EDHEC-Risk Concept Industry Analysis Featured Analysis Latest EDHEC-Risk Surveys Features Interviews Indexes and Benchmarking FTSE EDHEC-Risk Efficient Index Series FTSE EDHEC-Risk ERAFP SRI Index EDHEC-Risk Alternative Indexes EDHEC-Risk IEIF Commercial Property Indices Hedge Fund Index Research Equity Index Research Amundi ETF "Core-Satellite and ETF Investment" Research Chair EDHEC-Risk Institute Solvency II Benchmarks Performance and Risk Reporting Hedge Fund Performance EuroPerformance/EDHEC-Risk Institute Style Ratings Performance Measurement for Traditional Investment CACEIS "New Frontiers in Risk Assessment and Performance Reporting" Research Chair Asset Allocation and Alternative Diversification Real Assets Meridiam Infrastructure/Campbell Lutyens "Infrastructure Equity Investment Management and Benchmarking" Research Chair Natixis "Investment and Governance Characteristics of Infrastructure Debt Instruments" Research Chair Newedge "Advanced Modelling for Alternative Investments" Research Chair CME Group "Exploring the Commodity Futures Risk Premium: Implications for Asset Allocation and Regulation" Strategic Research Project Asset Allocation and Derivative Instruments Eurex "The Benefits of Volatility Derivatives in Equity Portfolio Management" Strategic Research Project SGCIB "Structured Investment Strategies" Research ALM and Asset Allocation Solutions ALM and Private Wealth Management AXA Investment Managers "Regulation and Institutional Investment" Research Chair BNP Paribas Investment Partners "ALM and Institutional Investment Management" Research Chair Deutsche Bank "Asset-Liability Management Techniques for Sovereign Wealth Fund Management" Research Chair Ontario Teachers' Pension Plan "Advanced Investment Solutions for Liability Hedging for Inflation Risk" Research Chair Rothschild & Cie "The Case for Inflation-Linked Corporate Bonds: Issuers' and Investors' Perspectives" Research Chair Russell Investments "Solvency II" Research Chair Non-Financial Risks, Regulation and Innovations Best Execution: MiFID and TCA Mitigating Hedge Funds Operational Risks FBF "Innovations and Regulations in Investment Banking" Research Chair EDHEC-Risk Publications All EDHEC-Risk Publications EDHEC-Risk Position Papers IPE EDHEC-Risk Institute Research Insights Books EDHEC-Risk Newsletter Events Events organised by EDHEC-Risk Institute "Investing in Smart Beta" European Seminar Series: Munich (24th) May, Frankfurt (14th), Vienna (28th) June 2013 "Investing in Smart Beta" European Seminar Series: Stockholm (17th), Oslo (18th), Helsinki (19th) June 2013 "Investing in Smart Beta" European Seminar Series: Zurich (4th) July 2013 "Investing in Smart Beta" European Seminar Series: London (10th) July 2013 EDHEC-Risk Days North America 2013, New York, 8-9 October, 2013 Events involving EDHEC-Risk Institute's participation EDHEC-Risk Institute Presentation Research Programmes Research Chairs and Strategic Research Projects Partnership International Advisory Board Team EDHEC-Risk News EDHEC-Risk Newsletter EDHEC-Risk Press Releases EDHEC-Risk in the Press Careers EDHEC Risk Institute-Asia EDHEC Business School EDHEC-Risk Executive Education EDHEC-Risk Institute PhD in Finance Investment Management Seminars Advanced Commodity Investment Seminar, New York, 29-30 May, 2013 CFA Institute/EDHEC-Risk Advances in Asset Allocation Seminar, London, 4-6 June, 2013 CFA Institute/EDHEC-Risk Advances in Asset Allocation Seminar, New York, 16-18 July, 2013 Execution and Trading on Equity Markets - The New Landscape Seminar, Singapore, 31 July, 2013 Contact EDHEC-Risk Executive Education Contact Us ERI Scientific Beta
    Benchmarks: the false promises of governance    

In the context of the ongoing regulatory debate on financial benchmarks and the recent consultations by the International Organisation of Securities Commissions (IOSCO) and the European Securities and Markets Authority (ESMA)/European Banking Authority (EBA), EDHEC-Risk Institute wishes to underline that transparency is both crucial to allowing users to assess the risks, relevance and suitability of indices and the most powerful tool to mitigate conflicts of

interests existing across the indexing industry. EDHEC-Risk Institute is concerned that discussions pertaining to define an “adequate level of transparency” and balance the needs of index users with the purported necessities of confidentiality or intellectual property protection may result in a framework that falls short of providing users with the information they need to discharge their due diligence responsibilities (at a reasonable cost or at all). More...

    
 
Industry Analysis
Indices & Benchmarks
Smart Beta 2.0
EDHEC-Risk Institute is seeking to draw the attention of investors to the risks of traditional smart beta equity indices and propose a new approach to smart beta investing to take account of these risks. This new approach, referred to as “Smart Beta 2.0,” enables investors to measure and control the risks of their benchmark and revolutionises the offerings of advanced equity benchmarks. Smart Beta 1.0 indices present systematic and specific risks that are neither documented nor explicitly controlled by their promoters. This inadequate level of information and of risk management calls into question the robustness of the performance presented and implies considerable risk-taking that is not controlled by investors when they choose new equity benchmarks.  More...
Risk and Asset Management Research
EDHEC-Risk Institute Research Insights - IPE Supplement Winter 2013
In 2004, EDHEC-Risk Institute introduced a new type of conference aiming to bring research insights to investment professionals. These events present the research done by EDHEC-Risk Institute and discuss it with the investment community. In 2012, the institute exported its conference concept to Asia in order to give Asia-based finance professionals easier access to state-of-the-art research in investment and risk management and to establish a dialogue around research results with particular relevance to investors and institutions in Asia. More...
EDHEC-Risk News
Asset Management Education
PhD in Finance Asian chapter 2014 electives unveiled
Finance professionals participating in the EDHEC-Risk Institute PhD in Finance programme will have access to a wide choice of electives in 2013 and 2014, during which some of the world’s leading specialists will present their latest research advances in specific fields from "Private Equity","Microstructure" and "Empirical Option Pricing" to "Long-Run Risks in Asset Prices" and "Advances in Modelling and Data Science".  More...
EDHEC-Risk Publications
Asset Pricing
Asset Prices with Heterogeneity in Preferences and Beliefs
Harjoat S. Bhamra, Raman Uppal This paper studies asset prices in a dynamic, continuous-time, general-equilibrium endowment economy where agents have power utility and differ with respect to both beliefs and their preference parameters for time discount and risk aversion. It solves in closed form for the following quantities: optimal consumption and portfolio policies of individual agents; the riskless interest rate and market price of risk; the stock price, equity risk premium, and volatility of stock returns; and, the term structure of interest rates. More...
 
Interviews
   Smart Beta 2.0 - an interview with Noël Amenc  
   
  On the occasion of the publication of its Smart Beta 2.0 research, EDHEC-Risk Institute wishes to draw the attention of investors to sound management of the risks of investing in smart beta indices. In this interview with Noël Amenc, Professor of Finance, Director of EDHEC-Risk Institute, CEO of ERI Scientific Beta and co-author of the Smart Beta 2.0 position paper, Professor Amenc discusses the nature of the smart beta market, the risks of smart beta strategies and how they can be controlled, the principles of the Smart Beta 2.0 approach, and the application of the smart beta concepts to the fixed-income universe. More...  
Features 
 
Assessing the Quality of Asian Stock Market Indices
There has been increasing demand for equity indices in Asia. This is because global investors want to benefit from the region’s growth, and consequently from its financial markets. As a lot of US and Europe based investors do not have the expertise to conduct stock picking in Asia, equity investments are often passive for Asian oriented portfolios. Therefore, the question of index quality in Asia is an important issue. We address the question in this study by focusing on the following three aspects: (i) efficiency; (ii) concentration; and (iii) stability. From the study, it appears that the popular indices used in Asia as reference benchmarks are inefficient, with some of them being more so than others. For all of them, an equal-weighted index constructed from the same components outperforms the corresponding cap-weighted market index. The levels of inefficiency of Asian market indices were found to be quite comparable to those of European and US indices. More...
Industry Analysis
Academic Research
Is the crisis financial?
It has become fashionable to blame the financial industry for its alleged role in the current crisis. It is certainly true that high-flying bankers, who often arrogantly flaunt their large bonuses, are the perfect scapegoats. However, with the facts at hand, this search for an ideal culprit is perhaps a bit too simple to be fair. In the present article, we review several issues over the past five years in which political expedience seems to have taken precedence over scientific facts. More...
Investment Management
Stock market foundations cracking
Stock markets developed centuries ago to channel savings into growth and development. Recent disturbing trends suggest that western stock markets are failing on the two fronts of primary capital-raising and providing reasonable secondary market liquidity for the most important and dynamic small company sector of the economy. More...
Institutional Investment
Improving risk management in DC and hybrid pension plans
This short paper highlights the key conclusions of Amenc et al. (2012) regarding the best practices for managing risks in defined-contribution (DC) and hybrid plans. Pension funds can be described, according to Sender (2012), based on their degree of hybridity between the pure defined-contribution (DC) and pure defined-benefit (DB) systems. In a DC scheme, each member owns a certain number of units in a fund; for a given member, the market value of his or her pension is the number of units times the net asset value per unit. More...
Commodities
Lessons from history on commodity futures trading controversies
Public scrutiny of, and skepticism about, commodity futures markets has had a long tradition in both the United States and in Continental Europe, dating back to (at least) the last great era of globalization in the 1890’s. Over the past 120 years, two determinations have historically prevented futures trading from generally being heavily restricted. The first supportive determination has been a general (although not unanimous) recognition by policymakers that futures markets serve a legitimate economic purpose.  More...
EDHEC-Risk News
Executive Education
Seminar on execution and trading on equity markets to be held in Singapore in July
EDHEC-Risk Institute will be presenting a seminar entitled "Execution and Trading on Equity Markets – The New Landscape" in Singapore on 31 July 2013. The programme is intended for buy-side and sell-side investment professionals who advise on or participate in the design and implementation of execution and trading strategies. It is also relevant for practitioners working in financial regulation, supervision, and enforcement. More...
Awards
EDHEC-Risk Institute receives special commendation at the 8th Annual Funds Europe Awards 2012
EDHEC-Risk Institute is pleased to announce that it was honoured with a "Highly Commended" distinction in the European Thought Leadership category at the Funds Europe Awards 2012, the winners of which were announced at a ceremony held at The Tower of London on 29 November, 2012. The Institute was the only organisation to receive a special commendation for the excellence of its work at the event.  More...
Asset Management Education
PhD in Finance Candidates to Present at EDHEC-Risk Days
Organised for the benefit of professionals, the EDHEC-Risk Days present the research conducted by EDHEC-Risk Institute and discuss its implications and applications with the institutional investor and fund manager communities. As part of these conferences, which are attended by hundreds of practitioners in London, Singapore and New York, sponsored by leading financial institutions, the PhD forum provides EDHEC-Risk Institute PhD in Finance candidates with the opportunity to join the speaker faculty and discuss their dissertation work with the industry.  More...
Asset Management Education
2013/2014 electives for the PhD in Finance European chapter unveiled
Finance professionals participating in the EDHEC-Risk Institute PhD in Finance programme will have access to a wide choice of electives in 2013 and 2014, during which some of the world’s leading specialists will present their latest research advances in specific fields from behavioural finance and volatility modelling to high frequency financial econometrics, and from estimation of continuous-time models to Markov switching models.  More...
EDHEC-Risk Publications
Business Analysis
Inferring the Value of Intangible Assets
Georgios Angelopoulos, Daniel Giamouridis, Orestes Vlismas This paper examines whether financial statement analysis can be effective in inferring the intangible value of firms. It measures the intangible value by means of a firm’s Intellectual Capital, which encompasses the intangible assets and the organizational knowledge of a firm that are not reported directly by financial statements. Our analysis decomposes Intellectual Capital into its three primary components: Human Capital, Structural Capital, and Relational Capital.  More...
Performance
The Alpha of a Market Timer
Georges Hübner Portfolio managers claim to be able to generate abnormal returns through either superior asset selection or market timing. The Treynor and Mazuy (TM) model is the most used return-based approach to isolate market timing skills, but all existing corrections of the regression intercept can be manipulated by a manager who can trade derivatives. This paper revisits the TM model by applying the original option replication approach proposed by Merton. It exploits both the linear and the quadratic coefficients of the TM regression to assess the replicating cost of the cheapest option portfolio with the same convexity. The application of the new correction on two samples of market timing funds delivers particularly encouraging empirical results.  More...
Indexes and Benchmarking
The Risks of Volatility ETNs: A Recent Incident and Underlying Issues
Felix Goltz, Stoyan Stoyanov Getting volatility exposure has become easier for investors after the relatively recent introduction of volatility ETNs (exchange-traded notes) and volatility ETFs (exchange-traded funds) and some of these products have enjoyed a surge in popularity. This paper uses the recent crisis with TVIX – a volatility ETN – to underline important differences between ETNs and ETFs which appear to be at the source of the observed market distortion.  More...
Institutional Investment
Towards Better Consideration of Pension Liabilities in European Union Countries
François Cocquemas The goal of this study is to provide a broad picture of explicit and implicit pension liabilities in the EU-27 countries’ pension systems, together with an assessment of the risks each of them face. As structural deficits become a target in the Eurozone and beyond, it is fundamental to evaluate the extent to which the increasing funding needs, and the decreasing funding basis of public pensions, could add to public deficits.  More...

Top