japanja

Diversification over factors

Exposing the portfolio to a variety of factors improves diversification. The aim of diversifying according to underlying factors is to make the portfolio more robust.

Diversification using the factor approach differs from the traditional method of distribution over asset classes such as equities, bonds and private equity, commodities, hedge funds and regions. The latter approach doesn’t provide insight into the underlying factors that determine the return-risk ratio of a portfolio.

Factor investing means that we divide up a portfolio into factors with significant expected risk and/or return differentials. Accordingly, the assets in a factor-based portfolio are distributed over premiums such as low volatility, size, value and momentum.

クオンツ運用
クオンツ運用

ロベコは25年以上にわたりクオンツ運用をリードし、応用研究を実践的なソリューションに適用してきました。

さらに読む
There’s no quant crisis in credits
There’s no quant crisis in credits
Quant strategies have performed well in credits.
01-04-2021 | インサイト
カーボン・フットプリント削減に向けた5ヵ年目標を設定
カーボン・フットプリント削減に向けた5ヵ年目標を設定
脱炭素化の動きが進んでいます。
26-03-2021 | インタビュー
The rising tide of Value won’t lift all boats equally
The rising tide of Value won’t lift all boats equally
The recent Value upswing has provided renewed hope of a comeback and ideal conditions for deep and consistent exposures to the style.
25-03-2021 | インサイト