• français
    • English
  • English 
    • français
    • English
  • Login
JavaScript is disabled for your browser. Some features of this site may not work without it.
BIRD Home

Browse

This CollectionBy Issue DateAuthorsTitlesSubjectsJournals BIRDResearch centres & CollectionsBy Issue DateAuthorsTitlesSubjectsJournals

My Account

Login

Statistics

View Usage Statistics

Factors and Sectors in Asset Allocation: Stronger Together?

Thumbnail
Date
2018
Link to item file
https://dx.doi.org/10.2139/ssrn.2965346
Dewey
Economie financière
Sujet
investment; asset allocation; factor; industry; sector; crisis
JEL code
G.G1.G11; G.G0.G01; C.C5.C58; D.D9.D92
DOI
http://dx.doi.org/10.1007/978-3-319-90245-6_11
Book title
Advances in the practice of public investment management. Portfolio modelling, performance attribution and governance
Author
Bulusu, Narayan; Coche, Joachim; Reveiz, Alejandro; Rivadeneyra, Francisco; Sahakyan, Vahe; Yanou, Ghislain
Publisher
Palgrave
Publisher city
Basingstoke
Year
2018
ISBN
978-3-319-90244-9
Book URL
10.1007/978-3-319-90245-6
URI
https://basepub.dauphine.fr/handle/123456789/20143
Collections
  • LEDa : Publications
Metadata
Show full item record
Author
Brière, Marie
163511 Laboratoire d'Economie de Dauphine [LEDa]
Szafarz, Ariane
104113 Département d'économie appliquée de l'université libre de Bruxelles [Dulbéa]
218169 Université Libre de Bruxelles
234014 Centre Emile Bernheim
234015 CERMi
Type
Chapitre d'ouvrage
Item number of pages
291-309
Abstract (EN)
This paper compares and contrasts factor investing and sector investing, and then seeks a compromise by optimally exploiting the advantages of both styles. Our results show that sector investing is effective for reducing risk through diversification while factor investing is better for capturing risk premia and so pushing up returns. This suggests that there is room for potentially fruitful combinations of the two styles. Presumably, by combining factors and sectors, investors would benefit both from the diversification potential of the former and the risk premia of the latter. The tests reveal that composite strategies are particularly attractive; they confirm that sector investing helps reduce risks during crisis periods, while factor investing can boost returns during quiet times.

  • Accueil Bibliothèque
  • Site de l'Université Paris-Dauphine
  • Contact
SCD Paris Dauphine - Place du Maréchal de Lattre de Tassigny 75775 Paris Cedex 16

 Content on this site is licensed under a Creative Commons 2.0 France (CC BY-NC-ND 2.0) license.