There has been a significantly growing emphasis on factor exposure management (smart beta) in recent years. In this Q&A, Evgenia Gvozdeva and Nick Zylkowski discuss the portfolio optimization techniques to support dynamic factor allocations and constructing more concentrated factor portfolios.
Evgenia and Nick answer the following questions:
- How have you gone about exploring ways to enhance the construction of factor portfolios?
- What is the impact of modeling the factor distributions using a non-standard model?
- Has this been borne out by the historical results?
- What other areas have you been looking at?