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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.
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  • For correspondence: bob.bass@blackrock.com
Scott Gladstone
is an analyst at BlackRock in New York, NY.
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  • For correspondence: scott.gladstone@blackrock.com
Andrew Ang
is a managing director at BlackRock in New York, NY.
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  • For correspondence: andrew.ang@blackrock.com
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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.

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The Journal of Portfolio Management: 43 (5)
The Journal of Portfolio Management
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Special QES Issue 2017
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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

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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
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  • Article
    • Abstract
    • FACTOR VIEWS
    • OPTIMAL FACTOR ALLOCATIONS
    • FROM HERE TO THERE
    • CONCLUSION
    • APPENDIX
    • ENDNOTES
    • REFERENCES
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More in this TOC Section

  • Editor’s Introduction for 2021 Special Issue on Multi-Asset Strategies
  • PERSPECTIVES: Plato or Aristotle: Who Got It Right? Evidence from the Equity Markets
  • Editor’s Introduction for 2021 Special Issue on Factor Investing
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