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 "ETF and Passive Investment Strategies" Research Chair Rothschild & Cie "Active Allocation to Smart Factor Indices" Research Chair EDHEC-Risk Institute Solvency II Benchmarks 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 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 Russell Investments "Solvency II Benchmarks" 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 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 Multi-Asset Products and Solutions Seminar, London, 2-3 June, 2015 Investment Management Seminars CFA Institute/EDHEC-Risk Advances in Asset Allocation Seminar, New York, 14-16 July, 2015 Contact EDHEC-Risk Executive Education Contact Us ERI Scientific Beta
    Nationality is not Geography    

In a new publication entitled “Accounting for Geographic Exposure in Performance and Risk Reporting for Equity Portfolios,” EDHEC-Risk Institute underlines the usefulness of analysing the performance and risks of portfolios, by taking into account their geographic equity exposure based on real economic

activity and not only on their place of listing or, more generally, the nationality assigned to them in market indices. This research was conducted with the support of CACEIS as part of EDHEC-Risk Institute’s research chair on “New Frontiers in Risk Assessment and Performance Reporting”. More...

Industry Analysis
Risk and Asset Management Research
EDHEC-Risk Institute Research for Institutional Money Management - P&I Supplement February 2015
The February 2015 issue of EDHEC-Risk Institute's Institutional Money Management supplement to Pensions & Investments is a “Liability-Driven Investing Special” in which we first examine the evolution of pension fund investment management from asset management to asset-liability management and risk and asset-liability management, and from liability-driven investing to dynamic liability-driven investing, concluding with a survey of institutional investors who provide insights on current practices in these areas and how those practices compare to those prescribed in the academic literature. More...
Indexes and Benchmarking
Detecting True Factors in the Factor Zoo: Assessing the Economic Rationale behind Equity Factors
Index providers and asset managers have been prolific at creating equity strategies which tilt towards various “factors.” While early attempts at factor investing concentrated on the small cap and value factors, we have seen a proliferation of factors that are supposed to be captured by investment products, including momentum, carry, “quality,” and earnings revisions, to name but a few. Rather than accepting new factors based on the back-tested performance improvements they bring, investors may be well advised to assess the theoretical groundings, i.e. the economic rationale, underlying a factor.  More...
EDHEC-Risk News
Asset Management Education
Twenty alumni for the PhD in Finance programme
Since the beginning of the PhD in Finance programme in September 2008, twenty EDHEC PhD candidates have successfully defended their dissertations. Their research work brings new insights on subjects such as strategic and tactical asset allocation, inflation modelling and hedging, asset pricing, corporate financial policy, pension fund management, and household investment. These graduates include three women and represent fifteen countries on three continents. The group includes five participants working in academe who had enrolled in the PhD in Finance programme to strengthen their academic credentials for careers within research and educational institutions and fifteen participants who work in the investment management industry or in central banking. More...
EDHEC-Risk Publications
Credit Ratings
Do Multiple Credit Ratings Signal Complexity? Evidence from the European Triple-A Structured Finance Securities
Frank J. Fabozzi, Mike E. Nawas, Dennis Vink In much of the current research on market practices with respect to the use of credit ratings, the rating shopping hypothesis and the information production hypothesis feature prominently. Both of these hypotheses predict an inverse relationship between the number of ratings and a security’s funding cost; that is, more ratings will reduce funding costs and, conversely, fewer ratings will increase funding costs. This study finds precisely the opposite to have been the case for the mainstay of the structured finance securities market in Europe prior to 2007, namely the triple-A tranches of European residential mortgage-backed securities.  More...
   CFA Institute Research Foundation James R. Vertin Award - an interview with Frank J. Fabozzi  
  In this month's interview, we speak with Frank J. Fabozzi, Professor of Finance at EDHEC Business School and a member of the EDHEC-Risk Institute, who was recently awarded the James R. Vertin Award by the CFA Institute Research Foundation. The award recognised Frank Fabozzi's achievement in producing a relevant and valuable body of research that has contributed to the investment profession. He joins a distinguished group of prior recipients of the award, including Nobel prize recipients William Sharpe and Robert Shiller, and highly regarded investment experts Roger Ibbotson and Andrew Lo.  More...  
The EDHEC European ETF Survey 2014
EDHEC-Risk Institute conducted its 8th survey of European investment professionals about the usage and perceptions of ETFs at the end of 2014. 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. The Background section of our document analyses how different types of ETFs are designed, which advantages they offer, and which risks they are exposed to. The second part of the study focuses on the results of a survey of 222 European ETF users. Responses provide interesting insights into the appreciation of ETFs in general, with the confirmation of a long term trend established in our past surveys, which shows satisfaction with products, which is stable at high levels, and increasing appetite to rely on ETFs for ever more aspects of portfolio management. Moreover, we observe a recent increase in interest in ETFs tracking smart beta indices. When it comes to smart beta ETFs, investment professionals however also have strong quality requirements for the underlying indices, most notably in terms of transparency. 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
Institutional Investment
EDHEC-Risk Institute and Princeton University to present latest academic research results at the Institutional Money Management Conference in New York, April 23, 2015
Following the success of the second edition of the EDHEC-PRINCETON "Academia meets Practice" Conference, which attracted more than 150 finance professionals in 2013, EDHEC-Risk Institute and Princeton University will be organising the 2015 edition of the conference at The Princeton Club of New York on 23 April, 2015. This one-day conference represents the third time our institutions have joined forces to present our academic research results in finance and the usefulness of our conclusions for the industry to professionals.  More...
Risk Management
EDHEC-Risk Institute to present masterclass on risk allocation in New York
EDHEC-Risk Institute will be holding a special masterclass on risk allocation for policy and equity portfolios entitled "New Frontiers in Risk Allocation and Factor Investing" on April 22, 2015 at The Princeton Club in New York.  More...
Frank Fabozzi receives James R. Vertin Award from CFA Institute Research Foundation
Frank J. Fabozzi, Professor of Finance at EDHEC Business School and a member of the EDHEC-Risk Institute, has been awarded the James R. Vertin Award by the CFA Institute Research Foundation, a not-for-profit organization that sponsors independent research for investors and investment professionals around the world. He was recognized for producing a relevant and valuable body of research that has contributed to the investment profession.  More...
Executive Education
New Yale School of Management–EDHEC-Risk Institute executive seminar unveiled
In the wake of the successes of the “Strategic Asset Allocation and Investment Solutions” and “Equity Investment” seminars – which drew over one hundred and fifty participants – EDHEC-Risk Institute and Yale School of Management have unveiled their third joint executive seminar. Looking at “Fixed Income Investment”, the new seminar will feature EDHEC-Risk PhD in Finance core faculty member Professor Frank Fabozzi, Chueng Kong Graduate School of Business Chair Professor of Finance Li Haitao and EDHEC Business School Affiliated Professor of Finance Dominic O’Kane.  More...
EDHEC-Risk Publications
Why Some Futures Contracts Succeed and Others Fail: A Survey of Relevant Research
Hilary Till Why do some futures contract succeed and others fail? Numerous researchers have provided case studies on both new and existing futures contracts, so this paper is fortunate to have a wealth of material from which to directly cite. Accordingly, this article will survey a number of textbooks, trade publications, academic papers, and think-tank articles from which one can distill lessons from over 160 years of (largely) U.S. experience with commodity trading. It turns out that even though the U.S. futures markets have evolved in a trial-and-error fashion, one can nonetheless identify the key elements that determined whether particular futures contracts succeeded or failed.  More...
Asset Allocation
Should a Skeptical Portfolio Insurer use an Optimal or a Risk-Based Multiplier?
Maxime Bonelli, Daniel Mantilla-Garcia Following recent evidence of out-of-sample stock market return predictability, the authors aim to evaluate whether the potential benefits suggested by asset allocation theory can actually be captured in the real world using expected return estimates from a predictive system. The question is addressed in the context of an investor maximising the long-term growth rate of wealth under a maximum drawdown constraint, and comparing the optimal strategy using the predictive system with a similar risk-based allocation strategy, independent of expected return estimates. More...
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 equity returns. We employ a long-only equally-weighted portfolio of commodity futures and a term structure portfolio that captures phases of backwardation or contango as mimicking portfolios for commodity risk. Equity-sorted portfolios with greater sensitivities to these two commodity portfolios command higher average excess returns. More...
Commodity Risk Factors and Intertemporal Asset Pricing
Adrian Fernadez-Perez, Ana-Maria Fuertes, Joëlle Miffre This paper proposes a commodity-based specification of the Intertemporal CAPM (ICAPM) that uses state variables grounded on the theories of storage and hedging pressure. Accordingly, factor-mimicking portfolios are formed by taking long positions in backwardated contracts and short positions in contangoed contracts according to either term structure, hedging pressure or momentum signals. The resulting portfolio returns are able to predict changes in the investment opportunity set of agents over long horizons in a way that is consistent with rational pricing by risk-adverse investors.  More...