Portfolios - EDHEC-Risk

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Managing Investments t in Alternative ti Indices • Once regarded as exotic curiosities, non CW equity indices have now made it into the mainstream. • This acceptance raises a new set of questions, and one may expect that adopting these non CW indices as benchmarks should require at least as much attention as investing in active managers. • Investors face in particular the following challenges: – Selecting alternative indices (vs. managers): in search for robustness – ad-hoc schemes versus schemes consistent with portfolio theory; – Diversifying alternative indices (vs. managers): different schemes perform differently in different market conditions; – Managing tracking error of alternative indices (vs. managers): diversification is not effective at managing extreme relative risk.
Outline • Alternatives to Cap-Weighted Indices • Diversifying the Diversifiers • Tracking the Tracking Error 5
Page 2 and 3: EDHEC-Risk Days 2012 London, March
Page 6 and 7: • Alternatives to Cap-Weighted In
Page 8 and 9: Indices versus Benchmarks • The w
Page 10 and 11: Fundamental Weighting for Represent
Page 12 and 13: Scientific Approaches: Towards the
Page 14 and 15: Implementing the Diversifiers • E
Page 16 and 17: Giving Up Smartly - MSR • How to
Page 18 and 19: Ad-Hoc Approaches: Maximum Diversif
Page 20 and 21: Selection Risk - Relative Returns
Page 22 and 23: Diversifying the Diversifiers - Lon
Page 24 and 25: Tracking Error Across Market Condit
Page 26 and 27: • Alternatives to Cap-Weighted In
Page 28 and 29: Tracking Error Constraints • If w
Page 30 and 31: What Separation Theorems Say and Do
Page 32 and 33: Impact of Relative Risk Control Pan

Portfolios - EDHEC-Risk

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