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Jackson Wang

Research and Insights

Articles by Jackson Wang

    Research Insight - Identifying the Drivers of Predicted Beta - February 2014

    Research Report | Feb 24, 2014 | Jose Menchero, Jackson Wang

    In this Research Insight, we present a methodology for attributing the predicted beta of an asset or portfolio to an underlying set of factors. This provides investors with important insights into the drivers of predicted beta for a particular portfolio. We also present a technique for decomposing the cross-sectional dispersion of stock-level predicted betas. This analysis provides useful insight into how changing factor volatilities and correlations affect cross-sectional differences in the...