Whitepaper - August 2019

Is Your Smart Beta Product Scalable?

In this paper, we use the portfolio backtesting 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.


Olivier d'Assier

Senior Principal, Applied Research - APAC