The objective of this paper is to assess the relative benefits and drawbacks of the various factor and multi-factor portfolio construction techniques through the lens of factor exposure and portfolio diversification. Academic and empirical evidence tells us that portfolio exposure to certain factors is a good thing, while modern portfolio theory emphasizes the importance of diversification.
Teldar Paper was the fictional target of a hostile takeover by corporate raider Gordon Gekko in the now classic 1987 movie Wall Street. In the 30 years since the movie debuted, the paper industry has undergone major reorganization and consolidation of the sort that would have proven Gekko a visionary.
“A leopard can’t change its spots,” is an old saying rooted in the belief that a person’s core character doesn’t change over time. The same cannot be said of the markets, public companies or investment strategies, which is why the Russell Style Indexes have become such powerful tools for portfolio measurement and construction.
The behavior of the price differential between A-shares and H-shares of dual-listed companies will be studied in this article for the sample period from 2006- 2017. This paper discusses whether a share class selection mechanism applied to a universe of Chinese stocks can deliver a superior return/risk reward outcome compared to a market-capitalization weighted China A-shares benchmark.
Equal weight indexes are the simplest type of alternatively-weighted index. By comparison to the standard index construction method of capitalization weighting, an equal weight index is indifferent to a stock's market value.
The fourth quarter reaction of the Russell 2000 Index’s Financial Services Sector to Donald Trump’s election as President of the United States suggests that the market is anticipating another such period of enhanced profitability, particularly for banks.
Today, FTSE Russell posted its official preliminary lists of companies set to enter or leave the US broad-market Russell 3000 Index and the Russell Microcap Index when the Russell US Indexes undergo their annual rebalance after US markets close on Friday, June 23. The lists of projected additions and deletions for the Russell US Indexes are now available on the FTSE Russell website.
The Chinese government has announced that the country’s $9 trillion bond market will now be accessible to overseas investors via the Bond Connect scheme with Hong Kong. Both corporate and government bonds are included in the scheme. This is the latest in a series of measures by China to open its financial markets to greater foreign investment.
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