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For more than 50 years, the investment industry has mostly focused on security selection as the main source of added value. This focus on security selection has somewhat distracted the industry from another key source of added value, namely asset allocation decisions. In the face of recent crises, and given the intrinsic difficulty of delivering added value through security selection decisions alone, the relevance of the old paradigm has been questioned with heightened intensity, and a new paradigm is starting to emerge where asset allocation decisions appear as the main source of added value from the investment industry.

The ambition of this research programme is to develop new academic insights that can be used to design improved forms of asset allocation solutions. The core challenge in the design of such asset allocation solutions is essentially to find optimal ways of spending dollar and risk budgets that investors are reluctantly willing to set, with a focus on allowing the greatest possible access to performance potential while respecting said budgets. This programme has benefitted from the support of Lyxor Asset Management for research on dynamic forms of risk parity strategies, as well as the efficient harvesting of alternative risk premia across asset classes.

Stock Market Dispersion, the Business Cycle and Expected Factor Returns


Timotheos Angelidis, Athanasios Sakkas, Nikolaos Tessaromatis

Keynes Meets Markowitz: The Trade-off Between Familiarity and Diversification


Phelim Boyle, Lorenzo Garlappi, Raman Uppal, Tan Wang

Risk Parity - Rewards Risks and Research Opportunities


Barry Schachter, S. Ramu Thiagarajan

Low-Cost Momentum Strategies


Xiafei Li, Chris Brooks, Joëlle Miffre

EDHEC European Investment Practices Survey 2008


Noël Amenc, Felix Goltz, Véronique Le Sourd, Lionel Martellini

Some Insiders Are Indeed Smart Investors


Daniel Giamouridis, Manolis Liodakis, Andrew Moniz

Desperately Seeking Pure Style Indexes


Noël Amenc, Robert Faff, Lionel Martellini

Tactical Style Allocation - A New Form of Market Neutral Strategy


Noël Amenc, Philippe Malaise, Lionel Martellini, Daphne Sfeir

Tactical Asset Allocation


Lionel Martellini, Daphné Sfeir

Asset Allocation


Noël Amenc, Lionel Martellini

An Integrated Framework for Style Analysis and Performance Measurement


Noël Amenc, Daphne Sfeir, Lionel Martellini

It's Time for Asset Allocation


Noël Amenc, Lionel Martellini