Strategy Note /
Global

FACTOR ALLOCATION MODELS

    FactorResearch
    2 September 2021
    Published byFactorResearch
    1. Factor timing and factor risk management are related concepts, but have different objectives
    2. Factors have unique characteristics that require a tailored risk management approach
    3. A multi-dimensional factor risk management model shows consistent increases in risk-return ratios and decreases in maximum drawdowns across markets