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 EDHEC-Risk Days 2016, London, 15-16 March, 2016 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 Investment Management Seminars Contact EDHEC-Risk Executive Education Contact Us ERI Scientific Beta EDHEC PhD in Finance
    New conceptual framework to better achieve individual investors' goals    

Any investment process should start with a thorough understanding of the investor problem. Individual investors do not need investment products with alleged superior performance; they need investment solutions that can help them meet their goals subject to prevailing dollar and risk budget constraints. In a new publication entitled “Introducing a Comprehensive Investment Framework for Goals-Based Wealth Management”, EDHEC-Risk Institute develops a general

operational framework that financial advisors can use to help individual investors optimally allocate their wealth across the categories of risks they face through all life stages and wealth segments, so as to achieve personally meaningful financial goals. This research was conducted with the support of Merrill Lynch Wealth Management as part of EDHEC-Risk Institute’s research chair on a “Risk Allocation Framework for Goal-Driven Investing Strategies”. More...

   
 
Industry Analysis
Risk and Asset Management Research
EDHEC-Risk Institute Research for Institutional Money Management - P&I Supplement November 2015
The November 2015 issue of EDHEC-Risk Institute's Institutional Money Management supplement to Pensions & Investments is an “infrastructure investing special” in which our first article argues that a number of characteristics associated with the structuring of capital projects constitute a much more powerful framework to understand, benchmark and predict long-term returns in infrastructure debt or equity. Thus, infrastructure investment can be construed as a way to buy claims on future cash flows created by long-term contractual arrangements between parties. In numerous cases, infrastructure investors do not actually own any steel or concrete. When they do, the value of their investment is conditioned not by the tangible nature of the asset, but in a license to operate a natural but regulated monopoly.  More...
Indices & Benchmarks
Benchmark Absence an Obstacle to Infrastructure Investment
The lack of benchmarks in infrastructure investment is holding back institutional investors. In studies spearheaded by Professor Blanc-Brude, EDHEC has come up with a feasible and practical program for the way forward but the challenges facing the industry for its implementation are formidable.  More...
EDHEC-Risk News
Asset Management
EDHEC-Risk Days 2016 to take place on March 15-16, 2016 at The Brewery in London
The EDHEC-Risk Days conference 2016 will take place on March 15-16, 2016 at The Brewery in London and will present the results of EDHEC-Risk research on themes of great interest to the institutional investment and fund manager communities. The 2016 conference is a two-day which includes three major events that will allow professionals to review major industry challenges, explore state-of-the-art investment techniques and benchmark practices to research advances.  More...
EDHEC-Risk Publications
Indexes and Benchmarking
The Limitations of Factor Investing: Impact of the Volkswagen Scandal on Concentrated versus Diversified Factor Indices
Noël Amenc, Sivagaminathan Sivasubramanian, Jakub Ulahel Volkswagen has been caught up in one of the most notorious scandals in corporate history by installing cheat software to reduce emissions during testing. The news broke on the eve of Friday, 18 September 2015 and the stock markets heavily penalised Volkswagen AG and other automobile stocks, including suppliers, on Monday, 21 September 2015.  More...
 
Interviews
   Yale School of Management - EDHEC-Risk Institute Certificate in Risk and Investment Management programme – an interview with Will Goetzmann and Lionel Martellini  
   
  In this month's interview, Will Goetzmann, Edwin J. Beinecke Professor of Finance and Management Studies, Director of the International Center for Finance at Yale School of Management and Lionel Martellini, Professor of Finance at EDHEC Business School and Director of EDHEC-Risk Institute, discuss Yale SOM and EDHEC-Risk Institute's shared history of bringing theory to practice, provide further details on the second edition of the seminar series, present the key success factors for this partnership, share their objectives and initiatives for the future and give us their thoughts about trends and paradigm changes that are affecting the investment industry. More...  
Features 
 
Alternative Equity Beta Investing: A Survey
EDHEC-Risk Institute carried out its survey among a representative sample of 128 investment professionals at the beginning of 2014, as part of the Société Générale Prime Services (Newedge) research chair on “Advanced Modelling for Alternative Investments”. The aim of the study is to give an overall view on alternative equity beta strategies, to determine the areas of usage and to analyse the alternative equity beta practices and perceptions of investment professionals. 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. More...
Industry Analysis
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
Awards
Frank J. Fabozzi presented with James R. Vertin Award from CFA Institute Research Foundation at ceremony in New York
On 26 October, 2015 on the occasion of the CFA Institute Research Foundation’s 50th Anniversary Forum on the theme of "The Future of Investment Research" in New York, Frank J. Fabozzi was presented with the 2015 James R. Vertin Award for his lifetime contribution to investment research, the highest honour bestowed by the CFA Institute Research Foundation.  More...
Indexes and Benchmarking
New book on risk-based and factor investing published, featuring contribution from EDHEC-Risk Institute authors
A new book entitled "Risk-Based and Factor Investing" has just been published by Elsevier, containing a compilation of recent articles written by leading academics and practitioners in this field. Romain Deguest and Lionel Martellini from EDHEC-Risk Institute, together with Noël Amenc, Felix Goltz, Ashish Lodh and Eric Shirbini from ERI Scientific Beta contributed a chapter to the book on the subject of "Designing Multi-Factor Equity Portfolios". More...
Executive Education
Yale School of Management is teaming up once again with EDHEC-Risk Institute to offer state-of-the-art executive seminar series in Risk and Investment Management
The first seminar offered as part of this joint initiative is an in-depth discussion of advanced methods for performing asset allocation decisions with a particular emphasis on the design of investment solutions that should help investors achieve their long-term objectives. It will also equip participants with practical tools to improve asset allocation and risk management decision processes and to implement novel investment management approaches. The Asset Allocation and Investment Solutions Seminar will be held in London on 26-27 January, 2016, and in New Haven on 3-4 February, 2016.  More...
EDHEC-Risk Publications
Risk Management
Stock Market Dispersion, the Business Cycle and Expected Factor Returns
Timotheos Angelidis, Athanasios Sakkas, Nikolaos Tessaromatis This paper provides evidence using data from the G7 countries suggesting that return dispersion may serve as an economic state variable in that it reliably predicts time-variation in economic activity, market returns, the value and momentum premia and market volatility. A relatively high return dispersion predicts a deterioration in business conditions, a higher value premium, a smaller momentum premium and lower market returns. The evidence is robust to alternative specifications of return dispersion and is not driven by US data. Return dispersion conveys incremental information relative to idiosyncratic risk. A revisited version of this paper was published in the October 2015 issue of the Journal of Banking & Finance. More...
ALM & Asset Allocation Solutions
Introducing a Comprehensive Investment Framework for Goals-Based Wealth Management
Romain Deguest, Lionel Martellini, Vincent Milhau, Anil Suri, Hungjen Wang Any investment process should start with a thorough understanding of the investor problem. Individual investors do not need investment products with alleged superior performance; they need investment solutions that can help them meet their goals subject to prevailing dollar and risk budget constraints. This paper develops a general operational framework that can be used by financial advisors to allow individual investors to optimally allocate to categories of risks they face across all life stages and wealth segments so as to achieve personally meaningful financial goals.  More...
Commodities
What are the Sources of Return for CTAs and Commodity Indices? A Brief Survey of Relevant Research
Hilary Till This survey paper will discuss the (potential) structural sources of return for both CTAs and commodity indices based on a review of empirical research articles from both academics and practitioners. The paper specifically covers (a) the long-term return sources for both managed futures programs and for commodity indices; (b) the investor expectations and the portfolio context for futures strategies; and (c) how to benchmark these strategies. A revisited version of this paper was published in the Winter 2016 issue of the Journal of Wealth Management. More...
ALM and Asset Management
Hedging versus Insurance: Long-Horizon Investing with Short-Term Constraints
Romain Deguest, Lionel Martellini, Vincent Milhau This study provides comprehensive insights into all of EDHEC-Risk Institute’s research on dynamic allocation in asset-liability management. The publication builds on these previous findings and illustrates that failing to separate long-term risk-aversion and short-term loss-aversion may lead to poor investment decisions.  More...

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