Translating Risk Strategies into Common Factors
November 4, 2011 - Strategic Allocation
Do somewhat abstract risk-based portfolio strategies translate to familiar stock/firm characteristic tilts? In their September 2011 paper entitled “Demystifying Equity Risk-Based Strategies: A Simple Alpha plus Beta Description”, Raul Leote de Carvalho, Xiao Lu and Pierre Moulin investigate how the following five risk-based equity allocation strategies relate to four common portfolio factors. Equal Weight – long… Keep Reading