• This paper helps explain how investors and investment managers may solve real-life portfolio allocation problems across business cycles. It draws heavily on 50 years of research and analysis by financial economists around the world.
  • We have found that using a broad range of models works best. Also, we prefer simple over complex models.
  • Importantly, the framework we present provides several of the missing links in asset allocation – for example, the links between asset classes and risk factors, between macroeconomic views and expected returns, and ultimately between quantitative and fundamental investing.

Download a PDF or purchase a copy of Factor Investing and Asset Allocation: A Business Cycle Perspective from the CFA Institute Research Foundation

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The Author

Mukundan Devarajan

Quantitative Research Analyst, Asset Allocation Research

Andrew Nowobilski

Quantitative Research Analyst, Asset Allocation Research

Niels K. Pedersen

Quantitative Research Analyst, Asset Allocation Research

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