Pub Date : 2024-02-29DOI: 10.3905/jpm.2024.50.5.073
Giulio Renzi-Ricci, Oliver Harvey, Lucas Baynes
{"title":"From Risk Parity to Outcome Risk Parity: A Review and Extension of the Risk Parity Portfolio with Return Predictability","authors":"Giulio Renzi-Ricci, Oliver Harvey, Lucas Baynes","doi":"10.3905/jpm.2024.50.5.073","DOIUrl":"https://doi.org/10.3905/jpm.2024.50.5.073","url":null,"abstract":"","PeriodicalId":501547,"journal":{"name":"The Journal of Portfolio Management","volume":"22 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-02-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140413945","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}
{"title":"How Should the Long-Term Investor Harvest Variance Risk Premiums?","authors":"Julian Dörries, Olaf Korn, Gabriel J. Power","doi":"10.3905/jpm.2024.1.600","DOIUrl":"https://doi.org/10.3905/jpm.2024.1.600","url":null,"abstract":"","PeriodicalId":501547,"journal":{"name":"The Journal of Portfolio Management","volume":"22 5","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-02-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140434811","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}
{"title":"Honey, the Fed Shrunk the Equity Premium: Asset Allocation in a Higher-Rate World","authors":"Thomas Maloney","doi":"10.3905/jpm.2024.1.601","DOIUrl":"https://doi.org/10.3905/jpm.2024.1.601","url":null,"abstract":"","PeriodicalId":501547,"journal":{"name":"The Journal of Portfolio Management","volume":"11 3","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-02-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140434838","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}
Filip Bašić, Harald Lohre, Alberto Martín-Utrera, Ingmar Nolte, Sandra Nolte
Firm characteristics like value, momentum, or quality help explain the cross-section of stock returns and have become core pillars in the practice of factor investing. However, when practically implementing factor strategies, transaction costs can significantly impact the corresponding factor portfolios’ performances. Using proprietary trading data from a large institutional asset manager, we construct a realistic transaction cost model to investigate how to optimally implement factor portfolios with transaction costs. We provide a framework to optimize factor performance net of transaction costs, but do not overly sacrifice factor exposure at the expense of lower transaction costs. We show that our analysis can be readily extended to a multi-factor setting
{"title":"Transaction Cost–Optimized Equity Factors around the World","authors":"Filip Bašić, Harald Lohre, Alberto Martín-Utrera, Ingmar Nolte, Sandra Nolte","doi":"10.3905/jpm.2024.1.599","DOIUrl":"https://doi.org/10.3905/jpm.2024.1.599","url":null,"abstract":"Firm characteristics like value, momentum, or quality help explain the cross-section of stock returns and have become core pillars in the practice of factor investing. However, when practically implementing factor strategies, transaction costs can significantly impact the corresponding factor portfolios’ performances. Using proprietary trading data from a large institutional asset manager, we construct a realistic transaction cost model to investigate how to optimally implement factor portfolios with transaction costs. We provide a framework to optimize factor performance net of transaction costs, but do not overly sacrifice factor exposure at the expense of lower transaction costs. We show that our analysis can be readily extended to a multi-factor setting","PeriodicalId":501547,"journal":{"name":"The Journal of Portfolio Management","volume":"52 8","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-02-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140440487","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}
{"title":"Impact of ESG Objectives on a Portfolio","authors":"François Soupe, Guillaume Kovarcik","doi":"10.3905/jpm.2024.1.597","DOIUrl":"https://doi.org/10.3905/jpm.2024.1.597","url":null,"abstract":"","PeriodicalId":501547,"journal":{"name":"The Journal of Portfolio Management","volume":"82 7","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-02-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139959920","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}
{"title":"Sizing Matters: Optimal Scaling of Long and Short Exposures in Equity Portfolios","authors":"Ross French","doi":"10.3905/jpm.2024.1.596","DOIUrl":"https://doi.org/10.3905/jpm.2024.1.596","url":null,"abstract":"","PeriodicalId":501547,"journal":{"name":"The Journal of Portfolio Management","volume":"55 17","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-02-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139961148","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}
{"title":"Editor’s Introduction for 2024 Special Issue on Multi-Asset Strategies and Asset Allocation","authors":"Frank J. Fabozzi","doi":"10.3905/jpm.2024.1.593","DOIUrl":"https://doi.org/10.3905/jpm.2024.1.593","url":null,"abstract":"","PeriodicalId":501547,"journal":{"name":"The Journal of Portfolio Management","volume":"36 24","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-02-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139961882","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}
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