{"title":"Improving the Accuracy of Tail Risk Forecasts","authors":"David Frank, Anthony Lazanas, Jose Menchero","doi":"10.3905/jpm.2023.1.571","DOIUrl":"https://doi.org/10.3905/jpm.2023.1.571","url":null,"abstract":"","PeriodicalId":501547,"journal":{"name":"The Journal of Portfolio Management","volume":"4 7","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-12-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138586079","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":"Portfolio Construction with Hierarchical Momentum","authors":"Antonello Cirulli, Michal Kobak, Urban Ulrych","doi":"10.3905/jpm.2023.1.570","DOIUrl":"https://doi.org/10.3905/jpm.2023.1.570","url":null,"abstract":"","PeriodicalId":501547,"journal":{"name":"The Journal of Portfolio Management","volume":"103 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-12-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138590450","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":"Do Factor Models Explain Breaks in the Distribution of Equity Returns?","authors":"Sébastien Lleo, W. Ziemba, Jessica Li","doi":"10.3905/jpm.2023.1.568","DOIUrl":"https://doi.org/10.3905/jpm.2023.1.568","url":null,"abstract":"","PeriodicalId":501547,"journal":{"name":"The Journal of Portfolio Management","volume":"85 11","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-12-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138596132","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":"Cost, Performance, and Benchmark Bias of Public Pension Funds in the United States: An Unflattering Portrait","authors":"Richard M. Ennis","doi":"10.3905/jpm.2022.1.349","DOIUrl":"https://doi.org/10.3905/jpm.2022.1.349","url":null,"abstract":"","PeriodicalId":501547,"journal":{"name":"The Journal of Portfolio Management","volume":"50 1","pages":"138-150"},"PeriodicalIF":0.0,"publicationDate":"2022-03-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138543961","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":"Drawdown Measures: Are They All the Same?","authors":"Olaf Korn,Philipp M. Möller,Christian Schwehm","doi":"10.3905/jpm.2022.1.346","DOIUrl":"https://doi.org/10.3905/jpm.2022.1.346","url":null,"abstract":"","PeriodicalId":501547,"journal":{"name":"The Journal of Portfolio Management","volume":"17 1","pages":"104-120"},"PeriodicalIF":0.0,"publicationDate":"2022-02-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138543963","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":"The Long and the Short of Risk Parity","authors":"Alexandre Rubesam","doi":"10.3905/jpm.2022.1.333","DOIUrl":"https://doi.org/10.3905/jpm.2022.1.333","url":null,"abstract":"","PeriodicalId":501547,"journal":{"name":"The Journal of Portfolio Management","volume":"160 1","pages":"241-260"},"PeriodicalIF":0.0,"publicationDate":"2022-01-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138543964","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}
Pub Date : 2021-12-31DOI: 10.3905/jpm.2021.48.2.105
Shaojun Zhang
The answer is no. Factor investing provides investors with a low-cost avenue to participate in stock selection. Investors earn excess returns for taking on factor risk, which is often measured by factor exposure. However, the relation between the return and factor exposure is nonlinear. Large-scale simulation shows that similar target factor exposures can be engineered using various portfolio construction methodologies, but the resulting portfolios exhibit significant dispersion in expected returns and co-movement with the market and across factor funds. The dispersion increases with target factor exposures. As such, some factor exposures are more efficient than others. This article further studies a comprehensive list of portfolio construction choices for value, momentum, and quality funds; discusses the trade-off at work; and provides a framework for the assessment of factor exposure efficiency. It is important to account for nonlinearity in constructing or evaluating factor funds.
{"title":"Factor Construction Zoo: Are Factor Exposures Created Equal?","authors":"Shaojun Zhang","doi":"10.3905/jpm.2021.48.2.105","DOIUrl":"https://doi.org/10.3905/jpm.2021.48.2.105","url":null,"abstract":"The answer is no. Factor investing provides investors with a low-cost avenue to participate in stock selection. Investors earn excess returns for taking on factor risk, which is often measured by factor exposure. However, the relation between the return and factor exposure is nonlinear. Large-scale simulation shows that similar target factor exposures can be engineered using various portfolio construction methodologies, but the resulting portfolios exhibit significant dispersion in expected returns and co-movement with the market and across factor funds. The dispersion increases with target factor exposures. As such, some factor exposures are more efficient than others. This article further studies a comprehensive list of portfolio construction choices for value, momentum, and quality funds; discusses the trade-off at work; and provides a framework for the assessment of factor exposure efficiency. It is important to account for nonlinearity in constructing or evaluating factor funds.","PeriodicalId":501547,"journal":{"name":"The Journal of Portfolio Management","volume":"29 1","pages":"105-118"},"PeriodicalIF":0.0,"publicationDate":"2021-12-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138543966","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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