Tactical Style Allocation – A New Form of Market Neutral Strategy

Noël Amenc, Philippe Malaise, Lionel Martellini, Daphné Sfeir: Even though there is little evidence of predictability in stock specific risk, most equity market neutral managers still rely on stock picking as the preferred way to generate abnormal returns.

Author(s):

Noel Amenc

Professor of Finance, EDHEC Graduate School of BusinessHead of Research, Misys Asset Management Systems

Philippe Malaise

Research Associate, EDHEC Risk and Asset Management Research Centre

Lionel Martellini

Professor of Finance, EDHEC Graduate School of Business

Daphne Sfeir

Senior research engineer, EDHEC Risk and Asset Management Research Centre

In this paper, we document the benefits of a new form of market-neutral portfolio strategy that aims at delivering absolute return over the full business cycle through systematic equity style timing decisions. Using a robust multi-factor recursive modelling approach, we find strong evidence of predictability in value and size style differentials. We use these econometric forecasts to generate systematic style timing allocation decisions. These portfolio decisions can be implemented using Exchange Traded Funds on US style indexes.
Pdf
Tactical Style Allocation – A New Form of Market Neutral Strategy...
(-1.00 B)
Type: Working paper
Date: le 01/01/2003
Extra information : For more information, please contact EDHEC Research and Development Department [ research@drd.edhec.edu ]
Research Cluster : Finance

See Also

Raman Uppal appointed as new chairman of the Society for Financial Studies (SFS) Council
News
- 21-09-2018
Raman Uppal, Professor of Finance at EDHEC Business School and Member of EDHEC-Risk...
EDHEC - Risk’s annual European ETF and Smart Beta Survey results show growing demand for new developments in existing Smart Beta offerings
News
- 20-09-2018
EDHEC-Risk Institute has announced the results of the 11th EDHEC European ETF and Smart...
5 tips to kick-off your MBA successfully as an international student
News
- 18-09-2018
Whether your ambition is to boost your career, learn the latest in leadership, expand...
Asset Pricing Conference: Major Advances, Nobel Prize and Eminent experts
News
- 12-09-2018
EDHEC Business School, the Fama-Miller Center at Chicago Booth, and the Review of...