Asset owners typically use a two-stage process to construct their investment portfolio. The first step is the creation of a “policy portfolio.” This portfolio makes the tradeoff between expected returns and risk, and involves forecasting expected returns, volatilities and correlations for the various asset classes under consideration. The policy portfolio provides the baseline set of factor risks desired by the investor and serves as the anchor to the final portfolio. After the components of the policy portfolio are determined, the second step involves manager selection, whereby specific managers are hired under the assumption that, in aggregate, the managers’ portfolios reflect the factor risks of the policy portfolio. While this process makes portfolio construction tractable, it may lead to unintended risk exposures at the overall portfolio level. To the extent managers’ portfolios imbed structural tilts to certain risk factors, asset allocators may be systematically exposing themselves to risks beyond those expected from their policy portfolio.

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El Autor

Ravi K. Mattu

Responsable global de análisis

Mukundan Devarajan

Analista de investigación cuantitativa, Análisis de asignación de activos

Steve Sapra

Analista de investigación cuantitativa, Análisis de clientes

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