PORTFOLIO VISUALIZER

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Risk Factor Allocation

Risk Factor Allocation Overview

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 targeted risk factor exposures of the portfolio can then be adjusted. 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

Model Configuration

Factor Returns

Equity Factor Model

Use HML-DEV Factor

Include Quality Factor (QMJ)

Include Bet Against Beta (BAB) Factor

Fixed Income Factor Model

FF Equity Factors

MKT-RF SMB SMB5 HML MOM RMW CMA

AQR Equity Factors

MKT-RF SMB HML HML-DEV MOM QMJ BAB

Alpha Architect Equity Factors

MKT-RF SMB HML MOM QMJ

q-Factors

MKT-RF ME I/A ROE EG

Fixed Income Factors

TRM CDT

Custom Factors

Tickers
Clear List
Upload List

Regression Period

Optional Assets

Tickers
Clear List
Upload List

Portfolio Assets

Allocation Weights
Equal Weight
Normalize
Clear
Import Portfolio
Upload Portfolio

Allocation

Asset 1

Select asset 1

Enter percentage allocation for asset 1 %

Asset 2

Select asset 2

Enter percentage allocation for asset 2 %

Asset 3

Select asset 3

Enter percentage allocation for asset 3 %

Asset 4

Select asset 4

Enter percentage allocation for asset 4 %

Asset 5

Select asset 5

Enter percentage allocation for asset 5 %

Asset 6

Select asset 6

Enter percentage allocation for asset 6 %

Asset 7

Select asset 7

Enter percentage allocation for asset 7 %

Asset 8

Select asset 8

Enter percentage allocation for asset 8 %

Asset 9

Select asset 9

Enter percentage allocation for asset 9 %

Asset 10

Select asset 10

Enter percentage allocation for asset 10 %

Total

Total allocation for portfolio %

Find ETF, Mutual Fund or Stock Symbol

Type

Name

Example: "vanguard bond"

Cash Asset

Asset Class

Import Portfolio

You can upload a portfolio asset allocation by selecting a file below. The import uses a standard Excel or CSV file format with a ticker symbol followed by asset balance or weight on each row, and you can download sample files for the supported data formats from the related documentation section.

You can upload a list of tickers by selecting either a text file of an Excel file below. The tickers in the file can be listed either on separate lines or on the same line.

File

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