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Financial Analysts Journal Volume 58, 2002 - Issue 5
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PORTFOLIO MANAGEMENT

Portfolio Constraints and the Fundamental Law of Active Management

Roger Clarke Roger Clarke is chairman of Analytic Investors, Los Angeles.
,
Harindra de Silva Harindra de Silva, CFA, is president of Analytic Investors, Los Angeles.
&
Steven Thorley Steven Thorley, CFA, is professor of finance at the Marriott School, Brigham Young University, Provo, Utah.
Pages 48-66 | Published online: 02 Jan 2019

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Tomasz Kaczmarek & Katarzyna Perez. (2022) Building portfolios based on machine learning predictions. Economic Research-Ekonomska Istraživanja 35:1, pages 19-37.
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L. Theron & G. van Vuuren. (2020) Exploring the Behaviour of Actively Managed, Maximally Diversified Portfolios. Studies in Economics and Econometrics 44:2, pages 49-72.
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Roger Clarke, Harindra de Silva & Steven Thorley. (2020) Risk Management and the Optimal Combination of Equity Market Factors. Financial Analysts Journal 76:3, pages 57-79.
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Diogo Palhares & Scott Richardson. (2020) Looking under the Hood of Active Credit Managers. Financial Analysts Journal 76:2, pages 82-102.
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David Allen, Colin Lizieri & Stephen Satchell. (2020) “In Defense of Portfolio Optimization: What If We Can Forecast?”: Author Response. Financial Analysts Journal 76:2, pages 106-107.
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Joseph Liberman, Clemens Sialm, Nathan Sosner & Lixin Wang. (2020) The Tax Benefits of Separating Alpha from Beta. Financial Analysts Journal 76:1, pages 38-61.
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K.J. Martijn Cremers, Jon A. Fulkerson & Timothy B. Riley. (2019) Challenging the Conventional Wisdom on Active Management: A Review of the Past 20 Years of Academic Literature on Actively Managed Mutual Funds. Financial Analysts Journal 75:4, pages 8-35.
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Wade Gunning & Gary van Vuuren. (2019) Exploring the drivers of tracking error constrained portfolio performance. Cogent Economics & Finance 7:1.
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Colm A. O’Cinneide. (2018) Risk contributions: duality and sensitivity. Quantitative Finance 18:12, pages 2023-2033.
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Michael Maxwell, Michael Daly, Daniel Thomson & Gary van Vuuren. (2018) Optimizing tracking error-constrained portfolios. Applied Economics 50:54, pages 5846-5858.
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Roger Clarke, Harindra de Silva & Steven Thorley. (2016) Fundamentals of Efficient Factor Investing (corrected May 2017). Financial Analysts Journal 72:6, pages 9-26.
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Gunnar Friede, Timo Busch & Alexander Bassen. (2015) ESG and financial performance: aggregated evidence from more than 2000 empirical studies. Journal of Sustainable Finance & Investment 5:4, pages 210-233.
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A. D. Hall, S. E. Satchell & P. J. Spence. (2015) Evaluating the impact of inequality constraints and parameter uncertainty on optimal portfolio choice. Applied Economics 47:45, pages 4801-4813.
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Bruce I. Jacobs & Kenneth N. Levy. (2012) Leverage Aversion and Portfolio Optimality. Financial Analysts Journal 68:5, pages 89-94.
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H Raubenheimer. (2011) Constraints on investment weights: What mandate authors in concentrated equity markets such as South Africa need to know. Investment Analysts Journal 40:74, pages 39-51.
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Andrew L. Berkin & Christopher G. Luck. (2010) Having Your Cake and Eating It Too: The Before- and After-Tax Efficiencies of an Extended Equity Mandate. Financial Analysts Journal 66:4, pages 33-45.
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N Pillay, C Muller & M Ward. (2010) Fund size and returns on the JSE. Investment Analysts Journal 39:71, pages 1-11.
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Jia Ye. (2008) How Variation in Signal Quality Affects Performance. Financial Analysts Journal 64:4, pages 48-61.
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M. Barton Waring & Sunder R. Ramkumar. (2008) Forecasting Fund Manager Alphas: The Impossible Just Takes Longer. Financial Analysts Journal 64:2, pages 65-80.
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Roger Clarke, Harindra de Silva, Steven Sapra & Steven Thorley. (2008) Long–Short Extensions: How Much Is Enough?. Financial Analysts Journal 64:1, pages 16-30.
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David J. Buckle. (2007) Nobel Prize versus no bells and whistles: an assessment of two active portfolio construction techniques. Quantitative Finance 7:1, pages 1-12.
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Arjan B. Berkelaar, Adam Kobor & Masaki Tsumagari. (2006) The Sense and Nonsense of Risk Budgeting. Financial Analysts Journal 62:5, pages 63-75.
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M. Barton Waring & Laurence B. Siegel. (2006) The Myth of the Absolute-Return Investor. Financial Analysts Journal 62:2, pages 14-21.
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Roger Clarke, Harindra de Silva & Steven Thorley. (2005) Performance Attribution and the Fundamental Law. Financial Analysts Journal 61:5, pages 70-83.
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Richard Grinold. (2005) Implementation Efficiency. Financial Analysts Journal 61:5, pages 52-64.
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