Research and publications
Absolute returns in wealth management: implementing risk controlled strategies
The first few years of the 2000s have been characterized by a magnified and explicit return to the investment approach that is now widely known as ‘absolute return.’ In this article, we discuss the practical steps to implement an absolute return strategy in equity markets, by first unbundling alpha from beta in the portfolio, then optimising the beta component by choosing the most efficient index tracking method, and finally applying the most appropriate dynamic risk budgeting technique to the indexation. This paper was published in the April 2006 issue of the Journal of Financial Transformation.
Author(s):
Francois-Serge Lhabitant, Denis Mirlesse, Michel Chardon
Summary:
The first few years of the 2000s have been characterized by a magnified and explicit return to the investment approach that is now widely known as ‘absolute return.’ In this article, we discuss the practical steps to implement an absolute return strategy in equity markets, by first unbundling alpha from beta in the portfolio, then optimising the beta component by choosing the most efficient index tracking method, and finally applying the most appropriate dynamic risk budgeting technique to the indexation. This paper was published in the April 2006 issue of the Journal of Financial Transformation.| Type : | Industry Publication |
|---|---|
| Date : | 05/04/2006 |
| Keywords : | Wealth Management |
About EDHEC
Operating from campuses in Lille, Nice, Paris, London and Singapore, EDHEC is one of the world’s top 15 business schools. Fully international and directly connected to the business world, EDHEC commands a strong reputation for research excellence and the ability to train entrepreneurs and managers capable of breaking new ground. EDHEC functions as a genuine laboratory of ideas and produces innovative solutions valued by businesses. The School’s teaching is inspired by its research work and a focus on “learning by doing”, all with the aim of equipping people with the skills to succeed in business.
