Smart Beta and Beyond: Maximising the Benefits of Factor Investing

Factor investing is an investment paradigm under which an investor decides how much to allocate to various factors, as opposed to various securities or asset classes. Its popularity has been growin ...

Auteur(s) :

Lionel Martellini

Professor of Finance at EDHEC Business School and Director of EDHEC-Risk Institute.

Vincent Milhau

Research Director at EDHEC-Risk Institute.

Factor investing is an investment paradigm under which an investor decides how much to allocate to various factors, as opposed to various securities or asset classes. Its popularity has been growing since the turn of the millennium, especially after the recognition in 2008 that multiple asset classes can experience severe losses at the same time despite their apparent differences. The term “factor”, however, is used with many different meanings depending on the context and the targeted application. The main goal of this paper is to provide clarification with respect to the various possible definitions of factors that are relevant in investment practice.

This paper also develops a framework for allocating to factors in two main contexts, namely allocation decisions at the asset class level, and benchmarking decisions within a given class. For each of these applications, we examine the three most important questions raised by the adoption of a factor investing approach: (i) why think in terms of factors? (ii) what factors should be chosen? and (iii) how do we allocate between them?

Pdf
Smart Beta and Beyond: Maximising the Benefits of Factor Investing...
(-1.00 B)
Type : Publication EDHEC
Date : le 02/02/2018
Complément d'informations

EDHEC-Risk Institute

Pôle de recherche Finance

A voir également

Le sport électronique coréen, méga-laboratoire d’innovations
Actualités
- 21-02-2019
La Chaire Innovation et Transformation permanente est de retour d’un voyage d’étude à...
EDHEC Dissemin'Actions - Janvier à Juillet 2019
Actualités
- 18-02-2019
Le saviez-vous ? Les professeurs et chercheurs de l'EDHEC produisent et diffusent...
Prestige, professionnalisation et expérience à l’étranger
Actualités
- 14-02-2019
Milan Stojiljkovic est étudiant en quatrième année du parcours Business Management,...
L'Agora a reçu Nelson Monfort
Actualités
- 12-02-2019
L’Agora, tribune étudiante, a invité Nelson Monfort ce lundi 11 février 2019 à l'...