Bob Robert Fernholz

Allocation Strategies, LLC

CEO

1 Palmer Square

Princeton, NJ 08542

United States

SCHOLARLY PAPERS

7

DOWNLOADS

1,982

SSRN CITATIONS

0

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 683 (39,021)
Citation 2

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Portfolio generating function, diversity

2.

Factorization of Equity Returns

Number of pages: 12 Posted: 12 Oct 1999
Bob Robert Fernholz
Allocation Strategies, LLC
Downloads 428 (70,735)

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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 352 (88,200)

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

Equity Portfolios Generated by Functions of Ranked Market Weights

Forthcoming in Finance and Stochastics
Posted: 23 May 2001
Bob Robert Fernholz
Allocation Strategies, LLC

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

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 225 (142,129)
Citation 1

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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 47 (424,702)

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Portfolio Management, Diversification

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 164 (190,090)

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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 83 (312,676)

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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