Global equity risk modeling J Menchero, A Morozov, P Shepard Handbook of Portfolio Construction, 439-480, 2010 | 45 | 2010 |
Multiperiod arithmetic attribution J Menchero Financial Analysts Journal 60 (4), 76-91, 2004 | 39 | 2004 |
Method and system for multi-period performance attribution with metric-preserving coefficients JG Menchero US Patent 7,249,082, 2007 | 38 | 2007 |
An Optimized Approach to Linking Attribution Effects Over Time. J Menchero Journal of Performance Measurement 24 (1), 2019 | 36 | 2019 |
Risk contribution is exposure times volatility times correlation: decomposing risk using the x-sigma-rho formula J Menchero, B Davis Journal of Portfolio Management 37 (2), 97, 2011 | 33 | 2011 |
The characteristics of factor portfolios J Menchero, B Davis Journal of Performance Measurement 15 (1), 52-62, 2010 | 31 | 2010 |
Extreme risk analysis LR Goldberg, MY Hayes, J Menchero, I Mitra The Journal of Performance Measurement 14 (3), 17-30, 2010 | 30 | 2010 |
The Barra US equity model (USE4), methodology notes J Menchero, D Orr, J Wang MSCI Barra, 2011 | 23 | 2011 |
Improving risk forecasts for optimized portfolios J Menchero, J Wang, DJ Orr Financial Analysts Journal 68 (3), 40-50, 2012 | 21 | 2012 |
Custom factor attribution J Menchero, V Poduri Financial Analysts Journal 64 (2), 81-92, 2008 | 20 | 2008 |
Decomposing global equity cross-sectional volatility J Menchero, A Morozov Financial Analysts Journal 67 (5), 58-68, 2011 | 19 | 2011 |
The barra global equity model (gem2) J Menchero, A Morozov, P Shepard MSCI Barra Research Notes 53, 2008 | 18 | 2008 |
Risk-adjusted performance attribution J Menchero Journal of Performance Measurement 11 (2), 22, 2006 | 18 | 2006 |
Portfolio risk attribution J Menchero, J Hu Journal of Performance Measurement 10 (3), 22, 2006 | 18 | 2006 |
2001.“A Fully Geometric Approach to Performance Attribution.” JG Menchero Journal of Performance Measurement 5 (2), 22-30, 2000 | 15 | 2000 |
System and method for attributing performance, risk and risk-adjusted performance of an investment portfolio to custom factors J Menchero, D Stefek, V Poduri US Patent 7,890,408, 2011 | 12 | 2011 |
Efficiently Combining multiple sources of alpha J Menchero, JH Lee The Journal of Investment Management 13 (4), 71-86, 2015 | 11 | 2015 |
Portfolio optimization with noisy covariance matrices J Menchero, L Ji Journal of Investment Management 17 (1), 77-91, 2019 | 10 | 2019 |
Risk Contribution is Exposure times Volatility times Correlation B Davis, J Menchero Research Insights, MSCI Barra, 2010 | 10 | 2010 |
Extreme risk management LR Goldberg, MY Hayes, J Menchero, I Mitra MSCI Barra Research Paper, 2009 | 10 | 2009 |