The beta space is a powerful way to map the investment strategies of semi-diversified investors. Three metrics define the beta space: regular or exogenous betas (x-βs), linked to macroeconomic cycles; endogenous betas (n-βs), related to innovation hazards; and a combination of the two — the...

Smart beta strategies aim to outperform the capitalization-weighted market through relatively simple alternative weighting methods that emphasize a handful of factors such as size, value, momentum, or low volatility. Because of their simplicity, smart beta strategies bear a resemblance to...

Shariah-compliant investment guidelines, while explicit on screening criteria for stock selection, are silent on the weighting methods to be used in the construction of Shariah-compliant equity portfolios. The market capitalization-weighted strategy and smart beta strategies (fundamental...

When using high-frequency data, the conditional CAPM can explain asset-pricing anomalies. Using conditional betas based on daily data, the model works reasonably well for a recent sample period. However, it fails to explain the size anomaly as well as 3 out of 6 of the anomaly component excess...

We give an explicit formulaic algorithm and source code for building long-only benchmark portfolios and then using these benchmarks in long-only market outperformance strategies. The benchmarks (or the corresponding betas) do not involve any principal components, nor do they require iterations....

We present a real-time, cross-asset, positions-based relative sentiment indicator to predict the U.S. equity market. Derived from the Commitments of Traders report, the indicator measures — in a novel way — the aggregate positioning in equities of institutional investors relative to...

Using trading data from Finland and the US, I empirically show that investors tend to buy riskier stocks following realized losses. The measure of risk that the investors seem to pay attention to is the market beta of a stock. This behavior of buying higher beta stocks after a realized loss is...

This study aims to analyze and test empirically the influence of corporate financial performance against systematic risk on stocks. The analysis technique used is multiple linear regression. The results showed that the financial performance did not significantly affect the systematic risk of the...

The beta dispersion, which is the spread of betas on a stock market, can be interpreted as a measure of market vulnerability. This study examines the economic idea of the beta dispersion and its application as a market return predictor. Based on the empirical beta dispersion observed in the US...

We evaluate the impact of extreme market shifts on equity portfolios and study the difference in negative and positive reactions to market jumps with implications for portfolio risk management. Employing high-frequency data for the constituents of the S&P500 index over the period 2 January 2003...