The Many Faces of Japanese Style Portfolios
This is the second paper in a series of looking at portfolio construction methodologies for designing style factor portfolios in the Asia-Pacific region written by Olivier d'Assier, Axioma's Head of Applied Research for APAC. In this paper, Olivier focuses on the Japanese market to construct three variants of a long-only active factor portfolios on the following five style factors from Axioma’s Japan fundamental medium horizon risk model (AXJP4 – MH): Dividend Yield, Momentum, Growth, Profitability, and Value. He then compares each variant on the basis of the implicit costs of constraints on the portfolio’s ability to gain a pure exposure to the target factor.
Olivier d'Assier, Head of Applied Research, APAC