Factor-Based v. Industry-Based Asset Allocation: The Contest

Event Description : 

Factor investing has emerged as the new paradigm for long-term investment. Applied to equities, factor investing is probably the most serious contender to the classical industry-based approach to asset allocation.

This conference will cover an innovative quantitative approach developped by Marie Brière, Head of Investor Research Center at Amundi. The paper published in March 2016 has been widely commented and cover the following: .

1) Are the excess returns of factor investing offset by higher risks, and if so, are factor-specific risks eliminable by means of factor diversification?

2) How does factor investing perform during crisis times?

Results suggest that this form of investing is the best strategy when short sales are permitted. It also outperforms industry-based allocation during expansion and bull periods. In contrast, sector investing offers defensive opportunities to asset managers since it delivers better risk-return trade-offs for long-only portfolios during recessions and bear periods.  Overall, factor investing keeps its promises, but it still has a long way to go before it can oust sector investing. Join us to hear more abut this research and the future of Asset Allocation.

Please note: this event will be held in French. Questions in English are welcome.

Speaker :

Marie Brière is head of the Investor Research Center at Amundi. She is also an affiliate professor at Paris Dauphine University and an associate researcher at the Centre Emile Bernheim at Solvay Brussels School of Economics & Management.  She is also the managing editor of the academic journal Bankers, Markets & Investors.  Dr. Brière began her career as a quantitative researcher at the proprietary trading desk at BNP Paribas. She also served as a fixed-income strategist at Crédit Lyonnais Asset Management and as head of fixed income, foreign exchange, and volatility strategy at Crédit Agricole Asset Management. 

Her scientific articles have been published in international academic journals including the Financial Analyst Journal, Journal of Banking and Finance, Journal of International Money and Finance, etc.  She received the Markowitz award for her article with Zvi Bodie on “Sovereign Wealth and Risk Management”, published in the Journal of Investment Management.  She holds a PhD in economics from University Paris X and graduated from ENSAE.

 

 

For more informations :  events@cfafrance.org