A Balanced Factor Approach to Investing

Dato: Februar, 2019

Skrevet af: Kasper Ahrndt Lorenzen (ATP), Mads Gosvig (ATP) og Morten Tolver Kronborg (ATP)

Abstract (på engelsk): 

Portfolio construction based on risk allocation principles and diversification forms the core of ATP’s investment management. The fundamental belief is that a properly diversified portfolio levered to an acceptable level of risk is the best path to deliver the required expected return over time. This paper outlines our factor investment framework: the top-down spanning of the investment universe on a set of investable risk factors leading to the formation of a balanced factor reference portfolio based on quantitative analyses and qualitative judgement. This framework helps us to obtain clarity, simplification and measurability of the investment process.