Is Your Smart Beta Product Scalable?



In this paper, we use the backtester capabilities of the Axioma Portfolio Optimizer to investigate the maximum capacity of a smart beta strategy, based on the Profitability factor in the Asia ex-Japan equity market. Profitability is one of the style factors in the Axioma Asia Pacific ex-Japan fundamental factor model (v4) that has had a persistently positive return over the last several years, and has become a popular style tilt with regional managers.



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Author: 
Olivier d'Assier, Applied Research, APAC
Arrow_Blue_Orange.pngIs Your Smart Beta Product Scalable?



In this paper, we use the backtester capabilities of the Axioma Portfolio Optimizer to investigate the maximum capacity of a smart beta strategy, based on the Profitability factor in the Asia ex-Japan equity market. Profitability is one of the style factors in the Axioma Asia Pacific ex-Japan fundamental factor model (v4) that has had a persistently positive return over the last several years, and has become a popular style tilt with regional managers.
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Author: 
Olivier d'Assier, Applied Research, APAC

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