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 IEIF Quarterly Commercial Property Index (France) Hedge Fund Index Research Equity Index Research Amundi ETF, Indexing & Smart Beta "ETF and Passive Investment Strategies" Research Chair Rothschild & Cie "Active Allocation to Smart Factor Indices" Research Chair Index Regulation and Transparency ERI Scientific Beta Performance and Risk Reporting Hedge Fund Performance 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 Société Générale Prime Services (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 Volatility Research 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 Lyxor "Risk Allocation Solutions" Research Chair Merrill Lynch Wealth Management "Risk Allocation Framework for Goal-Driven Investing Strategies" Research Chair Ontario Teachers' Pension Plan "Advanced Investment Solutions for Liability Hedging for Inflation Risk" Research Chair Non-Financial Risks, Regulation and Innovations Risk and Regulation in the European Fund Management Industry Index Regulation and Transparency 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 AsianInvestor EDHEC-Risk Institute Research Insights P&I EDHEC-Risk Institute Research for Institutional Money Management Books EDHEC-Risk Newsletter Events Events organised by EDHEC-Risk Institute JOIM-Oxford-EDHEC Retirement Investing Conference, Oxford, 11-13 September, 2016 Events involving EDHEC-Risk Institute's participation EDHEC-Risk Institute Presentation Research Programmes Research Chairs and Strategic and Private 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 Yale School of Management - EDHEC-Risk Institute Certificate in Risk and Investment Management Yale SOM-EDHEC-Risk Harvesting Risk Premia in Alternative Asset Classes and Investment Strategies Seminar, London, 27-29 June, 2016 Yale SOM-EDHEC-Risk Harvesting Risk Premia in Alternative Asset Classes and Investment Strategies Seminar, New Haven, 11-13 July, 2016 Investment Management Seminars CFA Institute/EDHEC-Risk Advances in Asset Allocation Seminar, New York, 13-15 July, 2016 Contact EDHEC-Risk Executive Education Contact Us ERI Scientific Beta EDHEC PhD in Finance
    Insights from the EDHEC European ETF Survey    

EDHEC-Risk Institute conducted its 9th survey of European investment professionals about the usage and perceptions of ETFs at the end of 2015, as part of the Amundi ETF, Indexing & Smart Beta research chair at EDHEC-Risk Institute on “ETF and Passive Investment Strategies”. The aim of this study is to analyse the usage of exchange-traded funds (ETFs) in investment management and to give a detailed account

of the current perceptions and practices of European investors in ETFs. There are a number of studies on the ETF industry in Europe. A key advantage of employing a survey methodology is that we obtain direct information from market participants, not only about the instruments they currently use, but also how these instruments fit into their overall investment process, and how they are evaluated. More...

Industry Analysis
Risk and Asset Management Research
EDHEC Research Insights - IPE Supplement Spring 2016
The spring 2016 issue of the Research Insights supplement to Investment & Pensions Europe is an ‘EDHEC-Risk Days Special’ that ties in with the flagship conference presented by EDHEC-Risk Institute in London in March 2016. We compare different approaches to the design of factor indices in the equity space, notably concentrated indices and more diversified indices. We analyse broader and more narrow stock selections, as well as two different weighting schemes – equal-weighting and cap-weighting. Overall, it appears that concentrated factor tilts lead to implementation challenges that are not compensated by better risk-adjusted returns.  More...
Indices & Benchmarks
Enhancement of Asset Liability Management with Smart Beta Analysis
Professor Lionel Martellini outlined, in a presentation at the EDHEC-Risk Days 2016 conference, how pension funds could increase their liability hedging without sacrificing investment performance. Normally, there is a trade-off between these two different objectives. These are catered for by the establishment of two separate portfolios, the liability hedging portfolio (LHP) and the performance-seeking portfolio (PSP), as prescribed by academic theory and are respectively designed to achieve the aims of liability hedging and optimal investment performance.  More...
EDHEC-Risk News
Executive Education
Insight from 3 world-class thought leaders on Harvesting Risk Premia in Equity and Bond Markets seminar, in partnership with Yale School of Management
Investment portfolios are based on the idea that risk must be taken in order to increase expected returns. However, there are intelligent ways to take risk. Participants will learn about how to use current models and empirical evidence about global capital markets to construct asset portfolios based on the principles of factor investing, with a particular focus on equity and bond markets.  More...
EDHEC-Risk Publications
The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium Analysis
Adrian Buss, Bernard Dumas, Raman Uppal, Grigory Vilkov In a production economy with trade in financial markets motivated by the desire to share labor-income risk and to speculate, this paper shows that speculation increases volatility of asset returns and investment growth, increases the equity risk premium, and reduces welfare. Regulatory measures, such as constraints on stock positions, borrowing constraints, and the Tobin tax have similar effects on financial and macroeconomic variables.  More...
   JOIM-Oxford-EDHEC Retirement Investing Conference  
  The JOIM-Oxford-EDHEC Retirement Investing Conference will be held on 11, 12 and 13 September 2016 on the Oxford University Campus. In this month’s interview H. Gifford Fong, Editor of the Journal Of Investment Management (JOIM), discusses this partnership, tells us more about JOIM’s mission and philosophy, unveils the list of featured speakers and topics covered, and gives his hopes for this conference. More...  
Diversified or Concentrated Factor Tilts?
In a new research paper published in the latest issue of the Journal of Portfolio Management, entitled “Diversified or Concentrated Factor Tilts?”, EDHEC-Risk Institute and ERI Scientific Beta researchers have highlighted the limitations of purely factor-driven approaches that aim to concentrate portfolios in a small number of stocks that are highly exposed to one or more risk factors, in order to obtain, over the long term, the best possible return associated with these risk factors. Since it neglects diversification of specific risk, this factor concentration approach exposes the investor to high idiosyncratic volatility and ultimately delivers risk-adjusted performance that is inferior to that of well-diversified factor or multi-factor indices. More...
Industry Analysis
Risk and Asset Management Research
EDHEC-Risk Institute Research for Institutional Money Management - P&I Supplement February 2016
The February 2016 issue of EDHEC-Risk Institute's Institutional Money Management supplement to Pensions & Investments is a “smart factor investing special” in which we first look at the performance of smart factor indexes that are constructed based on combining a stock selection that targets a factor tilt with a diversified weighting scheme known as Diversified Multi-Strategy. We focus on assessments which take into account long-term evidence and on the performance observed after the commercial launch of the index. Every smart factor index outperforms the corresponding concentrated cap-weighted factor index over both the long term and the live period, providing very strong evidence of the robust benefits of diversification. More...
Risk and Asset Management Research
EDHEC-Risk Institute Research Insights - IPE Supplement Autumn 2015
In the autumn 2015 Scientific Beta special issue of the Research Insights supplement to Investment & Pensions Europe we begin by looking at ‘quality’ investing and more specifically the role of two separate equity risk factors related to balance sheet characteristics: low investment and high profitability. These factors rely on straightforward, parsimonious indicators, and can be expected to provide more robust performance benefits than ad-hoc stock picking indicators of quality used in the industry. Further value can be added by allocating across these two factors to exploit the low correlation across factor returns. Such combinations of the smart factor indices for high profitability and low investment have led to improved performance compared to various commercial indices which are based on ad-hoc definitions of quality. More...
Risk and Asset Management Research
EDHEC-Risk Institute Research for Institutional Money Management - P&I Supplement August 2015
In the August 2015 issue of the EDHEC-Risk Institute's Institutional Money Management supplement to Pensions & Investments, we look first at the consequences for investors of the development of passive equity investment and “smart beta” indexes. A key issue with these indexes that has not yet been resolved, and is not being attended to properly by regulators, is their level of transparency and the provision of detailed information on the indexes to investors. Even though the historical performances of these indexes are simulated for the most part, it is not possible to check the accuracy and the quality of these track records because the market does not have sufficiently detailed historical compositions and construction methodologies to be able to replicate the performances. EDHEC-Risk Institute has responded to this situation by setting up Scientific Beta, a platform that provides free access to the most detailed information possible on the risks, compositions and methodologies of thousands of smart beta indexes that are representative of the rewarded factors documented in the academic literature.  More...
EDHEC-Risk News
Financial statistical tools
EDHEC-Risk Director associated with a major discovery… in astrophysics
Lionel Martellini, Director of EDHEC-Risk Institute and Professor of Finance at EDHEC Business School, is co-signatory of an article due to appear in the prestigious scientific journal, Physical Review Letters, reviewing the outcome of a major discovery made by an international collaboration involving 19 research laboratories around the world. The paper, entitled “Observation of Gravitational Waves from a Binary Black Hole Merger”, relates the detection on 14 September, 2015 of a gravitational wave emanating from a binary black hole merger that took place 1.3 billion light years away in a distant galaxy. It represents the first-ever detection of a gravitational wave and the first ever detection of a signal originating from a black hole.  More...
Asset Management
A great success for EDHEC-Risk Days 2016 with over 700 professionals in attendance from the investment and risk management industry
A great success for EDHEC-Risk Days 2016 with over 700 professionals in attendance from the investment and risk management industry. The conference included three major events allowing investment professionals to review major industry challenges, explore state-of-the-art investment techniques and benchmark practices to research advances.  More...
Hilary Till to review structural sources of returns for CTA's and commodity indices at PRMIA Chicago event on 19 May, 2016
Hilary Till, Principal at Premia Capital Management, LLC and Research Associate at EDHEC-Risk Institute, has been invited to speak at an event on the theme “CTA’s and Commodity Indices: A Fresh Perspective” organised by the Chicago branch of The Professional Risk Managers’ International Association (PRMIA) on Thursday 19 May, 2016.  More...
Barry Schachter and Yaacov Kopeliovich, Research Associates at EDHEC-Risk Institute, receive the Peter L. Bernstein Award for the best paper published in an Institutional Investor journal in 2015
A Journal of Derivatives article entitled, "Robust Risk Estimation and Hedging: A Reverse Stress Testing Approach" by Barry Schachter, Research Associate at EDHEC-Risk Institute and Senior Advisor at RiXtrema, Inc. and Yaacov Kopeliovich, also Research Associate at EDHEC-Risk Institute and Senior Advisor at RiXtrema, Inc., together with co-authors Arcady Novosyolov and Daniel Satchkov, have been named the winners of the 2015 Peter L. Bernstein Award honouring extraordinary and compelling research for "Best Paper in an Institutional Investor Journal" among eleven journals in the past twelve months.  More...
EDHEC-Risk Publications
Indexes and Benchmarking
Is Smart Beta just Monkey Business? An Analysis of Factor Exposures, Upside-Down Strategies and Rebalancing Effects
Noël Amenc, Felix Goltz, Ashish Lodh “Monkey portfolio” proponents argue that all smart beta strategies generate positive value and small-cap exposure, which fully explains their outperformance. They also claim that similar results are obtained by any random portfolio strategy, including the inverse of such strategies. We analyse these claims using test portfolios which follow commonly-employed methodologies for explicit factor-tilted indices. Our results directly invalidate all of these claims.  More...
Solvency II
How to Calibrate Risk Appetite, Tolerance and Limits: The Issues at Stake for Capital Allocation, ERM and Business Performance
Philippe Foulquier, Liliana Arias The Solvency II prudential framework which comes into to effect in January 2016, is likely to trigger profound changes in the insurance sector, notably i) by requiring a holistic vision of risk management, ii) coherent with risk appetite as defined in accordance with governing bodies, and iii) in line with a clearly identified governance structure. Although the Directive leaves insurance companies free to choose how they structure the risk management system and function, it does, however, require that this system be fully integrated into the organisation and the decision-making process. This requires a real overhaul of the organisation of most companies and a significant cultural (r)evolution, notably in the formalisation of risk appetite.  More...
Risk Management
A Fully Integrated Liquidity and Market Risk Model
Attilio Meucci Going beyond the simple bid—ask spread overlay for a particular value at risk, this paper introduces a framework that integrates liquidity risk, funding risk, and market risk. We overlay a whole distribution of liquidity uncertainty on future market risk scenarios and we allow the liquidity uncertainty to vary from one scenario to another, depending on the liquidation or funding policy implemented. The result is one easy-to-interpret, easy-to-implement formula for the total liquidity-plus-market-risk profit and loss distribution. A revisited version of this paper was published in the November/December 2012 issue of the Financial Analysts Journal. More...
The Importance of the Structural Shape of Crude Oil Futures Curves
Hilary Till In the past, one could confidently discuss how crude oil futures contracts typically trade in “backwardation.” By backwardation, one means that a near-month futures contract trades at a premium to deferred-delivery futures contracts. For example, Litzenberger and Rabinowitz (1995) pointed out that the NYMEX West Texas Intermediate (WTI) crude oil futures contract’s front-to-back futures spreads were backwardated at least 70% of the time between February 1984 and April 1992. This pattern was so persistent that these authors theorised why this should be the typical shape of the crude oil futures price curve. More...