Doughnuts: A Picture of Optimization Applied to Smart Alpha
Incorporating the benefits of portfolio optimization doesn’t have to disturb the core beliefs of the fundamental manager. The problem is how to characterize the solution in a way that captures the variety of portfolio strategies in the market. The simplicity of doughnut portfolio construction solves the problem.
In this paper, Ian Domowitz and Ameya Moghe explore how overlaying an investment manager’s core portfolio with a doughnut portfolio can help to achieve the concept of smart alpha.
Ian DomowitzManagement Team Managing Director, CEO of ITG Solutions Network, Head of ITG’s Analytics