netherlandsnl

Risk due diligence approach

An approach* to implementing factor investing. An analysis is made to establish whether the current portfolio is suitably distributed over factors and does not incorporate excessive risk. This can be done using the 'Robeco Factor Exposure Monitor'.

The advantage of this approach is that investors obtain greater insight into their exposure to specific factors in the portfolio. It also helps determine whether the portfolio contains desired or undesired concentrations of factors. It then becomes easier to assess the sensitivity of the portfolio in specific scenarios.

The chart below shows a hypothetical portfolio of factor overweights and underweights. Per factor the portfolio has three subdivisions into levels of exposure: substantial (top), average (middle) and low (bottom).

Figure 8. Relative factor exposures of portfolios
Source: Robeco, Quantitative Research, 2014

* Other approaches involve using factor tilts and a system of portfolio optimization based exclusively on factors.

Quantitative investing: invisible layers surface to deliver attractive returns
Quantitative investing: invisible layers surface to deliver attractive returns
Read more
Showing the way to Paris-aligned investing
Showing the way to Paris-aligned investing
The race to zero is on.
10-06-2021 | Visie
Podcast: Omgaan met de veranderingen en uitdagingen in de vermogensbeheersector
Podcast: Omgaan met de veranderingen en uitdagingen in de vermogensbeheersector
Eén ding is zeker: saai is het nooit in de vermogensbeheersector.
04-06-2021 | Podcast
Low Volatility investing: now more than ever
Low Volatility investing: now more than ever
Low Volatility strategies can handle changes in the investment landscape.
01-06-2021 | Visie
Logo

Disclaimer

De informatie op deze website is uitsluitend bestemd voor professionele & institutionele beleggers.

Bevestig alstublieft dat u een professionele belegger bent en dat u de voorwaarden van deze website hebt gelezen en begrepen, en deze accepteert.

Niet akkoord