EDHEC-Risk Institute and Rothschild & Cie launch new research chair on active allocation to smart factor indices

Written on 13 January 2015.


This new chair will follow on from the previous Rothschild & Cie research chair at EDHEC-Risk Institute on “The Case for Inflation-Linked Corporate Bonds: Issuers’ and Investors’ Perspectives.”

Led by Professor Noël Amenc, Director of EDHEC-Risk Institute, and Professor Lionel Martellini, Scientific Director of EDHEC-Risk Institute, the research chair team will examine the benefits of smart beta allocation. The goal is to provide a quantitative assessment of the benefits expected from the three following sources of added-value in the design of equity portfolio with superior risk and return characteristic:

 

  • Time-varying strategic allocation decisions, where the focus is on efficiently reacting to changes in risk parameter estimates;
  • Time-varying tactical allocation decisions, where the focus is on efficiently reacting to changes in market conditions based on a detailed analysis of the conditional performance of smart factor indices for different types of market environment;
  • Time-varying core-satellite allocation decisions, where the focus is on efficiently managing the portfolio risk with respect to the cap-weighted reference, so as to generate a substantial access to the benefits of smart beta management, with limited downside risk relative to the cap-weighted benchmark;

Jean-Louis Laurens, General Partner and Global Head of Asset Management at Rothschild & Cie, said, “We are delighted to support a new chair at EDHEC-Risk Institute on “Active Allocation to Smart Factor Indices,” a new frontier in asset management. Rothschild & Cie is committed to sponsor academic research on innovative fields reconciling active management and quantitative risk management techniques.&rdquo.

 

Professor Lionel Martellini, Scientific Director of EDHEC-Risk Institute, said, “With the support of Rothschild & Cie, we very much look forward to advancing research in the different areas covered by this new research chair and highlighting the benefits that active managers and asset owners can expect from dynamically allocating to smart factor indices, with a focus on efficiently reacting to changes in risk parameters and market conditions, as well as efficiently spending relative risk budgets with respect to a cap-weighted reference portfolio.”

 

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