Equity Factor Models

Multi-factors models are a leading portfolio management tool due to the pioneering work of Fama and French (1992) who showed that more than a single factor explained US equity market returns. Investors enhance portfolio value by either increasing return or reducing risk (as measured by variance in the time series of returns) to achieve portfolio efficiency (Markowitz, 1952). The growing integration of global markets suggests that country factors may
not be the singular driver of global returns and risk (Hau, 2011). Global factors
(e.g. crude oil, commodities, etc.) may provide a more fulsome picture of the return and risk drivers in the global markets.

San Francisco  |   Los Angeles  |  415-373-7152

 

©2003-2020 Capital Risk Management LLC

 

Capital Risk Management is a Registered Investment Advisor in California and may transact business there and in other states where it is notice filed or exempt.

Please note that although Capital Risk Management LLC is a Registered Investment Adviser, readers should be aware that registration with any state securities authority

does not imply a certain level of skill or training. Additional information about Capital Risk is available on the SEC’s website at www.adviserinfo.sec.gov or

through the Broker Check at FINRA.

Strategy | Investing | Asset Allocation | Liability Driven Investing | Pensions | Endowments | Enterprise Risk Management | Financial Planning | Wealth Management

Disclosures     Terms of Use     Privacy Statement      Form ADV