Bringing you live news and features since 2006 


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


Rothschild & Cie and EDHEC-Risk Institute have announced the creation of a new research chair at EDHEC-Risk Institute entitled "Active Allocation to Smart Factor Indices." 

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, says: "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."

Professor Lionel Martellini, Scientific Director of EDHEC-Risk Institute, says: "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."

Latest News

ETF data consultant ETFGI reports that assets invested in the global ETF industry reached a new record of USD12.71 trillion..
Calastone has published an ETF white paper which examines several of the processes that take place across the lifecycle of..
Adapting product lines to fit into changing methodologies and meet shifting demand is essential to remaining relevant in the industry..
Investors urgently need greater access to diversified investment strategies aligned with the Paris Agreement on climate change if the world..

Related Articles

Taylor Krystkowiak, Themes ETFs
Themes ETFs opened its doors in December 2023, with an introductory suite of 11 ETFs – seven thematic and four...
Konrad Sippel, Solactive
At the end of March, financial index specialist, Solactive, published its 2024 annual report on future trends.  ...
Lorraine Sereyjol-Garros, BNP Paribas
Following changes to the French Monetary and Financial Code and of the French market authority AMF’s General Regulation, it is...
Ed Rosenberg, Texas Capital
Texas Capital Bank first opened its doors back in December 1998 and nowadays offers wealth-management services, as well as commercial,...
Subscribe to the ETF Express newsletter

Subscribe for access to our weekly newsletter, newsletter archive, updates on the site and exclusive email content.

Marketing by