Factor Allocation to Asset Allocation

Jun 26, 2019

Asset-allocation approaches have evolved from the traditional 60/40 split to the recent adoption of risk, rather than capital, budgeting across asset classes. However, asset-class buckets are not always clear-cut risk and return drivers. We present a factor-based asset-allocation framework to help investors who have begun to look through asset classes to factors — the underlying drivers of risk and returns.