germanyde

Traditional versus factor allocation

Traditionally a portfolio is constructed by distribution over asset classes (asset allocation), followed by allocation to subsegments such as regions or sectors. Factor investing applies strategic allocation according to factors.

The example below illustrates this process of moving from traditional strategic asset allocation towards strategic distribution according to factor premiums for equities.

Source: Robeco, Quantitative Research, 2014

A factor portfolio divides the equities class into premiums such as low volatility, value and momentum, irrespective of regions and sectors.

Quantitative investing: invisible layers surface to deliver attractive returns
Quantitative investing: invisible layers surface to deliver attractive returns
Read more
Quant-Strategien profitieren von gebündelten Kernkompetenzen in Sachen Nachhaltigkeit und Schwellenländer
Quant-Strategien profitieren von gebündelten Kernkompetenzen in Sachen Nachhaltigkeit und Schwellenländer
In den Schwellenländern sind Unternehmen, die im Bereich Nachhaltigkeit am besten abschneiden, den Unternehmen der Industrieländer ebenbürtig.
03-08-2022 | Einblicke
Should shorting count for net-zero portfolios?
Should shorting count for net-zero portfolios?
Short positions can be a meaningful add-on, but should not be an excuse for inaction on the long side of a portfolio.
27-07-2022 | Einblicke
Quant chart: Winning by losing less
Quant chart: Winning by losing less
Low-risk investing tends to deliver higher risk-adjusted long-term returns than the market as it tallies wins by losing less in down periods.
21-07-2022 | Einblicke