Practical Applications of Dynamic Exposure Targeting

Abstract

The key to successful active investing is reaching targeted exposure levels to information sources—a never-ending balancing act for portfolio managers.

Portfolio managers typically have a picture in mind of an exposure they want to get to, but they often don’t know how to achieve the desired exposure level or how long it will take, reports Leigh Sneddon, a Managing Director in the Risk and Quantitative Analysis Group at BlackRock in San Francisco.

In Dynamic Exposure Targeting , which was published in the Summer 2012 issue of The Journal of Portfolio Management , Sneddon and co-author Vyacheslav Yukhymuk get to the bottom of the combined effects of portfolio and signal dynamics. Yukhymuk is a Director in Blackrock’s Risk and Quantitative Analysis Group.

This Practical Applications report details how their research can help portfolio managers predict and manage the timing and extent of a portfolio’s exposure to its information sources.