Research and publications

Multi-Dimensional Risk And Performance Analysis For Equity Portfolios

This paper explores a novel approach to address the challenge raised by the standard investment practice of treating attributes as factors, with respect to how to perform a consistent risk and perf ...

Author(s) :

Kevin Giron, Lionel Martellini, Vincent Milhau

Summary :

This paper explores a novel approach to address the challenge raised by the standard investment practice of treating attributes as factors, with respect to how to perform a consistent risk and performance analysis for equity portfolios across multiple dimensions that incorporate micro attributes. The study suggests a new dynamic meaningful approach, which consists in treating attributes of stocks as instrumental variables to estimate betas with respect to risk factors for explaining notably the cross-section of expected returns. 

Type : EDHEC Publication
Date : 03/11/2016
Keywords :

Performance and Risk Reporting