Risk-Based and Factor Investing

Emmanuel Jurczenko is Associate Dean and Professor of Finance at Ecole Hôtelière de Lausanne, Switzerland. His research focuses on portfolio and risk management with a particular interest in risk budgeting, factor investing, and public and private equity real estate investments. Prior to joining Ecole hôtelière de Lausanne, he worked for ABN-AMRO between 2000 and 2006 as head of quantitative analysts, where he was in charge of quantitative fund selection. Mr. Jurczenko has written numerous articles which have been published in academic and practitioner journals. He holds a Ph.D. in Economics from the University of Paris 1 Panthéon Sorbonne in France.

• 1. Advances in Portfolio Risk Control2. Smart Beta: Managing Diversification of Minimum Variance Portfolios3. Trend-following, Risk-parity and the Influence of Correlations4. Diversifying Risk Parity: In Today, Out Tomorrow? 5. Robust Portfolio Allocation with Systematic Risk Contribution Restrictions6. Risk -based Investing but What Risk(s)?7. Target Volatility8. Smart Beta Equity Investing Through Calm and Storm9. Solving the Rebalancing Premium Puzzle10. Smart Betas: Theory and Construction11. Low-risk Anomaly Everywhere: Evidence from Equity Sectors12. The Low Volatility Anomaly and the Preference for Gambling 13. The Low Beta Anomaly and Interest Rates14. Factoring Profitability15. Deploying Multi-factor Index Allocations in Institutional Portfolios 16. Defining the Equity Premium, a Framework17. Designing Multi-Factor Equity Portfolios 18. Factor Investing and Portfolio Construction Techniques19. Multi-Factor Portfolio Construction for Passively Managed Factor Portfolios 20. Statistical Overfitting and Backtest Performance

"Investors are increasingly looking to factor investing and risk-based allocations as building blocks when constructing their portfolios. Why is this? Because the limitations of traditional asset allocation techniques and market-capitalisation-weighted benchmarks have become all too apparent in recent years, leading them to seek more efficient ways to invest. But this new approach to investment also brings with it some challenges. Everybody is talking about factor investing, but which factors should we consider, and what’s the best way to allocate between them? When we discuss risk-based allocation, which risks should we take into account? And although the theoretical foundation behind factor investing is compelling, how can we actually implement it in investors’ portfolios? This book aims to act as a bridge between academic research and market practitioners, providing investors with practical advice on how to use risk-based and factor investing as the basis of the portfolio construction process." --Fiona Frick, CEO, Unigestion"Risk-Based and Factor Investing is a must-read for all students of quantitative asset-allocation and portfolio construction methods. Remarkably, Jurczenko manages to offer under a single cover some of the best reading from academics and practitioners leading the research and application of these investment techniques. The collection of articles offers a rare balance of theoretical rigour, practical insight and guidance that will be an excellent reference for investment professionals and researchers alike, for years to come." --Michael Sabbatini, Partner, Capital International"Risk based and factor investing (RBFI) techniques are increasingly used by investors to allocate capital in their investment portfolios. This book contains a collection of papers that address some of the theoretical and practical aspects associated with making such allocations. The range of topics and the depth of analysis in the articles make this collection invaluable to practitioners looking to implement such strategies as well as academics seeking to gain an understanding of recent developments in portfolio management. Regardless of whether you are new to this field or an experienced professional you will undoubtedly gain valuable insight into the world of RBFI from this book." --Harindra de  Silva, President, Analytic Investors"The twenty chapters in this book are written by top-quality academics and practitioners who have been at the forefront of recent advances in investment management. These chapters cover a broad range of topics that are at the cutting edge of investment management ranging from portfolio risk control, smart beta, risk parity, robust portfolio allocation, and the rebalancing premium.  The book also discusses various anomalies such as the low-risk and low-beta anomalies and includes a modern discussion of the equity risk premium, multifactor portfolio construction, and statistical over fitting and backtesting. This comprehensive guide will be an invaluable resource to portfolio and asset managers as well as academics who wish to better understand the latest advances in the practice of investment management. The book offers a rich collection of theoretical results, empirical findings, and deep insights about investment practice." --Raman Uppal, Professor of Finance, Edhec Business School