Skip to main content

Main menu

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JPM
    • Awards
    • Editorial Board
    • Published Ahead of Print (PAP)
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

User menu

  • Sample our Content
  • Subscribe Now
  • Log in

Search

  • Advanced search
The Journal of Portfolio Management
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Subscribe Now
  • Log in
The Journal of Portfolio Management

The Journal of Portfolio Management

Advanced Search

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JPM
    • Awards
    • Editorial Board
    • Published Ahead of Print (PAP)
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter
Article

Total Portfolio Factor, Not Just Asset, Allocation

Robert Bass, Scott Gladstone and Andrew Ang
The Journal of Portfolio Management Special QES Issue 2017, 43 (5) 38-53; DOI: https://doi.org/10.3905/jpm.2017.43.5.038
Robert Bass
is a managing director at BlackRock in New York, NY. bob.bass@blackrock.com
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: bob.bass@blackrock.com
Scott Gladstone
is an analyst at BlackRock in New York, NY. scott.gladstone@blackrock.com
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: scott.gladstone@blackrock.com
Andrew Ang
is a managing director at BlackRock in New York, NY. andrew.ang@blackrock.com
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: andrew.ang@blackrock.com
  • Article
  • Info & Metrics
  • PDF
Loading

Click to login and read the full article.
Don’t have access? Sign up today to begin your trial of the PMR platform 

Abstract

In this article, the authors present a strategic factor allocation framework across the total portfolio with the motivation of reframing asset allocation decisions along factor dimensions. There are three parts to this factor, not just asset, allocation framework: (1) measuring the factor exposures across all assets, with an emphasis on consistent treatment for liquid and illiquid markets; (2) determining optimal factor exposures based on criteria unique to each investor; and (3) determining the best mix of assets to implement a desired set of factor exposures subject to investor constraints. The authors emphasize the potential benefits of explicit diversification across factors and demonstrate modifications to typical institutional portfolios in factor space that can result in superior risk-return trade-offs.

  • © 2017 Pageant Media Ltd
View Full Text

Don’t have access? Register today to begin unrestricted access to our database of research.

Log in using your username and password

Forgot your user name or password?
PreviousNext
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Portfolio Management: 43 (5)
The Journal of Portfolio Management
Vol. 43, Issue 5
Special QES Issue 2017
  • Table of Contents
  • Index by author
Print
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Portfolio Management.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
Total Portfolio Factor, Not Just Asset, Allocation
(Your Name) has sent you a message from The Journal of Portfolio Management
(Your Name) thought you would like to see the The Journal of Portfolio Management web site.
Citation Tools
Total Portfolio Factor, Not Just Asset, Allocation
Robert Bass, Scott Gladstone, Andrew Ang
The Journal of Portfolio Management Mar 2017, 43 (5) 38-53; DOI: 10.3905/jpm.2017.43.5.038

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Total Portfolio Factor, Not Just Asset, Allocation
Robert Bass, Scott Gladstone, Andrew Ang
The Journal of Portfolio Management Mar 2017, 43 (5) 38-53; DOI: 10.3905/jpm.2017.43.5.038
del.icio.us logo Digg logo Reddit logo Twitter logo CiteULike logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
    • Abstract
    • FACTOR VIEWS
    • OPTIMAL FACTOR ALLOCATIONS
    • FROM HERE TO THERE
    • CONCLUSION
    • APPENDIX
    • ENDNOTES
    • REFERENCES
  • Info & Metrics
  • PDF

Similar Articles

Cited By...

  • Defensive Factor Timing
  • Asset Allocation vs. Factor Allocation--Can We Build a Unified Method?
  • Scopus (1)
  • Google Scholar

More in this TOC Section

  • INVITED EDITORIAL COMMENT: Winning the Right Game: The Search for Investment Excellence
  • INVITED EDITORIAL COMMENT: Passive Investing and Sustainability Integration Are Fundamentally Irreconcilable Investment Philosophies
  • INVITED EDITORIAL COMMENT: Pulling the Goalie: Investment Lessons from Watching Hockey
Show more Article
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 139 1600
 
NEW YORK
41 Madison Avenue, New York, NY 10010
USA
+1 646 931 9045
pm-research@pageantmedia.com
 

Stay Connected

  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

MORE FROM PMR

  • News
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Sign In
  • Update your profile
  • Give us your feedback

© 2019 Pageant Media Ltd | All Rights Reserved | ISSN: 0095-4918 | E-ISSN: 2168-8656

  • Site Map
  • Terms & Conditions
  • Privacy Policy
  • Cookies