Given the tremendous growth of factor allocation strategies in active and passive fund management, we investigate whether either asset allocation strategies based on factors or sectors provide investors with a superior portfolio performance. Our focus is on comparing factor versus sector...

The Black-Litterman (BL) model aims to enhance asset allocation decisions by overcoming the weaknesses of standard mean-variance (MV) portfolio optimization. In this study we implement the BL model in a multi-asset portfolio context. Using an investment universe of global stock indices, bonds,...