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‘There is no single optimal factor allocation’We strongly believe that there is no single optimal factor allocation as the optimal Factor Investing portfolio depends on investor-specific beliefs and preferences. For example, the low-volatility factor is very attractive for investors looking for downside protection without sacrificing return potential, such as pension funds aiming for funding ratio stability. However, it can be less attractive for clients who care more about maximizing return than about reducing risk and for clients who dislike the high tracking error involved with low-volatility strategies.
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