Zobrazeno 1 - 10
of 46
pro vyhledávání: '"Roger G. Clarke"'
Publikováno v:
Financial Analysts Journal. 76:57-79
Managing the intertemporal risk of optimally constructed multifactor portfolios adds to performance. The increases in Sharpe ratios are in addition to the utility that investors gain from controlli...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::82da902c61ef2927deb97bbb687cc896
https://doi.org/10.1080/0015198x.2020.1756614
https://doi.org/10.1080/0015198x.2020.1756614
Publikováno v:
SSRN Electronic Journal.
Price informativeness measures how and when information is aggregated into asset prices. The authors study the price informativeness of realized earnings growth for US stocks, with a focus on exposures to factors that have historically outperformed t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c6fa51dfa26757e7d865f999d69d4626
https://doi.org/10.2139/ssrn.3861918
https://doi.org/10.2139/ssrn.3861918
Publikováno v:
The Journal of Index Investing. 9:6-17
Some of the market-relative performance of U.S. stock mutual funds can be explained by the pure returns to now commonly accepted equity market factors. Historically, managers in the aggregate have had more equally weighted positions than the capitali
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::72d3047c2049c76678f5a84dd29082af
https://doi.org/10.3905/jii.2018.1.062
https://doi.org/10.3905/jii.2018.1.062
Publikováno v:
SSRN Electronic Journal.
Managing the intertemporal risk of optimally constructed multifactor portfolios adds to performance. The increases in Sharpe ratios are in addition to the utility that investors gain from controlling how much active risk they are exposed to over time
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d7502228ec10c1b1dea26ed15ed8c3f5
https://doi.org/10.2139/ssrn.3486035
https://doi.org/10.2139/ssrn.3486035
Publikováno v:
SSRN Electronic Journal.
Some of the market-relative performance of U.S. stock mutual funds can be explained by the pure returns to now commonly accepted equity market factors. Historically, managers in the aggregate have had more equally-weighted positions than the capitali
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f0d92b3487303c0a51ae9edea2dab9f5
https://doi.org/10.2139/ssrn.3172498
https://doi.org/10.2139/ssrn.3172498
Publikováno v:
SSRN Electronic Journal.
Given the popularity of factor investing, also known as rules-based, “smart beta”, or simply quantitative portfolio management, a number of students and traditional equity analysts have asked for a primer to introduce basic terms, concepts, and c
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https://explore.openaire.eu/search/publication?articleId=doi_________::7771697f34c33a0194dab1fce9108f81
https://doi.org/10.2139/ssrn.3045449
https://doi.org/10.2139/ssrn.3045449
Publikováno v:
SSRN Electronic Journal.
Linking factor portfolio construction to cross-sectional regressions of security returns on standardized factor exposures leads to a transparent and investable perspective on factor performance. Under capitalization-weighting, multivariate regression
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0389530bbac03f414db715238ce6eb21
https://doi.org/10.2139/ssrn.2912673
https://doi.org/10.2139/ssrn.2912673
Publikováno v:
Financial Analysts Journal. 70:13-23
In the Fama–French three-factor model, the market return is not the return to market beta. By including a separate beta factor, the market portfolio without a coefficient can be described as only “half” a factor. Documenting the returns to a pu
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::be007967cca5d33f4e8c5e7b174b42d6
https://doi.org/10.2469/faj.v70.n5.3
https://doi.org/10.2469/faj.v70.n5.3
Publikováno v:
The Journal of Portfolio Management. 39:39-53
Analytic solutions to risk parity, maximum diversification, and minimum variance portfolios provide useful perspectives about their construction and composition. Individual asset weights depend on both systematic and idiosyncratic risk in all three r
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::674804f149f41280f5b5b70608db1ac2
https://doi.org/10.3905/jpm.2013.39.3.039
https://doi.org/10.3905/jpm.2013.39.3.039
Publikováno v:
Practical Applications. 6:1.6-5
Practical Applications Summary In When Does Capitalization Weighting Outperform? Factor-Based Explanations, from the Fall 2018 issue of The Journal of Index Investing, Roger Clarke of Ensign Peak Advisors, Harindra de Silva of Analytic Investors, and
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ac4b53bf3558050784fc423277f4c97f
https://doi.org/10.3905/pa.6.3.300
https://doi.org/10.3905/pa.6.3.300