Seminar 217, Risk Management: Factor Strategies: Crowding, Capacity and Sources of Active Returns

Seminar 217, Risk Management: Factor Strategies: Crowding, Capacity and Sources of Active Returns

Risk Seminar
Mar 8, 2018, 12:30 PM - 02:00 PM | 1011 Evans Hall | Happening As Scheduled
Speaker: Ananth Madhavan, Blackrock (Speaker - Featured)
We develop a methodology to estimate dynamic factor loadings using cross-sectional risk characteristics, which is especially useful when factor loadings significantly vary over time. In comparison, standard regression approaches assume the factor loadings are constant over a particular window. Applying the methodology to a dataset of U.S.-domiciled mutual funds we distinguish the components of...