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:

  1. How have you gone about exploring ways to enhance the construction of factor portfolios?
  2. What is the impact of modeling the factor distributions using a non-standard model?
  3. Has this been borne out by the historical results?
  4. What other areas have you been looking at?

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