Business Immo, the real estate website

Bridging the gap: Adding factors to passive and active allocations

Published on

A research produced by

Asset owners enjoy a growing array of choices in implementing equity factor allocations. In addition to traditional passive and active mandates, single factor, and more recently, multifactor investment strategies are used increasingly by long-term institutional investors aiming to enhance returns or manage volatility.

Asset owners face a challenge in determining how the factor allocation fits into the overall equity program: How does the factor allocation relate to the existing roster of active managers? This paper uses a risk budgeting framework to investigate how active mandates and factor allocations can be combined. Risk budgeting connects the manager selection process with the factor allocation process, without requiring expected return assumptions.

Source : MSCI

This research is available only to BI or BIE subscribers

Please log in, or contact us to find out how to subscribe



Keywords : MSCI