What is the best possible approach for harvesting alternative long short-risk premia?
(Thomson Reuters ONE) -
Risk allocation strategies applied to alternative risk factors could be more
relevant than hedge fund replication for harvesting alternative risk premia
In a new study entitled "Factor Investing and Risk Allocation: From Traditional
to Alternative Risk Premia Harvesting", drawn from the Lyxor Asset Management
research chair on "Risk Allocation Solutions", EDHEC-Risk extends the analysis
of factor investing beyond traditional factors and seeks to investigate what the
best possible approach is for harvesting alternative long short-risk premia.
There is a growing interest amongst sophisticated institutional investors in
factor investing. It is now well accepted that the average long-term performance
of active mutual fund managers can, to a large extent, be replicated through a
static exposure to traditional factors, which implies that traditional long-only
risk premia can be most efficiently harvested in a passive manner.
By looking beyond traditional factors, this research does indeed identify other
strategies that serve to harvest alternative risk premia. While the replication
of hedge fund factor exposure appears to be a very attractive concept, the
authors find that hedge fund replication strategies achieve in general a
relatively low out-of-sample explanatory power, regardless of the set of factors
and the methodologies used. Their results also suggest that risk parity
strategies applied to alternative risk factors could be a better alternative
than hedge fund replication for harvesting alternative risk premia in an
efficient way.
A key challenge for the alternative investment industry remains the capacity to
develop investable efficient low-cost proxies for harvesting alternative risk
premia not only in equity markets but also in the fixed income, currencies and
commodity markets.
Commenting on this study, Thierry Roncalli, Head of Research & Development at
Lyxor Asset Management, said: "The results of EDHEC-Risk Institute question the
role of alternative risk premia in a low or negative interest rate environment.
We already knew them as diversification assets, but this study shows that they
are potential candidates as performance assets. Therefore, this research opens a
door for reconsidering the traditional equity/bond asset mix policy."
A copy of "Factor Investing and Risk Allocation: From Traditional to Alternative
Risk Premia Harvesting" can be downloaded via the following link:
EDHEC Publication Factor Investing and Risk Allocation: From Traditional to
Alternative Risk Premia Harvesting
This research was supported by Lyxor Asset Management as part of the research
chair at EDHEC-Risk Institute on "Risk Allocations Solutions". This chair aims
to develop academic insights that can be used towards the design of high-
performance multi-asset investment solutions, based on specific investor needs.
Contact:
For more information, please contact: Maud Gauchon
Tel.: +33 493 187 887 - E-mail: maud.gauchon(at)edhec-risk.com
To visit our web site: www.edhec-risk.com
About Lyxor
Lyxor Asset Management - The Expert in all modern investment techniques
Lyxor Asset Management, a subsidiary of Société Générale Group, was founded in
1998 and counts 600 professionals worldwide managing US$ 127.9bn* of assets.
Lyxor customizes active investment solutions as the expert in all modern
investment techniques: ETFs & Indexing, Alternative, Structured, Active
Quantitative & Specialized investments. Supported by strong research teams and
leading innovation capabilities, Lyxor's investment specialists strive to
optimize performance and risks across all asset classes.
Experience driven by acknowledged research
Recognized in the industry and among academics alike for its research in
macroeconomics, quantitative and alternative investments, Lyxor is also known
for the publication of proprietary portfolio management models and white papers,
which have been widely referenced in the most important financial research
publications. The close synergies established between portfolio managers and
Lyxor's independent research department allow for the development of reliable
and innovative investment solutions in each of Lyxor's areas of expertise.
Advanced risk management culture
Alternative, ETFs & Indexing, structured, active quantitative & specialized
investments, Lyxor's investment solutions all have to address risk issues.
Lyxor's ability to offer transparent and sustainable sources of performance
results from its established experience in risk management. The Risk Department
thus ensures independent risk monitoring throughout the entire lifecycle of all
investments relying on rigorous portfolio management processes and constant
monitoring.
* USD 127.9 bn - Equivalent to EUR 116.3 bn - Assets under management and
advisory as of May 31st, 2015.
About EDHEC-Risk Institute
Since 2001, EDHEC Business School has been pursuing an ambitious policy in terms
of practically relevant academic 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 EDHEC-Risk Institute, which has developed an
ambitious portfolio of research and educational initiatives in the domain of
investment solutions for institutional and individual investors.
This institute now boasts a team of close to 50 permanent professors, engineers
and support staff, as well as 38 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.
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 global conferences.
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 70,000 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 quarterly newsletter is distributed
to more than 200,000 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.
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 asset-liability
management for institutions and individuals, and with Yale School of Management
to set up joint certified executive training courses in North America and Europe
in the area of risk and investment management.
As part of its policy of transferring know-how to the industry, EDHEC-Risk
Institute has set up ERI Scientific Beta. ERI Scientific Beta is an original
initiative which aims to favour the adoption of the latest advances in smart
beta design and implementation by the whole investment industry. Its academic
origin provides the foundation for its strategy: offer, in the best economic
conditions possible, the smart beta solutions that are most proven
scientifically with full transparency of both the methods and the associated
risks.
EDHEC-Risk Institute EDHEC Risk Institute-
Europe EDHEC Risk Institute-Asia
393 promenade des Anglais 10 Fleet Place,
Ludgate 1 George Street
BP 3116 - 06202 Nice Cedex 3 London EC4M 7RB
#07-02
France United
Kingdom Singapore 049145
Tel: +33 493 187 824 Tel:
+44 207 871 6740 Tel: +65 64380030
EDHEC Risk Institute-France
16-18 rue du 4 septembre
75002 Paris
France
Tel: +33 153 327 630
www.edhec-risk.com
Risk_Allocation_EDHECRisk_Lyxor:
http://hugin.info/157174/R/2022177/751303.docx
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Source: EDHEC-Risk Institute via GlobeNewswire
[HUG#2022177]
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Datum: 21.06.2016 - 15:12 Uhr
Sprache: Deutsch
News-ID 479110
Anzahl Zeichen: 10535
contact information:
Town:
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Kategorie:
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