About EDHEC-Risk Institute
Research for Business
Since 2001, EDHEC has been pursuing an ambitious policy in terms of practically relevant academic research. This policy, known as “Research for Business”, aims to make EDHEC an academic institution of reference for the industry in a small number of areas in which the school has reached critical mass in terms of expertise and research results.
Among these areas, asset and risk management have occupied privileged positions, leading to the creation in 2001 of EDHEC-Risk Institute, which has developed an ambitious portfolio of research and educational initiatives in the domain of investment solutions for institutional and individual investors. EDHEC-Risk plays a noted role in furthering applied financial research and systematically highlighting its practical uses. As part of its “Research for Business” philosophy, the research centre maintains a dialogue with professionals which benefits the industry as a whole. At the same time, its proprietary R&D provides sponsors with an edge over the competition and joint ventures allow selected partners to develop new business opportunities.
EDHEC-Risk Institute now boasts a team of close to 50 permanent professors, engineers and support staff, and counts 36 affiliate professors and research associates from the financial industry among its ranks. The year 2015 saw the EDHEC-Risk Days conference in London. The EDHEC-Princeton Institutional Money Management conference returned to New York in 2015 for its third edition. All in all, EDHEC has hosted more than 6,000 City professionals at its research seminars and conferences in London since 2003. The London and Singapore campuses are also at the heart of an ambitious executive education policy that sees EDHEC train over 10,000 senior executives and business leaders worldwide every year.
To ensure that its activities meet the highest academic standards and truly benefit the industry, EDHEC-Risk Institute subjects its activities to strict validation processes. The scientific quality and operational relevance of the centre’s research programmes are guaranteed by the centre’s management structure and the oversight exercised by the leading experts serving on its international advisory board.
The following sections provide a brief introduction to the activities carried out by EDHEC-Risk Institute.
Our team is available to help you analyse the ways in which you could tap into its expertise for the benefit of your organisation.
Academic Excellence and Industry Relevance
Bringing Research Insights to Investors
EDHEC-Risk Institute was set up to conduct world-class academic research and highlight its applications to the industry.
In keeping with this mission, the Institute systematically seeks to validate the academic quality of its research through publications in leading scholarly journals, implements a multifaceted communications policy to inform investors and asset managers on state-of-the-art concepts and techniques, and develops business partnerships to launch innovative products.
High quality academic output with professional relevance
The results of the research work performed by the Institute have been published by leading specialised scientific publications such as theJournal of Economic Literature, Journal of Financial Economics, Management Science, the Review of Financial Studies, the Journal of Portfolio Management, and the Financial Analysts Journal.
Recognition of the academic quality and professional relevance of the centre’s output is also evidenced by the integration of a number of articles into the required readings of professional designations, invitations to participate in curriculum design or authoring of programme material, and the decision by CFA Institute to designate EDHEC as an Approved Provider under the CFA Institute Professional Development (PD) Programme.
|International academic journals in which EDHEC-Risk staff have published include:
Applied Financial Economics, Canadian Journal of Economics, Economic Inquiry, European Financial Management, Finance and Stochastics, Financial Analysts Journal, Journal of Alternative Investments, Journal of Asset Management, Journal of Banking and Finance, Journal of Business, Journal of Business and Economic Statistics, Journal of Business Finance and Accounting, Journal of Econometrics, Journal of Economic Dynamics & Control, Journal of Economic Growth, Journal of Economic Literature, Journal of Empirical Finance, Journal of Finance, Journal of Financial and Quantitative Analysis, Journal of Financial Economics, Journal of Fixed Income, Journal of Futures Markets, Journal of International Money and Finance, Journal of Investment Management, Journal of Mathematical Economics, Journal of Political Economy, Journal of Portfolio Management, Journal of Wealth Management, Management Science, Quarterly Journal of Economics, Review of Finance, Review of Financial Studies.
Outstanding Faculty and Research Team
Close to 100 members strong, and representing 22 nationalities, the EDHEC-Risk Institute team is one of the largest risk and investment management research teams worldwide.
For its scientific arm, the team is made up of permanent professors and full-time researchers from EDHEC Business School, and also of affiliate professors and research associates.
Faculty members of EDHEC-Risk Institute include a core team of 13 full professors of finance at EDHEC Business School, some of whom have important responsibilities within the Institute:
- Professor Noël Amenc is CEO of ERI Scientific Beta and Professor of Finance at EDHEC-Risk Institute. He has conducted active research in the fields of quantitative equity management, portfolio performance analysis, and active asset allocation, resulting in numerous academic and practitioner articles and books. He is on the editorial board of the Journal of Portfolio Management and serves as associate editor of the Journal of Alternative Investments and the Journal of Index Investing. He is a member of the Monetary Authority of Singapore Finance Research Council. He holds a master’s in economics and a PhD in finance.
- Professor Frank Fabozzi is Senior Scientific Adviser at EDHEC-Risk Institute and co-head of the fixed-income research programme. He was previously Professor in the Practice of Finance and Becton Fellow at the Yale School of Management. He has been the editor of the Journal of Portfolio Management since 1986.
- Professor René Garcia is the Director of the EDHEC PhD in Finance programme. A specialist in asset-pricing theory, portfolio and risk management, and financial econometrics, he is a co-founder of the Journal of Financial Econometrics.
- Professor Abraham Lioui is Deputy Academic Director of the EDHEC PhD in Finance programme. A specialist in portfolio and asset pricing theory, derivatives and risk management, Abraham was previously at the department of economics at Bar Ilan University where he held the Vice Chair position.
- Professor Lionel Martellini is Director of EDHEC-Risk Institute. A specialist in asset allocation, derivatives, fixed-income modelling, and alternative investment, he was previously on the faculty of the University of Southern California and has held a visiting position at Princeton University. He sits on the editorial boards of various journals, including the Journal of Alternative Investments and the Journal of Portfolio Management.
- Professor Raman Uppal is Senior Scientific Adviser at EDHEC-Risk Institute, with responsibility for regulation. A specialist in portfolio selection, asset pricing, risk management, and exchange rates, he was formerly Professor of Finance and Chair of the Finance Subject Area at the London Business School. He was previously editor for the Review of Financial Studies and is currently editorial board member of Mathematics and Financial Economics, associate editor of the Review of Asset Pricing Studies and the Critical Finance Review, and a director of the American Finance Association.
The team of research engineers is closely involved in the Institute’s research chairs and includes Head of Research, Dr Vincent Milhau. Vincent is in charge of a variety of research projects related to portfolio optimisation, asset-and-liability management, goal-based investing, and is also in charge of validating the quantitative models and algorithms developed at EDHEC-Risk Institute.
The applied research team is led by Dr Felix Goltz, Head of Applied Research. Felix oversees the Institute’s applied research projects on portfolio construction and passive investing As such, since 2012 he has been Research Director of ERI Scientific Beta, the entity created by EDHEC-Risk Institute to develop its activity in the area of indices and benchmarks.
The 30 research associates of EDHEC-Risk Institute provide direct links to the industry through their professional activities. Many of these research associates contribute to EDHEC-Risk Institute’s position paper and working paper series and participate in seminars and conferences while playing leading roles within the industry.
Constant dialogue with the industry
To maximise exchanges between the academic and business worlds, EDHEC-Risk maintains a website devoted to asset and risk management research for the industry: www.edhec-risk.com, which has more than 70,000 regular visitors, circulates a quarterly newsletter to over 1.5 million practitioners, conducts regular industry surveys and consultations, and organises annual conferences for the benefit of institutional investors and asset managers.
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Cooperation between EDHEC-Risk Institute and Princeton University
In 2012, EDHEC-Risk Institute signed a strategic partnership agreement with the Department of Operations Research and Financial Engineering at Princeton University for research and outreach initiatives in the area of risk and investment management.
One of the key ambitions of this partnership is to develop academic research that could have a potentially strong influence on the practice of investment management, at a time when the industry is facing a number of key paradigm changes leading to an increased focus on risk management. These developments also question a number of fundamental insights borrowed from asset pricing theory, including for example the risk-return relationship from the cross-sectional and time-series perspectives, and the joint research agenda will be at the forefront of outstanding problems in financial economics.
The success of the partnership on the research side relies on the exceptional strength of Princeton ORFE and EDHEC-Risk Institute faculty in mathematical finance and financial econometrics. Participating professors include Jianqing Fan, John Mulvey and Ronnie Sircar on the Princeton ORFE side, and Lionel Martellini, Frank Fabozzi, Raman Uppal and René Garcia on the EDHEC-Risk Institute side.
The common ambition of EDHEC-Risk Institute and Princeton ORFE is to jointly develop and manage a research programme related to risk and investment management, and more precisely with a focus on improving risk management techniques regarded as the true source of added-value in investment management.
The research draws heavily on tools borrowed from various fields of operations research and financial engineering, including in particular financial econometrics, mathematical finance and stochastic optimisation. Princeton ORFE and EDHEC-Risk Institute faculties include some of the leading experts in these fields and their combined expertise is expected to lead to influential developments.
In addition to the members of both faculties, the research programme also involves doctoral candidates from Princeton ORFE. Selected candidates chosen to work on the joint research projects are invited to EDHEC-Risk campuses in Europe (Nice and London) or Asia (Singapore) for short-term or long-term visits dedicated to facilitating the coordination of the research efforts.
EDHEC-Risk and Princeton ORFE wish not only to develop cutting-edge research in financial econometrics and financial mathematics, but also to make sure that the investment industry will benefit from whatever useful academic insights will be generated through these research efforts.
In this context, EDHEC-Risk and Princeton ORFE jointly propose the EDHEC-Princeton Institutional Money Management conference, the first edition of which took place in New York City on April 27, 2012. The Princeton Club of New York also played host to the second and third editions of the conference on April 3, 2013 and April 23, 2015 respectively. On this occasion, speakers from EDHEC-Risk Institute, from Princeton ORFE, and also from the Bendheim Center for Finance at Princeton University, provided selected investment professionals with the latest academic insights related to new frontiers in institutional money management. The format of the conference is meant to facilitate exchanges of views between academicians and practitioners; it involves presentations given by a member of the faculty of Princeton University or EDHEC-Risk Institute, followed by a discussion with the audience.
|Strong partnerships with the Industry – EDHEC-Risk Institute is proud that its research activities are supported by some of the leading
names in the global financial industry:
Aberdeen, Allianz Global Investors, Amundi, Aviva Investors, AXA Investment Managers, BNP Paribas, Caceis Investor Services, Campbell Lutyens, Citi, CME Group, Commerzbank, CPR Asset Management, Deutsche Bank, Dow Jones Indexes, Eaton Vance, ETF Securities, Eurex, Fitch Ratings, FTSE Russell, Government of Singapore Investment Corporation, HSBC, Ing Investment Management, Invesco Asset Management, iShares, Jane Street Financial, Lombard Odier Darier Hentsch, Lyxor, Markov Processes International, Meridiam Infrastructure, Merrill Lynch Wealth Management, Moody's Investor Service, Morgan Stanley, Natixis, Newfinance Capital, Northern Trust, Ontario Teachers’ Pension Plan, ORTEC Finance, Ossiam, Pictet, PricewaterhouseCoopers, Quoniam, Riskdata, RiskMetrics, Rothschild & Cie, Société Générale Corporate & Investment Banking, Source, Standard & Poors, State Street Global Advisors, Stoxx, Sungard, Swiss Exchange, Threadneedle, UBS Global Asset Management, Vanguard Investments, Wellington Management.
EDHEC-Risk Position Papers, Publications and Industry Surveys
Position papers – the EDHEC-Risk stance on issues of relevance to the financial industry
EDHEC-Risk has innovated with the concept of the EDHEC-Risk Position Paper. This is a collective commitment not only on the part of the research team but also the whole institution to research results that are brought to the attention of companies and society at large.
As such, EDHEC-Risk has taken a position on, amongst many other issues, the risks of Exchange-Traded Funds (ETFs); the inadvisability of a financial transaction, or “Tobin,” tax; the ground to be covered for optimal implementation of the Solvency II directive, the solvency requirements for banks and the nature of asset management regulations following the credit crisis, the “fair value“ accounting standards, the undesirable effects of banning short sales, the absence of excessive speculation on the US oil futures markets, the performance of socially responsible investing, the regulatory proposals for commodity derivatives markets in Europe, the European Commission White Paper “An Agenda for Adequate, Safe and Sustainable Pensions“, better consideration of pension liabilities in European Union countries, and the link between Eurozone sovereign debt and credit default swap (CDS) prices.
EDHEC-Risk publications – financial research that corresponds to the needs of the corporate world
EDHEC-Risk’s publication strategy is to break away from a purely academic vision of research, whereby any research carried out has only been evaluated by academics and disseminated primarily to other scholars, to favour an approach where business is at the heart of the researcher’s concerns.
To ensure that our financial research corresponds to the needs of the corporate world, we present our publications in such a way as to render the research conclusions as accessible as possible to finance professionals, by including clearly delineated introductions, conclusions and an executive summary.
Recent EDHEC-Risk publications include a comprehensive risk allocation framework for goals-based wealth management, the perceptions of investment professionals on alternative equity beta strategies, geographic exposure for the performance reporting of equity portfolios, performance measurement for unlisted infrastructure debt, and the valuation of privately-held infrastructure equity investment.
Industry surveys – confronting research advances with industry best practices
EDHEC-Risk regularly conducts surveys on the state of the international institutional investment and asset management industry. These surveys look specifically at the application of recent research advances within investment management companies and at best practices in the industry.
The surveys cover both the traditional investment universe and alternative investments. Survey results receive considerable attention from professionals and are extensively reported by the international financial media.
|Recent Industry Surveys conducted by
Since 2004, EDHEC-Risk Institute has been organising annual conferences devoted to the buy-side industry across Europe. By setting up the EDHEC Hedge Fund Days in May 2004, EDHEC-Risk created a new type of conference that aimed to provide professionals with the state of the art in financial research in the various fields of risk and asset management. In view of our academic background, this was not about organising sales conferences where the speakers in turn deliver excessively brief messages that they do not have the time to discuss thoroughly, but about genuinely transmitting expertise on and debating current themes proposed by the EDHEC-Risk research team.
As such, the EDHEC-Risk conferences allow research results to be compared with the practices and needs of institutional investment and asset management professionals. EDHEC-Risk’s independence, the original approach—which leaves time for instruction and discussion during the sessions—and the highly selective speaker panel, make the EDHEC-Risk conferences the must-attend annual events for institutional investors and asset managers who are concerned about maintaining best level practices in both technical and conceptual terms.
The EDHEC-Risk Alternative Investment Days were recognised as the most relevant and worthwhile industry conference dedicated to alternative investments. The inaugural event, then called EDHEC Hedge Fund Day, was attended by over 400 senior professionals ranging from private and institutional investors to both hedge fund and fund of hedge fund managers from 20 countries. The fourth edition, which was held at the ExCeL Centre in Canary Wharf on 9-10 December, 2008, was attended by over 1,200 delegates in the midst of the financial crisis, confirming that this event has become the most prestigious and well-attended academic and professional conference on alternative investments in Europe.
The first EDHEC-Risk Institutional Days ran in Paris in November 2006. The 2008 and 2009 events attracted more than 2,100 institutional investors, asset managers and private bankers. In 2010, EDHEC-Risk’s partnership with IPE enabled the EDHEC-Risk Institutional Days to be held on the two days following the IPE Pension Fund Awards in Monaco.
In 2012, in order to better satisfy the requirements of institutional investors, EDHEC-Risk Institute decided to merge its two annual conferences into a unique three-day event in Europe, the EDHEC-Risk Days Europe, held at The Brewery in London on 27-29 March, 2012. The year 2012 also saw the inaugural EDHEC-Risk Days Asia conference in Singapore at the Marina Bay Sands Conference Centre on 9-10 May, 2012.
The 2014 edition of EDHEC-Risk Days Asia took place in Singapore on 3-4 July, 2014. 2013 saw the inaugural EDHEC-Risk Days North America conference at the Crowne Plaza in New York on 8-9 October, 2013.
The EDHEC-Risk Days 2015 took place at The Brewery in London on 24-25 March, 2015. This global conference is now a single, unique event.
The EDHEC-Risk Days 2016 will take place at The Brewery in London on 15-16 March 2016. The conference 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.
EDHEC-Risk, JOIM and Oxford University have joined forces for the first time to feature the best of the current state of the art, which has immediate as well as future impact on the practice of Retirement Investing. The JOIM-Oxford-EDHEC Retirement Investing Conference takes place on 11, 12 and 13 September, 2016 on the Oxford University Campus and showcases the highest quality thinking and research in the area. The programme is developed on a foundation of academic rigour with an overriding objective of identifying practical significance. Leading experts from the US and Europe will be featured. This includes the Nobel Prize recipient, Robert Merton, Andrew Lo and Deborah Lucas from the MIT Sloan School of Management, Mark Kritzman (Windham Capital), Martin Leibowitz (Morgan Stanley Research), Tim Jenkinson (University of Oxford) and Lionel Martellini (EDHEC-Risk Institute).
EDHEC-Risk Institute’s Research Dissemination Policy
Publishing articles in academic journals is a starting point for EDHEC-Risk Institute that qualifies the academic value of the research, but the ultimate objective for EDHEC-Risk Institute is to be able to change the practices of the industry and ensure that our research results are known and accessible for professionals.
EDHEC-Risk Institute in the press and media
EDHEC-Risk Institute has been cited over 55,000 times in worldwide trade publications.
Highlights of the research centre’s involvement with the press include:
- Regular articles covering the research centre’s work in Financial Times fund management;
- Partnership with CNBC and the Wall Street Journal on the Asia Investment Forum;
- Partnership with Investment & Pensions Europe (IPE) on the IPE Pension Fund Awards, and the EDHEC-Risk Institutional Days.
|A non-exhaustive list of professional publications in which the work of EDHEC-Risk Institute has been quoted can be found below:
Absolute Return, Asia Asset Management, Asian Investor, Australian Financial Review, Commodities Now, Deutsche Pensions & Investment Nachrichten, Die Welt, European Pensions News, Financial News, Financial Times, Financial Times China, Funds Europe, Futures Magazine, Global Alternatives, Global Investor, Global Pensions, Hedge Funds Review, Hedge Pensions Review, Hedgeweek, Hong Kong Economic Journal, InvestHedge, Investment & Pensions Asia, Investment & Pensions Europe, Investment Adviser, Investment Magazine (Australia), L’Agéfi, L’Agéfi Suisse, Le Temps, Les Echos, Life & Pensions, Milano Finanza, Operational Risk, Pensions Management, Pensions Week, Portfolio International, Professional Pensions, Risk, The Economist, The Hedge Fund Journal, Wall Street Journal, Wall Street Journal Europe.
EDHEC-Risk Institute Institutional Money Management Supplement in association with Pensions & Investments (P&I)
This quarterly supplement with the leading publication for North American asset owners was first published in Fall 2013 and continues to provide cutting-edge research-based insights for institutional investors.
A special microsite dedicated to EDHEC-Risk Institute’s research can be accessed on the Pensions & Investments website: www.pionline. com/EDHEC_Risk.
EDHEC-Risk Institute Research Insights Supplement in association with Investment & Pensions Europe (IPE)
Since the inaugural issue in Winter 2010, EDHEC-Risk Institute has been producing a quarterly Research Insights supplement that is distributed to European institutional investment professionals with the leading publication Investment & Pensions Europe (IPE). The aim of the supplement is to provide information on research-based solutions to the key challenges facing institutional investors and to make a genuine contribution to improving institutional investment practices.
In 2013, EDHEC-Risk Institute also entered into a partnership with AsianInvestor to provide a regular supplement for Asian investors.
EDHEC-Risk Institute Executive Education
The executive education seminars offered by EDHEC-Risk Institute help professionals to upgrade their skills with advanced asset allocation and risk management training across traditional and alternative classes.
Building on the latest research advances engineered by EDHEC-Risk Institute, we offer a range of executive courses in investment management and joint seminars with CFA Institute.
State-of-the-art investment management series
The EDHEC-Risk Institute investment management series seminars bring research advances and state-of-the-art practices into the practitioner’s portfolio of skills.
Designed and delivered by some of the most respected practitioners and academics in the area, these executive courses provide participants with a workable knowledge of the techniques that any investment professional should adopt.
Presented in a highly accessible manner and drawing upon the latest research results, these executive courses appeal to senior officers, investment specialists and administrators working for buy- and sell-side institutions, and to consultants and key account representatives advising high net worth individuals and institutional investors.
Spanning traditional and alternative investments, our offering includes such courses as:
• Advanced Commodity Investment Seminar
• Advances in Equity Portfolio Construction Seminar
• Alternative Investments Seminar
• Investment Risk Management Seminar
• Advanced Hedge Fund Investing Seminar
• Asset Allocation and Risk Management Seminar
Courses are offered in London and New York and carry CFA Institute Continuing Education credits.
CFA Institute – EDHEC-Risk Institute joint seminars
CFA Institute and EDHEC-Risk Institute organise events which present the latest research advances in asset allocation and alternative investment and clarify the distinction between true innovation and mere marketing claims in emerging industry trends. These exclusive seminars offer senior investment professionals a unique opportunity to gain an in-depth appreciation of the concepts and techniques that are shaping the future of investment management. In addition, they provide practical tools and novel investment approaches to improve investment and risk management processes and design new products.
The partnership between EDHEC-Risk Institute and CFA Institute provides the CFA Institute community with privileged access to EDHEC-Risk Institute’s expertise and allows EDHEC Business School to be part of the select club of global institutions–such as Harvard Business School and Wharton–which offer joint executive programmes with the world’s leading association of investment professionals.
CFA Institute/EDHEC-Risk Institute seminars:
- Advances in Asset Allocation Seminar – London, New York
- Advances in Equity Portfolio Construction Seminar – London, New York, Singapore
|Participants in the executive education programmes offered by EDHEC-Risk Institute represent the leading names in investment banking, traditional and alternative asset management, private banking and wealth management, advisory services and technology as well as the financial industry's foremost end-investors such as pension funds and foundations, sovereign funds, insurance companies, and family offices:
Aberdeen Asset Management, Abu Dhabi Investment Authority, Aegon Asset Management, Alberta Investment Management Corporation, Alliance Bernstein, Allianz Global Investors, AMF Pension, Amundi, Australian Prudential Regulation Authority, Australian Super, Allianz, AP2, APG Investments, Aspect Capital, ATP, Aviva Investors, AXA, BAE Systems Pension Fund, Bank of Canada, Barclays, Blackrock, BNP Paribas, Brunei Investment Agency, Calpers, Calstrs, Canada Pension Plan Investment Board, Capital Group, Citigroup, Columbia Threadneedle Asset Management, Credit Suisse, Deutsche Bank, EDF, European Central Bank, Financial Services Authority, Franklin Templeton Investments, GIC, Harvard Management Company, HSBC, Invesco, Irish National Pension Reserve Fund, JP Morgan, KPMG, Legal & General Investment Management, Legg Mason, Mainpers, Merrill Lynch, Monetary Authority of Singapore, Morgan Stanley, National Bank of Kuwait, Natixis, Nestle Pension Fund, New Zealand Superannuation Fund, Norges Bank Investment Management, Northern Trust, Old Mutual Asset Managers, Ontario Teachers’ Pension Plan, Oslo Pensjonsforsikring, Pictet & Cie, PricewaterhouseCoopers, Qatar Investment Authority, Royal Bank of Canada, Royal Bank of Scotland, Standard Life Investments, State Board of Administration of Florida, Saudi Arabian Monetary Agency, Schroders, Société Générale, State Street Global Advisors, T. Rowe Price, Teacher Retirement System of Texas, The Rockefeller Foundation, TIAA-CREF, Towers Watson, UBP, UBS, United Nations Joint Staff Pension Fund, Universities Superannuation Scheme, Vanguard, Washington State Investment Board, Wellington Management Company, Zurich Financial Services.
Cooperation between EDHEC-Risk Institute and Yale School of Management
EDHEC-Risk Institute and the Yale School of Management offer executive education courses based on the exceptional strength and relevance of academic research conducted by both Yale SOM and EDHEC-Risk finance faculty.
In 2013, we began a series of executive education seminars around the unifying theme, “Advanced Risk and Investment Management” in the US and Europe.
The focus of these seminars 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:
- Yale-EDHEC-Risk Asset Allocation and Investment Solutions Seminar
- Yale-EDHEC-Risk Harvesting Risk Premia in Equity and Bond Markets Seminar
- Yale-EDHEC-Risk Harvesting Risk Premia in Alternative Asset Classes and Investment Strategies Seminar
- Yale-EDHEC-Risk Multi-Asset Multi-Manager Products and Solutions
ERI Scientific Beta
"More for Less": A Different Actor in the Indexing Industry
As part of its policy of transferring know-how to the industry, EDHEC-Risk Institute has set up ERI Scientific Beta. ERI Scientific Beta is an original initiative which aims to favour the adoption of the latest advances in smart beta design and implementation by the whole investment industry. Its academic origin provides the foundation for its strategy: offer, in the best economic conditions possible, the smart beta solutions that are most proven scientifically with full transparency of both the methods and the associated risks.
ERI Scientific Beta aims to be the first provider of a smart beta platform to help investors understand and invest in advanced beta equity strategies. It has three principles:
- Choice: A multitude of strategies are available that allow users to build their own benchmark, choosing the risks to which they wish, or do not wish, to be exposed. This approach, which makes investors responsible for their own risk choices, referred to as Smart Beta 2.0, is the core component of the index offerings proposed by ERI Scientific Beta.
- Transparency: The rules for all of the Scientific Beta series are replicable and transparent. The track records of the Scientific Beta indices can be checked and justified through unrestricted access to historical compositions.
- Clarity: Exhaustive explanations of construction methodologies are provided, as well as detailed performance and risk analytics.
Part of EDHEC Business School, a not-for- profit organisation, EDHEC-Risk Institute has sought to provide the ERI Scientific Beta services in the best possible economic conditions.
The ERI Scientific Beta offering covers three major services:
- Scientific Beta Indices
Scientific Beta Indices are smart beta indices that aim to be the reference for the investment and analysis of alternative beta strategies. Scientific Beta Indices reflect the state-of-the-art in the construction of different alternative beta strategies and allow for a flexible choice among a wide range of options at each stage of their construction process. This choice enables users of the platform to construct their own benchmark, thus controlling the risks of investing in this new type of beta (Smart Beta 2.0). The Scientific Beta platform currently offers 3,076 smart beta indices.
Within the framework of Smart Beta 2.0 offerings, ERI Scientific Beta provides access to smart factor indices, which give exposure to risk factors that are well rewarded over the long term, while at the same time diversifying away unrewarded specific risks. By combining these smart factor indices, one can design very high-performance passive investment solutions.
- Scientific Beta Analytics
Scientific Beta Analytics are detailed analytics and exhaustive information on its smart beta indices to allow investors to evaluate the advanced beta strategies in terms of risk and performance. The analytics capabilities include risk and performance assessments, factor and sector attribution, and relative risk assessment. Scientific Beta Analytics also allow the liquidity, turnover and diversification quality of the indices offered to be analysed. In the same way, analytics provide an evaluation of the probability of out-of-sample outperformance of the various strategies present on the platform.
We believe that it is important for investors to be able to conduct their own analyses, select their preferred time period and choose among a wide range of analytics in order to produce their own picture of strategy performance and risk.
- Scientific Beta Fully-Customised Benchmarks and EDHEC-Risk Smart Beta Solutions
Scientific Beta Fully Customised Benchmarks is a service proposed by ERI Scientific Beta, and its partners, in the context of an advisory relationship for the construction and implementation of benchmarks specially designed to meet the specific objectives and constraints of investors and asset managers. This service notably offers the possibility of determining specific combinations of factors, considering optimal combinations of smart beta strategies, defining a stock universe specific to the investor, and taking account of specific risk constraints during the benchmark construction process.
In 2015, ERI Scientific Beta established an offering based on EDHEC-Risk Institute’s applied research expertise in the field of risk management. This offering, referred to as "EDHEC-Risk Smart Beta Solutions", enables tailored solutions for multi smart beta allocation to be defined for institutional investors and asset managers, allowing specific objectives with regard to relative or absolute risks in an asset management only or an asset-liability management dimension to be taken into account.
With a concern to provide worldwide client servicing, ERI Scientific Beta is present in Boston, London, Nice, Paris, Singapore and Tokyo.
ERI Scientific Beta has a dedicated team of 45 people who cover not only client support from Nice, Singapore and Boston, but also the development, production and promotion of its index offering.
E-mail address: email@example.com
393-400 Promenade des Anglais
06202 Nice Cedex 3
Tel: +33 (0)4 93 18 78 24
EDHEC-Risk Institute Corporate Brochure