19 January 2016
New research paper available: "Using risk factors for equity portfolio allocation"
Seeyond is pleased to present its latest research publication. Composed by the Quantitative Research and Analysis team, the document highlights the theme of using risk factors in equity portfolio allocation.
“Academic research highlighting new determinants of the equity risk premium was a key element in developing so-called “alternative beta” equity portfolio management styles. Each style draws its essence from the existence of a long-term risk premium related to the underlying factor, such as the value, size or momentum factor.
[…] How should these factors be combined? Should one settle for a static allocation or is it better to dynamise it, and how? These are the issues that we propose to discuss in this research paper.
In the first section, we demonstrate the interest of a risk factor-based allocation. The second section addresses the issue of constructing this allocation. The last section concludes with the issue of the sustainability of this approach in the long run.”