In this webinar, Harindra de Silva, CFA, explains that combining long-only-constrained factor subportfolios is generally not a mean-variance-efficient way to capture expected factor returns.
In this webinar, Harindra de Silva, CFA, explains that combining long-only-constrained factor subportfolios is generally not a mean-variance-efficient way to capture expected factor returns. His presentation draws upon the article"Fundamentals of Efficient Factor Investing" published in the CFA Institute Financial Analysts Journal®, in which de Silva and his co-authors adapted traditional portfolio theory to more recently popularized factor-based investing and simulated optimal combinations of factor and security portfolios, using the largest 1,000 common stocks in the US equity market from 1968 to 2015.
This is an archived version of a live webinar hosted by CFA Society United Kingdom on 8 February 2017.