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• Alternatives to Cap-Weighted Indices • Diversifying the Diversifiers • Tracking the Tracking Error 6
Comparing Alternatives • A (non-exhaustive) list of recently implemented alternative weighting schemes : – Equally-weighted – Fundamentally-weighted – Maximum-diversification-weighted – <strong>Risk</strong>-parity-weighted it i – Diversity-weighted – Minimum-variance-weighted – Efficient-weighted • As opposed to focusing on past performance (track records -by definition- all look pretty good), we provide a summary of the objectives of, and assumptions behind, the various approaches. 7
Page 2 and 3: EDHEC-Risk Days 2012 London, March
Page 4 and 5: Managing Investments t in Alternati
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

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