About the EDHEC Risk and Asset Management Research Centre
Since 2001, EDHEC has been pursuing an ambitious policy in terms of international 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 a major European research facility: the EDHEC Risk and Asset Management Research Centre.
This centre now boasts a team of 31 permanent professors, engineers and support staff, and counts 16 research associates from the financial industry.
Having learnt in recent years about the risks of excessive reliance on asset selection models, investors and managers are showing unprecedented interest in asset allocation approaches as sources of performance.
Concurrently, the emergence of alternative asset classes with risk profiles that are very different from those of traditional investments is creating new opportunities for asset allocation in both conceptual and operational terms.
To ensure that its activities meet the highest academic standards and truly benefit the industry, the EDHEC Risk and Asset Management Research Centre 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 dual management structure and the oversight exercised by the leading experts serving on its international advisory board.
The EDHEC Risk and Asset Management Research Centre plays a noted role in furthering applied financial research and systematically highlighting its practical uses. As part of its "research for business" philosophy, the 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 competition and joint ventures allow selected partners to develop new business opportunities.
The following sections will provide you with a brief introduction to the activities carried out by the EDHEC Risk and Asset Management Research Centre.
Our team is available to analyse with you the ways in which you could tap into the centre’s expertise for the benefit of your organisation.
From Research Advances to Industry Best Practices
EDHEC Business School set up the Risk and Asset Management Research Centre to conduct world-class academic research and highlight its applications to the industry. The centre’s team of 35 researchers carries out six industry-sponsored programmes focusing on asset allocation and risk management in the traditional and alternative investment universes. In keeping with this mission, the centre 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 centre have been published by such foremost specialised academic publications as the Journal of Portfolio Management and the Financial Analysts Journal, featured in numerous articles published by professional magazines, and presented at major industry conferences. They have also received widespread coverage in the European business press.
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 choice by the Chartered Alternative Investment Analyst Association® to make EDHEC Business School its sole official provider of CAIA review courses for Europe, and the decision by the CFA Institute to designate EDHEC as an Approved Provider under the CFA Institute Professional Development Programme.
International academic journals in which EDHEC teaching and research staff have published:European Economic Review, European Financial Management Finance, Finance Research Letters, Financial Analysts Journal, Financial Management, International Economic Review, Journal of Alternative Investments, Journal of Applied Econometrics, Journal of Asset Management, Journal of Banking and Finance, Journal of Business, Journal of Business and Economic Statistics, Journal of Derivatives, Journal of Economic Growth, Journal of Financial and Quantitative Analysis, Journal of Financial Economics, Journal of Futures Markets, Journal of Economic Dynamics and Control, Journal of Fixed Income, Journal of International Money and Finance, Journal of Investment Management, Journal of Mathematical Economics, Journal of Money, Credit and Banking, Journal of Performance Measurement, Journal of Political Economy, Journal of Portfolio Management, Management Science, Quarterly Journal of Economics, RAND Journal of Economics, Review of Economics and Statistics, Review of Finance, Review of Financial Studies. |
Constant dialogue with the industry
To maximise exchanges between the academic and business worlds, the Risk and Asset Management Research Centre maintains a website devoted to asset management research for the industry: www.edhec-risk.com, circulates a monthly newsletter to well over 125,000 practitioners, conducts regular industry surveys and consultations, and organises annual conferences for the benefit of institutional investors and asset managers.
EDHEC-Risk ConferencesSince 2004, the EDHEC Risk and Asset Management Research Centre 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 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 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 research team. As such, the EDHEC conferences allow research results to be compared with the practices and needs of European institutional investment and asset management professionals. EDHEC’s independence, the original approach—which leaves time for instruction and discussion during the sessions—and the highly selective speaker panel, make the EDHEC conferences the must-attend annual events for European institutional investors and asset managers who are concerned about maintaining best level practices in both technical and conceptual terms. The EDHEC Hedge Fund Days, now re-branded as the EDHEC Alternative Investment Days to accommodate the new alternative asset classes, are recognised as the most relevant and worthwhile industry conference dedicated to alternative investments. The inaugural event was attended by over 400 senior professionals from private and institutional investors to both hedge fund and fund of hedge fund managers from 20 countries, while in February 2006, close to 800 attendees from over 30 countries participated in the second EDHEC Hedge Fund Days and associated Institutional Investors Summit. The EDHEC Risk and Asset Management Research Centre staged the third edition of the EDHEC Alternative Investment Days in London on November 20 and 21, 2007. The inaugural EDHEC Asset Management Days took place in Geneva in April 2005 and gave around 600 industry practitioners, including institutional investors, private bankers and institutional money managers, the opportunity to meet and debate with EDHEC’s research team. The event was repeated in March 2007 with more than 700 participants. Completing the conference portfolio, the first EDHEC Institutional Days and ETF Summit ran in Paris in November 2006 and was attended by over 800 senior industry professionals in order to better understand how state-of-the-art asset management techniques can address their current and foreseeable needs. In 2008, EDHEC is merging these two conferences into a single event. The EDHEC Asset Management Days, which had been taking place in Geneva up until now, have been integrated into a new edition of the EDHEC Institutional Days, which will now be held every year in Paris in June. This new joint event will capitalise on the previous success of both events, with the most recent editions having attracted in total more than 1,200 institutional investors, asset managers and private bankers. By merging the two events, EDHEC’s intention is to establish in Paris the most important European conference for institutional investment management. |
EDHEC Risk Position Papers, Publications and Industry SurveysPosition papers – the EDHEC stance on issues of relevance to the financial industryEDHEC has innovated with the concept of the EDHEC 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 has taken a position on, amongst many other issues, the privatisation of the French motorways; the causes of the collapse of the hedge fund Amaranth; the inadequacies of the MiFID financial services directive; the eligibility of hedge fund indices within the framework of UCITS3; the financial and operational risks of hedge funds; the lessons to be drawn from the subprime lending crisis; and the ground to be covered for optimal implementation of the Solvency II directive. EDHEC publications – financial research that corresponds to the needs of the corporate world EDHEC’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 publications include a study on asset-liability management decisions in private banking; a literature survey on performance measurement for traditional investment; an assessment of the quality of stock market indices; and an evaluation of the impact of IFRS and Solvency II on asset-liability management and asset management in insurance companies. Industry surveys – confronting research advances with industry best practices The EDHEC Risk and Asset Management Research Centre regularly conducts surveys on the state of the European 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 (including hedge funds and real estate). Survey results receive considerable attention from professionals and are extensively reported by the international financial media.
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Singular joint-venture policy
While the EDHEC Risk and Asset Management Research Centre makes important public contributions to the advancement of applied financial research and the improvement of industry practices, it also employs its expertise to conduct proprietary research for clients and develop new products with business partners. An example of a business partnership is the EuroPerformance-EDHEC Style Ratings.EDHEC Alternative IndexesThe different hedge fund indexes available on the market are computed from different data, according to diverse fund selection criteria and index construction methods; they unsurprisingly tell very different stories. Challenged by this heterogeneity, investors cannot rely on competing hedge fund indexes to obtain a "true and fair" view of performance and are at a loss when selecting benchmarks. To address this issue, EDHEC was the first to launch composite hedge fund strategy indexes as early as 2003. Using factor analysis techniques, the EDHEC Alternative Indexes are built as the best one dimensional summaries of the information conveyed by competing indexes for a given style. The EDHEC composites are thus able to capture a very large fraction of the information contained in the competing indexes while implicitly minimising their various biases. Consequently, the EDHEC Alternative Indexes tend to be very stable over time and thus are easily replicable. The 13 EDHEC Alternative Indexes are published monthly on www.edhec-risk.com and are freely available to managers and investors. |
EuroPerformance-EDHEC Style Ratings and Alpha League TableMeasuring the performance of investment funds is a key issue for both professional money managers and investors. As fund ratings increasingly exert a determining influence on the collection of capital, their users are becoming more and more demanding with regard to the relevance and methodological rigor of the performance evaluation system implemented. In point of fact, the classifications of the main rating services no longer meet market expectations. France’s leading fund rating agency EuroPerformance and the EDHEC Risk and Asset Management Research Centre entered into a business partnership with the aim of developing new tools for performance measurement and style analysis. The partnership led to the launch in 2004 of the EuroPerformance-EDHEC Style Ratings, a free rating service for funds distributed in Europe which addresses market demand by delivering a true picture of the alphas, accounting for potential extreme loss, and measuring performance persistence. For each of these dimensions, the rating relies on state-of-the-art conceptual and technical tools (Return-Based Style Analysis and multi-index models, semi-parametric VaR, Hurst exponent). The Alpha League Table is the first European ranking of asset management firms based on an accurate measure of risk-adjusted performance. It provides a ranking of the best asset management companies in Europe on a quarterly basis by comparing their ability to deliver positive alphas. The table focuses each year on four European zones in particular: France, Italy and Spain, Switzerland and finally, the UK. The results are published exclusively in the two leading business dailies in the UK and France: the Financial Times and Les Echos. The highest-ranked firms in the Alpha League Table are the best providers of alpha, i.e. the asset management firms that provide a good compromise between the value of the alphas produced and their frequency. This evaluation allows institutional investors to be sure that the company offering them a dedicated fund or an active management mandate has the ability to deliver added value in comparison with an investment in passive supports. The Alpha League Table is constructed upon a measure of the intensity of alpha (the performance adjusted for the risks that were actually taken) for all of the asset management firm’s active “equity” management. The funds that produce alpha are identified from the EuroPerformance-EDHEC Style Ratings. |
Business offshoots: EDHEC Investment Research and EDHEC Alternative Asset Management Education
The centre’s activities have also given rise to the business offshoots EDHEC Investment Research and EDHEC Asset Management Education.
EDHEC Investment Research supports institutional investors and asset managers in the implementation of the centre’s research results and proposes asset allocation services in the context of a ‘core-satellite’ approach encompassing alternative investments.
EDHEC Asset Management Education helps investment professionals to upgrade their skills with advanced risk and asset management training across traditional and alternative classes
Contact details:
E-mail address: research@edhec-risk.comPostal address:
EDHEC Risk & Asset Management Research Centre
393-400 Promenade des Anglais
BP 3116
06202 Nice Cedex 3
France
Tel: +33 (0)4 93 18 78 24
Fax: +33 (0)4 93 18 78 44
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