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Active factor completion strategies

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Active factor completion strategies. / Dichtl, Hubert; Drobetz, Wolfgang; Lohre, Harald; Rother, Carsten.

In: Journal of Portfolio Management, Vol. 47, No. 2, 31.01.2021, p. 9-37.

Research output: Contribution to journalJournal articlepeer-review

Harvard

Dichtl, H, Drobetz, W, Lohre, H & Rother, C 2021, 'Active factor completion strategies', Journal of Portfolio Management, vol. 47, no. 2, pp. 9-37. https://doi.org/10.3905/JPM.2020.1.193

APA

Dichtl, H., Drobetz, W., Lohre, H., & Rother, C. (2021). Active factor completion strategies. Journal of Portfolio Management, 47(2), 9-37. https://doi.org/10.3905/JPM.2020.1.193

Vancouver

Dichtl H, Drobetz W, Lohre H, Rother C. Active factor completion strategies. Journal of Portfolio Management. 2021 Jan 31;47(2):9-37. https://doi.org/10.3905/JPM.2020.1.193

Author

Dichtl, Hubert ; Drobetz, Wolfgang ; Lohre, Harald ; Rother, Carsten. / Active factor completion strategies. In: Journal of Portfolio Management. 2021 ; Vol. 47, No. 2. pp. 9-37.

Bibtex

@article{19aec63981c94ddcb72b43ffe8679010,
title = "Active factor completion strategies",
abstract = "Embracing the concept of factor investing, the authors design a flexible framework for building out different factor completion strategies for traditional multi-asset allocations. Their notion of factor completion comprises a maximally diversified reference portfolio anchored in a multi-asset multi-factor risk model that acknowledges market factors such as equity, duration, and commodity, as well as style factors such as carry, value, momentum, and quality. The specific nature of a given factor completion strategy varies with investor preferences and constraints. The authors tailor a select set of factor completion strategies that include factor-based tail hedging, constrained factor completion, and a fully diversified multi-asset multi-factor proposition. Their framework is able to organically exploit tactical asset allocation signals without sacrificing the notion of maximum diversification. To illustrate, the authors additionally embed the common trend style that permeates many asset classes, and they also include the notion of style factor momentum.",
keywords = "Factor-based models, Portfolio management/multi-asset allocation, Style investing*",
author = "Hubert Dichtl and Wolfgang Drobetz and Harald Lohre and Carsten Rother",
year = "2021",
month = jan,
day = "31",
doi = "10.3905/JPM.2020.1.193",
language = "English",
volume = "47",
pages = "9--37",
journal = "Journal of Portfolio Management",
issn = "0095-4918",
publisher = "Institutional Investor, Inc",
number = "2",

}

RIS

TY - JOUR

T1 - Active factor completion strategies

AU - Dichtl, Hubert

AU - Drobetz, Wolfgang

AU - Lohre, Harald

AU - Rother, Carsten

PY - 2021/1/31

Y1 - 2021/1/31

N2 - Embracing the concept of factor investing, the authors design a flexible framework for building out different factor completion strategies for traditional multi-asset allocations. Their notion of factor completion comprises a maximally diversified reference portfolio anchored in a multi-asset multi-factor risk model that acknowledges market factors such as equity, duration, and commodity, as well as style factors such as carry, value, momentum, and quality. The specific nature of a given factor completion strategy varies with investor preferences and constraints. The authors tailor a select set of factor completion strategies that include factor-based tail hedging, constrained factor completion, and a fully diversified multi-asset multi-factor proposition. Their framework is able to organically exploit tactical asset allocation signals without sacrificing the notion of maximum diversification. To illustrate, the authors additionally embed the common trend style that permeates many asset classes, and they also include the notion of style factor momentum.

AB - Embracing the concept of factor investing, the authors design a flexible framework for building out different factor completion strategies for traditional multi-asset allocations. Their notion of factor completion comprises a maximally diversified reference portfolio anchored in a multi-asset multi-factor risk model that acknowledges market factors such as equity, duration, and commodity, as well as style factors such as carry, value, momentum, and quality. The specific nature of a given factor completion strategy varies with investor preferences and constraints. The authors tailor a select set of factor completion strategies that include factor-based tail hedging, constrained factor completion, and a fully diversified multi-asset multi-factor proposition. Their framework is able to organically exploit tactical asset allocation signals without sacrificing the notion of maximum diversification. To illustrate, the authors additionally embed the common trend style that permeates many asset classes, and they also include the notion of style factor momentum.

KW - Factor-based models

KW - Portfolio management/multi-asset allocation

KW - Style investing

U2 - 10.3905/JPM.2020.1.193

DO - 10.3905/JPM.2020.1.193

M3 - Journal article

AN - SCOPUS:85099943447

VL - 47

SP - 9

EP - 37

JO - Journal of Portfolio Management

JF - Journal of Portfolio Management

SN - 0095-4918

IS - 2

ER -