Risk Factor Allocation

This tool supports optimizing the portfolio asset allocation based on the targeted risk factor exposures. The returns of the given portfolio are first regressed against the selected risk factor model consisting of equity risk factors (e.g. market, size, value), fixed income risk factors (e.g. term, credit), custom risk factor series, or any combination thereof. Based on the regression results, the portfolio exposures to specific risk factors can then be adjusted. The optimizer identifies the closest portfolio to the desired risk factor exposures based on the given cost criteria, which can be based on either expected rebalancing costs or maintaining the other risk factor exposures as close to original as possible. You can also specify a list of optional assets that the optimizer can choose to add to the portfolio in order to meet the targeted risk factor exposures.

Step 1/2: Specify Risk Factor Model and Input Portfolio

Portfolio Assets
Allocation
Asset 1
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Asset 2
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Asset 3
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Asset 4
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Asset 5
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Asset 6
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Asset 7
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Asset 8
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Asset 9
%
Asset 10
%
Total
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