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 application with special focus on added value of dynamic multi-factors strategies allocation (15 min) – CPR Asset Management
– The benefits of factor diversification
– CPR AM 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
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.
Head of Quantitative Equity Management.
Cyrille Collet, 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.
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