{"id":1266,"date":"2021-05-28T11:26:29","date_gmt":"2021-05-28T09:26:29","guid":{"rendered":"https:\/\/iq-kap.de\/?p=1266"},"modified":"2021-09-06T10:21:52","modified_gmt":"2021-09-06T08:21:52","slug":"the-paper-factor-investing-and-asset-allocation-strategies-a-comparison-of-factor-versus-sector-optimization-has-been-accepted-for-publication-in-the-journal-of-asset-management","status":"publish","type":"post","link":"https:\/\/iqam-research.de\/en\/the-paper-factor-investing-and-asset-allocation-strategies-a-comparison-of-factor-versus-sector-optimization-has-been-accepted-for-publication-in-the-journal-of-asset-management\/","title":{"rendered":"The paper, “Factor-Investing and Asset Allocation Strategies: A Comparison of Factor Versus Sector Optimization,” has been accepted for publication in the Journal of Asset Management."},"content":{"rendered":"

Factor-Investing and Asset Allocation Strategies: A Comparison of Factor Versus Sector Optimization<\/h1>\n
\n

Journal of Asset Management, forthcoming<\/p>\n<\/div>\n

41 Pages<\/span>\u00a0<\/span>Posted: 1 Apr 2021<\/span>\u00a0<\/span>Last revised: 10 May 2021<\/span><\/p>\n

\n

Wolfgang Bessler<\/a><\/h2>\n

University of Hamburg<\/p>\n

Georgi Taushanov<\/a><\/h2>\n

University of Giessen<\/p>\n

Dominik Wolff<\/a><\/h2>\n

Deka Investment GmbH; Darmstadt University of Technology; Frankfurt University of Applied Sciences<\/p>\n<\/div>\n

Date Written: March 15, 2021<\/p>\n

\n

Abstract<\/h3>\n

Given the tremendous growth of factor allocation strategies in active and passive fund management, we investigate whether either asset allocation strategies based on factors or sectors provide investors with a superior portfolio performance. Our focus is on comparing factor versus sector allocation 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 \u2018equal-weighting\u2019 (1\/N), \u2018risk-parity\u2019 (RP), minimum-variance (MinVar), mean-variance (MV), Bayes-Stein (BS) and Black-Litterman (BL) by employing 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. We find that during \u201cnormal\u201d times factor portfolios clearly dominate sector portfolios, whereas during crisis periods sector portfolios are superior offering better diversification opportunities.<\/p>\n<\/div>\n

Link to the full article<\/a><\/p>\n","protected":false},"excerpt":{"rendered":"

Factor-Investing and Asset Allocation Strategies: A Comparison of Factor Versus Sector Optimization Journal of Asset Management, forthcoming 41 Pages\u00a0Posted: 1 Apr 2021\u00a0Last revised: 10 May 2021 Wolfgang Bessler University of…<\/p>\n","protected":false},"author":5,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"_acf_changed":false,"footnotes":""},"categories":[3],"tags":[],"class_list":["post-1266","post","type-post","status-publish","format-standard","hentry","category-uncategorized"],"acf":[],"_links":{"self":[{"href":"https:\/\/iqam-research.de\/en\/wp-json\/wp\/v2\/posts\/1266","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/iqam-research.de\/en\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/iqam-research.de\/en\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/iqam-research.de\/en\/wp-json\/wp\/v2\/users\/5"}],"replies":[{"embeddable":true,"href":"https:\/\/iqam-research.de\/en\/wp-json\/wp\/v2\/comments?post=1266"}],"version-history":[{"count":3,"href":"https:\/\/iqam-research.de\/en\/wp-json\/wp\/v2\/posts\/1266\/revisions"}],"predecessor-version":[{"id":1385,"href":"https:\/\/iqam-research.de\/en\/wp-json\/wp\/v2\/posts\/1266\/revisions\/1385"}],"wp:attachment":[{"href":"https:\/\/iqam-research.de\/en\/wp-json\/wp\/v2\/media?parent=1266"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/iqam-research.de\/en\/wp-json\/wp\/v2\/categories?post=1266"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/iqam-research.de\/en\/wp-json\/wp\/v2\/tags?post=1266"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}