RT Journal Article
SR Electronic
T1 Practical Applications of New Frontiers in Risk and Asset Allocation
JF Practical Applications
FD Institutional Investor Journals
SP 1
OP 3
DO 10.3905/cfa.2014.1.004
VO 1
IS CFA
A1 Lionel Martellini
A1 Cathy Scott
YR 2014
UL https://pm-research.com/content/1/CFA/1.4.abstract
AB New Frontiers in Risk and Asset Allocation Lionel Martellini In a bid to diversify portfolio holdings, pension funds have focused on investing in new asset classes and categories since the global financial crisis. Unfortunately, this well-meaning diversification effort has been misplaced, because it emphasizes standard asset class decomposition, according to Lionel Martellini, Scientific Director at EDHEC-Risk Institute .He urged delegates to the 67th CFA Institute Annual Conference to shift to rewarded risk factors as the driver of their allocation decisions. In the equity space, the current smart beta investment approaches only provide a partial answer to the main shortcomings of cap-weighted indices, Martellini cautioned, promoting an alternative he calls smart factor investing.This Practical Applications report details the main elements of Martellini’s conference presentation and previews upcoming research in the Summer 2014 issue of The Journal of Portfolio Management .