EDHEC: Risk Allocation Strategies Applied To Alternative Risk Factors Could Be More Relevant Than Hedge Fund Replication For Harvesting Alternative Risk Premia

In a new study entitled “Factor Investing and Risk Allocation: From Traditional to Alternative Risk Premia Harvesting”, drawn from the Lyxor Asset Management research chair on “Risk Allocation Solutions”, EDHEC-Risk extends the analysis of factor investing beyond traditional factors and seeks to investigate what the best possible approach is for harvesting alternative long short-risk premia.