Ran Leshem

Aperio Group

3 Harbor Drive

Suite 315

Sausalito, CA 94965

United States

SCHOLARLY PAPERS

5

DOWNLOADS

1,422

SSRN CITATIONS

3

CROSSREF CITATIONS

8

Scholarly Papers (5)

1.

Restoring Value to Minimum Variance

Forthcoming in Journal of Investment Management
Number of pages: 12 Posted: 05 Sep 2013 Last Revised: 26 Nov 2013
University of California, Berkeley, Aperio Group and Aperio Group
Downloads 707 (69,145)
Citation 9

Abstract:

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minimum variance, low risk, value factor

2.

Factoring Profitability

Number of pages: 9 Posted: 21 Dec 2013
Aperio Group, University of California, Berkeley and Aperio Group
Downloads 415 (133,007)

Abstract:

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gross profitability, quality, factor model, value, earnings yield, book to market, momentum, factor replication

3.

Factor Tilts after Tax

Number of pages: 20 Posted: 15 Oct 2014
Lisa R. Goldberg and Ran Leshem
University of California, Berkeley and Aperio Group
Downloads 300 (189,556)
Citation 2

Abstract:

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factor tilt, taxes, tax alpha, factor alpha, tax-loss harvesting, wealth management, ultra-high net worth investors

4.

Optimizing Value

Journal of Portfolio Management, Forthcoming, https://doi.org/10.3905/jpm.2016.42.2.077
Posted: 22 May 2019
Aperio Group, University of California, Berkeley and Aperio Group

Abstract:

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Value, book-to-price, earnings-to-price, blended value strategy, optimized strategy, rank-and-chop strategy, sector constraint, tracking error, turnover

5.

Restoring Value to Minimum Variance

Journal of Investment Management (JOIM), Second Quarter 2014
Posted: 06 Mar 2015
Lisa Goldberg, Ran Leshem and Patrick Geddes
Independent, Aperio Group and Aperio Group

Abstract:

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Minimum variance strategy, low-beta stocks, low-risk anomaly, value tilt, momentum tilt, factor model, style factors