Lev Dynkin, PhD, is the founder and Global Head of the Quantitative Portfolio Strategy (QPS) Group at Barclays Research.
Lev and the QPS group joined Barclays in 2008 from Lehman Brothers where they had been a part of Global Research since 1987. While at Lehman Brothers QPS was involved in launching most of the Lehman (now – Bloomberg) Fixed Income Indices and advising major clients on a bespoke basis on all quantitative aspects of managing portfolios relative to these indices.
At Barclays the groups research is focused on systematic portfolio management across asset classes including fixed income, equities, and FX. QPS is engaged in a long-term research dialog with most major global institutional investors including asset managers, pension funds, endowments, insurance companies, Central Banks, SWFs and hedge funds. Levs areas of research comprise innovative security/issuer/sector selection signals, “smart beta” strategies, impact of ESG-related issuer characteristics on portfolio risk and performance, optimal allocation of portfolio risk budget, diversification requirements, studies of investment style and cost of investment constraints and benchmark replication and customization. Several of QPSs risk evaluation methodologies (eg. DTS) were adopted as standard practice by most institutional bond portfolio managers.
QPS and Lev were top-ranked by the Institutional Investor All-America Fixed-Income Research survey in its category for the past 15 years both in US and Europe including in 2021 (Lev ranked #1 in US in Quantitative Analysis; QPS ranked #1 in Europe and #2 in US). Lev is a member of the editorial advisory boards of the Journal of Portfolio Management and the Journal of Fixed Income. Lev co-authored with his colleagues 19 Journal articles and several books: Systematic Investing in Credit, Wiley, 2021; A Decade of Duration Times Spread (DTS), Barclays, 2015; Quantitative Credit Portfolio Management, Wiley, 2011; and Quantitative Management of Bond Portfolios, Princeton University Press, 2007. (Japanese edition, Toyo Keizai, 2010).
