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Emmanuel Bourdeix

Co-Chief Investment Officer

New Seeyond research paper: "Using risk factors for equity portfolio allocation"

19.01.2016 - Emmanuel Bourdeix

Seeyond, Natixis Asset Management's structured product and volatility management investment division, is pleased to present its latest research publication. Composed by the Quantitative Research and Analysis team, the document highlights the theme of using risk factors in equity portfolio allocation.

“Academic research highlighting new determinants of the equity risk premium was a key element in developing so-called “alternative beta” equity portfolio management styles. Each style draws its essence from the existence of a long-term risk premium related to the underlying factor, such as the value, size or momentum factor.

[…] How should these factors be combined? Should one settle for a static allocation or is it better to dynamise it, and how? These are the issues that we propose to discuss in this research paper.

In the first section, we demonstrate the interest of a risk factor-based allocation. The second section addresses the issue of constructing this allocation. The last section concludes with the issue of the sustainability of this approach in the long run.”

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Click here to watch a video summarizing this research paper

Emmanuel Bourdeix holds an engineering degree from Ecole Nationale des Ponts et Chaussées and a DEA [post-graduate diploma] in probabilities and finance from Université Pierre et Marie Curie.

Emmanuel Bourdeix began his career in 1995 at Dresdner Kleinwort Benson as arbitrage analyst and structurer. In 1998, he joined CAAM where he acted as portfolio manager, then head of convertible bonds and volatility in 2002 and finally head of satellite equity management in 2006. In 2007, he was appointed deputy CEO of equity and diversified management and, at the inception of Amundi, head of equity Europe, world and emerging countries. In 2010, he became CIO equity, asset allocation & structured products of Natixis Asset Management.

Emmanuel Bourdeix is currently member of the executive committee, Co-CIO in charge of the investment divisions Seeyond*, European equities, Investment and client solutions, Global emerging of Natixis Asset Management.