Quantitative Research and Analytics Factor Investing and Asset Allocation: A Business Cycle Perspective Learn more about quantitative investing and factor research in this in-depth guide.
This monograph draws heavily on the vast body of knowledge that has beenbuilt by financial economists over the last 50 years. Its goal is to showhow to solve real‐life portfolio allocation problems. We have found thatusing a broad range of models works best. Also, we prefer simple overcomplex models. We believe that simplicity and modularity lend substantialrobustness to investment analysis. Importantly, the framework presentedprovides several of the “missing links” in asset allocation—for example,the links between asset classes and risk factors, between macroeconomicviews and expected returns, and ultimately between quantitative andfundamental investing.Download a PDF or purchase a copy of Factor Investing and AssetAllocation: A Business Cycle Perspective from the CFA InstituteResearch FoundationDownload
