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Factor allocation to asset allocation

categories: Americas, Asia Pacific, Australia, EMEAI, ZHOU Chenlu , 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