Targeting Macroeconomic Exposures in Equity Portfolios: A Firm-Level Measurement Approach for Out-of-Sample Robustness
M Esakia, F Goltz - Financial Analysts Journal, 2023 - Taylor & Francis
We propose firm-level measures of exposures to macroeconomic risks that substantially
improve out-of-sample robustness compared to standard estimation approaches. Systematic …
improve out-of-sample robustness compared to standard estimation approaches. Systematic …
Portable Beta and Total Portfolio Management
S Cavaglia, JH Fan, Z Wang - Financial Analysts Journal, 2022 - Taylor & Francis
Abstract Alternative Risk Premia (ARP) strategies have traditionally been sold as stand-
alone products to complement a reference portfolio. We illustrate how ARP can be …
alone products to complement a reference portfolio. We illustrate how ARP can be …
Tactical Asset Allocation, Risk Premia, and the Business Cycle: A Macro Regime Approach.
A de Longis, D Ellis - Journal of Portfolio Management, 2023 - search.ebscohost.com
Market conditions change over the course of the business cycle. When are investors
compensated to take risk? And what type of risk? This article proposes a practical regime …
compensated to take risk? And what type of risk? This article proposes a practical regime …
[PDF][PDF] Measuring Sector Cyclicality: A Factor-Based Approach
A de Longis, D Zanin, D Ellis - The Journal of Beta Investment …, 2022 - invesco.com
Equity sectors are often ascribed static economic classifications that fail to consider their
dynamic and time-varying fundamental characteristics across business cycles. Leveraging …
dynamic and time-varying fundamental characteristics across business cycles. Leveraging …
A Century of Macro Factor Investing-Diversified Multi-Asset Multi-Factor Strategies through the Cycles
A Swade, H Lohre, MB Shackleton… - Sandra and Shackleton …, 2024 - papers.ssrn.com
We diversify an investment portfolio across macroeconomic factors that are mimicked by
investable asset classes and style factors. Using a century of global data we analyze the …
investable asset classes and style factors. Using a century of global data we analyze the …
Factor-targeted Asset Allocation: a Reverse Optimization Approach
We demonstrate that using a mean-variance portfolio to obtain implied factor risk premia can
result in stable weights for a factor portfolio when assets' expected returns follow a factor …
result in stable weights for a factor portfolio when assets' expected returns follow a factor …
Macro Factor-Mimicking Portfolios 1
E Jurczenko, J Teiletche - Bankers, Markets & Investors, 2023 - cairn.info
The estimation of risk factors and their replication through mimicking portfolios are of critical
importance for academics and practitioners in finance. In this paper, we propose a general …
importance for academics and practitioners in finance. In this paper, we propose a general …