Bringing you live news and features since 2006 

Beverly Chandler

New study highlights the added value of active allocation to smart beta indices

RELATED TOPICS​

The EDHEC-Risk Institute has published a new study entitled ‘Active Allocation to Smart Factor Indices’, drawn from the eponymous Rothschild & Cie research chair.

The study provides a formal empirical analysis of the benefits of strategic and tactical allocation to multiple equity smart factor indices in a context where relative risk with respect to the cap-weighted indices needs to be explicitly controlled for.
 
The institute writes: “Once regarded as exotic curiosities, smart equity factor indices have now made it into the mainstream, and have become important for investors to better understand how their outperformance relates to underlying sources of risk.
 
The focus of this paper is to provide a quantitative assessment of the benefits expected from the three sources of added-value (which come from time-varying strategic, time-varying tactical or time-varying core-satellite allocation decisions) in the design of equity benchmarks with superior risk and return characteristics.”
 
Within the paper, the authors show 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 market conditions, as well as efficiently spending relative risk budgets with respect to a cap-weighted reference portfolio.
 
The latest study can be found here.
 

Latest News

The European Fund and Asset Management Association (EFAMA) has published its 2024 industry Fact Book, which includes a foreword by..
Amundi has reduced its management fees across a wide selection of its ETF range. The firm writes that this move..
Matteo Greco, Research Analyst at Fineqia International writes that bitcoin (BTC) ended the week at approximately USD66,675, marking a 4.3..
Amundi’s ETF Market Flows Analysis for May finds that global ETF inflows were EUR105.1 billion with US-domiciled equity funds accounting..

Related Articles

CN Tower, Toronto
The winners were announced in the second ETF Express Canadian awards at the event held at The Quay in Toronto,...
Darren Jordan, Komainu
Custody specialist, Komainu, was launched in 2018 as a joint venture between Nomura, digital-asset investment manager, CoinShares and blockchain business,...
Stuart Chaussee
In January this year, global data and business intelligence platform, Statista reported that there are now more than 8000 ETFs...
Ethereum coin
Last week saw Australia launch spot bitcoin ETFs, with Matteo Greco, Research Analyst at Fineqia International, writing that Monochrome Asset...
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