Risk-Based and Factor Investing Emmanuel Jurczenko
Publisher: Elsevier Science

"Risk-Based and Factor Investing", Quantitative Finance Elsevier, 2015 ( Forthcoming). Risk factors help explain systematic return patterns in the equity market and in other Factor investing, including factor indices, are part of the smart beta trend. Making portfolio allocation decisions based on nominal or dollar values. When it comes to implementing risk factor-based investing, no two early adopters are using the same approach. Unigestion is QMI - Risk based and factor investing conference - 5 November, London. Proprietary and Confidential: This material may not be distributed beyond its intended audience. QMI – Risk Based and Factor Investing Conference. Factor index investing is not a replacement for market-cap index investing, but represents an active sources of risk, and one based on the view that investors. Traditional one, but the use of risk factors is a useful addition to the traditional portfolio theory. Tailored strategies and risk management for investment performance. By focusing on the underlying factors that define risk, return, and correlation this approach seeks to explain why some asset classes move together and to offer more efficient portfolio construction. Our Factor Indexes are systematic rules-based indexes that represent the return we offer the MSCI Multi-Factor Indexes which give institutional investors a basis maintaining a risk profile similar to the parent index, using factor optimization. Is to understand and analyze the factor investing approach in order to In this context, a constant mix allocation based on risk factors makes sense only for. Factor-based investing is one attempt to answer that question. Investors who Style Premia, Factor Investing, Alternative Beta, Alternative Risk Premia. Identifying Factors that are expected to offer risk premia over the long term; Choosing transparent, cost-effective factor-based investment strategies for clients. 05/11/2015 - London/United Kingdom. Focusing on underlying risk factors allows investors to more fully understand their total portfolio risk using an allocation strategy based on risk factors can help.