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Indices & Benchmarking - April 28, 2010

Amundi ETF/EDHEC-Risk Institute European Seminar Series 2010 taking place in Germany, Italy, Switzerland, Netherlands, Luxembourg & Belgium

Recent research drawn from the Amundi ETF "Core-Satellite and ETF Investment" research chair will be jointly presented by Amundi ETF and EDHEC-Risk Institute at a series of seminars organised throughout Europe between April and June, 2010:

  • 28 April - Frankfurt
    08:30 - Breakfast
    CA Cheuvreux/Amundi Frankfurt (German office), Taunusanlage 14, 60325 Frankfurt
  • 28 April - Munich
    16:00 - Group meeting
    Sofitel Munich Bayerpost, Bayerstrasse 12, 80335 Munich
  • 29 April - Hamburg
    08:30 Breakfast
    Renaissance Hamburg Hotel, Große Bleichen, 20354 Hamburg
  • 29 April - Cologne
    16:00 - Group meeting
    Excelsior Hotel Ernst, 5 Trankgasse, 50667 Cologne
  • 12 May - Milan
    11:30 - Presentation, Buffet lunch
    Grand Hotel et de Milan, Via Manzoni 29, 20121 Milan
  • 13 May - Rome
    11:30 - Presentation, Buffet lunch
    Villa Medici, Viale Trinità dei Monti 1, 00187 Rome
  • 19 May - Zurich
    08:00 - Breakfast
    Haus Zum Ruden, Limmatquai 42, 8001 Zurich
  • 19 May - Geneva
    16:00 - Group meeting
    Mandarin Oriental, Quai Turrettini 1, 1201 Geneva
  • 9 June - Amsterdam
    16:00 - Group meeting
    Park Plaza Victoria Amsterdam, Damrak 1-5, 1012 Amsterdam
  • 10 June - Luxembourg
    09:00 - Breakfast
    Le Royal Luxembourg, 12 boulevard Royal, 2449 Luxembourg
  • 10 June - Brussels
    16:00 - Group meeting
    Hotel Amigo, Brussels, Rue de L’Amigo 1-3, 1000 Brussels
Asset managers generally focus on diversification or returns prediction to create added value in portfolios of exchange-traded funds (ETFs). Recent EDHEC-Risk Institute research draws on dynamic risk-budgeting techniques to emphasise the importance of risk management when decisions to allocate to ETFs are made. Absolute return funds, in which the low-risk profiles of government bond ETFs and conditional allocations to riskier equity ETFs can be combined to obtain portfolios that—beyond the natural diversification between stocks and bonds—provide upside potential while protecting investors from downside risk, are an initial application of ETFs to allocation decisions.

A second application is risk control of tactical strategies. Dynamic risk budgeting is used to provide risk-controlled exposure—taking the manager’s forecasts as a given—to an asset class. EDHEC’s research shows that, even if the manager is an excellent forecaster, this approach yields intra-horizon and end-of-horizon risk-control benefits considerably greater than those of standard tactical asset allocation.

The results of this research will be presented at the seminars by Felix Goltz, Head of Applied Research, and Jean-René Giraud, Research Associate, EDHEC-Risk Institute.

The seminar programme may be downloaded here.

Please contact Stéphanie Parenty at sparenty@cheuvreux.com for further information.