User profiles for Jose Menchero

Jose Menchero

Bloomberg
Verified email at bloomberg.net
Cited by 590

Global equity risk modeling

J Menchero, A Morozov, P Shepard - Handbook of Portfolio Construction, 2010 - Springer
The pioneeringwork of Markowitz (1952) formally established the intrinsic tradeoff between
risk and return. This paradigm provided the foundation upon which the modern theory of …

Multiperiod arithmetic attribution

J Menchero - Financial Analysts Journal, 2004 - Taylor & Francis
This article presents a set of qualitative characteristics and quantitative properties for arithmetic
multiperiod performance attribution. Such characteristics and properties are essential for …

Risk contribution is exposure times volatility times correlation: decomposing risk using the x-sigma-rho formula

J Menchero, B Davis - Journal of Portfolio Management, 2011 - search.proquest.com
The aim of attribution analysis is to explain the impact of active management decisions on
the risk and return of a portfolio. For such an analysis to be meaningful, the attribution model …

[PDF][PDF] The characteristics of factor portfolios

J Menchero, B Davis - Journal of Performance Measurement, 2010 - Citeseer
At its core, the success of active management rests upon the ability of the portfolio manager
to differentiate assets along meaningful dimensions. It is essential for the active manager to …

[PDF][PDF] Efficiently Combining multiple sources of alpha

J Menchero, JH Lee - The Journal of Investment Management, 2015 - joim.com
In this article, we examine the question of efficiently combining multiple sources of alpha.
We begin with a comparison of the various methods used by practitioners for constructing …

Decomposing global equity cross-sectional volatility

J Menchero, A Morozov - Financial Analysts Journal, 2011 - Taylor & Francis
The authors present an exact methodology for decomposing cross-sectional volatility into
contributions from various factors. Treating country, industry, and style factors equally, they …

An Optimized Approach to Linking Attribution Effects Over Time.

J Menchero - Journal of Performance Measurement, 2019 - search.ebscohost.com
Attributing the excess return of a portfolio relative to a benchmark is quickly becoming a
distinct art form. Although single periods are comparatively easy to analyze, extending the …

[PDF][PDF] Portfolio optimization with noisy covariance matrices

J Menchero, L Ji - Journal of Investment Management, 2019 - joim.com
In this paper, we explore the effect of sampling error in the asset covariance matrix when
constructing portfolios using mean–variance optimization. We show that as the covariance …

Improving risk forecasts for optimized portfolios

J Menchero, J Wang, DJ Orr - Financial Analysts Journal, 2012 - Taylor & Francis
Sample covariance matrices tend to underestimate the risk of optimized portfolios. In this
article, we identify special portfolios, termed “eigenportfolios,” that capture these systematic …

Eigen-adjusted covariance matrices

J Menchero, J Wang, DJ Orr - MSCI Barra Research Paper, 2011 - papers.ssrn.com
The Markowitz mean-variance framework is the foundation of modern portfolio theory. One
problem with this approach, however, is how sample covariance matrices tend to …