Whitepaper - September 2018

Constraining Optimized Portfolios: Handle with Care… Focus on Global Value

Our new series of papers extends our earlier work looking at the impact of constraints on optimized factor portfolios. The current analysis examines global developed-market portfolios constructed to tilt on Value.

In these studies, we found that constraints tended to hurt the risk profiles and returns of global Momentum and Value portfolios – similar to what we found in our earlier study, which focused on the US – but the case for avoiding constraints was far less clear when we tilted toward Low Volatility. We also drew upon the Constraint Attribution feature of the Axioma Optimizer to gain more insight into which constraints helped or hurt.


Melissa Brown

Managing Director of Applied Research