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Quantitative Equity Portfolio Management Publication Date: May 11, 2007 | ISBN-10: 1584885580 | ISBN-13: 978-1584885580 | Edition: 1 Quantitative equity portfolio management combines theories and advanced techniques from several disciplines, including financial economics, accounting, mathematics, an
chapman hall/crc financial matheMatics series Quantitative Equity Portfolio Management Modern Techniques and Applications Edward E Qian, Ronald H Hua, and eric h sorensen H Chapman Hall/Cro Taylor Francis Group Boca raton London New york Chapman hall/CRC is an imprint of the Taylor Francis Group, an informa business C5580 indb 4/6/079:16:12AM Chapman hall/cro Taylor Francis Group 6000 Broken Sound Parkway NW, Suite 300 Boca raton Fl 33487-2742 o 2007 by Taylor Francis Group, LLC Chapman Hall/CRC is an imprint of Taylor Francis Group, an Informa business No claim to original U.S. Government works Printed in the United States of America on acid-free paper 10987654321 International Standard Book Number-10: 1-58488-558-0 (Hardcover) International Standard Book Number-13: 978-1-58488-558-0(Hardcover) This book contains information obtained from authentic and highly regarded sources. Reprinted material is quoted with permission, and sources are indicated. a wide variety of references are listed. Reasonable efforts have been made to publish reliable data and information but the author and the publisher cannot assume responsibility for the validity of all materials or for the conse quences of their use No part of this book may be reprinted, reproduced, transmitted, or utilized in any form by any electronic, mechanical, or other means, now known or hereafter invented, including photocopying, microfilming, and recording, or in any information storage or retrieval system, without written permission from the publishers Forpermissiontophotocopyorusematerialelectronicallyfromthisworkpleaseaccesswww. copyrightcom(http://www.copyright.com/)orcontacttheCopyrightClearanceCenter,Inc.(ccc) 222 Rosewood Drive, Danvers, MA 01923, 978-750-8400. CCC is a not-for-profit organization that provides licenses and registration for a variety of users. For organizations that have been granted a photocopy license by the CCC, a separate system of payment has been arranged Trademark Notice: Product or corporate names may be trademarks or registered trademarks, and are used only for identification and explanation without intent to infringe Library of Congress Cataloging-in-Publication Data Qian, edward E Quantitative equity portfolio management: modern techniques and applications/Edward E Qian, Ronald H. Hua, and Eric H. Sorensen p cm.--(Chapman Hall/CRC financial mathematics series 6 Includes bibliographical references and index ISBN-13:978-1-58488-558-0 ISBN-10:1-58488-558-0 1. Portfolio management--Mathematical models. I Hua, Ronald H II Sorensen, Eric H. Ill. Title IV Series HG45295.Q252007 332.6-dc22 2006100572 Visit the taylor Francis Web site at http://www.taylorandfrancis.com and the crc Press Web site at http://www.crcpress.com C5580 indb 4 4/6/079:16:12AM Contents Preface, xi Abstract, xiii about the authors Xy CHAPTER 1. Introduction: Beliefs, risk, and Process 1.1 BELIEFS 1.2 RISK 1.3 QUANTITATIVE INVESTMENT PROCESS 1.4 INFORMATION CAPTURE 1.5 THE CHAPTERS 11 APPENDIX: PSYCHOLOGY AND BEHAVIOR FINANCE A1.1 ADVANCES IN PSYCHOLOGY 12 A1.2 BEHAVIORAL FINANCE 12 A1. 3 BEHAVIORAL MODELS REFERENCES ENDNOTES 18 CHAPTER 2. Portfolio Theory 23 2.1 DISTRIBUTIONS OF INVESTMENT RETURNS 24 2.2 OPTIMAL PORTFOLIOS 28 2. 3 CAPITAL ASSET PRICING MODEL 38 C5580 indb 5 4/6/079:16:13AM vi■ Contents 2.4 CHARACTERISTIC PORTFOLIOS 45 PROBLEMS 47 REFERENCES chapter 3- Risk Models and risk analysis 3.1 ARBITRAGE PRICING THEORY AND APT MODELS 54 3.2 RISK ANALYSIS 64 3. 3 CONTRIBUTION TO VALUE AT RISK 72 PROBLEMS REFERENCES CHAPTER 4. Evaluation of Alpha Factors 81 4.1 ALPHA PERFORMANCE BENCHMARKS: THE RATIOS 81 4.2 SINGLE-PERIOD SKILL: INFORMATION COEFFICIENT 83 4.3 MULTIPERIOD EX ANTE INFORMATION RATIO 94 4.4 EMPIRICAL EXAMPLES 100 PROBLEMS 108 REFERENCES 110 CHAPTER 5- Quantitative Factors 5.1 VALUE FACTORS 5.2 QUALITY FACTORS 125 5.3 MOMENTUM FACTORS 135 APPENDIX A5.1: FACTOR DEFINITION 145 APPENDIX A5.2: NET OPERATING ASSETS (NOA 148 REFERENCES 150 ENDNOTES 153 CHAPTER 6- Valuation Techniques and value Creation 155 6.1 VALUATION FRAMEWORK 156 C5580 indb 6 4/6/079:16:13AM Contents 6.2 FREE CASH FLOW 162 6.3 MODELING THE BUSINESS ECONOMICS OF A FIRM 167 6. 4 COST OF CAPITAL 172 6.5 EXPLICIT PERIOD, FADE PERIOD, AND TERMINAL VALUE 173 6.6 AN EXAMPLE: CHEESECAKE FACTORY, INC(CAKE 175 6.7 MULTIPATH DISCOUNTED CASH FLOW ANALYSIS 180 6.8 MULTIPATH DCF ANALYSIS(MDCF 184 6. 9 SUMMARY 192 PROBLEMS 193 REFERENCES 194 ENDNOTES 194 CHAPTER 7- Multifactor Alpha Models 195 7.1 SINGLE-PERIOD COMPOSITE IC OF A MULTIFACTOR MODEL 196 7. 2 OPTIMAL ALPHA MODEL: AN ANALYTICAL DERIVATION 200 7.3 FACTOR CORRELATION VSIC CORRELATION 207 7.4 COMPOSITE ALPHA MODEL WITH ORTHOGONALIZED FACTORS 214 7.5 FAMA-MACBETH REGRESSION AND OPTIMAL ALPHA MODEL 217 PROBLEMS 225 APPENDIX A7.1: INVERSE OF A PARTITIONED MATRIX 226 APPENDIX A7. 2: DECOMPOSITION OF MULTIVARIATE REGRESSION 227 REFERENCES 229 CHAPTER 8. Portfolio Turnover and Optimal Alpha Model 233 8.1 PASSIVE PORTFOLIO DRIFT 234 8.2 TURNOVER OF FIXED-WEIGHT PORTFOLIOS 236 C5580 indb 7 4/6/079:16:13AM ■ Contents 8. 3 TURNOVER DUE TO FORECAST CHANGE 241 8. 4 TURNOVER OF COMPOSITE FORECASTS 247 8.5 INFORMATION HORIZON AND LAGGED FORECASTS 252 8.6 OPTIMAL ALPHA MODEL UNDER TURNOVER CONSTRAINTS 257 8.7 SMALL TRADES AND TURNOVER 267 PROBLEMS 274 APPENDIX A8. 1: REDUCTION IN ALPHA EXPOSURE 276 REFERENCES 278 ENDNOTES 279 Chapter 9. Advanced alpha modeling techniques 281 9. 1 THE RETURN-GENERATING EQUATION 282 9.2 CONTEXTUAL MODELING 283 9.3 MATHEMATICAL ANALYSIS OF CONTEXTUAL MODELING 287 9. 4 EMPIRICAL EXAMINATION OF CONTEXTUAL APPROACH 290 9.5 PERFORMANCE OF CONTEXTUAL MODELS 300 9.6 SECTOR VS CONTEXTUAL MODELING 303 9.7 MODELING NONLINEAR EFFECTS 306 9. 8 SUMMARY 313 PROBLEMS 313 APPENDIX A9.1: MODEL DISTANCE TEST 314 REFERENCES 315 CHAPTER 10 Factor Timing Models 317 10.1 CALENDAR EFFECT: BEHAVIORAL REASONS 10.2 CALENDAR EFFECT: EMPIRICAL RESULTS 323 10.3 SEASONAL EFFECT OF EARNINGS ANNOUNCEMENT 336 C5580 indb 8 4/6/079:16:14AM Contents■ix 10.4 MACRO TIMING MODELS 340 10.5 SUMMARY 350 REFERENCES 352 ENDNOTES 355 chapTer 11. Portfolio Constraints and information ratio 357 11.1 SECTOR NEUTRAL CONSTRAINT 359 11.2 LONG/SHORT RATIO OF AN UNCONSTRAINED PORTFOLIO 363 11.3 LONG-ONLY PORTFOLIOS 374 11. 4 THE INFORMATION RATIO OF LONG-ONLY AND LONG-SHORT PORTFOLIOS 379 PROBLEMS 389 APPENDIX A11.1: MEAN-VARIANCE OPTIMIZATION WITH RANGE CONSTRAINTS 390 REFERENCES 393 ENDNOTES 394 chaPter 12 Transaction Costs and portfolio Implementation 395 12.1 COMPONENTS OF TRANSACTION COSTS 396 12.2 OPTIMAL PORTFOLIOS WITH TRANSACTION COSTS: SINGLE ASSET 398 12.3 OPTIMAL PORTFOLIOS WITH TRANSACTION COSTS: MULTIASSETS 405 12. 4 PORTFOLIO TRADING STRATEGIES 414 12.5 OPTIMAL TRADING STRATEGIES: SINGLE STOCK 415 12.6 OPTIMAL TRADING STRATEGIES: PORTFOLIOS OF STOCKS 427 PROBLEMS 430 APPENDIX: CALCULUS OF VARIATION 431 REFERENCES 433 C5580 indb 9 4/6/079:16:14AM Preface Over the last 40 years, academic researchers have made major break- throughs in advancing modern practice in finance. These include portfolio theory, corporate finance, financial engineering of derivative instruments and many other applications pertaining to financial markets overal Formal portfolio theory research saw major advances in the context of normative choice modeling, including how to form an optimal portfolio, beginning with Harry Markowitz. Parallel with this, we saw new advances in capital market theory in the context of descriptive equilibrium proposi tions in terms of the risk/return tradeoff, beginning with Bill Sharpe and the Capital Asset Pricing Model (CAPm). Many related academic devel opments provided rich portfolio management insight, including Arbitrage Pricing Theory(ApT), market efficiency proposition, market anomalies and behavioral finance dec against this backdrop, it is therefore not surprising, over the past two A des, that modernizing portfolio management has been the ambition of hundreds of professional investment management practitioners as well as fiduciaries. Driven by market demand and the search of higher returns a new breed of investment professionals has emerged-quants,i.e quantitative professions with advanced degrees in science and economic/ finance, seeking to exploit market anomalies with increasing success As a result, quantitative equity investment strategies have been gain ing acceptance and popularity in the investment community. They are deployed in many forms, from enhanced products that aim to beat mar- ket indices while limiting the amount of risk, to absolute return strategies Cong-short hedge funds) that strive to produce positive return regardless of the overall market condition Quantitative equity portfolio management combines theories and advanced techniques from several disciplines, including financial econom- ics,accounting, mathematics, and operational research. Although many books are devoted to these disciplines, few deal with quantitative equit C5580 indb 11 4/6/079:16:14AM 【实例截图】
【核心代码】
Quantitative Equity Portfolio Management Publication Date: May 11, 2007 | ISBN-10: 1584885580 | ISBN-13: 978-1584885580 | Edition: 1 Quantitative equity portfolio management combines theories and advanced techniques from several disciplines, including financial economics, accounting, mathematics, an
chapman hall/crc financial matheMatics series Quantitative Equity Portfolio Management Modern Techniques and Applications Edward E Qian, Ronald H Hua, and eric h sorensen H Chapman Hall/Cro Taylor Francis Group Boca raton London New york Chapman hall/CRC is an imprint of the Taylor Francis Group, an informa business C5580 indb 4/6/079:16:12AM Chapman hall/cro Taylor Francis Group 6000 Broken Sound Parkway NW, Suite 300 Boca raton Fl 33487-2742 o 2007 by Taylor Francis Group, LLC Chapman Hall/CRC is an imprint of Taylor Francis Group, an Informa business No claim to original U.S. Government works Printed in the United States of America on acid-free paper 10987654321 International Standard Book Number-10: 1-58488-558-0 (Hardcover) International Standard Book Number-13: 978-1-58488-558-0(Hardcover) This book contains information obtained from authentic and highly regarded sources. Reprinted material is quoted with permission, and sources are indicated. a wide variety of references are listed. Reasonable efforts have been made to publish reliable data and information but the author and the publisher cannot assume responsibility for the validity of all materials or for the conse quences of their use No part of this book may be reprinted, reproduced, transmitted, or utilized in any form by any electronic, mechanical, or other means, now known or hereafter invented, including photocopying, microfilming, and recording, or in any information storage or retrieval system, without written permission from the publishers Forpermissiontophotocopyorusematerialelectronicallyfromthisworkpleaseaccesswww. copyrightcom(http://www.copyright.com/)orcontacttheCopyrightClearanceCenter,Inc.(ccc) 222 Rosewood Drive, Danvers, MA 01923, 978-750-8400. CCC is a not-for-profit organization that provides licenses and registration for a variety of users. For organizations that have been granted a photocopy license by the CCC, a separate system of payment has been arranged Trademark Notice: Product or corporate names may be trademarks or registered trademarks, and are used only for identification and explanation without intent to infringe Library of Congress Cataloging-in-Publication Data Qian, edward E Quantitative equity portfolio management: modern techniques and applications/Edward E Qian, Ronald H. Hua, and Eric H. Sorensen p cm.--(Chapman Hall/CRC financial mathematics series 6 Includes bibliographical references and index ISBN-13:978-1-58488-558-0 ISBN-10:1-58488-558-0 1. Portfolio management--Mathematical models. I Hua, Ronald H II Sorensen, Eric H. Ill. Title IV Series HG45295.Q252007 332.6-dc22 2006100572 Visit the taylor Francis Web site at http://www.taylorandfrancis.com and the crc Press Web site at http://www.crcpress.com C5580 indb 4 4/6/079:16:12AM Contents Preface, xi Abstract, xiii about the authors Xy CHAPTER 1. Introduction: Beliefs, risk, and Process 1.1 BELIEFS 1.2 RISK 1.3 QUANTITATIVE INVESTMENT PROCESS 1.4 INFORMATION CAPTURE 1.5 THE CHAPTERS 11 APPENDIX: PSYCHOLOGY AND BEHAVIOR FINANCE A1.1 ADVANCES IN PSYCHOLOGY 12 A1.2 BEHAVIORAL FINANCE 12 A1. 3 BEHAVIORAL MODELS REFERENCES ENDNOTES 18 CHAPTER 2. Portfolio Theory 23 2.1 DISTRIBUTIONS OF INVESTMENT RETURNS 24 2.2 OPTIMAL PORTFOLIOS 28 2. 3 CAPITAL ASSET PRICING MODEL 38 C5580 indb 5 4/6/079:16:13AM vi■ Contents 2.4 CHARACTERISTIC PORTFOLIOS 45 PROBLEMS 47 REFERENCES chapter 3- Risk Models and risk analysis 3.1 ARBITRAGE PRICING THEORY AND APT MODELS 54 3.2 RISK ANALYSIS 64 3. 3 CONTRIBUTION TO VALUE AT RISK 72 PROBLEMS REFERENCES CHAPTER 4. Evaluation of Alpha Factors 81 4.1 ALPHA PERFORMANCE BENCHMARKS: THE RATIOS 81 4.2 SINGLE-PERIOD SKILL: INFORMATION COEFFICIENT 83 4.3 MULTIPERIOD EX ANTE INFORMATION RATIO 94 4.4 EMPIRICAL EXAMPLES 100 PROBLEMS 108 REFERENCES 110 CHAPTER 5- Quantitative Factors 5.1 VALUE FACTORS 5.2 QUALITY FACTORS 125 5.3 MOMENTUM FACTORS 135 APPENDIX A5.1: FACTOR DEFINITION 145 APPENDIX A5.2: NET OPERATING ASSETS (NOA 148 REFERENCES 150 ENDNOTES 153 CHAPTER 6- Valuation Techniques and value Creation 155 6.1 VALUATION FRAMEWORK 156 C5580 indb 6 4/6/079:16:13AM Contents 6.2 FREE CASH FLOW 162 6.3 MODELING THE BUSINESS ECONOMICS OF A FIRM 167 6. 4 COST OF CAPITAL 172 6.5 EXPLICIT PERIOD, FADE PERIOD, AND TERMINAL VALUE 173 6.6 AN EXAMPLE: CHEESECAKE FACTORY, INC(CAKE 175 6.7 MULTIPATH DISCOUNTED CASH FLOW ANALYSIS 180 6.8 MULTIPATH DCF ANALYSIS(MDCF 184 6. 9 SUMMARY 192 PROBLEMS 193 REFERENCES 194 ENDNOTES 194 CHAPTER 7- Multifactor Alpha Models 195 7.1 SINGLE-PERIOD COMPOSITE IC OF A MULTIFACTOR MODEL 196 7. 2 OPTIMAL ALPHA MODEL: AN ANALYTICAL DERIVATION 200 7.3 FACTOR CORRELATION VSIC CORRELATION 207 7.4 COMPOSITE ALPHA MODEL WITH ORTHOGONALIZED FACTORS 214 7.5 FAMA-MACBETH REGRESSION AND OPTIMAL ALPHA MODEL 217 PROBLEMS 225 APPENDIX A7.1: INVERSE OF A PARTITIONED MATRIX 226 APPENDIX A7. 2: DECOMPOSITION OF MULTIVARIATE REGRESSION 227 REFERENCES 229 CHAPTER 8. Portfolio Turnover and Optimal Alpha Model 233 8.1 PASSIVE PORTFOLIO DRIFT 234 8.2 TURNOVER OF FIXED-WEIGHT PORTFOLIOS 236 C5580 indb 7 4/6/079:16:13AM ■ Contents 8. 3 TURNOVER DUE TO FORECAST CHANGE 241 8. 4 TURNOVER OF COMPOSITE FORECASTS 247 8.5 INFORMATION HORIZON AND LAGGED FORECASTS 252 8.6 OPTIMAL ALPHA MODEL UNDER TURNOVER CONSTRAINTS 257 8.7 SMALL TRADES AND TURNOVER 267 PROBLEMS 274 APPENDIX A8. 1: REDUCTION IN ALPHA EXPOSURE 276 REFERENCES 278 ENDNOTES 279 Chapter 9. Advanced alpha modeling techniques 281 9. 1 THE RETURN-GENERATING EQUATION 282 9.2 CONTEXTUAL MODELING 283 9.3 MATHEMATICAL ANALYSIS OF CONTEXTUAL MODELING 287 9. 4 EMPIRICAL EXAMINATION OF CONTEXTUAL APPROACH 290 9.5 PERFORMANCE OF CONTEXTUAL MODELS 300 9.6 SECTOR VS CONTEXTUAL MODELING 303 9.7 MODELING NONLINEAR EFFECTS 306 9. 8 SUMMARY 313 PROBLEMS 313 APPENDIX A9.1: MODEL DISTANCE TEST 314 REFERENCES 315 CHAPTER 10 Factor Timing Models 317 10.1 CALENDAR EFFECT: BEHAVIORAL REASONS 10.2 CALENDAR EFFECT: EMPIRICAL RESULTS 323 10.3 SEASONAL EFFECT OF EARNINGS ANNOUNCEMENT 336 C5580 indb 8 4/6/079:16:14AM Contents■ix 10.4 MACRO TIMING MODELS 340 10.5 SUMMARY 350 REFERENCES 352 ENDNOTES 355 chapTer 11. Portfolio Constraints and information ratio 357 11.1 SECTOR NEUTRAL CONSTRAINT 359 11.2 LONG/SHORT RATIO OF AN UNCONSTRAINED PORTFOLIO 363 11.3 LONG-ONLY PORTFOLIOS 374 11. 4 THE INFORMATION RATIO OF LONG-ONLY AND LONG-SHORT PORTFOLIOS 379 PROBLEMS 389 APPENDIX A11.1: MEAN-VARIANCE OPTIMIZATION WITH RANGE CONSTRAINTS 390 REFERENCES 393 ENDNOTES 394 chaPter 12 Transaction Costs and portfolio Implementation 395 12.1 COMPONENTS OF TRANSACTION COSTS 396 12.2 OPTIMAL PORTFOLIOS WITH TRANSACTION COSTS: SINGLE ASSET 398 12.3 OPTIMAL PORTFOLIOS WITH TRANSACTION COSTS: MULTIASSETS 405 12. 4 PORTFOLIO TRADING STRATEGIES 414 12.5 OPTIMAL TRADING STRATEGIES: SINGLE STOCK 415 12.6 OPTIMAL TRADING STRATEGIES: PORTFOLIOS OF STOCKS 427 PROBLEMS 430 APPENDIX: CALCULUS OF VARIATION 431 REFERENCES 433 C5580 indb 9 4/6/079:16:14AM Preface Over the last 40 years, academic researchers have made major break- throughs in advancing modern practice in finance. These include portfolio theory, corporate finance, financial engineering of derivative instruments and many other applications pertaining to financial markets overal Formal portfolio theory research saw major advances in the context of normative choice modeling, including how to form an optimal portfolio, beginning with Harry Markowitz. Parallel with this, we saw new advances in capital market theory in the context of descriptive equilibrium proposi tions in terms of the risk/return tradeoff, beginning with Bill Sharpe and the Capital Asset Pricing Model (CAPm). Many related academic devel opments provided rich portfolio management insight, including Arbitrage Pricing Theory(ApT), market efficiency proposition, market anomalies and behavioral finance dec against this backdrop, it is therefore not surprising, over the past two A des, that modernizing portfolio management has been the ambition of hundreds of professional investment management practitioners as well as fiduciaries. Driven by market demand and the search of higher returns a new breed of investment professionals has emerged-quants,i.e quantitative professions with advanced degrees in science and economic/ finance, seeking to exploit market anomalies with increasing success As a result, quantitative equity investment strategies have been gain ing acceptance and popularity in the investment community. They are deployed in many forms, from enhanced products that aim to beat mar- ket indices while limiting the amount of risk, to absolute return strategies Cong-short hedge funds) that strive to produce positive return regardless of the overall market condition Quantitative equity portfolio management combines theories and advanced techniques from several disciplines, including financial econom- ics,accounting, mathematics, and operational research. Although many books are devoted to these disciplines, few deal with quantitative equit C5580 indb 11 4/6/079:16:14AM 【实例截图】
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