Journal of Asset Management最新文献

Applications of derivatives for portfolio risk management 衍生工具在投资组合风险管理中的应用

IF 2.5

Journal of Asset Management Pub Date : 2024-09-17 DOI: 10.1057/s41260-024-00365-0

Vineer Bhansali, Frank J. Fabozzi, Robert Harlow, Adam Kobor, Joseph Niehaus, Christopher Small, Andrew Weisman

引用次数: 0

Downside risk reduction using regime-switching signals: a statistical jump model approach 利用制度转换信号降低下行风险：一种统计跳跃模型方法

IF 2.5

Journal of Asset Management Pub Date : 2024-09-16 DOI: 10.1057/s41260-024-00376-x

Yizhan Shu, Chenyu Yu, John M. Mulvey

{"title":"Downside risk reduction using regime-switching signals: a statistical jump model approach","authors":"Yizhan Shu, Chenyu Yu, John M. Mulvey","doi":"10.1057/s41260-024-00376-x","DOIUrl":"https://doi.org/10.1057/s41260-024-00376-x","url":null,"abstract":"This article investigates a regime-switching investment strategy aimed at mitigating downside risk by reducing market exposure during anticipated unfavorable market regimes. We highlight the statistical jump model (JM) for market regime identification, a recently developed robust model that distinguishes itself from traditional Markov-switching models by enhancing regime persistence through a jump penalty applied at each state transition. Our JM utilizes a feature set comprising risk and return measures derived solely from the return series, with the optimal jump penalty selected through a time series cross-validation method that directly optimizes strategy performance. Our empirical analysis evaluates the realistic out-of-sample performance of various strategies on major equity indices from the US, Germany, and Japan from 1990 to 2023, in the presence of transaction costs and trading delays. The results demonstrate the consistent outperformance of the JM-guided strategy in reducing risk metrics such as volatility and maximum drawdown, and enhancing risk-adjusted returns like the Sharpe ratio, when compared to both hidden Markov model-guided strategy and the buy-and-hold strategy. These findings underline the enhanced persistence, practicality, and versatility of strategies utilizing JMs for regime-switching signals.","PeriodicalId":45953,"journal":{"name":"Journal of Asset Management","volume":"14 1","pages":""},"PeriodicalIF":2.5,"publicationDate":"2024-09-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142247774","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

Applications of CDS to bond portfolio management CDS 在债券投资组合管理中的应用

IF 2.5

Journal of Asset Management Pub Date : 2024-09-14 DOI: 10.1057/s41260-024-00369-w

Johan Duyvesteyn, Marielle de Jong, Frank J. Fabozzi, Patrick Houweling, Lodewijk van der Linden

引用次数: 0

In the shadow of country risk: asset pricing model of emerging market corporate bonds 国家风险的阴影：新兴市场公司债券的资产定价模型

IF 2.5

Journal of Asset Management Pub Date : 2024-09-10 DOI: 10.1057/s41260-024-00370-3

Desislava Vladimirova

引用次数: 0

Applications of FX derivatives to portfolio management 外汇衍生品在投资组合管理中的应用

IF 2.5

Journal of Asset Management Pub Date : 2024-09-10 DOI: 10.1057/s41260-024-00368-x

Redouane Elkamhi, Frank J. Fabozzi, Jacky S. H. Lee, Marco Salerno, Kari Vatanen, Suprita Vohra

引用次数: 0

Applications of stock index options for income enhancement 股指期权在增加收入方面的应用

IF 2.5

Journal of Asset Management Pub Date : 2024-09-05 DOI: 10.1057/s41260-024-00366-z

John Burrello, Frank J. Fabozzi, Han Liang, Anil Sood, Kari Vatanen

引用次数: 0

Applications of equity derivatives to portfolio management 股票衍生工具在投资组合管理中的应用

IF 2.5

Journal of Asset Management Pub Date : 2024-09-02 DOI: 10.1057/s41260-024-00367-y

Eddie C. Cheng, Frank J. Fabozzi, Robert Harlow, Wai Lee, Shaojun Zhang

引用次数: 0

Finance and climate change: assessing the impact of physical, transition, and regulation risks on asset pricing valuation 金融与气候变化：评估实际风险、过渡风险和监管风险对资产定价估值的影响

IF 2.5

Journal of Asset Management Pub Date : 2024-08-26 DOI: 10.1057/s41260-024-00362-3

Benjamin Cisagara

{"title":"Finance and climate change: assessing the impact of physical, transition, and regulation risks on asset pricing valuation","authors":"Benjamin Cisagara","doi":"10.1057/s41260-024-00362-3","DOIUrl":"https://doi.org/10.1057/s41260-024-00362-3","url":null,"abstract":"This study examines how exposure to climate risk, encompassing physical, transition, and regulation risks, affects stock returns. Our main contribution is the insight that stocks with positive temperature co-variation earn lower future returns, acting as a hedge during periods of heightened investor marginal utility. Additionally, a positive change in a firm’s environmental score is associated with higher stock returns, while a higher level of environmental score corresponds to lower stock returns. To evaluate the contribution of climate change factors in the asset pricing model, we construct climate change factor-mimicking portfolios. Empirical results demonstrate that the model, comprising the temperature anomaly factor, climate news factor, and corporate environment factor, consistently outperforms the Fama–French 5-factor and q-factor models in capturing cross-sectional variations in average stock returns. In addition, this model performs better than the model presented by Görgen et al. (2020) and Ume (2021), which incorporate only the carbon risk factor. This underscores the importance of considering multiple facets of climate change in assessing its impact on asset pricing. As a result of this, study, relying solely on one aspect of climate change, may lead to an understatement of its overall effect on financial markets. Implications of this study suggest that considering a multi-faceted approach to climate risk in asset pricing models can lead to more accurate valuation and risk management strategies in financial markets.","PeriodicalId":45953,"journal":{"name":"Journal of Asset Management","volume":"5 1","pages":""},"PeriodicalIF":2.5,"publicationDate":"2024-08-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142200785","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

ESG index performance: European evidence ESG 指数表现：欧洲证据

IF 2.5

Journal of Asset Management Pub Date : 2024-05-29 DOI: 10.1057/s41260-024-00361-4

Hager Kossentini, Olfa Belhassine, Amel Zenaidi

{"title":"ESG index performance: European evidence","authors":"Hager Kossentini, Olfa Belhassine, Amel Zenaidi","doi":"10.1057/s41260-024-00361-4","DOIUrl":"https://doi.org/10.1057/s41260-024-00361-4","url":null,"abstract":"ESG investing and its financial performance is nowadays a hot topic luring the attention of all economic agents. All developed financial markets offer sustainable indices to meet the ethical needs of investors. However, this is not the case for a large share of emerging financial markets. This study aims to analyze the financial performance of several MSCI European ESG indices and compare it to their respective conventional benchmarks. We investigate financial performance through time and also over different market conditions using both static and dynamic financial performance measures. The static analysis shows that the sustainable indices are as performant as the conventional index, in most cases. The Emerging Market (EM) Europe ESG Leaders index is less risky than the benchmark. However, the dynamic financial performance analysis reveals that CAPM alpha and beta are time-varying. The rolling window annual analysis shows that the EM Europe ESG Leaders index offers an interesting investment option since it beats the benchmark, less risky and offers the highest performance. Finally, the Markov-Switching analysis indicates that alphas and betas mainly depend on stock market conditions. Indeed, in high volatility market, risk-averse investors would be interested in investing in the ESG index since it reduces market risk. Moreover, when the market is more stable, the sustainable EM Europe ESG Leaders index offers better performance.","PeriodicalId":45953,"journal":{"name":"Journal of Asset Management","volume":"52 1","pages":""},"PeriodicalIF":2.5,"publicationDate":"2024-05-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141196963","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

Sharpe-optimal volatility futures carry 夏普最优波动率期货套利

IF 2.5

Journal of Asset Management Pub Date : 2024-05-29 DOI: 10.1057/s41260-024-00359-y

Björn Uhl

{"title":"Sharpe-optimal volatility futures carry","authors":"Björn Uhl","doi":"10.1057/s41260-024-00359-y","DOIUrl":"https://doi.org/10.1057/s41260-024-00359-y","url":null,"abstract":"Holding volatility as part of an institutional portfolio is often found not to benefit the overall characteristics of the resulting portfolio. This applies to both simple buy and hold but also to short-selling VIX futures to harvest the volatility risk premium. We show that the latter generates positive returns but is unlikely to benefit an existing equity portfolio due to the high correlation with the returns of the S&P 500. Instead, we propose to harvest the volatility risk premium using the full term structure of the VIX in a robust Markowitz (J Financ 7(1):77–91, 1952. https://doi.org/10.2307/2975974)-framework based on Pedersen et al. (Financ Anal J 77(2):124–151, 2021. https://doi.org/10.1080/0015198X.2020.1854543). We show that VIX carry forecasts have predictive power for the futures returns and consequently use these as a market return expectations. In a number of out-of-sample tests, we find that such ex ante Sharpe-optimal portfolios not only yield statistically significant positive performances but also add significant Alpha over typical equity and fixed income factor returns. Several robustness tests confirm that these findings are insensitive to the specific parameter choices. Overall, we conclude that the volatility risk premium can be harvested profitably with a simple dynamic framework using the full term structure of VIX futures—both stand-alone and in the context of an existing institutional portfolio.","PeriodicalId":45953,"journal":{"name":"Journal of Asset Management","volume":"122 1","pages":""},"PeriodicalIF":2.5,"publicationDate":"2024-05-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141197003","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