Rithwik Dendukuri

An Empirical Study of Volatility Regimes in a Multifactor Equity Portfolio

This paper presents an empirical analysis of a rules-based multifactor equity portfolio and examines how its performance varies across market volatility regimes. The portfolio is constructed from a fixed universe of 50 large-cap U.S. equities and employs a cross-sectional ranking methodology based on valuation, profita...