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Journal of Systematic Investing最新文献

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Integrated Approach to Currency Factor Investing 货币因素投资的综合方法
Journal of Systematic Investing Pub Date : 2024-03-25 DOI: 10.52354/jsi.3.1.i
Ananthalakshmi Ranganathan, Harald Lohre, Sandra Nolte, Houssem Braham
{"title":"Integrated Approach to Currency Factor Investing","authors":"Ananthalakshmi Ranganathan, Harald Lohre, Sandra Nolte, Houssem Braham","doi":"10.52354/jsi.3.1.i","DOIUrl":"https://doi.org/10.52354/jsi.3.1.i","url":null,"abstract":"Using the G10 universe of currencies, we evidence that parametric portfolio\u0000 policies can help guide an optimal currency strategy when tilting towards\u0000 cross-sectional factor characteristics. While currency carry serves as the main return\u0000 generator in this tilting strategy, the two characteristics momentum and value are\u0000 implicit diversifiers to potentially balance the downside of carry investing in\u0000 flight-to-quality shifts of FX investors. Drawing insights from a currency timing\u0000 strategy according to time series predictors, we further examine the parametric\u0000 portfolio policy's ability to mitigate the downside of the carry trade by incorporating\u0000 an explicit currency factor timing element. This integrated approach to currency factor\u0000 investing outperforms a naive equally weighted benchmark as well as univariate and\u0000 multivariate parametric portfolio policies.","PeriodicalId":400870,"journal":{"name":"Journal of Systematic Investing","volume":" 42","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-03-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140385020","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
Transfer Ranking in Finance: Applications to Cross-Sectional Momentum with Data Scarcity 金融中的转移排序:在数据稀缺的横截面动量中的应用
Journal of Systematic Investing Pub Date : 2023-05-22 DOI: 10.52354/jsi.3.1.ii
Daniel Poh, Stephen Roberts, Stefan Zohren
{"title":"Transfer Ranking in Finance: Applications to Cross-Sectional Momentum with Data Scarcity","authors":"Daniel Poh, Stephen Roberts, Stefan Zohren","doi":"10.52354/jsi.3.1.ii","DOIUrl":"https://doi.org/10.52354/jsi.3.1.ii","url":null,"abstract":"Modern cross-sectional strategies incorporating sophisticated neural architectures outperform their traditional counterparts when applied to mature assets with long histories. However, deploying them on instruments with limited samples generally produces over-fitted models with degraded performance. In this paper, we introduce Fused Encoder Networks -- a hybrid parameter-sharing transfer ranking model which fuses information extracted using an encoder-attention module from a source dataset with a similar but separate module operating on a smaller target dataset of interest. This mitigates the issue of models with poor generalisability. Additionally, the self-attention mechanism enables interactions among instruments to be accounted for, both at the loss-level during model training and at inference time. Focusing on momentum applied to the top ten cryptocurrencies by market capitalisation as a demonstrative use-case, our model outperforms state-of-the-art benchmarks on most measures and significantly boosts the Sharpe ratio. It continues outperforming baselines even after accounting for the high transaction costs associated with trading cryptocurrencies.","PeriodicalId":400870,"journal":{"name":"Journal of Systematic Investing","volume":"25 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-05-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135380225","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
Incorporating Alternative Risk Premia into Balanced Portfolios: Is there any added value? 将替代风险溢价纳入平衡投资组合:是否有任何附加价值?
Journal of Systematic Investing Pub Date : 2023-05-22 DOI: 10.52354/jsi.3.1.iii
Francesc Naya, Nils S. Tuchschmid, Jahja Rrustemi
{"title":"Incorporating Alternative Risk Premia into Balanced Portfolios: Is there any added value?","authors":"Francesc Naya, Nils S. Tuchschmid, Jahja Rrustemi","doi":"10.52354/jsi.3.1.iii","DOIUrl":"https://doi.org/10.52354/jsi.3.1.iii","url":null,"abstract":"Evaluating Alternative Risk Premia products as standalone investments is not sufficient to conclude whether these products add value to institutional investors, whose portfolios are largely composed of well-diversified equity and bond allocations, and usually smaller ones to alternative assets. We study whether the inclusion of ARP products adds value to two well-known benchmarks of balanced allocations: the 60/40 world equity/bond portfolio and the Pictet LPP 2015-60 index. Taking a sample of live ARP products from 2016 to May 2021, we find that a systematic allocation to ARP with no equity exposure improves risk-adjusted performance, due to risk reduction, even though it causes a small drag in long-term return. This impact is similar to the one many investors seek in Trend-Following funds or Tail-Hedge products, for which we compare results. The drag in performance disappears if one can dynamically manage the inclusion of ARP into the balanced portfolios, even though market timing ability is at the very least a rare asset.","PeriodicalId":400870,"journal":{"name":"Journal of Systematic Investing","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-05-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135381353","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
Estimation and Prediction for Algorithmic Models of Investor Behavior 投资者行为算法模型的估计与预测
Journal of Systematic Investing Pub Date : 2022-06-30 DOI: 10.52354/jsi.2.1.iii
A. Lo, A. Remorov
{"title":"Estimation and Prediction for Algorithmic Models of Investor Behavior","authors":"A. Lo, A. Remorov","doi":"10.52354/jsi.2.1.iii","DOIUrl":"https://doi.org/10.52354/jsi.2.1.iii","url":null,"abstract":"We propose a Markov chain Monte Carlo (MCMC) algorithm for estimating the parameters of algorithmic models of investor behavior. We show that this method can successfully infer the relative importance of each heuristic among a large cross-section of investors, even when the number of observations per investor is quite small. We also compare the accuracy of the MCMC approach to regression analysis in predicting the relative importance of heuristics at the individual and aggregate levels and conclude that MCMC predicts aggregate weights more accurately while regression outperforms in predicting individual weights.","PeriodicalId":400870,"journal":{"name":"Journal of Systematic Investing","volume":"717 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-06-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116995709","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 of trading factor strategies 交易要素策略的成本
Journal of Systematic Investing Pub Date : 2022-06-30 DOI: 10.52354/jsi.2.1.v
Giuliano De Rossi, Eliad Hoch, Michael E. Steliaros
{"title":"cost of trading factor strategies","authors":"Giuliano De Rossi, Eliad Hoch, Michael E. Steliaros","doi":"10.52354/jsi.2.1.v","DOIUrl":"https://doi.org/10.52354/jsi.2.1.v","url":null,"abstract":"Recent academic literature claims that style premia are not robust to trading costs. Several papers written by practitioners counter that the assumptions made by academics on how style portfolios rebalance are too conservative. In this paper we analyse the cost of trading factor strategies using a market impact model estimated from actual transactions data, realistic and multiple portfolio construction techniques and up-to-date data. Our results suggest that, for realistic portfolio sizes, the typical costs of rebalancing a single-factor strategy are unlikely to erode the factor premium. \u0000In addition, by building portfolios across different factors and with alternative portfolio construction techniques, we are able to assess the degree of similarity amongst strategies over time, which can be viewed as a measure of crowding. The properties of our new crowding indicator are illustrated through an extensive empirical investigation. We then assess its relation to volatility, liquidity and market impact and find that increases in our crowding measure tend to be followed by increases in the volatility of a strategy’s returns.","PeriodicalId":400870,"journal":{"name":"Journal of Systematic Investing","volume":"50 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-06-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123406648","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
Investor Sentiment and the Time Variation of the Illiquidity Premium 投资者情绪与非流动性溢价的时间变化
Journal of Systematic Investing Pub Date : 2022-06-30 DOI: 10.52354/jsi.2.1.iv
Fanesca Young, Benjamin M. Blau, Ryan J. Whitby
{"title":"Investor Sentiment and the Time Variation of the Illiquidity Premium","authors":"Fanesca Young, Benjamin M. Blau, Ryan J. Whitby","doi":"10.52354/jsi.2.1.iv","DOIUrl":"https://doi.org/10.52354/jsi.2.1.iv","url":null,"abstract":"This paper examines the return premium associated with illiquidity through time. Prior research has documented that investors command a return premium for holding the most illiquid stocks. The idea behind the return premium is that investors demand higher returns as compensation for the risk of not being able to liquidate their position in a timely manner (see Amihud and Mendelson (1986)). We find that the illiquidity premium has substantial variation across time. For instance, during the 25 years examined, the illiquidity premium is only significant in 11 of those years. In fact, the standard deviation of the illiquidity return premium is greater than the average return premium in some specifications. In additional tests, we find that during periods of low investor sentiment, the illiquidity premium is the highest, suggesting that sentiment might contribute to the observed time variation in the premium.","PeriodicalId":400870,"journal":{"name":"Journal of Systematic Investing","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-06-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129742577","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
Foreword - Why Is Systematic Investing Important? 前言-为什么系统投资很重要?
Journal of Systematic Investing Pub Date : 2021-02-23 DOI: 10.52354/jsi.1.1.i
Campbell R. Harvey, Duke
{"title":"Foreword - Why Is Systematic Investing Important?","authors":"Campbell R. Harvey, Duke","doi":"10.52354/jsi.1.1.i","DOIUrl":"https://doi.org/10.52354/jsi.1.1.i","url":null,"abstract":"In this era of inexpensive computation and vast data, systematic, or algorithmically driven, investment is increasingly popular. Systematic strategies appear in stand-alone products as well in tail-hedging and defensive-overlay strategies. Indeed, given the enormous growth in data, it is becoming infeasible to process these data without the assistance of systematic tools. The key advantage of the systematic approach is the discipline it imposes—for example, machines are not plagued by behavioral issues such as disposition bias, and in a time of crisis, a systematic strategy keeps a “cool head.” Systematic approaches also pose many challenges. Systematic strategies may not quickly adapt to structural changes in the market. They also present the risk of “tech-washing” whereby an investment product claims to use “the latest machine-learning tools,” but the tools are misapplied or play a minimal role. Importantly, when systematic tools are applied by an inexperienced researcher, the backtests are often overfit, leading to disappointing performance in live trading.","PeriodicalId":400870,"journal":{"name":"Journal of Systematic Investing","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-02-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130224976","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: 2
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