Steven Thorley

Steven Thorley

H. Taylor Peery Professor of Finance,
Finance, Department of

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Biography

Steven Thorley is the H. Taylor Peery Professor of Finance at the BYU Marriott School of Management. Professor Thorley received his Ph.D. in Financial Economics from the University of Washington and holds numerous awards for academic excellence including the Marriott School Outstanding Faculty Award. While on academic leave from BYU, Professor Thorley served as the interim Research Director for Analytic Investors, an institutional money management firm in Los Angeles.

Steven publishes on financial market topics in various academic and practitioner journals. His academic research topics include delayed reaction to news, speculative bubbles, and investor overconfidence. His applied research focuses on portfolio constraints, performance attribution, and factor-based portfolio construction. Professor Thorley’s research has been presented at academic and professional seminars around the world and cited in the Wall Street Journal and other financial periodicals.

Professor Thorley is a Chartered Financial Analyst (CFA) and a Co-Editor of the Financial Analysts Journal. He teaches investments in the MBA program at the Marriott School and acts in a consulting capacity for Analytic Investors. Professor Thorley is currently on the investment committees for Intermountain Healthcare, Deseret Mutual Benefit Administrators, and Brigham Young University.

Education

  • PhD, Financial Economics, University of Washington, 1991
  • MBA, Finance, Brigham Young University, 1982
  • BS, Mathematics, Brigham Young University, 1979

Group Affiliations

  • American Finance Association - Primary
  • CFA Institute

Selected Publications

  • "Pure Factor Portfolios and Multivariate Regression Analysis", Journal of Portfolio Management, Institutional Investors, 2017.    
  • "Fundamentals of Efficient Factor Investing", Financial Analyst Journal, Edition 5, Volume 72, Issue 5, CFA Institute, 2017.    
  • "Analysis of Active Portfolio Management", CFA Level II Reading, CFA Institute, 2014.    
  • "The Not-so-well-known Three-and-one-half Factor Model", Financial Analysts Journal, Edition 5, Volume 70, Issue 5, Pages 13-23, CFA Institute, 2014.    
  • "Risk Parity, Maximum Diversification, and Minimum Variance: An Analytic Perspective", Journal of Portfolio Management, Edition 3, Volume 39, Issue 3, Pages 39-53, 2013.    
  • "Minimum Variance Portfolio Composition", Journal of Portfolio Management, Institutional Investors, 2011.    
  • "Know Your VMS exposure", Journal of Portfolio Management, Edition 2, Volume 36, Issue 2, Institutional Investors, 2010.    
  • "The Separation of Alpha and Beta: A User's Guide", Research Foundation of the CFA Institute, 2009.    
  • "Long-Short Extensions: How Much is Enough?", Financial Analysts Journal, Volume 64, 2008.    
  • "Investor Overconfidence and Trading Volume", Review of Financial Studies, Volume 19, Pages 1531-1565, 2006.    
  • "Minimum Variance Portfolios in the U.S. Equity Market", Journal of Portfolio Management, Volume 61, Pages 10-24, 2006.    
  • "The Fundamental Law of Active Portfolio Management", Journal of Investment Management, Volume 4, Pages 54-72, 2006.    
  • "Performance Attribution and the Fundamental Law", Financial Analyst Journal, 2005.    
  • "Portfolio Constraints and the Fundamental Law of Active Management", Financial Analysts Journal, 2002.    
  • "Return Dispersion and Active Management", Financial Analysts Journal, 2001.    
  • "Mining Fools Gold", The CFA Digest, Edition 4, Volume 29, Issue 4, 1999.    
  • "Bubbles and Duration Dependence in Asian Stock Markets", Pacific-Basin Finance Journal, Edition 1-2, Volume 6, Issue 1-2, Pages 125-151, 1998.    
  • "Does the Dow-10 Investment Strategy Beat the Dow Statistically and Economically?", Financial Analysts Journal, Edition 4, Volume 53, Issue 4, Pages 66-72, 1997.    
  • "Do Investors Learn? Evidence from a Gold Market Anomaly", The Financial Review, Edition 3, Volume 32, Issue 3, Pages 501-526, 1997.    
  • "Delayed Reaction to Good News and the Cross-Autocorrelation of Portfolia Returns", Journal of Finance, Edition 3, Volume 51, Issue 3, Pages 889-920, 1996.    
  • "The Time Diversification Controversy", The Financial Analysts Journal, 1995.    
  • "The Fallacy of Dollar Cost Averaging", Financial Practice and Education, 1994.    
  • "Bubbles, Stock Returns, and Duration Dependence", Journal of Financial and Quantitative Analysis, Edition 3, Volume 29, Issue 3, Pages 379-401, 1994.    
  • "Asymmetric Business Cycle Turning Points", Journal of Monetary Economics, Edition 3, Volume 31, Issue 3, Pages 341-362, 1993.    
  • "Are Stock Returns Predictable? A Test Using Markov Chains", Journal of Finance, Edition 1, Volume 46, Issue 1, Pages 239-263, 1991.    

Experience

    Other
    • Interim Research Director, Analytic Investors 2000 - 2001
    • Partner, Thorley, Pynes & Associates 1985 - 1987
    • Senior Consultant, Andersen Consulting 1982 - 1985
    • Aerospace Engineer, Hughes Aircraft 1979 - 1980

Awards

  • Bernstein Fabozzi/Jacobs Levy Award , Journal of Portfolio Management
  • Driggs Fellowship , Marriott School
  • Graham and Dodd Award of Excellence , Association for Investment Management and Research
  • Graham and Dodd Scroll Award , CFA Institute
  • H. Taylor Peery Professorship , Marriott School of Management
  • Outstanding Colleague , Marriott School, Brigham Young University
  • Outstanding Faculty Award , Marriott School of Management
  • Outstanding Faculty Research Award , Marriott School, Brigham Young University
  • Outstanding Research Award , Business Management Department
  • Outstanding Teacher Award , Business Management Department

Administrative Assignments

  • Associate Director — H. Taylor Peery Institute 2011 - 2017
  • Department Chair — Finance Department 2008 - 2011

Certificates and Licenses

  • Chartered Financial Analyst CFA Institute 1995

Professional Citizenship

  • Financial Analysts Journal Editor, Associate Editor January, 2017

Presentations

  • Fundamentals of Efficient Factor Investing - South Africa - CFA Society - 2016
  • The Not-so-well-known Three-and-one-half-factor Model - Q Group - 2014 Spring Seminar - 2014
  • Mathematics of Low Risk Portfolio Construction - Deutsche Bank - Global Quantitative Strategy Conference - 2012
  • Relaxing the Long-Only Constraint - JP Morgan - Client Conferences - 2007
  • The Characteristics of Minimum Variance Portfolios - - Quantitative Alliance - 2006
  • The Fundamental Law of Active Management with Full Covariance Matrix - - Deutsche Asset Management - 2006
  • Portfolio Constraints and the Fundamental Law of Active Management - - Barclays Global Investors - 2003