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Factor allocation to asset allocation

categories: Americas, Asia Pacific, Australia, EMEAI, ZHOU Chenlu , Amato Andrea, Asset Allocation and Asset Liability Management, Factor and Risk Modeling, Investing (Investment Management), Performance Analysis, Portfolio Construction and Optimization, Asset Managers (Quant or Fundamental), Asset Owners, Hedge Funds, ESG Products & Services, Indexes, Portfolio Management Analytics, Alternatives, Equities, Fixed Income, Multi-Asset Class

Asset-allocation approaches have evolved from the traditional 60/40 split to the recent adoption of risk, rather than capital, budgeting across asset classes. However, asset-class buckets are not always clear-cut risk and return drivers. We present a factor-based asset-allocation framework to help investors who have begun to look through asset classes to factors — the underlying drivers of risk and returns.


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Research-Insight-Factor-allocation-to-asset-allocation.pdf