Bessler, Wolfgang ; Taushanov, Georgi ; Wolff, Dominik (2021)
Factor investing and asset allocation strategies: a comparison of factor versus sector optimization.
In: Journal of Asset Management, 22 (6)
doi: 10.1057/s41260-021-00225-1
Artikel, Bibliographie
Dies ist die neueste Version dieses Eintrags.
Kurzbeschreibung (Abstract)
Given 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.
| Typ des Eintrags: | Artikel |
|---|---|
| Erschienen: | 2021 |
| Autor(en): | Bessler, Wolfgang ; Taushanov, Georgi ; Wolff, Dominik |
| Art des Eintrags: | Bibliographie |
| Titel: | Factor investing and asset allocation strategies: a comparison of factor versus sector optimization |
| Sprache: | Englisch |
| Publikationsjahr: | Oktober 2021 |
| Ort: | London |
| Verlag: | Palgrave Macmillan |
| Titel der Zeitschrift, Zeitung oder Schriftenreihe: | Journal of Asset Management |
| Jahrgang/Volume einer Zeitschrift: | 22 |
| (Heft-)Nummer: | 6 |
| DOI: | 10.1057/s41260-021-00225-1 |
| Zugehörige Links: | |
| Kurzbeschreibung (Abstract): | Given 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. |
| Freie Schlagworte: | Asset allocation, Portfolio optimization, Factor investing, Factor versus sector allocation |
| Zusätzliche Informationen: | Issue: Multiple alpha sources and portfolio design Palgrave is part of Springer Nature JEL Classifcation G17 · G11 · C53 |
| Sachgruppe der Dewey Dezimalklassifikatin (DDC): | 300 Sozialwissenschaften > 330 Wirtschaft |
| Fachbereich(e)/-gebiet(e): | 01 Fachbereich Rechts- und Wirtschaftswissenschaften 01 Fachbereich Rechts- und Wirtschaftswissenschaften > Betriebswirtschaftliche Fachgebiete 01 Fachbereich Rechts- und Wirtschaftswissenschaften > Betriebswirtschaftliche Fachgebiete > Fachgebiet Unternehmensfinanzierung |
| Hinterlegungsdatum: | 01 Okt 2024 08:57 |
| Letzte Änderung: | 01 Okt 2024 08:57 |
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| Suche nach Titel in: | TUfind oder in Google |
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Factor investing and asset allocation strategies: a comparison of factor versus sector optimization. (deposited 24 Sep 2024 11:42)
- Factor investing and asset allocation strategies: a comparison of factor versus sector optimization. (deposited 01 Okt 2024 08:57) [Gegenwärtig angezeigt]
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