Steven Thorley

BYU Marriott School of Business

H. Taylor Peery Professor of Finance

616 TNRB

Brigham Young University

Provo, UT 84602

United States

  • BYU Marriott School of Business

    • Email
    • Tel: 801-378-6065
    • Fax: 801-378-5984
SCHOLARLY PAPERS

17

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SSRN CITATIONS
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Top 21,440

in Total Papers Citations

27

CROSSREF CITATIONS

14

Scholarly Papers (17)

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1.

Investor Overconfidence and Trading Volume

Downloads 2,836 ( 4,499)
Citation 44

Investor Overconfidence and Trading Volume

AFA 2004 San Diego Meetings
Number of pages: 52 Posted: 24 Oct 2003
Meir Statman, Steven Thorley and Keith Vorkink
Santa Clara University - Department of Finance, BYU Marriott School of Business and Brigham Young University - J. Willard and Alice S. Marriott School of Management
Downloads 2,836 (4,402)
Citation 44

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Investor Overconfidence and Trading Volume

The Review of Financial Studies, Vol. 19, Issue 4, pp. 1531-1565, 2006
Posted: 29 Feb 2008
Meir Statman, Steven Thorley and Keith Vorkink
Santa Clara University - Department of Finance, BYU Marriott School of Business and Brigham Young University - J. Willard and Alice S. Marriott School of Management

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2.

Portfolio Constraints and the Fundamental Law of Active Management

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Portfolio Constraints and the Fundamental Law of Active Management

Number of pages: 43 Posted: 14 Nov 2001
Steven Thorley
BYU Marriott School of Business
Downloads 2,794 (4,525)
Citation 1

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Portfolio Constraints, Fundamental Law of Active Management, Information Ratio

Portfolio Constraints and the Fundamental Law of Active Management

Financial Analysts Journal, Vol. 58, No. 5, September/October 2002
Posted: 14 Nov 2001
Steven Thorley, Roger Clarke and Harindra de Silva
BYU Marriott School of Business, affiliation not provided to SSRN and Analytic Investors, Inc.

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Portfolio Management: portfolio construction, rebalancing, and implementation, Portfolio Management: investment policy

3.

Mining Fool's Gold

Downloads 1,498 ( 12,868)

Mining Fool's Gold

Number of pages: 32 Posted: 05 Apr 1999
Grant Richard McQueen and Steven Thorley
Brigham Young University - Department of Business Management and BYU Marriott School of Business
Downloads 1,498 (12,607)

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Mining Fool's Gold

Financial Analysts Journal, March/April, 1999
Posted: 24 Apr 1999
Grant Richard McQueen and Steven Thorley
Brigham Young University - Department of Business Management and BYU Marriott School of Business

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4.

Long/Short Extensions: How Much is Enough?

Number of pages: 32 Posted: 23 Jul 2007
Roger G Clarke, Harindra de Silva, Steven G. Sapra and Steven Thorley
Ensign Peak Advisors, Analytic Investors, Inc., Analytic Investors, Inc. and BYU Marriott School of Business
Downloads 1,231 (17,453)

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Portfolio Management, Short Selling, Portfolio Optimization

5.

The Not-So-Well-Known Three-and-One-Half Factor Model

Number of pages: 22 Posted: 09 Sep 2013 Last Revised: 05 Mar 2014
Roger G Clarke, Harindra de Silva and Steven Thorley
Ensign Peak Advisors, Analytic Investors, Inc. and BYU Marriott School of Business
Downloads 440 (70,933)

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Portfolio Theory, Linear Factor Model, CAPM Beta, Portfolio Performance Attribution, Three Factor Model, Four Factor Model

6.

Primer on Factor Exposures and Payoffs

Number of pages: 37 Posted: 02 Oct 2017
Roger G Clarke, Harindra de Silva and Steven Thorley
Ensign Peak Advisors, Analytic Investors, Inc. and BYU Marriott School of Business
Downloads 348 (93,287)

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factor investing, rules-based portfolios, quantitative portfolio management

7.

Fundamentals of Futures and Options

CFA Institute Research Foundation 2013 - 3
Number of pages: 202 Posted: 09 Jun 2015 Last Revised: 13 Jun 2015
Roger G Clarke, Harindra de Silva and Steven Thorley
Ensign Peak Advisors, Analytic Investors, Inc. and BYU Marriott School of Business
Downloads 275 (120,542)

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Futures, Options

8.

Risk Management and Optimal Combination of Equity Market Factors

Number of pages: 41 Posted: 14 Nov 2019 Last Revised: 04 May 2020
Roger G Clarke, Harindra de Silva and Steven Thorley
Ensign Peak Advisors, Analytic Investors, Inc. and BYU Marriott School of Business
Downloads 195 (169,540)

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Factor Investing, Risk Management

9.

Research Foundation Year in Review -- 2013

CFA Institute Research Foundation R2014
Number of pages: 90 Posted: 11 Jun 2015
CFA Institute Research Foundation Submitter, Moshe A. Milevsky, Roger G Clarke, Harindra de Silva, Steven Thorley, Scott Stewart, Marianne M. Jennings, Ronald Ryan, Richard Taffler, David Tuckett, Nathan Erickson, Bud Haslett, Laurence B. Siegel, Pranay Gupta, Ronald Kahn, Richard C. Grinold and Jeffery Bailey
CFA Institute Research Foundation, York University - Schulich School of Business, Ensign Peak Advisors, Analytic Investors, Inc., BYU Marriott School of Business, Boston University - Questrom School of Business, Arizona State University, Ryan ALM, Inc., University of Warwick - Finance Group, University College London - Centre for the Study of Decision-Making Uncertainty, Independent, CFA Institute Research Foundation, CFA Institute Research Foundation, Allocationmetrics Limited, Independent, Barclays and Target Corporation
Downloads 102 (282,952)

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life annuities, futures, options, manager selection, ethics, ALM, asset/liability management, tail risk

10.

When Does Capitalization-Weighting Outperform? Factor-Based Explanations

https://doi.org/10.3905/pa.6.3.300
Posted: 11 May 2018 Last Revised: 22 May 2019
Roger G Clarke, Harindra de Silva and Steven Thorley
Ensign Peak Advisors, Analytic Investors, Inc. and BYU Marriott School of Business
Downloads 0 (719,811)

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indexing, factor investing, mutual fund performance, passive investing

11.

Pure Factor Portfolios and Multivariate Regression Analysis

Journal of Portfolio Management, 2017
Posted: 08 Feb 2017 Last Revised: 13 Nov 2019
Roger G Clarke, Harindra de Silva and Steven Thorley
Ensign Peak Advisors, Analytic Investors, Inc. and BYU Marriott School of Business

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Factor Investing, Smart Beta, Portfolio Construction

12.

Fundamentals of Efficient Factor Investing

Financial Analysts Journal, Vol. 72, No. 6 (November/December 2016)
Posted: 10 Jun 2015 Last Revised: 12 Oct 2016
Roger G Clarke, Harindra de Silva and Steven Thorley
Ensign Peak Advisors, Analytic Investors, Inc. and BYU Marriott School of Business

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Portfolio Theory, Factor Portfolios, Factor Investing, Portfolio Constraints, Smart Beta

13.

Risk Parity, Maximum Diversification, and Minimum Variance: An Analytic Perspective

Journal of Portfolio Management, Vol. 39, No. 3, pp. 39-53 (Spring 2013).
Posted: 01 Jan 2012 Last Revised: 21 Nov 2013
Roger G Clarke, Harindra de Silva and Steven Thorley
Ensign Peak Advisors, Analytic Investors, Inc. and BYU Marriott School of Business

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Minimum Variance, Maximum Diversification, Risk Parity, Risk-Based, Portfolio Construction

14.

Minimum Variance Portfolio Composition

Journal of Portfolio Management, Vol. 37, No. 2, pp. 31-45 (Winter 2011)
Posted: 10 Feb 2010 Last Revised: 21 Nov 2013
Roger G Clarke, Harindra de Silva and Steven Thorley
Ensign Peak Advisors, Analytic Investors, Inc. and BYU Marriott School of Business

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Portfolio Theory, Mean Variance Optimization, Market Model, Idiosyncratic Risk

15.

The Fundamental Law of Active Portfolio Management

Journal of Investment Management, Vol. 4, No. 3, Third Quarter 2006
Posted: 03 Oct 2006
Harindra de Silva, Steven Thorley and Roger G Clarke
Analytic Investors, Inc., BYU Marriott School of Business and Ensign Peak Advisors

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Portfolio management, fundamental law, transfer coefficient

16.

Performance Attribution and the Fundamental Law

Financial Analysts Journal, Vol. 61, No. 5, pp. 70-82, September/October 2005
Posted: 29 Oct 2005
Roger Clarke, Steven Thorley and Harindra de Silva
Analytic Investors, Inc., BYU Marriott School of Business and Analytic Investors, Inc.

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Portfolio Management, Portfolio Construction, Rebalancing and Implementation, Equity Strategies, Hedge Fund Strategies, Alternative Investments, Hedge Fund Strategies

17.

Return Dispersion and Active Management

Financial Analysts Journal, Vol. 57, No. 5, September/October 2001
Posted: 05 Nov 2001
Harindra de Silva, Steven G. Sapra and Steven Thorley
Analytic Investors, Inc., Analytic Investors, Inc. and BYU Marriott School of Business

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