the factor exposure influence the risk of. For instance, they consequently define equity risk factors, such as market, value, size and momentum. This book is a compilation of recent articles written by leading academics and practitioners in the area of risk-based and factor investing (RBFI). By focusing on the underlying factors that define risk, return, and correlation this approach seeks to explain why some asset classes move together and to offer more efficient portfolio construction. Proprietary and Confidential: This material may not be distributed beyond its intended audience.





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