Seminar 217, Risk Management: Systematic Long/Short Factor Portfolios

Seminar 217, Risk Management: Systematic Long/Short Factor Portfolios

Risk Seminar
Apr 18, 2017, 11:00 AM - 01:00 PM | 639 Evans Hall | Happening As Scheduled
Speaker: James Lewis, State Street Global Advisors (Speaker - Featured)
Abstract: We consider a panel of 88 "systematic factors": simple, quantitative procedures that assign scores to a universe of assets using publicly available data. For each factor, we construct idealized daily factor portfolios (long/short, market-neutral) and daily return series for the 16-year period between January 2001 and December 2016. Each of the factor return series has positive sample...