Skip to main content

Main menu

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JWM
    • Editorial Board
    • Published Ahead of Print (PAP)
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • LinkedIn
  • Twitter

User menu

  • Sample our Content
  • Request a Demo
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
The Journal of Wealth Management
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Request a Demo
  • Log in
The Journal of Wealth Management

The Journal of Wealth Management

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JWM
    • Editorial Board
    • Published Ahead of Print (PAP)
  • LinkedIn
  • Twitter

Factors and Advisor Portfolios

Brian Lawler, Brett Mossman, Patrick Nolan and Andrew Ang
The Journal of Wealth Management Spring 2020, jwm.2019.1.095; DOI: https://doi.org/10.3905/jwm.2019.1.095
Brian Lawler
is a director at BlackRock Inc. in Princeton, NJ
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
Brett Mossman
is a managing director at BlackRock Inc. in San Francisco, CA
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
Patrick Nolan
is a director at BlackRock Inc. in Princeton, NJ
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
Andrew Ang
is a managing director at BlackRock Inc. in New York, NY
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
Loading

Click to login and read the full article.

Don’t have access? Click here to request a demo 
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600

Abstract

In the approximately 10,000 advisor portfolios analyzed at the security level, the authors find large common patterns and significant exposures to just a few factors. Advisor portfolios are heavily exposed to economic growth, which is mostly accessed through equities and could obtain better factor balance by including other diversifiers. Within equities, the only significant style exposure is small size; advisors, in general, can potentially improve returns by harvesting other rewarded style factors. In fixed income, advisor portfolios veer toward shorter duration, which can be lengthened in an effort to provide more resilience against economic downturns. Finally, the average advisor fee is 0.54% across all portfolios, but with a wide range from 0.14% to 0.96% at the 5th and 95th percentiles, respectively. These fees, however, do not correlate highly with absolute levels of risk, active risk, or the number of positions—implying large scope to obtain greater efficiencies in taking active risk within a given fee budget.

TOPICS: Analysis of individual factors/risk premia, factor-based models, style investing, portfolio theory, portfolio construction

Key Findings

  • • Advisor portfolios have a large exposure to economic growth, which is mostly accessed through their equity exposure. Long-short funds—specifically liquid alternatives—can offer diversification away from economic growth and improve the risk-reward ratio

  • • On average, advisor portfolios don’t have meaningful exposures to rewarded factors like quality, low volatility, value, momentum, and dividend yield. Advisor portfolios do tend to have significant positive exposure to the small size factor, which reflects exposure to stocks with lower market capitalizations.

  • • The duration of advisor portfolios tends to be lower than their benchmark. Even more aggressive portfolios with higher allocations to equity remain short duration, even though it is an effective diversifier of equity risk.

  • © 2019 Pageant Media Ltd
View Full Text

Don’t have access? Click here to request a demo

Alternatively, Call a member of the team to discuss membership options

US and Overseas: +1 646-931-9045

UK: 0207 139 1600

Log in using your username and password

Forgot your user name or password?
Next
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Wealth Management: 23 (4)
The Journal of Wealth Management
Vol. 23, Issue 4
Spring 2021
  • Table of Contents
  • Index by author
  • Complete Issue (PDF)
Print
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Wealth Management.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
Factors and Advisor Portfolios
(Your Name) has sent you a message from The Journal of Wealth Management
(Your Name) thought you would like to see the The Journal of Wealth Management web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
Factors and Advisor Portfolios
Brian Lawler, Brett Mossman, Patrick Nolan, Andrew Ang
The Journal of Wealth Management Dec 2019, jwm.2019.1.095; DOI: 10.3905/jwm.2019.1.095

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Factors and Advisor Portfolios
Brian Lawler, Brett Mossman, Patrick Nolan, Andrew Ang
The Journal of Wealth Management Dec 2019, jwm.2019.1.095; DOI: 10.3905/jwm.2019.1.095
del.icio.us logo Digg logo Reddit logo Twitter logo CiteULike logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
    • Abstract
    • DATA
    • METHODOLOGY
    • EMPIRICAL RESULTS
    • IMPROVING ADVISOR PORTFOLIOS
    • CONCLUSION
    • ADDITIONAL READING
    • ACKNOWLEDGMENTS
    • APPENDIX
    • ENDNOTES
    • REFERENCES
  • Info & Metrics
  • PDF (Subscribers Only)
  • PDF (Subscribers Only)

Similar Articles

Cited By...

  • No citing articles found.
  • Google Scholar
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 139 1600
 
NEW YORK
41 Madison Avenue, New York, NY 10010
USA
+1 646 931 9045
pm-research@pageantmedia.com
 

Stay Connected

  • LinkedIn
  • Twitter

MORE FROM PMR

  • Home
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Log In
  • Update your profile
  • Give us your feedback

© 2021 Pageant Media Ltd | All Rights Reserved | ISSN: 1534-7524 | E-ISSN: 2374-1368

  • Site Map
  • Terms & Conditions
  • Cookies
  • Privacy Policy