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Ola Mahmoud

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Articles by Ola Mahmoud

    Minimizing Shortfall

    Research Report | Jan 26, 2011 | Michael Hayes, Lisa Goldberg, Ola Mahmoud

    This paper describes an empirical study of shortfall optimization with Barra Extreme Risk. We compare minimum shortfall to minimum variance portfolios in the US, UK, and Japanese equity markets using Barra Style Factors (Value, Growth, Momentum, etc.). We show that minimizing shortfall generally improves performance over minimizing variance, especially during down-markets, over the period 1985-2010. The outperformance of shortfall is due to intuitive tilts towards protective factors like...