Advanced Portfolio Management

Index

•  
• Alpha, 13–15
• Alternative Data, 10, 17, 142
  • Estimation process, 144
• Armstrong's Gorilla, 8

•  
• Benchmark, 12
• Beta, 15
  • Centered, 53
  • Compression, 52
  • Historical vs. Predicted, 38
  • Percentage, 24
  • To the Market, 38
• Big Minus Small, 32

•  
• Capital Asset Pricing Model (CAPM), 31, 45, 50, 55
• Corporate Access, 17
• Country
  • Factor, 47
• Crowding, 17, 59
• Custom Factors, 142

•  
• Deleveraging Cycle, 59
• Diversification, 136

•  
• Earnings, 139
• Effective number of stocks, 137

•  
• F&P, 51
• Factor
  • Interpretation of Volatility, 54
  • Active manager holdings, 58
  • Beta, 50
  • Country, 47
  • Exposure, 102
  • Industry, 48
  • Interpretation of Beta, 51
  • Market Sensitivity, see Beta
  • Momentum, 60
    • Term structure, 62
  • Returns, 41
  • Short interest, 56, 145
    • Borrow rate, 57
    • Days-to-cover, 57
    • Short ratio, 56
    • Short-to-float, 56
    • Utilization rate, 57
  • Size, 32
  • Style, 46
  • Value, 66
• Factor Rotation, 104
• Factor-Mimicking Portfolios, 41, 120, 169
• FMP, see Factor-Mimicking Portfolios
• Folded Normal Distribution, 37

•  
• GMV, see Gross Market Value
• Gordon's Formula, 70
• Gross Market Value, 28

•  
• Hedging, 26, 182
  • Internal, 182
• Herfindahl Index, 172

•  
• Information Ratio, 74, 75

•  
• Liquidity, 17
• Loadings, 31
• Loadings Matrix, 41

•  
• Marginal Contribution to Factor Risk, 102
• Market Timing, 144
• Momentum Crashes, 64

•  
• Net Market Value, 20
• NMV, see Net Market Value

•  
• Optimization, 173
  • Equal-sized positions, 134
• Orthogonalization, 178

•  
• Performance
  • Diversification, 136
  • Sizing, 128
  • Timing, 134
• Performance ...