This is a nice paper by the folks at Barra, although I am not so sure why this doesn’t fall in the portable alpha camp…
Portfolio of Risk Premia: a new approach to diversification by Briand, Nielsen, and Stefek
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Just read this paper yesterday when it was linked from another blog. I'm concerned that they stopped using end of october returns, very curious to see how this would've done in the past 4 months… I'm guessing something like -40%. Will be tough to replicate exactly what they did though
Just read this paper yesterday when it was linked from another blog. I'm concerned that they stopped with end of september returns, very curious to see how this would've done in the past 4 months… I'm guessing something like -40%. Will be tough to replicate exactly what they did though