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Reshaping Outcomes

Reshaping Outcomes

Many investors now use factor analysis to identify drivers of active performance. However, active factor contributions can shift both as portfolio positioning evolves and as correlations among risk factors change over time.  We believe factor analysis should be applied within a robust framework that takes its potential imprecision into account and also includes other quantitative and qualitative methods.

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Som Priestley, CFA
Global Multi-Asset Solutions Strategist

Christina Moore
Multi-Asset Solutions Analyst


Changes in portfolio volatility may meaningfully impact the ability of some investors to meet their objectives. For these clients, T. Rowe Price offers managed volatility strategies, which target stated volatility levels and ranges by dynamically adjusting portfolio exposures based on volatility and correlation forecasts.

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Sean McWilliams
Portfolio Manager and Multi-Asset Quantitative Investment Analyst

Anna Dreyer, Ph.D., CFA
Portfolio Manager and Associate Director of Research, Multi-Asset

Justin Harvey
Multi-Asset Solutions Strategist


Our analysis examined the impact of single and layered constraints on an efficient frontier composed of multi-asset portfolios, with a focus on strategies involving a targeted yield. We found that imposing multiple conflicting constraints, such as both a yield minimum and a credit quality minimum, could result in lower Sharpe ratios.

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Averie Thomas
Solutions Analyst

Justin Harvey
Solutions Strategist for Multi-Asset Solutions


Investors should prepare for a potential shift in relative style performance by ensuring their portfolios are appropriately balanced between value and growth. Actively managed strategies, based on in-depth fundamental research, potentially can adjust to market inflections far better than momentum-driven strategies.

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Yoram Lustig, CFA
Head of Multi-Asset Solutions, EMEA

Justin Harvey
Solutions Strategist for Multi-Asset Solutions


Equity factor performance has varied greatly in and around periods of high volatility, and these periods have shortened significantly since the end of the global financial crisis. We believe our findings support the case for maintaining a diversified factor profile in equity portfolios and for taking a patient approach to the volatility cycle.

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Farris G. Shuggi, CFA
Quantitative Analyst

Som Priestley, CFA
Global Multi-Asset Solutions Strategist

Christina Moore
Multi-Asset Solutions Analyst

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GIPS® Information

T. Rowe Price ("TRP") claims compliance with the Global Investment Performance Standards (GIPS®). TRP has been independently verified for the twenty one- year period ended June 30, 2017 by KPMG LLP. The verification report is available upon request. Verification assesses whether (1) the firm has complied with all the composite construction requirements of the GIPS standards on a firm-wide basis and (2) the firm's policies and procedures are designed to calculate and present performance in compliance with the GIPS standards. Verification does not ensure the accuracy of any specific composite presentation.

TRP is a U.S. investment management firm with various investment advisers registered with the U.S. Securities and Exchange Commission, the U.K. Financial Conduct Authority, and other regulatory bodies in various countries and holds itself out as such to potential clients for GIPS purposes. TRP further defines itself under GIPS as a discretionary investment manager providing services primarily to institutional clients with regard to various mandates, which include U.S, international, and global strategies but excluding the services of the Private Asset Management group.

A complete list and description of all of the Firm's composites and/or a presentation that adheres to the GIPS® standards are available upon request. Additional information regarding the firm's policies and procedures for calculating and reporting performance results is available upon request

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