Increased Correlation Among Asset Classes
DOWNLOAD
Download Increased Correlation Among Asset Classes PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get Increased Correlation Among Asset Classes book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages. If the content not found or just blank you must refresh this page
Increased Correlation Among Asset Classes
DOWNLOAD
Author : Yacine Ait-Sahalia
language : en
Publisher:
Release Date : 2014
Increased Correlation Among Asset Classes written by Yacine Ait-Sahalia and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
We develop estimators and asymptotic theory to decompose the quadratic covariation between two assets into its continuous and jump components, in a manner that is robust to the presence of market microstructure noise. Using high frequency data on different assets classes, we find that the recent financial crisis led to an increase in both the quadratic variations of the assets and their correlations. However, we find little evidence to suggest a change between the relative contributions of the Brownian and jump components, as both comove. Co-jumps stem from surprising news announcements that occur primarily before the opening of the U.S. market, and are also accompanied by an increase in Brownian-driven correlations.
Exploring The Changes In Asset Correlation Over Time
DOWNLOAD
Author : Zachary Himmel
language : en
Publisher:
Release Date : 2022
Exploring The Changes In Asset Correlation Over Time written by Zachary Himmel and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022 with categories.
This paper examines the changes in asset correlation over time to better understand the application of Portfolio Theory in the modern era. The goal of the provided research is to provide evidence that asset correlations have changed over time, not only across equities, but across fixed income securities and commodities as well. As a result of these changes, investors can make more educated decisions based on personal risk tolerances, ability to decrease portfolio variance, and investment goals. Assets classes are selected across bonds, commodities, and equities with different characteristics, such as geography, industry exposure, and purpose. Correlation is calculated for four periods of five years beginning in 2001, utilizing monthly returns. Overall, assets classes have been increasing in correlation over time, with the assets selected averaging a 2.68% increase in correlation in each period of five years. On average, equities increased the most, with correlation increasing 9.69% on average across each period of five years, with bonds decreasing in correlation on average by 4.25% for each period of five years, and commodities showing no significant changes in correlation. Between 2011 and 2016, each asset class saw the direction of correlation changes change, possibly due to drastically different foreign economic policies. The remainder of this paper serves as a case study of historical financial events throughout the past twenty years, which provide evidence to an increasingly globalized economy, which has caused more congruency in asset returns. In terms of crafting manageable strategies to average investors, it can be inferred that asset class diversification is a more effective means of lowering portfolio variance and spreading risk than investing in international equities.
Asymmetric Dependence In Finance
DOWNLOAD
Author : Jamie Alcock
language : en
Publisher: John Wiley & Sons
Release Date : 2018-02-02
Asymmetric Dependence In Finance written by Jamie Alcock and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-02-02 with Business & Economics categories.
Avoid downturn vulnerability by managing correlation dependency Asymmetric Dependence in Finance examines the risks and benefits of asset correlation, and provides effective strategies for more profitable portfolio management. Beginning with a thorough explanation of the extent and nature of asymmetric dependence in the financial markets, this book delves into the practical measures fund managers and investors can implement to boost fund performance. From managing asymmetric dependence using Copulas, to mitigating asymmetric dependence risk in real estate, credit and CTA markets, the discussion presents a coherent survey of the state-of-the-art tools available for measuring and managing this difficult but critical issue. Many funds suffered significant losses during recent downturns, despite having a seemingly well-diversified portfolio. Empirical evidence shows that the relation between assets is much richer than previously thought, and correlation between returns is dependent on the state of the market; this book explains this asymmetric dependence and provides authoritative guidance on mitigating the risks. Examine an options-based approach to limiting your portfolio's downside risk Manage asymmetric dependence in larger portfolios and alternate asset classes Get up to speed on alternative portfolio performance management methods Improve fund performance by applying appropriate models and quantitative techniques Correlations between assets increase markedly during market downturns, leading to diversification failure at the very moment it is needed most. The 2008 Global Financial Crisis and the 2006 hedge-fund crisis provide vivid examples, and many investors still bear the scars of heavy losses from their well-managed, well-diversified portfolios. Asymmetric Dependence in Finance shows you what went wrong, and how it can be corrected and managed before the next big threat using the latest methods and models from leading research in quantitative finance.
Asset Allocation
DOWNLOAD
Author : William Kinlaw
language : en
Publisher: John Wiley & Sons
Release Date : 2021-07-27
Asset Allocation written by William Kinlaw and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-07-27 with Business & Economics categories.
Discover a masterful exploration of the fallacies and challenges of asset allocation In Asset Allocation: From Theory to Practice and Beyond—the newly and substantially revised Second Edition of A Practitioner’s Guide to Asset Allocation—accomplished finance professionals William Kinlaw, Mark P. Kritzman, and David Turkington deliver a robust and insightful exploration of the core tenets of asset allocation. Drawing on their experience working with hundreds of the world’s largest and most sophisticated investors, the authors review foundational concepts, debunk fallacies, and address cutting-edge themes like factor investing and scenario analysis. The new edition also includes references to related topics at the end of each chapter and a summary of key takeaways to help readers rapidly locate material of interest. The book also incorporates discussions of: The characteristics that define an asset class, including stability, investability, and similarity The fundamentals of asset allocation, including definitions of expected return, portfolio risk, and diversification Advanced topics like factor investing, asymmetric diversification, fat tails, long-term investing, and enhanced scenario analysis as well as tools to address challenges such as liquidity, rebalancing, constraints, and within-horizon risk. Perfect for client-facing practitioners as well as scholars who seek to understand practical techniques, Asset Allocation: From Theory to Practice and Beyond is a must-read resource from an author team of distinguished finance experts and a forward by Nobel prize winner Harry Markowitz.
Global Asset Allocation
DOWNLOAD
Author : Heinz Zimmermann
language : en
Publisher: John Wiley & Sons
Release Date : 2003-02-03
Global Asset Allocation written by Heinz Zimmermann and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-02-03 with Business & Economics categories.
Reveals new methodologies for asset pricing within a global asset allocation framework. Contains cutting-edge empirical research on global markets and sectors of the global economy. Introduces the Black-Litterman model and how it can be used to improve global asset allocation decisions.
Asset Allocation And Private Markets
DOWNLOAD
Author : Cyril Demaria
language : en
Publisher: John Wiley & Sons
Release Date : 2021-04-19
Asset Allocation And Private Markets written by Cyril Demaria and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-04-19 with Business & Economics categories.
The comprehensive guide to private market asset allocation Asset Allocation and Private Markets provides institutional investors, such as pension funds, insurance groups and family offices, with a single-volume authoritative resource on including private markets in strategic asset allocation. Written by four academic and practitioner specialists, this book provides the background knowledge investors need, coupled with practical advice from experts in the field. The discussion focuses on private equity, private debt and private real assets, and their correlation with other asset classes to establish optimized investment portfolios. Armed with the grounded and critical perspectives provided in this book, investors can tailor their portfolio and effectively allocate assets to traditional and private markets in their best interest. In-depth discussion of return, risks, liquidity and other factors of asset allocation takes a more practical turn with guidance on allocation construction and capital deployment, the “endowment model,” and hedging — or lack thereof. Unique in the depth and breadth of information on this increasingly attractive asset class, this book is an invaluable resource for investors seeking new strategies. Discover alternative solutions to traditional asset allocation strategies Consider attractive returns of private markets Delve into private equity, private debt and private real assets Gain expert perspectives on correlation, risk, liquidity, and portfolio construction Private markets represent a substantial proportion of global wealth. Amidst disappointing returns from stocks and bonds, investors are increasingly looking to revitalise traditional asset allocation strategies by weighting private market structures more heavily in their portfolios. Pension fund and other long-term asset managers need deeper information than is typically provided in tangential reference in broader asset allocation literature; Asset Allocation and Private Markets fills the gap, with comprehensive information and practical guidance.
Main Macroeconomic Factors Influencing Asset Allocation In Investment Funds
DOWNLOAD
Author : Stefan Kljajic
language : en
Publisher:
Release Date : 2017
Main Macroeconomic Factors Influencing Asset Allocation In Investment Funds written by Stefan Kljajic and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
One group of academics suggests that all market prices move randomly and the best way to reduce risk and maximize returns is to diversify ones portfolio, even amongst the different asset classes. It also suggests that changes in the main macroeconomic factors (Gross domestic product, inflation rates and money market interest rates) are correlated with changes in the performance of the main asset classes (Equities, Bonds and Commodities), and could therefore serve as predictors of the latter. The paper answers the question: To what extent is there a significant correlation between the changes in the main macroeconomic factors and the changes in the allocation of the main asset classes? As a result of the empirical study, the gross domestic product had an inverse correlation with equities, a non-distinctive correlation with bonds and a partially positive correlation with commodities. The inflation rate had a partially inverse correlation with equities and bonds and a partially positive correlation with commodities. The money market interest rate had a partially positive correlation with equities and bonds and an inverse relationship with commodities.*****One group of academics suggests that all market prices move randomly and the best way to reduce risk and maximize returns is to diversify ones portfolio, even amongst the different asset classes. It also suggests that changes in the main macroeconomic factors (Gross domestic product, inflation rates and money market interest rates) are correlated with changes in the performance of the main asset classes (Equities, Bonds and Commodities), and could therefore serve as predictors of the latter. The paper answers the question: To what extent is there a significant correlation between the changes in the main macroeconomic factors and the changes in the allocation of the main asset classes? As a result of the empirical study, the gross domestic product had an inverse correlation with equities, a non-distinctive correlation with bonds and a partially positive correlation with commodities. The inflation rate had a partially inverse correlation with equities and bonds and a partially positive correlation with commodities. The money market interest rate had a partially positive correlation with equities and bonds and an inverse relationship with commodities.
Treasury Inflation Protected Securities Tips As An Asset Class Implicatons For Asset Allocation
DOWNLOAD
Author : Alexander Hardt
language : en
Publisher: GRIN Verlag
Release Date : 2014-07-15
Treasury Inflation Protected Securities Tips As An Asset Class Implicatons For Asset Allocation written by Alexander Hardt and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-07-15 with Business & Economics categories.
Bachelor Thesis from the year 2014 in the subject Business economics - Investment and Finance, grade: 1,0, Texas A&M University (Texas A&M University-Commerce), language: English, abstract: This thesis examines optimized portfolios of three investor types during four different time intervals ranging from 1998 to 2013 to determine if the inclusion of Treasury Inflation-Protected Securities (TIPS) has benefits for institutional investors such as pension plans, university endowments, foundations and sovereign wealth funds. The three investor types used in this study differ in their risk tolerance, with the more risk-averse investor type choosing not to include certain asset classes in his investment portfolio. The efficient frontier algorithm, developed by Prof. Harry Markowitz, is used to determine whether the inclusion of TIPS improves the risk/return profile of the portfolio. Sharpe ratio, developed by Prof. William Sharpe, is used to measure a portfolio’s risk adjusted performance. The study found that the benefits of the inclusion of TIPS in a portfolio vary by time period and investor type. While all investors were able to improve their risk return profile, the more risk-averse investor type benefits to a larger degree from the inclusion of TIPS. Furthermore, a significant increase in the financial efficiency was only observed in the 1998 to 2002 period. Therefore, the researcher concludes that the TIPS market is quite dynamic and investors need to take into account forward-looking information to profit from the inclusion of TIPS in investment portfolios.
The New Science Of Asset Allocation
DOWNLOAD
Author : Thomas Schneeweis
language : en
Publisher: John Wiley & Sons
Release Date : 2010-02-12
The New Science Of Asset Allocation written by Thomas Schneeweis and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-02-12 with Business & Economics categories.
A feasible asset allocation framework for the post 2008 financial world Asset allocation has long been a cornerstone of prudent investment management; however, traditional allocation plans failed investors miserably in 2008. Asset allocation still remains an essential part of the investment arena, and through a new approach, you'll discover how to make it work. In The New Science of Asset Allocation, authors Thomas Schneeweis, Garry Crowder, and Hossein Kazemi first explore the myths that plague this field then quickly move on to examine how the practice of asset allocation has failed in recent years. They then propose new allocation models that employ liquidity, transparency, and real risk controls across multiple asset classes. Outlines a new approach to asset allocation in a post-2008 world, where risk seems hidden The "great manager" problem is examined with solutions on how to capture manager alpha while limiting downside risk A complete case study is presented that allocates for beta and alpha Written by an experienced team of industry leaders and academic experts, The New Science of Asset Allocation explains how you can effectively apply this approach to a financial world that continues to change.
Factor Investing And Asset Allocation A Business Cycle Perspective
DOWNLOAD
Author : Vasant Naik
language : en
Publisher: CFA Institute Research Foundation
Release Date : 2016-12-30
Factor Investing And Asset Allocation A Business Cycle Perspective written by Vasant Naik and has been published by CFA Institute Research Foundation this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-12-30 with Business & Economics categories.