Factor Analysis

Factor Analysis: Understanding Portfolio Risk

On Wednesday, November 14th we were joined by Cel Kulasekaran, Research Director at Windham Capital Management. Cel discussed factor analysis and how factor models can provide for a more complete understanding of portfolio risk. WEBINAR HIGHLIGHTS: What is factor analysis? Common factors used in practice Single vs. multi factor models Factor models in practice Practical implementation issues [...]

By |2019-04-02T11:02:07-04:00November 14th, 2018|Windham Webinar Series|

An Appetite for Factors

It is often said that a good way to make sure you’re eating healthy is to have a colorful plate. A mix of vegetables (often green), starches (yellow), and protein (pink/red) make for a balanced and nutritional meal, correct? Diversify your ingredients, so to speak, and you’ll be sure to get all of the [...]

By |2019-04-02T11:02:31-04:00June 20th, 2018|Windham Insights Series|

Asset Allocation and Factor Investing

When it comes to portfolio construction, the debate of asset allocation versus factor investing can grow quite heated.  Those who choose to build portfolios from asset classes argue that they are easy to observe and are easily investible—unlike factors. These investors also believe that portfolios from asset classes are more stable out of sample [...]

By |2019-04-02T11:20:16-04:00May 25th, 2018|Kritzman's Corner|

Asset Allocation and Factor Investing featuring Mark Kritzman

Asset Allocation and Factor Investing featuring Mark Kritzman On Tuesday, May 15th we hosted a special webinar featuring Windham CEO and asset allocation expert, Mark Kritzman. Asset allocation and factor investing are often seen as conflicting approaches to portfolio construction. Historically, most investors composed portfolios from broad asset classes, but [...]

By |2019-04-02T11:20:36-04:00April 30th, 2018|Windham Webinar Series|

Factor Methods: Part Two

In the first part of this series, we discussed how to perform factor analysis and the challenges that come with it. Catch up here. CROSS-SECTIONAL REGRESSION ANALYSIS As we learned in the first post, factor analysis reveals covariation in returns, and challenges us to identify the sources of covariation. Cross-sectional regression analysis, on the [...]

By |2019-04-02T13:53:19-04:00March 21st, 2017|Windham Insights Series|

Factor Methods: Part One

Financial analysts are concerned with common sources of risk that contribute to changes in security prices, called factors. By identifying these factors, analysts may be able to control a portfolio’s risk more efficiently, and perhaps even improve its return. This post will discuss the first of two common approached used to identify factors. The [...]

By |2019-04-02T13:53:08-04:00March 16th, 2017|Windham Insights Series|