Journal of Investment Strategies
ISSN:
2047-1238 (print)
2047-1246 (online)
Editor-in-chief: Ali Hirsa
Volume 8, Number 2
Editor's Letter
Welcome to issue two in the eighth volume of The Journal of Investment Strategies.
In this issue, we present three papers covering a wide range of topics. The first paper, “Factor investing: get your exposures right!“, by François Soupé, Xiao Lu and Raul Leote de Carvalho, ponders the question of optimal portfolio construction for equity factor investing and discusses the question of multifactor portfolio construction to show that the simplistic approaches often used by practitioners tend to be suboptimal.
In the second paper, “Dynamic volatility management: from conditional volatility to realized volatility” by Rongju Zhang, Nicolas Langrené, Yu Tian and Zili Zhu, presents a multiperiod portfolio management strategy that can be used to directly manage the realized volatility over a long time horizon.
Finally, George Tsalikis and Simeon Papadopoulos in their paper “Can shorting leveraged exchange-traded fund pairs be a profitable trade?” examine if investors can profit from the underperformance of leveraged exchange-traded funds (ETFs) in long holding periods.
We hope that you enjoy reading!
Papers in this issue
Factor investing: get your exposures right!
This paper is devoted to the question of optimal portfolio construction for equity factor investing. The authors discuss the question of multifactor portfolio construction and show that the simplistic approaches often used by practitioners tend to be…
Dynamic volatility management: from conditional volatility to realized volatility
In this paper, the authors present a multiperiod portfolio management strategy that can be used to directly manage the realized volatility over a long time horizon.
Can shorting leveraged exchange-traded fund pairs be a profitable trade?
In this paper, the authors examine if investors can profit from the underperformance of leveraged exchange-traded funds (ETFs) in long holding periods.
