globalen

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
Quantitative investing

We’ve been leading the way in quant investing for over 25 years, turning research into practical solutions.

Read more
Short positions do not add value to factor investing strategies
Short positions do not add value to factor investing strategies
Common wisdom among academics and investors has it that factors are best harvested using both long and short positions.
09-12-2019 | Research
Robeco turns 90 in a fast-changing fund industry
Robeco turns 90 in a fast-changing fund industry
This 4 December, Robeco celebrates its 90th anniversary.
04-12-2019 | Insight
Conservative Equities: strong risk reduction despite the recent value drag
Conservative Equities: strong risk reduction despite the recent value drag
Despite inevitable hiccups, Conservative Equities’ track record shows our approach adds value.
02-12-2019 | Insight