Academic studies show that the degree to which a portfolio is exposed to these five risk factors determines nearly all of its risk and expected return. An advantage of purpose based investing is the ease in which one can manage risk by investing in precise asset classes.
You can visualize the equity risk components with the illustration below. The extent to which you "tilt" your portfolio toward small and value stocks can increase your risk and expected return.
Cross Section of Expected Stock Returns, Eugene F. Fama and Kenneth R. French, Journal of Finance 47 (1992)