CFA Institute
June 23, 2020
Shaping the investment industry for the greater good.

Risk Management and Optimal Combination of Equity Market Factors (Summary)

Combining factors in a multi-factor portfolio using forecast risk management can add substantially to investment returns. Backtesting showed such a strategy run over 54 years would have made annualized returns of 10.79%, vs. 7.77% for a similar non-risk-managed portfolio.

Read the summary of the research article “Risk Management and Optimal Combination of Equity Market Factors,” by Roger Clarke, Harindra de Silva, CFA, and Steven Thorley, CFA, published in the Third Quarter 2020 issue of the  Financial Analysts Journal  here

More from CFA Institute