Mar. 01, 2016
Speaker : Gianluca Oderda , Ph.D.,CFA Head of Quantitative Investments, Ersel Asset Management SGR
This research paper investigates the possibility of building a “portable smart beta” program based on a properly chosen selection of smart beta indices. Analogously to a “portable alpha” program, where the objective is to extract skill (“alpha” in finance community jargon) from a portfolio of actively managed investment strategies, in a “portable smart beta” program we aim to extract a combination of alternative risk premiums from a set of chosen smart beta indices.
We show that, subject to the definition of a volatility-control policy and of a simple timing algorithm, the performance differential between a properly defined portfolio of STOXX smart beta indices and the corresponding portfolio of cap-weighted indices may provide a very interesting investment opportunity, offering high standards of transparency and liquidity as well as low implementation costs.
Read: STOXX® Index-Based Risk-Controlled Portable Smart Beta Strategies
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