Factor allocation decisions are becoming a prominent consideration for factor investors. Which factors to allocate to, and in what magnitude, has a significant impact on investment outcomes and should be a key focus of investors. As multi-factor investing grows in popularity, we hope it will evolve from the mere identification of a set of factors to cover the explicit choice of the relative magnitude of each factor’s exposure.
In this paper, we seek to aide this evolution as we present:
- three factor allocation schemes, which can deliver balanced exposure to multiple factors
- meaningful insights into the volatility and correlation of factor risk premia and how this can inform factor allocation decisions
- a transparent, non-optimized, bottom-up portfolio construction mechanism that can deliver bottom up factor allocation
Read the full whitepaper now at the link below
Supporting documentsClick link to download and view these files
Portfolio factor allocation schemesPDF, Size 1.12 mb