Sentences with phrase «factor portfolio construction»
Appendix A: Factor Portfolio Construction Methodology To construct our portfolios in the United States we use the universe of US stocks from the CRSP / Compustat database.
https://www.researchaffiliates.com/ Not exact matches
Diversification is an important factor for proper portfolio construction.
categories: Indexes, Americas, EMEAI, Factor and Risk Modeling, Investing (Investment Management), Portfolio Construction and Optimization, Asia Pacific, Asset Owners, Hedge Funds, Equities, Research Paper, CHIA Chin - Ping, Asset Managers (Quant or Fundamental), BARMAN Subhajit, HUNG Raphael, LIM Eugene, MUTHUKRISHNAN Anand
Active managers rely on our factor models, data and portfolio construction and optimization tools to build portfolios and keep them aligned with their investment objectives.
Ideally, investors want to take three factors into account in portfolio construction: the expected return for each asset, the expected risk (normally expressed as the standard deviations of return) and the co-movement of each asset.
Choose your own peer group based on underlying factors like portfolio construction and industry focus, and benchmark your fund against funds with similar strategies.
This has led to some investors exploring risk - factor - based asset allocation as a potential new framework for portfolio construction, and looking at alternative beta strategies in an effort to rectify the «defects» of conventional market portfolios.»
Correlation among factors is a common consideration in the construction of multifactor portfolios.
Join BlackRock and industry thought leaders for our 2017 virtual conference, «Factors: The Next Era in Portfolio Construction,» on Tuesday, May 9th.
Portfolio construction is driven by bottom - up stock selection decisions made on the basis of our evaluation of a company's valuation, quality and other factors as described above; this process is not influenced by benchmark weights.
Ideally, investors want to take three factors into account in portfolio construction: the expected return for each asset, the expected risk (normally expressed as the standard deviations of return) and the co-movement of each asset.
Our analysis has found that factor - based fixed income strategies implemented in a rules - based, transparent index can represent an alternative tool for fixed income portfolio construction.
Appendix C: Smart Beta Strategy Construction Methodology The factor - based smart beta portfolios, except the size strategy, are constructed from the large - cap universes only.
Our factor - based smart beta portfolio construction methodology is explained in Appendix C.
The «three factors» I've mentioned aren't the only ones to be considered in portfolio construction, but they are the most influential.
Therefore «liquidity» is not a factor in my portfolio construction.
The life factor that has the most influence on portfolio construction, the mix of asset classes someone should hold, and how risky they should be, is called their «investment risk tolerance.»
As we do with all factors surrounding potential acquisitions and our existing portfolio, we analyze development trends very carefully, looking at units under construction in the overall market, the sub-market as well as the overall occupancy, penetration and growth within the markets.