Roger G Clarke

Affiliation not provided to SSRN
SCHOLARLY PAPERS

13

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1

Scholarly Papers (13)

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1.

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
affiliation not provided to SSRN, Analytic Investors, Inc., Analytic Investors, Inc. and BYU Marriott School of Business
Downloads 1,337 (31,060)
Citation 1

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Portfolio Management, Short Selling, Portfolio Optimization

2.

Primer on Factor Exposures and Payoffs

Number of pages: 37 Posted: 02 Oct 2017
Roger G Clarke, Harindra de Silva and Steven Thorley
affiliation not provided to SSRN, Analytic Investors, Inc. and BYU Marriott School of Business
Downloads 1,002 (46,989)

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factor investing, rules-based portfolios, quantitative portfolio management

3.

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
affiliation not provided to SSRN, Analytic Investors, Inc. and BYU Marriott School of Business
Downloads 591 (94,583)

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

4.

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
affiliation not provided to SSRN, Analytic Investors, Inc. and BYU Marriott School of Business
Downloads 571 (98,803)

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Futures, Options

5.

Price Informativeness with Equity Market Factors

Number of pages: 21 Posted: 08 Jun 2021 Last Revised: 18 Nov 2022
Roger G Clarke, Harindra de Silva and Steven Thorley
affiliation not provided to SSRN, Analytic Investors, Inc. and BYU Marriott School of Business
Downloads 366 (167,220)

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Price Informativeness, Factor Investing, Earnings Growth

6.

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, affiliation not provided to SSRN, 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, BlackRock, Barclays and Target Corporation
Downloads 197 (313,140)

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

7.

Risk Management and the Optimal Combination of Equity Market Factors

Financial Analysts Journal, 2020, 76(3): 57–79.
Posted: 14 Nov 2019 Last Revised: 17 Aug 2020
Roger G Clarke, Harindra de Silva and Steven Thorley
affiliation not provided to SSRN, Analytic Investors, Inc. and BYU Marriott School of Business

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Factor Investing, Risk Management

8.

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
affiliation not provided to SSRN, Analytic Investors, Inc. and BYU Marriott School of Business
Downloads 0 (1,273,583)

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indexing, factor investing, mutual fund performance, passive investing

9.

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
affiliation not provided to SSRN, Analytic Investors, Inc. and BYU Marriott School of Business

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Factor Investing, Smart Beta, Portfolio Construction

10.

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
affiliation not provided to SSRN, Analytic Investors, Inc. and BYU Marriott School of Business

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

11.

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
affiliation not provided to SSRN, Analytic Investors, Inc. and BYU Marriott School of Business

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

12.

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
affiliation not provided to SSRN, Analytic Investors, Inc. and BYU Marriott School of Business

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

13.

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 affiliation not provided to SSRN

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Portfolio management, fundamental law, transfer coefficient