ADG Capital Management LLP
Igor Yelnik joined ADG Capital Management LLP in 2013 where he is in charge of a research and portfolio management team responsible for a systematic global macro investment strategy. Prior to that he spent 9 years at IPM Informed Portfolio Management AB (Sweden) where he was a Partner and Head of Portfolio Management and Research. Igor graduated from Leningrad Polytechnic Institute in 1986 where he obtained a masters degree in computer science (diploma with distinction).
The authors of this paper analyze an equal-weight portfolio of global cross-asset-class risk factor exposures.
This paper projects an optimal unconstrained factor portfolio onto a set of all feasible portfolios using tracking error as a distance measure.