Lumen’s portfolio construction and asset allocation process starts with helping investors to clearly define their investment objectives, which can be mapped to a Predefined (Model) Universe, built up by factors that align with the investment strategies and investor’s goal.
Lumen discusses factor investing, an investment approach where stocks are selected based on quantifiable factors that drive the differences in risk or rate of return of stocks. The article describes the history of factor investing and provides insights into the use of various factors in portfolio construction and how Lumen quantifies these factors, especially the unique Economic Value Added (EVA) concept as metrics of value. We also shared some observations of the factors selected.
Please check out the Intrinsic Value column for the ranking of value and the Intrinsic Risk column for the ranking of risk – based on the Residual Income Model.
Based on our intrinsic value vs. intrinsic risk calculation using the Lumen market-implied expected returns, we highlight a few sectors – healthcare, financials, and consumer staples for the China A-share market.
Global markets are at an unusually sharp inflection point reflecting an equally unusual convergence of uncertain geopolitical and public health outcomes markedly affecting economic activity and policy stances across advanced and emerging economies alike.
Read on to see why we believe an aggressive stance is justified.
