Exploring the Determinants of Levered Portfolio Performance [PODCAST]

Exploring the Determinants of Levered Portfolio Performance [PODCAST]

Exploring the Determinants of Levered Portfolio Performance [PODCAST] by Abby Farson Pratt, CFA Institute

Over the past two years, two teams of Financial Analysts Journal authors have been exchanging ideas through a series of articles and letters published in the FAJ. In 2012, Clifford S. Asness, Andrea Frazzini, and Lasse H. Pedersen published an article entitled “Leverage Aversion and Risk Parity” in the FAJ. Picking up the theme of leverage and risk parity, Lisa R. Goldberg and her coauthors, Robert M. Anderson and Stephen W. Bianchi, CFA, published “Will My Risk Parity Outperform?” in the November/December 2012 issue of the FAJ. Asness, Frazzini, and Pedersen wrote a letter in response to that article, which triggered a reply from Goldberg and her coauthors.

In the latest installment of this dialogue, Anderson, Bianchi, and Goldberg published “Determinants of Levered Portfolio Performance” in the September/October 2014 issue of the FAJ. We got the chance to talk with Goldberg about her new research and this ongoing discussion.


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