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 41 permanent professors, engineers and support staff, and counts 14 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 provide 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.
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 scientific publications as Journal 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, the choice in 2004 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 organise joint executive seminars with EDHEC Business School.
International academic journals in which EDHEC teaching and research staff have published:Applied Financial Economics, Canadian Journal of Economics, Economic Enquiry, 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. |
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 200,000 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 Alternative Investment Days are 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 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 third edition of the EDHEC Alternative Investment Days took place in London on November 20 and 21, 2007 and attracted an audience of over 900 high-level delegates, confirming that this event has become the most prestigious and well-attended academic and professional conference on alternative investments in Europe. 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 merged 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. The 2008 event, in Paris on June 12-13, attracted more than 1,200 institutional investors, asset managers and private bankers. By merging the two events, EDHEC has established 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 inadequacies of the MiFID financial services directive; the eligibility of hedge fund indices within the framework of UCITS3; the lessons to be drawn from the subprime lending crisis; the ground to be covered for optimal implementation of the Solvency II directive, the causes of the collapse of the hedge fund Amaranth, the solvency requirements for banks following the credit crisis, and the "fair value" accounting standards. 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 review of passive hedge fund replication; 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. Survey results receive considerable attention from professionals and are extensively reported by the international financial media.
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EDHEC Alternative Indexes
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. |
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.
EuroPerformance-EDHEC Style RatingsFrance’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 EuroPerformance-EDHEC Alpha League TableThe 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. |
IPE-EDHEC Institutional Asset Management Awards (IAMAs)EDHEC set up the IPE-EDHEC Institutional Asset Management Awards with leading European institutional investment publication Investment & Pensions Europe in 2008. The aim of the IAMAs is to provide awards for asset managers on an objective basis by using state-of-the-art financial research. It represents the first time that Europe’s institutional asset management industry has an awards programme based on objective and transparent criteria. The IAMAs correspond to a quantitative evaluation of the quality of the institutional asset management offerings from investment management firms in Europe. This evaluation takes account not only of the performance of active portfolio management (alpha), but also of the relevance of the long-term allocation choices (beta) and the quality of the risk management. To oversee the rules and methodology of the awards, EDHEC and IPE formed an advisory committee consisting of 12 key representatives from Europe’s institutional investment community. On the basis of a proposed methodology drawn up by EDHEC, the committee notably had the role of validating the relevance and usefulness of the calculations proposed for institutional investors. The committee helped to define the rules for the prizes, in particular by validating the categories that are representative of the main asset management offerings and correspond to institutional investors’ manager selection and/or allocation practices. |
The EDHEC Risk and Asset Management
Research Centre in the press and media
The EDHEC Risk and Asset Management Research Centre has been cited in more than 2,000 articles in the industry press.
Highlights of the research centre’s involvement with the press include:
- A partnership with the Financial Times to publish the results of the Alpha League Table (quarterly);
- Partnership with CNBC Europe and the International Herald Tribune on the Hedge Fund Roundtable of Global Thought Leaders;
- Partnership with the Wall Street Journal Europe on the Institutional Investor Forum;
- Partnership with Investment & Pensions Europe (IPE) on the IPE-EDHEC Institutional Asset Management Awards.
Investment Management Review is a magazine with which the EDHEC Risk and Asset Management Research Centre has formed a major partnership. This partnership involves both editorial contributions and a distribution agreement.
Investment Management Review provides an overview of new developments and thinking in the asset management industry, globally and across a comprehensive range of sectors, including pension funds, mutual funds, hedge funds, private equity, structured products and ETFs.
By reading just this one magazine, readers can keep up-to-date with all the important asset management developments. IMR’s sources range from the best of the financial media and websites to important conferences and authoritative academic publications.
All aspects of the industry are covered, including business strategy, the relative growth of different distribution channels, and investment processes and techniques.
A non-exhaustive list of professional publications in which the work of the EDHEC Risk and Asset Management Research Centre has been quoted can be found below:Absolut Report, Absolute Return, Alternative Investment Quarterly, Asset Management, Cinco Dias, Daily Telegraph, Deutsche Pensions & Investment, Nachrichten, European Fund Focus, European Fund Manager, European Pensions News, Evening Standard, Financial News, Financial Times, FOW, FT Mandate, FTfm, Fund Futures Journal, Funds Europe, Funds Magazine, Futures Magazine, FX&MM, Global Alternatives, Global Investor, Global Pensions, Hard Assets Investor, Hedge, Hedge Funds Review, Hedge Pensions Review, Hedgeweek, Hedgeworld, HFM Week, International Herald Tribune, InvestHedge, Investment & Pensions Europe, Investment Adviser, Investment Management Review, IPE Real Estate, La Tribune, La Vie Financière, L’Agéfi, L’Agéfi Suisse, Le Figaro, Le Monde, Le Revenu, Le Temps, Les Echos, Life & Pensions, Life Insurance International, MAR Hedge, Milano Finanza, Operational Risk, Option Finance, Pensions & Investments, Pensions Management, Pensions Week, Portfolio International, Professional Pensions, PWM, Risk, The Desk, The Economist, The Hedge Fund Journal, Wall Street Journal. |
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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