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Performance attribution for multifactorial equity portfolios 多因子股票投资组合的绩效归因
IF 0.2
Journal of Investment Strategies Pub Date : 2022-01-01 DOI: 10.21314/jois.2021.014
F. Abergel, T. Heckel
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引用次数: 0
Investment Strategies: A Practical Approach to Enhancing Investor Returns 投资策略:提高投资者回报的实用方法
IF 0.2
Journal of Investment Strategies Pub Date : 2022-01-01 DOI: 10.1007/978-3-030-82711-3
Bill Jiang
{"title":"Investment Strategies: A Practical Approach to Enhancing Investor Returns","authors":"Bill Jiang","doi":"10.1007/978-3-030-82711-3","DOIUrl":"https://doi.org/10.1007/978-3-030-82711-3","url":null,"abstract":"","PeriodicalId":42279,"journal":{"name":"Journal of Investment Strategies","volume":"25 1","pages":""},"PeriodicalIF":0.2,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89776237","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
Is volatility a friend or enemy of your stock and fund investments? 波动性对你的股票和基金投资是敌是友?
IF 0.2
Journal of Investment Strategies Pub Date : 2022-01-01 DOI: 10.21314/jois.2022.011
Long Chen, Jun Gao, Sheng Zhu
{"title":"Is volatility a friend or enemy of your stock and fund investments?","authors":"Long Chen, Jun Gao, Sheng Zhu","doi":"10.21314/jois.2022.011","DOIUrl":"https://doi.org/10.21314/jois.2022.011","url":null,"abstract":"","PeriodicalId":42279,"journal":{"name":"Journal of Investment Strategies","volume":"4 1","pages":""},"PeriodicalIF":0.2,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87503064","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
Does reinvesting payouts in plain vanilla exchange-traded funds enhance household portfolio performance? 普通交易所交易基金的再投资支出是否提高了家庭投资组合的表现?
IF 0.2
Journal of Investment Strategies Pub Date : 2022-01-01 DOI: 10.21314/jois.2022.004
Hans Philipp Wanger
{"title":"Does reinvesting payouts in plain vanilla exchange-traded funds enhance household portfolio performance?","authors":"Hans Philipp Wanger","doi":"10.21314/jois.2022.004","DOIUrl":"https://doi.org/10.21314/jois.2022.004","url":null,"abstract":"","PeriodicalId":42279,"journal":{"name":"Journal of Investment Strategies","volume":"1 1","pages":""},"PeriodicalIF":0.2,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67706993","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
Creating factor clusters in the alternative Undertakings for Collective Investment in Transferable Securities (UCITS) universe 在可转让证券(UCITS)领域的集体投资替代企业中创建要素集群
IF 0.2
Journal of Investment Strategies Pub Date : 2022-01-01 DOI: 10.21314/jois.2022.007
P. Trecourt, Florian Peres, Sameer Singh
{"title":"Creating factor clusters in the alternative Undertakings for Collective Investment in Transferable Securities (UCITS) universe","authors":"P. Trecourt, Florian Peres, Sameer Singh","doi":"10.21314/jois.2022.007","DOIUrl":"https://doi.org/10.21314/jois.2022.007","url":null,"abstract":"After years of expansion, the alternative Undertakings for Collective Investment in Transferable Securities (UCITS) market experienced wide fluctuations in performance during the Covid-19 market crisis. Using a novel quantitative process that utilizes Premialab Pure Factors, we identify seven clusters within a universe of 323 alternative UCITS based on their performance and factor characteristics. Investors can gain additional insights into their current or prospective alternative UCITS holdings by observing their performance in the context of the relevant cluster. © 2022 Infopro Digital Risk (IP) Limited.","PeriodicalId":42279,"journal":{"name":"Journal of Investment Strategies","volume":"50 1","pages":""},"PeriodicalIF":0.2,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91138203","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
Strong-hand conjecture: agent-based numerical simulation 强手猜想:基于主体的数值模拟
IF 0.2
Journal of Investment Strategies Pub Date : 2021-01-01 DOI: 10.21314/jois.2021.012
M. Karaś, A. Serwatka
{"title":"Strong-hand conjecture: agent-based numerical simulation","authors":"M. Karaś, A. Serwatka","doi":"10.21314/jois.2021.012","DOIUrl":"https://doi.org/10.21314/jois.2021.012","url":null,"abstract":"","PeriodicalId":42279,"journal":{"name":"Journal of Investment Strategies","volume":"1 1","pages":""},"PeriodicalIF":0.2,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67707062","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: 1
Forecasting volatility and market returns using the CBOE Volatility Index and its options 使用芝加哥期权交易所波动率指数及其期权预测波动率和市场回报
IF 0.2
Journal of Investment Strategies Pub Date : 2021-01-01 DOI: 10.21314/jois.2021.013
Spencer Stanley, W. Trainor
{"title":"Forecasting volatility and market returns using the CBOE Volatility Index and its options","authors":"Spencer Stanley, W. Trainor","doi":"10.21314/jois.2021.013","DOIUrl":"https://doi.org/10.21314/jois.2021.013","url":null,"abstract":"","PeriodicalId":42279,"journal":{"name":"Journal of Investment Strategies","volume":"1 1","pages":""},"PeriodicalIF":0.2,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67707149","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
Portfolio rebalancing, conflicts of interest of delegated investment management and seasonality in Canadian financial markets 投资组合再平衡，委托投资管理的利益冲突和加拿大金融市场的季节性
IF 0.2
Journal of Investment Strategies Pub Date : 2021-01-01 DOI: 10.21314/jois.2022.002
George Athanassakos
{"title":"Portfolio rebalancing, conflicts of interest of delegated investment management and seasonality in Canadian financial markets","authors":"George Athanassakos","doi":"10.21314/jois.2022.002","DOIUrl":"https://doi.org/10.21314/jois.2022.002","url":null,"abstract":"","PeriodicalId":42279,"journal":{"name":"Journal of Investment Strategies","volume":"7 1","pages":""},"PeriodicalIF":0.2,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67706922","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
What Drives the January Seasonality in the Illiquidity Premium? Evidence from International Stock Markets 是什么驱动了1月份非流动性溢价的季节性?来自国际股市的证据
IF 0.2
Journal of Investment Strategies Pub Date : 2020-10-15 DOI: 10.21314/JOIS.2021.008
Adam Zaremba, Nusret Cakici
{"title":"What Drives the January Seasonality in the Illiquidity Premium? Evidence from International Stock Markets","authors":"Adam Zaremba, Nusret Cakici","doi":"10.21314/JOIS.2021.008","DOIUrl":"https://doi.org/10.21314/JOIS.2021.008","url":null,"abstract":"This study is, to the best of the authors’ knowledge, the first attempt to comprehensively examine and explain the January effect in the illiquidity premium. Using data from 23 major international stock markets for the years 1991–2019, we demonstrate a strong and pervasive calendar seasonality in liquidity pricing across different geographical regions. The entire illiquidity premium is realized almost solely in January. Further, we show that this seasonal pattern is driven by a parallel phenomenon in small firms; exposure to the size factor thoroughly explains the January seasonality in the illiquidity premium.","PeriodicalId":42279,"journal":{"name":"Journal of Investment Strategies","volume":"56 1","pages":""},"PeriodicalIF":0.2,"publicationDate":"2020-10-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74629881","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
Sign prediction and sign regression 符号预测和符号回归
IF 0.2
Journal of Investment Strategies Pub Date : 2020-09-19 DOI: 10.2139/ssrn.3695594
Weige Huang
{"title":"Sign prediction and sign regression","authors":"Weige Huang","doi":"10.2139/ssrn.3695594","DOIUrl":"https://doi.org/10.2139/ssrn.3695594","url":null,"abstract":"Intuitively, the model prediction signs matter a lot in finance, especially for investment strategy constructions. This paper proposes an approach in which the loss function regularizes the errors in prediction in different ways. In particular, the loss function considers simultaneously errors in prediction signs and the sizes and signs of the residuals in the model prediction. Less weight is given to the residuals with correct prediction signs but more weight is assigned to the residuals with wrong prediction signs. This is important because agents make decisions according to model predictions, especially the signs of the predictions. Simultaneously, the residuals of larger size are also penalized more and the ones of smaller size are penalized less. Also, the signs of the residuals are considered in the loss function because they also affect decision making processes. For these reasons, training models by weights varying with the correctness of the prediction signs and the sizes and signs of the residuals is significant for decision making. This paper proposes a new approach termed as Sign regression which takes into account of these considerations. The simulation results show that Sign regression consistently performs better than the ordinary least squares method and least absolute deviations method out-of-sample. An application on Fama and French three factor model also shows good performance of Sign regression.","PeriodicalId":42279,"journal":{"name":"Journal of Investment Strategies","volume":"1 1","pages":""},"PeriodicalIF":0.2,"publicationDate":"2020-09-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43431417","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
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