Risk factor portfolio management

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By Dan Miles, Fred Vosvenieks, Stuart Reynolds | 06 February 2015
Traditional allocation approaches assume that investing in a wider range of assets or asset classes will lead to a lower risk portfolio. It was also believed that the correlation between asset classes was relatively stable. But recent experience has found a number of issues with this approach. Instead of constructing portfolios using the traditional asset class approach, risk factor portfolio construction can lead to a better understanding of portfolio risk exposures.

Authors

Dan Miles is the Managing Director and Co-Chief Investment Officer at Innova Asset Management.

 

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