Smart Factor Investing and Efficient Harvesting of Risk Premia in Equity Markets

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Smart Factor Investing and Efficient Harvesting of Risk Premia in Equity Markets” Webinar expected early 2018

AGENDA

Dynamic allocation to smart factor indices (15 min) – EDHEC-Risk Institute

– Shortcoming of cap-weighted equity indices
– Emergence of smart factor indices
– Allocating to rewarded risk premia

Practical applications with special focus on added value of dynamic multi-factor strategy allocation (15 min) – CPR Asset Management

– The benefits of factor diversification
– Dynamic multi-factor approach
– Customize efficient and flexible multi-factor solutions

Questions and answers (15 min) – EDHEC-Risk Institute & CPR Asset Management

Wrap-up (5 min) – EDHEC-Risk Institute

– Re-thinking the sources of added value in equity portfolio management: From alpha to beta and from beta to smart beta

– Factor investing: Thoughts for the future

HOSTS

Lionel Martellini is Professor of Finance, EDHEC Business School, Director, EDHEC-Risk Institute. Lionel Martellini is a specialist in fixed income modelling, derivatives, asset allocation and retirement solutions. He was previously on the faculty of the Marshall School of Business at the University of Southern California and has also held a visiting position at Princeton University. He has served as a consultant to various institutional investors, investment banks, and asset management firms on questions related to risk management, asset allocation decisions and investment solutions. His research on asset management, portfolio theory, derivatives valuation, fixed income products, and alternative investment has appeared in leading academic and practitioners’ journals. He was awarded the Inquire Europe First Prize in 2009/2010 for his work on dynamic liability-driven investing strategies. He sits on the editorial boards of various journals including the Journal of Alternative Investments and the Journal of Portfolio Management.

Cyrille Collet, Head of Quantitative Equity Management, began his career, in 1993, at Crédit Agricole Asset Management as fund manager and research analyst in the Quantitative department. He joined ABF Capital management in 2002, as Deputy Head of Investment Management, in charge of European Equities & Equity research, then, in 2003 as Chief Investment Officer. Cyrille Collet joined CPR Asset Management in 2004 (after the merger with ABF Capital Management), as Head of the Equity Team.
Cyrille Collet is a CFA chartered Holder since 2004 and CIIA graduated (French Financial Analyst Association) since 2000. He obtained, in 1992, a post graduate degree in mathematical and finance engineering from the University of Nancy.

TIME

early 2018

REGISTRATIONS

The webinar is complimentary, to participate please visit the dedicated registration website.

SPONSORED BY

This research is supported by CPR Asset Management and by The Association Française de Gestion (AFG) as part of the outreach partnership at EDHEC-Risk Institute on “Risk Management as a Source of Performance”.

The Association Française de la Gestion Financière – AFG (French Asset Management Association) represents and promotes the interests of third-party portfolio management professionals. It brings together all asset management players from the discretionary and collective portfolio management segments. These companies manage nearly €3,800 billion in assets, including €1,800 billion in French funds and approximately €2,000 billion in discretionary portfolios and foreign funds. AFG is an active member of EFAMA and PensionsEurope.

CPR AM is a wholly-owned subsidiary of the Amundi Group, autonomous in its development and management. The company is supported by the leading European asset manager. CPR AM has been able to establish its footprint with its major French an international clients thanks to the combination of its historical know-how and the wealth of its expertise. Designing innovative investment solutions, advising Clients and Partners with transparency and high responsiveness while delivering superior long-term risk-adjusted returns: that it is our commitment. Our Investment expertise spans all principal asset classes, including quantitative and thematic equities, asset allocation, fixed income and credit, money market. Each specialized management team has developed its own approach implementing adapted solutions to client’s needs : institutional, corporate, private banks, insurance companies or IFAs. At the end of June, the company manages more than 43 billion euros.

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.

About EDHEC-Risk Climate Impact Institute

Marking the priority assigned by the School to sustainability issues and building on its research programmes exploring the relationships between climate change and finance, EDHEC-Risk Institute became EDHEC-Risk Climate Impact Institute in October 2022. The Institute's mission is to help private and public decision-makers manage climate-related financial risks and make the best use of the financial tools available to transition to low-emission and climate-resilient economies. The Institute’s research programmes explore the relationships between climate change and finance and our key ambition is to become a leading academic reference point for long-term investors, helping them to manage the asset-pricing implications of climate change as well as mitigation and adaptation efforts.