Factor Allocation Model: Integrating Factor Models and Strategies into the Asset Allocation Process
回顾因子模型的理论基础与实践应用，讨论如何将因子整合进投资策略，并说明因子模型和策略如何帮助投资者通过资产配置管理组合风险、获取风险溢价。
Factors are the underlying forces that drive portfolio risk and performance over different investment horizons. In this article, first the author reviews the theoretical foundations and practical applications of factor models. The author then discusses the integration of factors into different types of investment strategies. He concludes with a discussion of how factor models and strategies enable investors to manage total portfolio risk and capture risk premiums through the asset allocation process. <b>TOPICS:</b>Factor-based models, portfolio construction, risk management, performance measurement <b>Key Findings</b> ▪ Factor models empower investors to understand and manage the sources of portfolio risk. ▪ Factor strategies reflect factors, offering investors the ability to capture factor premiums. ▪ In factor allocation, factors replace asset classes as the drivers of asset allocation decisions.