首页 > 最新文献

Journal of Asset Management最新文献

英文 中文
ESG risk and returns implied by demand-based asset pricing models 基于需求的资产定价模型所隐含的环境、社会和治理风险与回报
IF 2.5 Q3 BUSINESS, FINANCE Pub Date : 2024-05-25 DOI: 10.1057/s41260-024-00354-3
Chi Zhang, Xinyang Li, Andrea Tamoni, Misha van Beek, Andrew Ang

We investigate how changes in demand for Environment, Social and Governance (ESG) characteristics affect stock prices. We consider three scenarios: increased demand for ESG characteristics by investors, shifts in assets under management from institutions with low demand for ESG characteristics to those with high demand, and changes in the ESG characteristics of the stocks themselves. To compute the effects of the scenarios, we use a demand-based asset pricing model which is calibrated to individual stock-level holdings of institutional investors. We find that these scenarios lead to significantly different returns of stocks with different ESG characteristics.

我们研究了对环境、社会和治理(ESG)特征需求的变化如何影响股票价格。我们考虑了三种情况:投资者对环境、社会和治理特征的需求增加;管理的资产从对环境、社会和治理特征需求低的机构转移到需求高的机构;股票本身的环境、社会和治理特征发生变化。为了计算这些情景的影响,我们使用了一个基于需求的资产定价模型,并对机构投资者的个股持有量进行了校准。我们发现,这些情景会导致具有不同环境、社会和公司治理特征的股票收益率出现显著差异。
{"title":"ESG risk and returns implied by demand-based asset pricing models","authors":"Chi Zhang, Xinyang Li, Andrea Tamoni, Misha van Beek, Andrew Ang","doi":"10.1057/s41260-024-00354-3","DOIUrl":"https://doi.org/10.1057/s41260-024-00354-3","url":null,"abstract":"<p>We investigate how changes in demand for Environment, Social and Governance (ESG) characteristics affect stock prices. We consider three scenarios: increased demand for ESG characteristics by investors, shifts in assets under management from institutions with low demand for ESG characteristics to those with high demand, and changes in the ESG characteristics of the stocks themselves. To compute the effects of the scenarios, we use a demand-based asset pricing model which is calibrated to individual stock-level holdings of institutional investors. We find that these scenarios lead to significantly different returns of stocks with different ESG characteristics.</p>","PeriodicalId":45953,"journal":{"name":"Journal of Asset Management","volume":"160 1","pages":""},"PeriodicalIF":2.5,"publicationDate":"2024-05-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141148324","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Cost mitigation of factor investing in emerging equity markets 降低新兴股票市场要素投资的成本
IF 2.5 Q3 BUSINESS, FINANCE Pub Date : 2024-05-25 DOI: 10.1057/s41260-024-00353-4
Kay Stankov, Dirk Schiereck, Volker Flögel

At the beginning of factor investing research, the investment universe concentrated on developed markets and transaction costs were paid little attention. Expensive trading costs of factor investing in emerging equity markets influence optimal portfolio decisions. Based on a total costs estimate of factor-based portfolio tilts, a simple cost-mitigation approach increases net performance. Exploiting the structure of market impact, we indirectly control the costs by limiting order sizes relative to their underlying stocks’ short-term liquidity. This cost-efficient strategy yields better implementability and lower-priced turnover while a possible negative effect on gross performance is more than offset.

在要素投资研究的初期,投资领域主要集中在发达市场,交易成本很少受到重视。在新兴股票市场进行因子投资的高昂交易成本影响了最佳投资组合决策。基于因子投资组合倾斜的总成本估算,一种简单的成本缓解方法提高了净业绩。我们利用市场影响的结构,通过限制订单规模与相关股票的短期流动性来间接控制成本。这种具有成本效益的策略能带来更好的可实施性和更低的成交价格,同时对总业绩可能产生的负面影响也被抵消得差不多了。
{"title":"Cost mitigation of factor investing in emerging equity markets","authors":"Kay Stankov, Dirk Schiereck, Volker Flögel","doi":"10.1057/s41260-024-00353-4","DOIUrl":"https://doi.org/10.1057/s41260-024-00353-4","url":null,"abstract":"<p>At the beginning of factor investing research, the investment universe concentrated on developed markets and transaction costs were paid little attention. Expensive trading costs of factor investing in emerging equity markets influence optimal portfolio decisions. Based on a total costs estimate of factor-based portfolio tilts, a simple cost-mitigation approach increases net performance. Exploiting the structure of market impact, we indirectly control the costs by limiting order sizes relative to their underlying stocks’ short-term liquidity. This cost-efficient strategy yields better implementability and lower-priced turnover while a possible negative effect on gross performance is more than offset.</p>","PeriodicalId":45953,"journal":{"name":"Journal of Asset Management","volume":"10 1","pages":""},"PeriodicalIF":2.5,"publicationDate":"2024-05-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141167534","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Core-satellite investing with commodity futures momentum 利用商品期货势头进行核心卫星投资
IF 2.5 Q3 BUSINESS, FINANCE Pub Date : 2024-05-03 DOI: 10.1057/s41260-024-00352-5
Immo Stadtmüller, Benjamin R. Auer, Frank Schuhmacher

Core-satellite strategies are often implemented to combine the benefits of passive and active investing. Our study analyzes a particularly attractive and quasi-frictionless core-satellite approach: Adding active commodity futures momentum satellites to passive cores diversified across traditional asset classes. We show that momentum portfolios, enhanced by long-term reversal and skewness information, are highly valuable satellites. Considering them with low fixed weights, as suggested by popular strategic allocations, leads to significant improvements in investment performance and reduces portfolio sensitivities to shocks in investor fear. In contrast, using time-varying optimized weights based on satellite alphas or tail risk minimization turns out to be less advantageous. Interestingly and regardless of the considered weighting scheme, momentum satellites shine primarily by lowering portfolio risk (instead of increasing portfolio return) which supports modern interpretations of the role of active management.

核心卫星策略通常是为了结合被动投资和主动投资的优势而实施的。我们的研究分析了一种特别有吸引力且准无摩擦的核心卫星方法:在传统资产类别多样化的被动核心中加入主动商品期货动量卫星。我们的研究表明,通过长期反转和偏度信息增强的动量投资组合是极具价值的卫星投资组合。按照流行的战略配置建议,以较低的固定权重考虑动量投资组合,可显著改善投资业绩,降低投资组合对投资者恐惧冲击的敏感性。相比之下,使用基于卫星字母或尾部风险最小化的随时间变化的优化权重则没有那么有利。有趣的是,无论采用哪种加权方案,动量卫星都主要通过降低投资组合风险(而不是增加投资组合回报)来发挥作用,这支持了对主动管理作用的现代解释。
{"title":"Core-satellite investing with commodity futures momentum","authors":"Immo Stadtmüller, Benjamin R. Auer, Frank Schuhmacher","doi":"10.1057/s41260-024-00352-5","DOIUrl":"https://doi.org/10.1057/s41260-024-00352-5","url":null,"abstract":"<p>Core-satellite strategies are often implemented to combine the benefits of passive and active investing. Our study analyzes a particularly attractive and quasi-frictionless core-satellite approach: Adding active commodity futures momentum satellites to passive cores diversified across traditional asset classes. We show that momentum portfolios, enhanced by long-term reversal and skewness information, are highly valuable satellites. Considering them with low fixed weights, as suggested by popular strategic allocations, leads to significant improvements in investment performance and reduces portfolio sensitivities to shocks in investor fear. In contrast, using time-varying optimized weights based on satellite alphas or tail risk minimization turns out to be less advantageous. Interestingly and regardless of the considered weighting scheme, momentum satellites shine primarily by lowering portfolio risk (instead of increasing portfolio return) which supports modern interpretations of the role of active management.</p>","PeriodicalId":45953,"journal":{"name":"Journal of Asset Management","volume":"24 1","pages":""},"PeriodicalIF":2.5,"publicationDate":"2024-05-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140939832","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Deconstructing ESG scores: investing at the category score level 解构环境、社会和公司治理得分:在类别得分层面进行投资
IF 2.5 Q3 BUSINESS, FINANCE Pub Date : 2024-04-20 DOI: 10.1057/s41260-024-00356-1
Torsten Ehlers, Ulrike Elsenhuber, Anandakumar Jegarasasingam, Eric Jondeau

Environmental, social, and governance (ESG) scores are a key tool for asset managers in designing and implementing ESG investment strategies. They, however, amalgamate a broad range of fundamentally different factors, creating ambiguity for investors as to the underlying drivers of higher or lower ESG scores. We explore the feasibility and performance of more targeted investment strategies based on specific ESG categories by deconstructing ESG scores into their granular components. We implement “best-in-class” strategies by excluding firms with the lowest category scores and reinvesting the proceeds in firms with the highest scores, maintaining the same regional and sectoral composition. These approaches reduce the portfolio’s tracking error and slightly improve its risk-adjusted performance, while still yielding large gains in targeted ESG scores.

环境、社会和治理(ESG)评分是资产管理公司设计和实施 ESG 投资战略的重要工具。然而,ESG 分数综合了一系列本质上不同的因素,使投资者对 ESG 分数高低的根本原因模糊不清。我们通过将 ESG 分数分解为细小的组成部分,探索基于特定 ESG 类别的更具针对性的投资策略的可行性和绩效。我们实施 "同类最佳 "策略,剔除类别得分最低的公司,将收益重新投资于得分最高的公司,并保持相同的地区和行业构成。这些方法降低了投资组合的跟踪误差,略微改善了其风险调整后的表现,同时仍能在目标 ESG 分数上获得巨大收益。
{"title":"Deconstructing ESG scores: investing at the category score level","authors":"Torsten Ehlers, Ulrike Elsenhuber, Anandakumar Jegarasasingam, Eric Jondeau","doi":"10.1057/s41260-024-00356-1","DOIUrl":"https://doi.org/10.1057/s41260-024-00356-1","url":null,"abstract":"<p>Environmental, social, and governance (ESG) scores are a key tool for asset managers in designing and implementing ESG investment strategies. They, however, amalgamate a broad range of fundamentally different factors, creating ambiguity for investors as to the underlying drivers of higher or lower ESG scores. We explore the feasibility and performance of more targeted investment strategies based on specific ESG categories by deconstructing ESG scores into their granular components. We implement “best-in-class” strategies by excluding firms with the lowest category scores and reinvesting the proceeds in firms with the highest scores, maintaining the same regional and sectoral composition. These approaches reduce the portfolio’s tracking error and slightly improve its risk-adjusted performance, while still yielding large gains in targeted ESG scores.</p>","PeriodicalId":45953,"journal":{"name":"Journal of Asset Management","volume":"4 1","pages":""},"PeriodicalIF":2.5,"publicationDate":"2024-04-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140626560","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A century of asset allocation crash risk 一个世纪的资产配置碰撞风险
IF 2.5 Q3 BUSINESS, FINANCE Pub Date : 2024-04-02 DOI: 10.1057/s41260-024-00355-2
Mikhail Samonov, Nonna Sorokina

We extend proxies of several popular asset allocation approaches—U.S. and Global 60/40, Diversified Multi-Asset, Risk Parity, Endowment, Factor-Based, and Dynamic asset allocation—using long-run return data for a variety of sub-asset classes and factors to test their long-term performance. We use equity and debt assets, commodities, alternatives, and indices to reconstruct the returns on allocation portfolios from 1926 to the present, the entire period for which comprehensive asset pricing data are available. We contribute to the existing literature by developing a laboratory for testing the performance of popular asset allocation strategies in a wide range of scenarios. We also aim to test the importance of the behavioral aspect of investment decisions for portfolio outcomes. In our framework, Factor-Based portfolios exhibit the best traditionally measured risk-adjusted returns over the long run. However, Dynamic asset allocation is most likely to reduce the risk of abandonment of the strategy by an investor and selling the portfolio in panic when they experience losses over their tolerance threshold, because the dynamic strategy exhibits lower expected drawdowns, even during severe market downturns. Across all strategies, risk-tolerant investors who rely on a longer history to set their expectations, whether based upon actual or extrapolated data, experience significantly better outcomes, particularly if their investment horizon includes times of crisis. This study informs portfolio managers, investment analysts, and advisors, as well as investors themselves, of the impact of information, persistence, and properties of various portfolio allocation methods on investment returns.

我们扩展了几种流行的资产配置方法--美国和全球 60/40、多元化多资产、风险平价、捐赠、基于因子和动态资产配置--的替代方法,使用各种子资产类别和因子的长期回报数据来测试它们的长期表现。我们使用股票和债务资产、商品、替代品和指数来重建从 1926 年至今的配置组合回报,这是有全面资产定价数据可用的整个时期。我们开发了一个实验室,用于测试流行的资产配置策略在各种情况下的表现,为现有文献做出了贡献。我们还旨在测试投资决策行为对投资组合结果的重要性。在我们的框架中,基于因子的投资组合表现出最佳的传统测算的长期风险调整回报。然而,动态资产配置最有可能降低投资者放弃策略的风险,当投资者遭遇的损失超过其承受阈值时,他们会恐慌性地卖出投资组合,因为动态策略表现出较低的预期缩水率,即使在市场严重下滑时也是如此。在所有策略中,风险承受能力强的投资者依靠较长的历史来设定预期,无论是基于实际数据还是推断数据,其结果都要好得多,尤其是当他们的投资范围包括危机时期时。这项研究为投资组合经理、投资分析师和顾问以及投资者本身提供了信息、持续性和各种投资组合分配方法的特性对投资回报的影响方面的信息。
{"title":"A century of asset allocation crash risk","authors":"Mikhail Samonov, Nonna Sorokina","doi":"10.1057/s41260-024-00355-2","DOIUrl":"https://doi.org/10.1057/s41260-024-00355-2","url":null,"abstract":"<p>We extend proxies of several popular asset allocation approaches—U.S. and Global 60/40, Diversified Multi-Asset, Risk Parity, Endowment, Factor-Based, and Dynamic asset allocation—using long-run return data for a variety of sub-asset classes and factors to test their long-term performance. We use equity and debt assets, commodities, alternatives, and indices to reconstruct the returns on allocation portfolios from 1926 to the present, the entire period for which comprehensive asset pricing data are available. We contribute to the existing literature by developing a laboratory for testing the performance of popular asset allocation strategies in a wide range of scenarios. We also aim to test the importance of the behavioral aspect of investment decisions for portfolio outcomes. In our framework, Factor-Based portfolios exhibit the best traditionally measured risk-adjusted returns over the long run. However, Dynamic asset allocation is most likely to reduce the risk of abandonment of the strategy by an investor and selling the portfolio in panic when they experience losses over their tolerance threshold, because the dynamic strategy exhibits lower expected drawdowns, even during severe market downturns. Across all strategies, risk-tolerant investors who rely on a longer history to set their expectations, whether based upon actual or extrapolated data, experience significantly better outcomes, particularly if their investment horizon includes times of crisis. This study informs portfolio managers, investment analysts, and advisors, as well as investors themselves, of the impact of information, persistence, and properties of various portfolio allocation methods on investment returns.</p>","PeriodicalId":45953,"journal":{"name":"Journal of Asset Management","volume":"72 1","pages":""},"PeriodicalIF":2.5,"publicationDate":"2024-04-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140599592","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Which investors support the transition toward a low-carbon economy? Exit and Voice in mutual funds 哪些投资者支持向低碳经济转型?共同基金的退出和发言权
IF 2.5 Q3 BUSINESS, FINANCE Pub Date : 2024-03-20 DOI: 10.1057/s41260-023-00345-w
Jonas Zink

Reducing portfolio carbon footprints (Exit) and voting in favor of climate-related shareholder proposals (Voice) are among the main actions that investors can take to promote an accelerated transition toward a low-carbon economy. This paper studies three important investor groups that can be instrumental in driving the transition and evaluates their Exit and Voice behavior. I find that the five largest asset managers perform poorly on Exit and Voice over the full sample period but improved on both in more recent years. Only a small fraction of signatories to sustainable investor initiatives are supportive of the transition. Counterintuitively, investors who perform poorly on Exit, perform well on Voice. Finally, I examine the financial consequences of employing Exit and Voice and find that Exit is positively related to risk-adjusted fund returns; however, this is not necessarily attributable to superior skill of fund managers.

减少投资组合的碳足迹("退出")和投票支持与气候相关的股东提案("声音")是投资者为促进加速向低碳经济转型而可以采取的主要行动之一。本文研究了可在推动转型方面发挥重要作用的三个重要投资者群体,并评估了他们的 "退出 "和 "声音 "行为。我发现,在整个样本期间,五家最大的资产管理公司在退出和声音方面表现不佳,但在最近几年,这两方面都有所改善。只有一小部分签署可持续投资者倡议的投资者支持转型。与直觉相反的是,在 "退出 "方面表现不佳的投资者在 "声音 "方面却表现良好。最后,我研究了采用 "退出 "和 "声音 "的财务后果,发现 "退出 "与风险调整后的基金回报呈正相关;但这并不一定归因于基金经理的高超技能。
{"title":"Which investors support the transition toward a low-carbon economy? Exit and Voice in mutual funds","authors":"Jonas Zink","doi":"10.1057/s41260-023-00345-w","DOIUrl":"https://doi.org/10.1057/s41260-023-00345-w","url":null,"abstract":"<p>Reducing portfolio carbon footprints (Exit) and voting in favor of climate-related shareholder proposals (Voice) are among the main actions that investors can take to promote an accelerated transition toward a low-carbon economy. This paper studies three important investor groups that can be instrumental in driving the transition and evaluates their Exit and Voice behavior. I find that the five largest asset managers perform poorly on Exit and Voice over the full sample period but improved on both in more recent years. Only a small fraction of signatories to sustainable investor initiatives are supportive of the transition. Counterintuitively, investors who perform poorly on Exit, perform well on Voice. Finally, I examine the financial consequences of employing Exit and Voice and find that Exit is positively related to risk-adjusted fund returns; however, this is not necessarily attributable to superior skill of fund managers.</p>","PeriodicalId":45953,"journal":{"name":"Journal of Asset Management","volume":"28 1","pages":""},"PeriodicalIF":2.5,"publicationDate":"2024-03-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140167931","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Do ESG fund managers pump and dump the stocks in their portfolios? European evidence ESG基金经理是否会在其投资组合中抽空抛售股票?欧洲证据
IF 2.5 Q3 BUSINESS, FINANCE Pub Date : 2024-03-20 DOI: 10.1057/s41260-024-00351-6
Spyros Papathanasiou, Dimitris Kenourgios, Drosos Koutsokostas

We investigate portfolio pumping around quarter-ends by ESG equity mutual funds domiciled in the largest European markets in sustainable investments, i.e., the UK, France and Germany, for the period from January 2010 to December 2022. We find strong evidence that the UK funds inflate quarter-end returns, with price spikes being stronger at year-ends; nevertheless, the magnitude of price inflation is less than that of their conventional counterparts. On the contrary, results indicate that German and French funds do not engage in portfolio pumping. The COVID-19 pandemic strengthened the propensity of fund managers to cause a profound artificial enhancement to the performance of the investment portfolio. Further analysis shows that portfolio pumping is more prominent among the worst-performing funds, funds that charge investors with lower fees and achieve a poor ESG rating. However, managers that pump fund returns do not attract significantly more flows. Our results have produced valuable insights for regulators and investors participating in ESG markets, highlighting the necessity for a rigorous surveillance of the UK ESG equity market.

我们调查了 2010 年 1 月至 2022 年 12 月期间,欧洲最大的可持续投资市场(即英国、法国和德国)的 ESG 股权共同基金在季度末的投资组合抽水情况。我们发现有力的证据表明,英国的基金抬高了季度末的回报率,年末的价格飙升幅度更大;尽管如此,价格飙升的幅度小于传统的同类基金。相反,结果表明德国和法国的基金并没有进行投资组合抽水。COVID-19 大流行加强了基金经理人为提高投资组合业绩而人为大幅提高投资组合业绩的倾向。进一步的分析表明,投资组合抽水现象在表现最差的基金中更为突出,这些基金向投资者收取较低的费用,并获得较差的环境、社会和公司治理评级。然而,抽水基金经理并没有吸引更多的资金流入。我们的研究结果为参与 ESG 市场的监管者和投资者提供了宝贵的见解,强调了对英国 ESG 股票市场进行严格监控的必要性。
{"title":"Do ESG fund managers pump and dump the stocks in their portfolios? European evidence","authors":"Spyros Papathanasiou, Dimitris Kenourgios, Drosos Koutsokostas","doi":"10.1057/s41260-024-00351-6","DOIUrl":"https://doi.org/10.1057/s41260-024-00351-6","url":null,"abstract":"<p>We investigate portfolio pumping around quarter-ends by ESG equity mutual funds domiciled in the largest European markets in sustainable investments, i.e., the UK, France and Germany, for the period from January 2010 to December 2022. We find strong evidence that the UK funds inflate quarter-end returns, with price spikes being stronger at year-ends; nevertheless, the magnitude of price inflation is less than that of their conventional counterparts. On the contrary, results indicate that German and French funds do not engage in portfolio pumping. The COVID-19 pandemic strengthened the propensity of fund managers to cause a profound artificial enhancement to the performance of the investment portfolio. Further analysis shows that portfolio pumping is more prominent among the worst-performing funds, funds that charge investors with lower fees and achieve a poor ESG rating. However, managers that pump fund returns do not attract significantly more flows. Our results have produced valuable insights for regulators and investors participating in ESG markets, highlighting the necessity for a rigorous surveillance of the UK ESG equity market.</p>","PeriodicalId":45953,"journal":{"name":"Journal of Asset Management","volume":"159 1","pages":""},"PeriodicalIF":2.5,"publicationDate":"2024-03-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140167941","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Modelling capacity for systematic equity strategies 系统性股票策略的建模能力
IF 2.5 Q3 BUSINESS, FINANCE Pub Date : 2024-02-29 DOI: 10.1057/s41260-024-00350-7
Carmine de Franco, Luc Dumontier

This paper generalizes the concept of capacity from the portfolio level to the investment process for systematic equity strategies. Capacity is often understood as the maximum asset under management, above which additional inflows would have too great a negative impact on performance. The concept of capacity is often limited to the study of a given portfolio. However, setting up a capacity management framework must consider what the portfolio might look like in the future. This is obviously complicated for discretionary portfolios but theoretically conceivable for portfolios implementing systematic strategies, if we can simulate all possible scenarios. In our framework, we extend the traditional definition of capacity from a number to a random variable, allowing portfolio managers to integrate it into their risk considerations. We provide examples of how portfolio managers can approach this problem, with full-search or modelling methods. Our framework includes several capacity metrics that can be used jointly or selected to align better with the features of each strategy.

本文将容量的概念从投资组合层面推广到系统性股票策略的投资过程。容量通常被理解为管理资产的最大值,超过这个值,额外的资金流入就会对业绩产生过大的负面影响。容量的概念通常仅限于对特定投资组合的研究。然而,建立容量管理框架必须考虑到投资组合未来可能出现的情况。这对于自行决定的投资组合来说显然很复杂,但如果我们能模拟所有可能的情况,那么对于实施系统性策略的投资组合来说,理论上是可行的。在我们的框架中,我们将容量的传统定义从一个数字扩展为一个随机变量,使投资组合经理能够将容量纳入他们的风险考量中。我们举例说明了投资组合经理如何利用全搜索或建模方法来解决这个问题。我们的框架包括多个容量指标,这些指标可以联合使用,也可以根据每个策略的特点进行选择。
{"title":"Modelling capacity for systematic equity strategies","authors":"Carmine de Franco, Luc Dumontier","doi":"10.1057/s41260-024-00350-7","DOIUrl":"https://doi.org/10.1057/s41260-024-00350-7","url":null,"abstract":"<p>This paper generalizes the concept of capacity from the portfolio level to the investment process for systematic equity strategies. Capacity is often understood as the maximum asset under management, above which additional inflows would have too great a negative impact on performance. The concept of capacity is often limited to the study of a given portfolio. However, setting up a capacity management framework must consider what the portfolio might look like in the future. This is obviously complicated for discretionary portfolios but theoretically conceivable for portfolios implementing systematic strategies, if we can simulate all possible scenarios. In our framework, we extend the traditional definition of capacity from a number to a random variable, allowing portfolio managers to integrate it into their risk considerations. We provide examples of how portfolio managers can approach this problem, with full-search or modelling methods. Our framework includes several capacity metrics that can be used jointly or selected to align better with the features of each strategy.</p>","PeriodicalId":45953,"journal":{"name":"Journal of Asset Management","volume":"17 1","pages":""},"PeriodicalIF":2.5,"publicationDate":"2024-02-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140018798","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
CO2 investment risk analysis 二氧化碳投资风险分析
IF 2.5 Q3 BUSINESS, FINANCE Pub Date : 2024-02-24 DOI: 10.1057/s41260-023-00342-z
Thomas M. Treptow

Utilities with hard coal and lignite power plants, manufacturers, and aviation companies in the EU that emit greenhouse gases must invest in emission allowances to run their operations. The buy side of the capital market (e.g. hedge funds, insurers, and pension plans) can invest in these allowances to realise an investment asset which is uncorrelated to traditional market-risk investments. Given the high volatility of the price of emission allowances, all investors in emission allowances face a challenging risk-return situation that requires a thorough risk analysis. We show that this analysis can be undertaken using extreme value theory. For the analysed extreme emission allowance price returns, we identified saliently good fits between the empirical and theoretical Pareto distributions. We further show that emission allowances present an interesting investment case.

在欧盟,拥有硬煤和褐煤发电厂的公用事业公司、制造商和排放温室气体的航空企业必须投资排放配额,才能开展业务。资本市场的买方(如对冲基金、保险公司和养老金计划)可以投资这些配额,以实现与传统市场风险投资无关的投资资产。鉴于排放配额价格的高波动性,排放配额的所有投资者都面临着具有挑战性的风险收益状况,需要进行全面的风险分析。我们的研究表明,这种分析可以利用极值理论来进行。对于所分析的极端排放配额价格收益,我们发现经验分布和理论帕累托分布之间有明显的良好拟合。我们进一步表明,排放配额是一个有趣的投资案例。
{"title":"CO2 investment risk analysis","authors":"Thomas M. Treptow","doi":"10.1057/s41260-023-00342-z","DOIUrl":"https://doi.org/10.1057/s41260-023-00342-z","url":null,"abstract":"<p>Utilities with hard coal and lignite power plants, manufacturers, and aviation companies in the EU that emit greenhouse gases must invest in emission allowances to run their operations. The buy side of the capital market (e.g. hedge funds, insurers, and pension plans) can invest in these allowances to realise an investment asset which is uncorrelated to traditional market-risk investments. Given the high volatility of the price of emission allowances, all investors in emission allowances face a challenging risk-return situation that requires a thorough risk analysis. We show that this analysis can be undertaken using extreme value theory. For the analysed extreme emission allowance price returns, we identified saliently good fits between the empirical and theoretical Pareto distributions. We further show that emission allowances present an interesting investment case.</p>","PeriodicalId":45953,"journal":{"name":"Journal of Asset Management","volume":"188 1","pages":""},"PeriodicalIF":2.5,"publicationDate":"2024-02-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139947743","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Performance dispersion among target date funds 目标日期基金的业绩分散性
IF 2.5 Q3 BUSINESS, FINANCE Pub Date : 2024-02-24 DOI: 10.1057/s41260-024-00349-0
Ivelina Pavlova, Ann Marie Hibbert

There are significant differences in the performance of Target Date Funds (TDFs) with the same target year. Using a unique dataset from Morningstar, we show that within the same target year, funds with lower than the average expense ratio, or higher than average allocation to equities, outperform similar funds. This outperformance exists across all target year groups and is economically meaningful. Furthermore, deviations in the equity allocation have a greater impact on performance than does expense ratio. Using bootstrap simulations to investigate the impact over a longer horizon, we show that deviations from the average allocations or expense ratios have a meaningful impact on the retirement savings of an average investor.

目标日期基金(TDF)在同一目标年度的表现存在显著差异。利用晨星公司(Morningstar)的独特数据集,我们发现,在同一目标年度内,费用率低于平均水平或股票配置高于平均水平的基金表现优于同类基金。这种超额收益存在于所有目标年度组别中,并且具有经济意义。此外,股票分配的偏差比费用率对业绩的影响更大。我们使用自举模拟法研究了更长期限内的影响,结果表明,偏离平均分配或费用率会对普通投资者的退休储蓄产生有意义的影响。
{"title":"Performance dispersion among target date funds","authors":"Ivelina Pavlova, Ann Marie Hibbert","doi":"10.1057/s41260-024-00349-0","DOIUrl":"https://doi.org/10.1057/s41260-024-00349-0","url":null,"abstract":"<p>There are significant differences in the performance of Target Date Funds (TDFs) with the same target year. Using a unique dataset from Morningstar, we show that within the same target year, funds with lower than the average expense ratio, or higher than average allocation to equities, outperform similar funds. This outperformance exists across all target year groups and is economically meaningful. Furthermore, deviations in the equity allocation have a greater impact on performance than does expense ratio. Using bootstrap simulations to investigate the impact over a longer horizon, we show that deviations from the average allocations or expense ratios have a meaningful impact on the retirement savings of an average investor.</p>","PeriodicalId":45953,"journal":{"name":"Journal of Asset Management","volume":"43 1","pages":""},"PeriodicalIF":2.5,"publicationDate":"2024-02-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139956905","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
期刊
Journal of Asset Management
全部 Acc. Chem. Res. ACS Applied Bio Materials ACS Appl. Electron. Mater. ACS Appl. Energy Mater. ACS Appl. Mater. Interfaces ACS Appl. Nano Mater. ACS Appl. Polym. Mater. ACS BIOMATER-SCI ENG ACS Catal. ACS Cent. Sci. ACS Chem. Biol. ACS Chemical Health & Safety ACS Chem. Neurosci. ACS Comb. Sci. ACS Earth Space Chem. ACS Energy Lett. ACS Infect. Dis. ACS Macro Lett. ACS Mater. Lett. ACS Med. Chem. Lett. ACS Nano ACS Omega ACS Photonics ACS Sens. ACS Sustainable Chem. Eng. ACS Synth. Biol. Anal. Chem. BIOCHEMISTRY-US Bioconjugate Chem. BIOMACROMOLECULES Chem. Res. Toxicol. Chem. Rev. Chem. Mater. CRYST GROWTH DES ENERG FUEL Environ. Sci. Technol. Environ. Sci. Technol. Lett. Eur. J. Inorg. Chem. IND ENG CHEM RES Inorg. Chem. J. Agric. Food. Chem. J. Chem. Eng. Data J. Chem. Educ. J. Chem. Inf. Model. J. Chem. Theory Comput. J. Med. Chem. J. Nat. Prod. J PROTEOME RES J. Am. Chem. Soc. LANGMUIR MACROMOLECULES Mol. Pharmaceutics Nano Lett. Org. Lett. ORG PROCESS RES DEV ORGANOMETALLICS J. Org. Chem. J. Phys. Chem. J. Phys. Chem. A J. Phys. Chem. B J. Phys. Chem. C J. Phys. Chem. Lett. Analyst Anal. Methods Biomater. Sci. Catal. Sci. Technol. Chem. Commun. Chem. Soc. Rev. CHEM EDUC RES PRACT CRYSTENGCOMM Dalton Trans. Energy Environ. Sci. ENVIRON SCI-NANO ENVIRON SCI-PROC IMP ENVIRON SCI-WAT RES Faraday Discuss. Food Funct. Green Chem. Inorg. Chem. Front. Integr. Biol. J. Anal. At. Spectrom. J. Mater. Chem. A J. Mater. Chem. B J. Mater. Chem. C Lab Chip Mater. Chem. Front. Mater. Horiz. MEDCHEMCOMM Metallomics Mol. Biosyst. Mol. Syst. Des. Eng. Nanoscale Nanoscale Horiz. Nat. Prod. Rep. New J. Chem. Org. Biomol. Chem. Org. Chem. Front. PHOTOCH PHOTOBIO SCI PCCP Polym. Chem.
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
0
微信
客服QQ
Book学术公众号 扫码关注我们
反馈
×
意见反馈
请填写您的意见或建议
请填写您的手机或邮箱
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
Book学术官方微信
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术
文献互助 智能选刊 最新文献 互助须知 联系我们:info@booksci.cn
Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。
Copyright © 2023 Book学术 All rights reserved.
ghs 京公网安备 11010802042870号 京ICP备2023020795号-1