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 "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 Low Carbon Investing Conference, Paris, 2 December, 2015 EDHEC-Risk Smart Beta Day 2015, New York, 15 December, 2015 EDHEC-Risk Days 2016, London, 15-16 March, 2016 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 Yale School of Management - EDHEC-Risk Institute Certificate in Risk and Investment Management Yale SOM-EDHEC-Risk Asset Allocation and Investment Solutions Seminar, London, 26-27 January, 2016 Yale SOM-EDHEC-Risk Asset Allocation and Investment Solutions Seminar, New Haven, 3-4 February, 2016 Investment Management Seminars Contact EDHEC-Risk Executive Education Contact Us ERI Scientific Beta
    Thoughts on the Future of the Investment Management Industry    

This past July witnessed an important transition within EDHEC-Risk Institute, with the departure of my colleague and friend Professor Noël Amenc, who has decided to dedicate his full-time attention and energy to the development of ERI Scientific Beta – a dedicated

entity created by EDHEC-Risk Institute in December 2012 in an effort to make our research on equity portfolio construction and smart factor indices even more useful to, and accessible by, asset owners and asset managers under the form of investable benchmarks. More...

Industry Analysis
Indices & Benchmarks
Complexities of Indexation and Smart Beta in Fixed-Income
Lionel Martellini, director of the EDHEC-Risk Institute, summed up in a presentation at the EDHEC conference in London in March this year the difficult challenges involved in the emergence of meaningful smart beta solutions in fixed-income. He pointed out that the smart beta concept in fixed-income was still relatively immature compared with its firm grounding in equity investment practices. He went on to say that the motivation for smart beta inevitably arises from the shortcomings of current bond benchmarks, which are mainly the lack of investability, poor diversification and wrong risk exposures. Accordingly, a successful smart beta bond benchmark must avoid problems in each of these three areas.  More...
Risk and Asset Management Research
EDHEC-Risk Institute Research for Institutional Money Management - P&I Supplement May 2015
In the May 2015 issue of the P&I EDHEC-Risk Institute Research for Institutional Money Management supplement, we begin by examining the role of two separate equity risk factors related to balance sheet characteristics: Low Investment and High Profitability. These factors rely on straightforward and 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 indexes for high profitability and low investment have led to improved performance compared to various commercial indexes which are based on ad-hoc definitions of “quality.”  More...
EDHEC-Risk News
Infrastructure Investment
Frédéric Blanc-Brude speaking at the Second Annual Meeting of the Long-Term Infrastructure Investors Association in Washington DC on 21-22 September, 2015
The meeting will gather together senior figures from the investment world, addressing the key priorities of promoting private long-term investment in infrastructure, building a risk-adjusted benchmark to foster financial stability, and promoting responsible investment with a focus on environmental, social and governance considerations.  More...
EDHEC-Risk Publications
Indexes and Benchmarking
Alternative Equity Beta Investing: A Survey
Noël Amenc, Felix Goltz, Véronique Le Sourd, Ashish Lodh Alternative equity beta investing has attracted increased attention within the industry recently. Though products in this segment currently represent only a fraction of overall assets, there has been tremendous growth recently in terms of both assets under management and new product development. In this context, EDHEC-Risk recently carried out a survey among a representative sample of investment professionals to identify their views and uses of alternative equity beta.  More...
   Research programmes and projects are chosen and conducted to meet the needs of the investment and asset management industry - an interview with Tomas Franzén  
  In this month's interview, we speak with Tomas Franzén, Chief Investment Strategist, AP2 - Andra AP-fonden and Chairman of EDHEC-Risk Institute's International Advisory Board, about EDHEC-Risk Institute's mission and achievements since it was founded, ERI Scientific Beta's initiative and the main challenges facing asset owners.  More...  
Factor Investing: A Welfare-Improving New Investment Paradigm or Yet Another Marketing Fad?
This paper examines the relative efficiency of standard forms of practical implementation of the factor investing paradigm based on commonly-used factors in the equity, fixed-income and commodity universes. Investment practice has recently witnessed the emergence of a new approach known as factor investing, which recommends that allocation decisions be expressed in terms of risk factors, as opposed to standard asset class decompositions. To answer the question of whether factor investing is truly a welfare-improving new investment paradigm or whether it is merely yet another marketing fad, the paper identifies mathematical conditions under which it is expected to generate welfare gains for asset owners and provides an empirical measure of such gains. More...
Industry Analysis
Behavioural Finance
Value or Growth: The Genes of Investment Style
In addition to their ancestry, individuals also inherit financial genes, which have a significant and long-lasting effect on their approach to investing throughout their careers. A significant portion (30%) of the variation in risk taking of individuals is explained by their genetic makeup. This “financial DNA” is an important factor alongside characteristics such as education, age, gender or level of wealth. Recent studies have shed new light on the value/growth debate by virtue of the nature versus nurture debate.  More...
Asset Management
The Tobin tax – legal obstacles making matters worse?
The proposed Financial Transaction Tax (FTT) that is being driven by 11 countries in the EU, and is widely referred to as the “Tobin Tax” or “Robin Hood” tax, has been ruled illegal by the European Union’s own lawyers. But, rather than aborting the tax, this could lead to something much worse. The legal service of the European Council that represents member states has pointed out that a central aspect of the plan would exceed member states’ tax powers under international law, would infringe on the rights of member states that had not agreed to the tax, and could breach competition rules. More...
Risk and Asset Management Research
EDHEC-Risk Institute Research Insights - IPE Supplement Winter 2014
The winter 2014 edition of EDHEC-Risk Institute’s Research Insights supplement in co-operation with Investment & Pensions Europe addresses what we consider to be some of the key topics of importance for institutional investors today. Our first article, drawn from the Russell Investments research chair at EDHEC-Risk Institute on Solvency II, looks at the treatment of bond investment within the framework of the Solvency II Directive.  More...
EDHEC-Risk News
Executive Education
Building upon the success of the first series, the second edition of the Yale School of Management – EDHEC-Risk Institute Certificate in Risk and Investment Management will start again from January 2016 in London and New Haven
The focus of this series of joint executive education seminars, around the unifying theme “Advanced Risk and Investment Management", is on utilising the latest academic insights to help investment professionals better understand and implement advanced investment approaches and methodologies. The seminars provide relevant academic insights with respect to some of the most important dimensions of the investment process, including implementing disciplined risk and asset allocation decisions, efficiently harvesting factor risk premia across and within traditional and alternative asset classes, and designing truly meaningful forms of liability driven or goal-based investment solutions.  More...
Hilary Till participating in US Energy Information Administration workshop on 29 September, 2015
Hilary Till, Principal at Premia Capital Management, LLC and Research Associate at EDHEC-Risk Institute, has been invited to join the US Energy Information Administration workshop on the "Evolution of Petroleum Market and Price Dynamics" as a panel member in Washington on 29 September, 2015.  More...
Institutional Investment
Frédéric Ducoulombier presenting on smart beta at the Asia Investment Management Summit for Insurance
Frédéric Ducoulombier, Director, EDHEC Risk Institute – Asia, will be speaking on the topic "From Smart Beta to smart allocation: New approaches to defensive equity investing for insurers" at the 4th Asia Investment Management Summit for Insurance to be held in Hong Kong on 26-27 November, 2015.  More...
Indexes & Benchmarking
Registrations now open for the EDHEC-Risk Smart Beta Day 2015
The EDHEC-Risk Smart Beta Day, organised by EDHEC-Risk Institute in partnership with Scientific Beta, will take place in New York on 15 December, 2015 and will showcase the latest conceptual advances and research results in smart beta investing. More...
EDHEC-Risk Publications
Commodity Risks and the Cross-Section of Equity Returns
Chris Brooks, Adrian Fernandez-Perez, Joëlle Miffre, Ogonna Nneji The article examines whether commodity risk is priced in the cross-section of global equity returns. We employ a long-only equally-weighted portfolio of commodity futures and a term structure portfolio that captures phases of backwardation and contango as mimicking portfolios for commodity risk. We find that equity-sorted portfolios with greater sensitivities to the excess returns of the backwardation and contango portfolio command higher average excess returns, suggesting that when measured appropriately, commodity risk is pervasive in stocks. Our conclusions are robust to the addition to the pricing model of financial, macroeconomic and business cycle-based risk factors.  More...
Asset Pricing
A Predictive System with Heteroscedastic Expected Returns and Economic Constraints
Maxime Bonelli, Daniel Mantilla-Garcia We propose a variation of a predictive system that incorporates two (additional) economically motivated assumptions about the dynamics of expected returns, namely 1) their positivity, and 2) a time-varying volatility correlated with economic regimes. The implications of the modified system are consistent with well established empirical facts of stock returns, in particular, the simpler version of the modified system without predictors can explain the well documented countercyclicality of the dividend-price ratio’s predictive power.  More...
Comparing Different Regulatory Measures to Control Stock Market Volatility: A General Equilibrium Analysis
Adrian Buss, Bernard Dumas, Raman Uppal, Grigory Vilkov In this paper, we compare the effects of different regulatory measures used to reduce excess volatility of stock-market returns, which is generated by investors trading on sentiment. The regulatory measures we study are the Tobin tax, shortsale constraints, and leverage constraints. The main contribution of our research is to evaluate these regulatory measures within the same dynamic, stochastic general equilibrium model of a production economy, so that one can compare both the direct and indirect effects of the different measures on the financial and real sectors within the same economic setting.  More...
Investment Management
What do Short Sellers Know?
Ekkehart Boehmer, Charles M. Jones, Xiaoyan Zhang Using proprietary short-sale order data, we investigate the sources of short sellers’ informational advantage. Heavier shorting occurs the week before negative earnings surprises, analyst downgrades, and downward revisions in analyst earnings forecasts. The biggest effects are associated with analyst downgrades.  More...