Factor-Investing and Asset Allocation Strategies: A Comparison of Factor Versus Sector Optimization

2021 ◽  
Author(s):  
Wolfgang Bessler ◽  
Georgi Taushanov ◽  
Dominik Wolff
Keyword(s):  
Asset Allocation ◽  
Factor Versus ◽  
Factor Investing ◽  
Allocation Strategies

scholarly journals Factor investing and asset allocation strategies: a comparison of factor versus sector optimization

2021 ◽  
Author(s):  
Wolfgang Bessler ◽  
Georgi Taushanov ◽  
Dominik Wolff
Keyword(s):  
Asset Allocation ◽  
Factor Versus ◽  
Minimum Variance ◽  
Superior Performance ◽  
Relative Advantage ◽  
Allocation Model ◽  
Risk Parity ◽  
And Performance ◽  
Mean Variance ◽  
Allocation Strategies

AbstractGiven the tremendous growth of factor allocation strategies in active and passive fund management, we investigate whether factor or sector asset allocation strategies provide investors with a superior performance. Our focus is on comparing factor versus sector allocations as some recent empirical evidence indicates the dominance of sector over country portfolios. We analyze the performance and performance differences of sector and factor portfolios for various weighting and portfolio optimization approaches, including “equal-weighting” (1/N), “risk parity,” minimum-variance, mean-variance, Bayes–Stein and Black–Litterman. We employ a sample-based approach in which the sample moments are the input parameters for the allocation model. For the period from May 2007 to November 2020, our results clearly reveal that, over longer investment horizons, factor portfolios provide relative superior performances. For shorter periods, however, we observe time-varying and alternating performance dominances as the relative advantage of one over the other strategy depends on the economic cycle. One important insight is that during “normal” times factor portfolios clearly dominate sector portfolios, whereas during crisis periods sector portfolios are superior offering better diversification opportunities.

Asset Allocation Strategies: Enhanced by Micro-Blog

2019 ◽  
Author(s):  
Zryan Sadik ◽  
Gautam Mitra ◽  
Shradha Berry
Keyword(s):  
Asset Allocation ◽  
Allocation Strategies

Asset Allocation Strategies and Commodities

2018 ◽  
Author(s):  
Claudio Boido
Keyword(s):  
Asset Allocation ◽  
Asset Management ◽  
Central Banking ◽  
Fixed Income ◽  
Fixed Income Securities ◽  
Asset Classes ◽  
Alternative Beta ◽  
Asset Managers ◽  
Selection Of ◽  
Allocation Strategies

As a result of the financial crisis of 2007–2008 and subsequent central banking decisions, the asset management industry changed its asset allocation choices. Asset managers are focusing their attention on the search for new asset classes by taking advantage of the new opportunities to capture risk premia with the aim of exceeding the returns given by traditional investments, including traded equities, fixed income securities, and cash. By doing so, they are trying to improve the selection of alternative assets, such as commodities that sometimes have relatively low correlations with traditional assets. The chapter begins by describing the principles of asset allocation, distinguishing between passive and active asset allocation, also focusing on beta and alternative beta. It then concentrates on how investors can gain exposure to commodities through different investment vehicles and strategies.

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