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Risk Control through Dynamic Core-Satellite Portfolios of ETFs: Applications to Absolute Return Funds and Tactical Asset Allocation — January 2010

About EDHEC-Risk Institute

The EDHEC-Risk Institute PhD in Finance The EDHEC-Risk Institute PhD in Finance at EDHEC Business School is designed for professionals who aspire to higher intellectual levels and aim to redefine the investment banking and asset management industries. It is offered in two tracks: a residential track for high-potential graduate students, who hold part-time positions at EDHEC Business School, and an executive track for practitioners who keep their full- time jobs. Drawing its faculty from the world’s best universities and enjoying the support of the research centre with the greatest impact on the European financial industry, the EDHEC-Risk Institute PhD in Finance creates an extraordinary platform for professional development and industry innovation.

The EDHEC-Risk Institute MSc in Risk and Investment Management The EDHEC-Risk Institute Executive MSc in Risk and Investment Management is designed for professionals in the investment management industry who wish to progress, or maintain leadership in their field, and for other finance practitioners who are contemplating lateral moves. It appeals to senior executives, investment and risk managers or advisors, and analysts. This postgraduate programme is designed to be completed in seventeen months of part-time study and is formatted to be compatible with professional schedules.

FTSE EDHEC-Risk Efficient Indices FTSE Group, the award winning global index provider, and EDHEC-Risk Institute launched the first set of FTSE EDHEC- Risk Efficient Indices at the beginning of 2010. Initially offered for the UK, the Eurobloc, the USA, Developed Asia-Pacific ex-Japan, and Japan, the index series aims to capture equity market returns with an improved risk/reward efficiency compared to cap-weighted indices. The weighting of the portfolio of constituents achieves the highest possible return-to-risk efficiency by maximising the Sharpe ratio (the reward of an investment per unit of risk).

EDHEC-Risk Alternative Indexes The different hedge fund indexes available on the market are computed from different data, according to diverse fund selection criteria and index construction methods; they unsurprisingly tell very different stories. Challenged by this heterogeneity, investors cannot rely on competing hedge fund indexes to obtain a “true and fair” view of performance and are at a loss when selecting benchmarks. To address this issue, EDHEC-Risk was the first to launch composite hedge fund strategy indexes as early as 2003.

The 13 EDHEC-Risk Alternative Indexes are published monthly on www.edhec-risk. com and are freely available to managers and investors.

The programme has two tracks: an executive track for practitioners with significant investment management experience and an apprenticeship track for selected high- potential graduate students who have recently joined the industry. The programme is offered in Asia—from Singapore—and in Europe—from London and Nice.

An EDHEC-Risk Institute Publication

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