Roger G Clarke

Ensign Peak Advisors

Ensign Peak Advisors

60 East South Temple

4th Floor

Salt Lake City, UT 84111

United States

SCHOLARLY PAPERS

10

DOWNLOADS
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Top 21,409

in Total Papers Downloads

1,826

CITATIONS
Rank 40,246

SSRN RANKINGS

Top 40,246

in Total Papers Citations

4

Scholarly Papers (10)

1.

Long/Short Extensions: How Much is Enough?

Number of pages: 32 Posted: 23 Jul 2007
Ensign Peak Advisors, Analytic Investors, Inc., Analytic Investors, Inc. and BYU Marriott School of Business
Downloads 1,140 (13,744)
Citation 4

Abstract:

Portfolio Management, Short Selling, Portfolio Optimization

2.

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

Abstract:

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

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
Ensign Peak Advisors, Analytic Investors, Inc. and BYU Marriott School of Business
Downloads 297 (65,798)

Abstract:

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
Ensign Peak Advisors, Analytic Investors, Inc. and BYU Marriott School of Business
Downloads 44 (166,008)

Abstract:

Futures, Options

5.

Research Foundation Year in Review -- 2013

CFA Institute Research Foundation R2014
Number of pages: 90 Posted: 11 Jun 2015
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 (UCL), Independent, CFA Institute Research Foundation, CFA Institute Research Foundation, Allocationmetrics Limited, Independent, Barclays and Target Corporation
Downloads 41 (262,978)

Abstract:

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

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 0 (342,364)

Abstract:

factor investing, rules-based portfolios, quantitative portfolio management

7.

Pure Factor Portfolios and Multivariate Regression Analysis

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

Abstract:

Factor Investing, Smart Beta, Portfolio Construction

8.

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

Abstract:

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

9.

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

Abstract:

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

10.

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

Abstract:

Portfolio management, fundamental law, transfer coefficient