LONDON and NICE, France and PARIS and SINGAPORE, Jan. 14, 2015 (GLOBE NEWSWIRE) -- 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, 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."
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."
About Rothschild & Cie
Rothschild has been involved in investment management since its beginning two hundred years ago when Rothschild businesses were established in the principal cities of Europe at the end of the 18th century. The Rothschild Group is one of the world's leading independent investment banking and asset management organisations and has established a network of companies around the world: more than 2800 people are employed by Rothschild in 40 offices all over the world (New-York, Paris, London, Zurich, Tokyo, Singapore.).
Our Asset Management business provides investment management and advisory services to institutional clients, fund distributors and financial intermediaries worldwide. Our services are provided from Paris, London and New York through specialist subsidiaries.
Headquartered in Paris, Rothschild & Cie Gestion offers high-conviction strategies, mainly in European assets. We cover a full range of products including equities, fixed-income, convertible bonds and flexible diversified funds. These strategies are offered in mutual funds, dedicated funds or mandates. Our goal is to deliver excellent returns for our clients by over-performing the indices, whatever the market conditions, with a controlled level of risk.
Rothschild HDF Investment Solutions offers its clients a full range of innovative and open-architecture investment solutions that cross the traditional boundaries between asset classes. These solutions are adapted to clients' specific needs and regulatory status, and are offered under various formats; including open-ended or dedicated funds, mandates, portfolios of managed accounts, and others.
Headquartered in London, Risk-Based Investment Solutions Ltd (RBIS) constructs a broad range of risk-based weighting schemes without limitation in terms of number of underlying securities, asset classes and combinations of asset classes. This new risk-based approach to portfolio construction offers more efficient alternatives to traditional "cap-weighted" (equity) or "debt-weighted" (bond) portfolios.
Rothschild Asset Management (New York) offers investment management services in the following strategies: US Large-Cap Equity - Core and Value US Small/Mid-Cap Equity - Core US Small-Cap Equity - Core, Value,and Growth US Balanced.
About EDHEC-Risk Institute
Since 2001, EDHEC Business School has been pursuing an ambitious policy in terms of international research. This policy, known as "Research for Business", aims to make EDHEC an academic institution of reference for the industry in a small number of areas in which the school has reached critical mass in terms of expertise and research results. Among these areas, asset and risk management have occupied privileged positions, leading to the creation in 2001 of a major research facility: EDHEC-Risk Institute. This institute now boasts a team of over 95 permanent professors, engineers and support staff, as well as 48 research associates from the financial industry and affiliate professors.
EDHEC-Risk Institute is located at campuses in Singapore, which was established at the invitation of the Monetary Authority of Singapore (MAS); the City of London in the United Kingdom; Nice and Paris in France; and New York in the United States. The philosophy of the institute is to validate its work by publication in prestigious academic journals, but also to make it available to professionals and to participate in industry debate through its Position Papers, published studies and conferences. Each year, EDHEC-Risk organises three conferences for professionals in order to present the results of its research, one in London (EDHEC-Risk Days Europe), one in Singapore (EDHEC-Risk Days Asia), and one in New York (EDHEC-Risk Days North America) attracting more than 2,500 professional delegates.
To ensure the distribution of its research to the industry, EDHEC-Risk also provides professionals with access to its website, www.edhec-risk.com, which is entirely devoted to international risk and asset management research. The website, which has more than 65,000 regular visitors, is aimed at professionals who wish to benefit from EDHEC-Risk's analysis and expertise in the area of applied portfolio management research. Its monthly newsletter is distributed to more than 1.5 million readers.
EDHEC-Risk Institute also has highly significant executive education activities for professionals. In partnership with CFA Institute, it has developed advanced seminars based on its research which are available to CFA charterholders and have been taking place since 2008 in New York, Singapore and London. EDHEC-Risk Institute has an original PhD in Finance programme which, in addition to its highly selective residential track for young talents worldwide, has an executive track for high level professionals who already have master's degrees from prestigious universities and significant industry experience. These professionals are looking to go beyond their usual activities in order to develop research on the concepts that are relevant to their occupation. Complementing the core faculty, this unique PhD in Finance programme has highly prestigious affiliate faculty from universities such as Princeton, Wharton, Oxford, Chicago and CalTech.
In 2012, EDHEC-Risk Institute signed two strategic partnership agreements with the Operations Research and Financial Engineering department of Princeton University to set up a joint research programme in the area of risk and investment management, and with Yale School of Management to set up joint certified executive training courses in North America and Europe in the area of investment management.
Building on its experience in the area of beta analysis and creation, EDHEC-Risk Institute has also created ERI Scientific Beta, which aims to be the leading provider of advanced beta for the investment industry. This initiative is based on all of the research conducted by EDHEC in the area of indices and benchmarks.
EDHEC-Risk Institute EDHEC Risk Institute-Europe EDHEC Risk Institute-Asia
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Press release - Active Allocation and Smart Beta http://hugin.info/157174/R/1887047/667440.docx