Bob Robert Fernholz

Allocation Strategies, LLC

CEO

1 Palmer Square

Princeton, NJ 08542

United States

SCHOLARLY PAPERS

7

DOWNLOADS

2,187

SSRN CITATIONS

9

CROSSREF CITATIONS

2

Scholarly Papers (7)

1.

Portfolio Generating Functions

Number of pages: 20 Posted: 19 Nov 1998
Bob Robert Fernholz
Allocation Strategies, LLC
Downloads 700 (43,463)
Citation 3

Abstract:

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Portfolio generating function, diversity

2.
Downloads 441 ( 78,061)
Citation 3

Diversification, Volatility, and Surprising Alpha

Number of pages: 17 Posted: 28 Sep 2018
Enhanced Investment Technologies, Inc. (INTECH), Allocation Strategies, LLC, INTECH Investment Management, LLC, London School of Economics & Political Science (LSE) - London School of Economics and Enhanced Investment Technologies, Inc. (INTECH)
Downloads 286 (126,220)
Citation 4

Abstract:

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Portfolio Management, Diversification

Diversification, Volatility, and Surprising Alpha

Journal of Investment Consulting, Vol. 19, no. 1, 2019, pp. 23-30
Number of pages: 10 Posted: 05 Feb 2020
Enhanced Investment Technologies, Inc. (INTECH), Allocation Strategies, LLC, INTECH Investment Management, LLC, London School of Economics & Political Science (LSE) - London School of Economics and Enhanced Investment Technologies, Inc. (INTECH)
Downloads 155 (225,467)

Abstract:

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Portfolio Management, Diversification

3.

Factorization of Equity Returns

Number of pages: 12 Posted: 12 Oct 1999
Bob Robert Fernholz
Allocation Strategies, LLC
Downloads 433 (79,778)

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Factorization of returns, portfolio generating function, value stocks

Equity Portfolios Generated by Functions of Ranked Market Weights

Number of pages: 17 Posted: 15 Jan 1999
Bob Robert Fernholz
Allocation Strategies, LLC
Downloads 357 (99,052)
Citation 2

Abstract:

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Portfolio generating function, local time, size effect, diversity-weighted index

Equity Portfolios Generated by Functions of Ranked Market Weights

Posted: 23 May 2001
Bob Robert Fernholz
Allocation Strategies, LLC

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Portfolio generating function, local time, size effect, diversity-weighted index

5.

Stable Models for the Distribution of Equity Capital

INTECH Working Paper
Number of pages: 20 Posted: 22 Feb 2001
Bob Robert Fernholz
Allocation Strategies, LLC
Downloads 168 (210,311)

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Capital distribution, firm size, local time, ranked market weights

6.

A New Kind of Index Fund that Beats its Index

The Journal of Performance Measurement, Winter 1998-1999, 35-48
Number of pages: 14 Posted: 04 Oct 2013
Robert Ferguson and Bob Robert Fernholz
AnswersToGo and Allocation Strategies, LLC
Downloads 88 (338,486)

Abstract:

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7.

The Statistics of Statistical Arbitrage

Financial Analysts Journal, Vol. 63, No. 5, 2007
Posted: 02 Oct 2007
Bob Robert Fernholz and Cary Maguire
Allocation Strategies, LLC and Enhanced Investment Technologies, Inc. (INTECH)

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Alternative Investments: Hedge Fund Strategies; Investment Theory: Portfolio Theory; Portfolio Management: Hedge Fund Strategies, Portfolio Construction, Rebalancing, and Implementation, Trading and Execution