Portfolio of Risk Premia: <i>A New Approach to Diversification</i>

Bender, Jennifer; Briand, Remy; Nielsen, Frank; Stefek, Dan

doi:10.3905/jpm.2010.36.2.017

Cited by 84 publications

(39 citation statements)

References 13 publications

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“…4 Such factors include the Fama and French (1992) size and value premiums, the term and default premiums (Fama and French 1993), and the momentum anomaly identified by Jegadeesh and Titman (1993). Bender et al (2010) show that these premiums are uncorrelated with each other and that they increase returns and reduce portfolio volatility over traditional asset class allocations. Likewise, when comparing the diversification benefits of factor-based allocations to alternative assets, Bird et al (2013) find that factor approaches tend to outperform alternative asset classes.…”

Section: Testing Asset Classes or Factors?mentioning

confidence: 99%

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Searching for a listed infrastructure asset class using mean–variance spanning

Blanc-Brude¹,

Whittaker²,

Wilde

2017

Financ Mark Portf Manag

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This study examines the portfolio-diversification benefits of listed infrastructure stocks. We employ three different definitions of listed infrastructure and tests of mean-variance spanning. The evidence shows that viewing infrastructure as an asset class is misguided. We employ different schemes of infrastructure asset selection (both traditional asset classes and factor exposures) and discover that they do not provide portfolio-diversification benefits to existing asset allocation choices. We also find that defining and selecting infrastructure investments by business model as opposed to industrial sectors can reveal a very different investment profile, albeit one that improves the mean-variance efficient frontier since the global financial crisis. This study provides new insights into defining and benchmarking infrastructure equity investments in general, as well as into the extent to which public markets can be used to proxy the risk-adjusted performance of privately held infrastructure investments.

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Section: Testing Asset Classes or Factors?mentioning

confidence: 99%

“…We follow Bender et al (2010), Ilmanen and Kizer (2012), and Bird et al (2013) to build market, size, value, term, and default factors. The price and total return summary statistics for the factor portfolios are described in Table 14.…”

Section: Global Factor-based Reference Portfoliomentioning

confidence: 99%

Searching for a listed infrastructure asset class using mean–variance spanning

Blanc-Brude¹,

Whittaker²,

Wilde

2017

Financ Mark Portf Manag

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“…For this study, we concur for practical reasons with the categorisation of Bender et al . (). They distinguish three types of factor premium that arise from exposure to the risk of a broad (1) asset class, (2) style, or (3) strategy.…”

Section: Factor Premiumsmentioning

confidence: 97%

“…These factors are also investigated by Amenc et al (2009), Ang et al (2009), Bender et al (2010, Blitz and Van Vliet (2008), Clarke et al (2005) and Verbeek (2007, 2009). Indeed, these articles also mention Market, Value, Size and Momentum as factors.…”

Section: Most Common Factorsmentioning

confidence: 98%

“…In bond markets, the factors Term and Credit are nearly always mentioned. References include Ang et al (2009), Bender et al (2010, Clarke et al (2005), French (1989, 1993), Gebhardt et al (2005) and Ilmanen and Kizer (2012). In many of these studies, these are the only two factors mentioned, with other factors barely getting a mention, if at all.…”

Section: Most Common Factorsmentioning

confidence: 99%

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Investing in Systematic Factor Premiums

Koedijk

Slager

Stork

2016

Euro Fin Management

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In this paper we investigate and evaluate factor investing in the US and Europe for equities and bonds. We show that factor-based portfolios generally produce comparable or better portfolios than market indices. We expand the analysis to other asset classes and factors, work with other optimisation methods and add a basic liability structure. The results do not depend on adding other asset classes or on the removal of a specific factor. Finally, we study the results for a worldwide investor who invests beyond the US and Europe. Over the longer term and with consistently applied factor diversification, factor investing appears to be advantageous.

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Global Macro Trading

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Portfolio of Risk Premia: A New Approach to Diversification

Cited by 84 publications

References 13 publications

Searching for a listed infrastructure asset class using mean–variance spanning

Searching for a listed infrastructure asset class using mean–variance spanning

Investing in Systematic Factor Premiums

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