This monograph draws heavily on the vast body of knowledge that has been built by financial economists over the last 50 years. Its goal is to show how to solve real‐life portfolio allocation problems. We have found that using a broad range of models works best. Also, we prefer simple over complex models. We believe that simplicity and modularity lend substantial robustness to investment analysis. Importantly, the framework presented provides several of the “missing links” in asset allocation—for example, the links between asset classes and risk factors, between macroeconomic views and expected returns, and ultimately between quantitative and fundamental investing.

Download a PDF or purchase a copy of Factor Investing and Asset Allocation: A Business Cycle Perspective from the CFA Institute Research Foundation


The Author

Mukundan Devarajan

Quantitative Research Analyst, Asset Allocation Research

Andrew Nowobilski

Quantitative Research Analyst, Asset Allocation Research

Niels K. Pedersen

Quantitative Research Analyst, Asset Allocation Research


Emerging Market Investing: A Multi-Asset, Granular and Dynamic Portfolio Approach

This Research paper is a joint effort between PIMCO and GIC, Singapore’s sovereign wealth fund. GIC authors Grace Qiu Tiantian Ph.D., Ding Li, and Zhihui Yap collaborated with PIMCO’s Josh Davis, German Ramirez, and Helen Guo to produce this report.


The Leverage Factor: Credit Cycles and Asset Returns
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