Accounting for Geographic Exposure in Performance and Risk Reporting for Equity Portfolios

Accounting for Geographic Exposure in Performance and Risk Reporting for Equity Portfolios — March 2015

About the Authors

Noël Amenc is a professor of finance at EDHEC Business School, director of EDHEC-Risk Institute, and chief executive officer of ERI Scientific Beta. He has conducted active research in the fields of quantitative equity management, portfolio performance analysis, and active asset allocation, resulting in numerous academic and practitioner articles and books. He is on the editorial board of the Journal of Portfolio Management and serves as associate editor of the Journal of Alternative Investments and the Journal of Index Investing . He is a member of the Monetary Authority of Singapore Finance Research Council and the Consultative Working Group of the European Securities and Markets Authority Financial Innovation Standing Committee. He co-heads EDHEC-Risk Institute’s research on the regulation of investment management. He holds a master’s in economics and a PhD in finance from the University of Nice. Kumar Gautam is a Quantitative Analyst at ERI Scientific Beta. He does research on portfolio construction, focusing on equity indexing strategies. He has a Master of Science in Finance from EDHEC Business School, France. He has previously worked as a financial journalist with Outlook Money, a finance magazine based in India. Felix Goltz is Head of Applied Research at EDHEC-Risk Institute. He carries out research in empirical finance and asset allocation, with a focus on alternative investments and indexing strategies. His work has appeared in various international academic and practitioner journals and handbooks. He obtained a PhD in finance from the University of Nice Sophia-Antipolis after studying economics and business administration at the University of Bayreuth and EDHEC Business School. Nicolas Gonzalez is a Senior Quantitative Analyst at ERI Scientific Beta. He carries out research on equity and portfolio construction. He holds a MSc in Statistics from the Ecole Nationale de la Statistique et d’Analyse de l’Information (ENSAI) with majors in Financial Engineering and Risk Management as well as a bachelor in Economics and Finance. From 2008 to 2012, Nicolas was a Quantitative Portfolio Manager at State Street Global Advisors on European Equities. Prior to that, he was a Research Analyst at the European Central Bank. Jan-Philip Schade has worked as a Quantitative Analyst for Indices & Benchmarks within the internship programme at EDHEC-Risk Institute, with responsibility for quantitative research, performance analysis and reporting on passive equity investment strategies. His previous professional experience was with Allianz Global Investors and KPMG Advisory. He holds a Masters of Science with honours from the elite graduate programme in Finance and Information Management at Technische Universität Munich and the University of Augsburg.

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An EDHEC-Risk Institute Publication