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.
Not exact matches
Diversification is an important
factor for proper
portfolio construction.
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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.