Scientific Beta

A new book entitled "Risk-Based and Factor Investing" has just been published by Elsevier, containing a compilation of recent articles written by leading academics and practitioners in this field. Noël Amenc, Felix Goltz, Ashish Lodh and Eric Shirbini from ERI Scientific Beta, together with Romain Deguest and Lionel Martellini from EDHEC-Risk Institute, contributed a chapter to the book on the subject of "Designing Multi-Factor Equity Portfolios".

A new book entitled "Risk-Based and Factor Investing" has just been published, containing a compilation of recent articles written by leading academics and practitioners in this field. 

The articles introduce readers to some of the latest, cutting edge research encountered by academics and professionals dealing with risk-based and factor investing solutions. Together, the authors detail both alternative non-return based portfolio construction techniques and investing style risk premia strategies. 

Each chapter deals with new methods of building strategic and tactical risk-based portfolios, constructing and combining systematic factor strategies and assessing the related rules-based investment performances. 

Noël Amenc, Felix Goltz, Ashish Lodh and Eric Shirbini from ERI Scientific Beta, together with Romain Deguest and Lionel Martellini from EDHEC-Risk Institute, contributed a chapter to the book entitled, "Designing Multi-Factor Equity Portfolios", which examines the following topics:

• Designing efficient and investable proxies for risk premia
• Risk allocation with smart factor indices
• Absolute return perspective: Absolute risk management without factor risk exposure constraints; Introducing risk-budgeting constraints; Long-term evidence in the USA universe
• Relative risk perspective: Methodology; Risk contributions and performance; Relative risk allocation using long-term USA factor indices
• Index design and allocation decisions for multi-factor equity portfolios