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 EDHEC-Risk Smart Beta Day North America 2016, New York, 14 December, 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 Multi-Asset Multi-Manager Products and Solutions Seminar, New Haven, 5-6 December, 2016 Investment Management Seminars Advances in Asset Allocation Seminar, London, 22-24 November, 2016 Contact EDHEC-Risk Executive Education Contact Us ERI Scientific Beta EDHEC PhD in Finance
    Thoughts and Afterthoughts on the JOIM-Oxford-EDHEC Retirement Investing Conference    

A few weeks after the JOIM-Oxford-EDHEC Retirement Investing Conference took place at the Saïd Business School, University of Oxford on 11, 12 and 13 September 2016, I would like to reflect upon some of the many insightful discussions that took place on that occasion, and share some thoughts and afterthoughts with you about the event. From the collective opinion of all parties involved,

participants and speakers alike, the conference was a great success with over 70 professionals in attendance, including individuals from investment and wealth management companies, banks, institutional investors and academics. Our mandate was to feature the best of the current state-of-the-art, which has an immediate as well as a future impact on the practice of retirement investing. More...

Industry Analysis
Risk and Asset Management Research
EDHEC-Risk Institute Research Insights - IPE Supplement Autumn 2016
In the Autumn 2016 Scientific Beta special issue of the Research Insights supplement to Investment & Pensions Europe, we first clarify the conceptual underpinnings and the need for diversification in factor investing, discuss the benefits of combining various factor strategies, the evolution of multi-factor allocation in recent times and the key features that distinguish the various multi-factor offerings. We show that it is possible to reconcile environmental and financial objectives using low carbon indices. While these indices achieve an environmental objective by excluding high carbon stocks, and thus putting pressure on high polluting companies to reform, they achieve a financial objective by retaining exposure to rewarded risk factors and by maintaining a high level of diversification. More...
Current Commodity Views: Themes and Wildcards
This column was excerpted from Hilary Till’s prepared remarks at the commodity panel during the New York Society of Security Analysts (NYSSA) event on June 30th, 2016, “A Global View of Commodity Markets.” Hilary Till is a Research Associate with EDHEC-Risk Institute.  More...
EDHEC-Risk News
Executive Education
Professor Martellini on Advances in Asset Allocation: Investing with a goal in London on November 22-24, 2016
The renowned Advances in Asset Allocation seminar, to be conducted by Professor Lionel Martellini on November 22-24, 2016 in London, is an intensive three-day course that will provide participants with an in-depth appreciation of the concepts and techniques that will shape the future of investment management. The seminar will discuss practical tools to improve asset allocation and risk management processes, implement novel investment management approaches, and develop new products and solutions.  More...
EDHEC-Risk Publications
Risk Allocation Solutions
Factor Investing and Risk Allocation: From Traditional to Alternative Risk Premia Harvesting
Jean-Michel Maeso, Lionel Martellini This study extends the analysis of factor investing beyond traditional factors and seeks to investigate what the best possible approach is for harvesting alternative long short-risk premia. While the replication of hedge fund factor exposure appears to be a very attractive concept, we find that hedge fund replication strategies achieve in general a relatively low out-of-sample explanatory power, regardless of the set of factors and the methodologies used. Our results also suggest that risk parity strategies applied to alternative risk factors could be a better alternative than hedge fund replication for harvesting alternative risk premia in an efficient way.  More...
   The digitalisation of the asset management industry will mostly impact distribution models  
  In this interview, we talk to Bernd Scherer, Head of Quantitative Strategies at Deutsche Asset Management and Research Associate with the EDHEC-Risk Institute. We discuss his new position paper, “What Investment Robots Need To Know”, as well as the impacts and implications automated asset management offerings have on the industry, and we take a deeper look into his research projects. More...  
Investor Perceptions about Smart Beta ETFs
EDHEC-Risk Institute conducted its 9th survey of European investment professionals about the usage and perceptions of ETFs at the end of 2015. The aim of this study was 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. Responses were provided by 219 European investment decision-makers, 180 of which were ETF users. The survey respondents were from 25 different countries, with 41% of them being from the UK and Switzerland. A vast majority of survey respondents were Institutional managers (76%) and more than half of the respondents (51%) were asset managers. For the third year running, in view of the considerable development in new forms of indices, as well as the increasing attention smart beta ETFs have received in the media in the recent years, part of the survey was dedicated to investment professionals’ practices and use of products tracking smart beta indices and on the importance of risk factors in alternative equity beta strategies. The present document is a focus on investor perceptions about smart beta ETFs, as reported by the survey. 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...
Risk and Asset Management Research
Research for Institutional Money Management - P&I Supplement May 2016
In the May 2016 issue of the Research for Institutional Money Management supplement to Pensions & Investments, the first article addresses the issue of combining several smart beta strategies, clarifies the conceptual underpinnings and relevant questions arising when considering smart beta index combinations and introduces the Scientific Beta six factor multi-smart factor indexes.  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
Indexes & Benchmarking
EDHEC-Risk Smart Beta Day Europe 2016 to take place on October 13, 2016 at the Intercontinental Amstel in Amsterdam
The inaugural EDHEC-Risk Smart Beta Day Europe 2016 will take place on October 13, 2016 at the Intercontinental Amstel in Amsterdam and will present the research carried out by EDHEC-Risk Institute and discusses it with the institutional investor and financial advisory communities. The event is structured to appeal to asset owners and their direct investment consultants and financial advisors. The one-day conference will include multiple plenary sessions allowing professionals to review major industry challenges, explore state-of-the-art investment techniques and benchmark practices to advances in research.  More...
Professor Riccardo Rebonato joins EDHEC-Risk Institute
EDHEC-Risk Institute is very delighted to announce that Professor Riccardo Rebonato, a specialist in interest rate risk modelling with applications to bond portfolio management and fixed-income derivatives pricing, has joined EDHEC-Risk Institute on May 2, 2016. He also joined the EDHEC Faculty. Professor Rebonato was previously Global Head of Rates and FX Research at PIMCO. More...
Hilary Till, EDHEC-Risk Institute Research Associate, publishes new research in the Journal of Governance and Regulation
Hilary Till, Principal at Premia Capital Management, LLC and Research Associate at EDHEC-Risk Institute, has published new research on Commodity Risk Management in the latest issue of the Journal of Governance and Regulation in which she discusses the practical issues involved in applying a disciplined risk management methodology to commodity futures trading.  More...
Hilary Till, Research Associate, to discuss movements in the oil markets at NYSSA event on 30 June, 2016 in New York
Hilary Till, Principal at Premia Capital Management, LLC and Research Associate at EDHEC-Risk Institute, will be speaking at an event to be held in New York on 30 June, 2016 on the theme "A Global View of Commodity Markets", organised by the New York Society of Security Analysts where she will discuss the factors that explain recent and expected movements in the oil markets with Jonathan Goldberg, an oil trader and founder of BBL Commodities, L.P.  More...
EDHEC-Risk Publications
Indexes and Benchmarking
Ten Misconceptions about Smart Beta: Analysing common claims on performance drivers, investability issues and strategy design choices
Noël Amenc, Frédéric Ducoulombier, Felix Goltz, Jakub Ulahel That a new investment approach be debated should not be surprising. Such debate should be expected to further the understanding of potential benefits as well as risks and possible pitfalls of the new approach. In the area of Smart Beta investing however, an intense debate has also produced a certain number of beliefs which are accepted as conventional wisdom and impede progress towards the adoption of approaches that could add more value for end investors. The objective of this paper is to provide perspective on these beliefs by examining conceptual considerations and empirical evidence.  More...
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...
Initial Margin for Non-Centrally Cleared OTC Derivatives: Overview, Modelling and Calibration
Dominic O'Kane This paper provides a detailed overview and analysis of the forthcoming new framework to be used by large financial institutions to determine initial margin (IM) and variation margin (VM) payments when trading non-cleared over-the-counter (OTC) derivatives.  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...