The concepts of portfolio optimization and diversification have been instrumental in the
development and understanding of financial markets and financial decision making. In light …

Stock selection models often use analysts' expectations, momentum, and fundamental data.
We find support for composite modeling using these sources of data for global stocks during …

A detailed, multi-disciplinary approach to investment analytics Portfolio Construction and
Analytics provides an up-to-date understanding of the analytic investment process for …

Earnings forecasting data has been a consistent, and highly statistically significant, source of
excess returns. This chapter discusses a composite model of earnings forecasts, revisions …

We develop a fundamental law of active management based on cross-section factor models
for residual returns where the latter have unconditional mean zero and the factor exposures …

Quantitative equity portfolio management has evolved into an interdisciplinary activity that
draws expertise from the fields of finance, statistics, econometrics, accounting, and …

One of the metrics that portfolio managers often use to gauge the success of factor investing
strategies is the factor-to-specific risk ratio. There is much confusion, however, regarding its …

The practical issues that arise due to the interaction between three principal players in any
quantitative strategy—namely, the alpha model, risk model, and constraints—are collectively …

We give a complete algorithm and source code for constructing general multifactor risk
models (for equities) via any combination of style factors, principal components (betas) …

A common criticism of risk models is that they have a tendency to underestimate the risk
associated with optimized portfolios. Quantitative portfolio managers have historically used a …