Practical Applications of Fundamental Factors That Improve Your Investments: A Practical Guide

Practical Applications Summary

In Fundamental Factors That Improve Your Investments: A Practical Guide, from the October 2019 issue of The Journal of Investing, authors Pim Lausberg (of APG Asset Management), Alfred Slager (of TIAS School for Business and Society), and Philip Stork (of VU University Amsterdam) explore the influence of fundamental factors—rather than style factors—on portfolio returns. The authors present an intuitive framework for measuring and steering fundamental factors in a portfolio and provide examples showing how to identify factor concentration risks and tilt portfolios to desired exposures. They also offer suggestions on how investors can embed the factor-based approach in their existing investment process.

TOPICS: Analysis of individual factors/risk premia, portfolio construction, performance measurement