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Portfolio Management Global Equity Portfolio Management under State Dependent Multiple Risk Premia 18 December, 2012 - London, United Kingdom
There is now considerable evidence supporting the view that there are sources of return beyond traditional asset classes. Size, value, momentum and low volatility risk premia are regarded as separate, independent sources of excess returns from the equity market premium.

The existence of multiple risk premia means that the capitalisation-weighted portfolio of all stocks (the market portfolio) is no longer efficient. The optimal portfolio should also include exposure to non-market risk premia. If factor returns are independent across countries, investing in a global portfolio of ‘style’ funds should provide considerable efficiency gains for a global equity portfolio.

Investors have long recognised that returns, risk and correlations are different across bull and bear markets. Regime based portfolio management is an attractive alternative to the extremes of either no change or continuous change in the structure of asset returns.

We propose a new investment strategy, beyond the traditional globally diversified equity portfolio, based on investments in a global portfolio of style risk premia in a risk-on, risk-off framework. Our evidence suggests that there are significant costs for investors who fail to:
  1. Pursue an international diversification strategy using sources of return other than the market premium;
  2. Take into account the existence of regimes in portfolio construction and asset allocation.
At a special presentation in London on December 18, 2012, Nikolaos Tessaromatis, PhD, Professor of Finance at EDHEC Business School and Member of EDHEC-Risk Institute, will be presenting his recent research on Global Equity Portfolio Management under State Dependent Multiple Risk Premia.

  • 5:30pm
    Registration (welcome coffee)

  • 6:00pm
    Noël Amenc, Director, EDHEC-Risk Institute

  • 6:15pm
    Presentation: Global Equity Portfolio Management under State Dependent Multiple Risk Premia
    Nikolaos Tessaromatis, PhD Professor of Finance, EDHEC Business School, and Member, EDHEC-Risk Institute
    • Augmenting the global market portfolio with a globally diversified portfolio of size, value and momentum factor funds significantly enhances the efficiency of the market portfolio;
    • Alternative equity index strategies or advanced beta strategies should consider the diversification benefits of harvesting investment premia internationally;
    • Risk-return characteristics of equity and style premia depend on the market regime;
    • There are clear benefits to investors who can identify regimes and build regime-tailored portfolios.

  • 7:15pm
    Question & Answer Session
Event Details
  When   Between 18/12/2012 05:30 PM and 18/12/2012 07:30 PM
Where   EDHEC Risk Institute—Europe, 10 Fleet Place, Ludgate, London EC4M 7RB, United Kingdom
Contact Details
  Name   Séverine Anjubault
E-mail   severine.anjubault@edhec-risk.com
Phone   +33 493 187 863