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Article

Fundamental Factors That Improve Your Investments: A Practical Guide

Pim Lausberg, Alfred Slager and Philip Stork
The Journal of Investing joi.2019.1.092; DOI: https://doi.org/10.3905/joi.2019.1.092
Pim Lausberg
is a senior portfolio manager at APG Asset Management in Amsterdam, the Netherlands
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Alfred Slager
is a full professor at TIAS School for Business and Society, in Tilburg, the Netherlands
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Philip Stork
is a full professor at VU University Amsterdam in Amsterdam, the Netherlands
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Abstract

We explore how investors can use the factors that drive their portfolio returns, focusing on fundamental factors instead of the widely discussed style factors. Fundamental factors explain the majority of the return variation among assets. There are times that a given factor sensitivity offers exceptionally high or low rewards in all assets exposed to it. We present an intuitive framework for measuring and steering fundamental factors in a portfolio. Practical examples show how to identify factor concentration risks and tilt a portfolio toward desired exposures. We argue that investors best use a factor-based approach in conjunction with traditional asset allocation, rather than as a substitute. In addition, we provide suggestions on how to embed the factor-based approach within an existing investment process.

TOPICS: Factor-based models, portfolio construction, performance measurement

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The Journal of Investing: 30 (2)
The Journal of Investing
Vol. 30, Issue 2
February 2021
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Fundamental Factors That Improve Your Investments: A Practical Guide
Pim Lausberg, Alfred Slager, Philip Stork
The Journal of Investing May 2019, joi.2019.1.092; DOI: 10.3905/joi.2019.1.092

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Fundamental Factors That Improve Your Investments: A Practical Guide
Pim Lausberg, Alfred Slager, Philip Stork
The Journal of Investing May 2019, joi.2019.1.092; DOI: 10.3905/joi.2019.1.092
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  • Article
    • Abstract
    • THE SEARCH FOR FACTORS
    • DATA AND MODEL
    • IMPLEMENTATION CONSIDERATIONS
    • CONCLUSION
    • APPENDIX
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