Research for Business

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 research facility: EDHEC-Risk Institute. This institute now boasts a team of 80 permanent professors, engineers and support staff, as well as 18 research associates from the financial industry and 6 affiliate professors.

EDHEC-Risk Institute is located at campuses in Singapore, which was established at the invitation of the Monetary Authority of Singapore (MAS), the City of London in the United Kingdom, and Nice, France. In addition, it has a research team located in the United States.

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 competition and joint ventures allow selected partners to develop new business opportunities.

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 Institute’s dual 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 analyse with you the ways in which you could tap into the Institute’s expertise for the benefit of your organisation.

Academic Excellence and Industry Relevance

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 such foremost specialised scientific publications as the 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, and the decision by CFA Institute to designate EDHEC as an Approved Provider under the CFA Institute Continuing Education (CE) Programme.

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, circulates a monthly newsletter to over one million practitioners, conducts regular industry surveys and consultations, and organises annual conferences for the benefit of institutional investors and asset managers.

To subscribe to EDHEC-Risk's monthly newsletter, or to consult the newsletter archives, please click here.

EDHEC-Risk Indices & Benchmarks

While EDHEC-Risk Institute 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.

The insights drawn from EDHEC-Risk’s “Indices & Benchmarking”, “ALM and Asset Management” and “Derivatives and Asset Management” research programmes over the past several years have led to a series of products that provide more efficient or more academic-based solutions to investors’ needs than the indices and benchmarks currently available on the market. In order to clearly identify this type of activity and distinguish it from the fundamental research activities, EDHEC-Risk Institute created a spin-off in 2010, EDHEC-Risk Indices & Benchmarks, which aims to be one of the leading beta designers for the investment industry.

FTSE EDHEC-Risk Efficient Index Series

FTSE Group, the award winning global index provider, and EDHEC-Risk Institute launched the first set of FTSE EDHEC-Risk Efficient Indices at the beginning of 2010. Offered for a full global range, including All World, All World ex US, All World ex UK, Developed, Emerging, USA, UK, Eurobloc, Developed Europe, Developed Europe ex UK, Japan, Developed Asia Pacific ex Japan, Asia Pacific, Asia Pacific ex Japan, and Japan, the index series aims to capture equity market returns with an improved risk/reward efficiency compared to cap-weighted indices. The weighting of the portfolio of constituents achieves the highest possible return-to-risk efficiency by maximising the Sharpe ratio (the reward of an investment per unit of risk).

In order to maximise the Sharpe ratio, the methodology seeks to reliably estimate two essential inputs needed for portfolio optimisation: the expected returns of each stock which are calculated indirectly by the riskiness of each stock; and the covariance matrix of returns for all stocks which is calculated using statistical factor models that describe the co-movement of stock prices through their exposure to common risk factors.

These indices provide investors with an enhanced risk-adjusted strategy in comparison to cap-weighted indices, which have been the subject of numerous critiques, both theoretical and practical, over the last few years. The index series is based on all constituent securities in the FTSE All-World Index Series. Constituents are weighted in accordance with EDHEC-Risk’s portfolio optimisation, reflecting their ability to maximise the reward-to-risk ratio for a broad market index. The index series is rebalanced quarterly at the same time as the review of the underlying FTSE All-World Index Series. The performances of the EDHEC-Risk Efficient Indices are published monthly on www.edhec-risk.com.

EDHEC-Risk Alternative Indexes

The 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-Risk was the first to launch composite hedge fund strategy indexes as early as 2003.

Using factor analysis techniques, the EDHEC-Risk Alternative Indexes are built as the best one dimensional summaries of the information conveyed by competing indexes for a given style. The EDHEC-Risk 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-Risk Alternative Indexes tend to be very stable over time and thus are easily replicable.

The 13 EDHEC-Risk Alternative Indexes are published monthly on www.edhec-risk.com and are freely available to managers and investors.

The EDHEC IEIF Commercial Property (France) Index

Institutional investors allocate considerable shares of their portfolios to real estate, primarily in anticipation of diversification benefits. Institutional investors would like to use index-based products for this purpose; however, real estate indexing has proven challenging. It has been challenging largely because real estate features such characteristics—rarely found in other asset classes—as high unit values and indivisibility, limited liquidity, great heterogeneity; active property management is also required.

As a consequence, existing indices based on direct or indirect investment have several drawbacks. Indices based on direct investment are generally not investable and rely on subjective appraisals, so they show smoothed and lagged returns and the transparency of their components is wanting. Indirect investment indices usually rely on listed real estate investment vehicles and consequently have great exposure to equity market risk.

The EDHEC IEIF Commercial Property (France) Index addresses these issues by using unlisted property funds under the French SCPI scheme as the index underlying, given a certain liquidity threshold. The index has very attractive diversification properties and is representative of the real estate market; at the same time it is fully transparent and investable and has little exposure to financial market risk. These characteristics make the EDHEC IEIF Commercial Property (France) Index an interesting underlying for index-based products that could satisfy the demands of institutional investors.

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 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 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 and the performance of socially responsible investing.

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 studies on asset-liability decisions in private banking, the impact of regulations on the asset-liability management of European pension funds, asset-liability management decisions for sovereign wealth funds, the design of improved forms of target date funds, and non-financial risks in the European fund management industry.

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.

EDHEC-Risk Conferences

The annual conferences organised by EDHEC-Risk Institute in Europe since 2004 have drawn over 8,000 practitioners from some fifty countries and become must-attend events for institutional investors and investment managers who want to keep abreast of the latest developments and best practices in investment and risk management.

The EDHEC-Risk conferences allow research results to be compared with the practices and needs of institutional investment and asset management professionals, offer a highly selective speaker panel, and leave time for instruction and discussion during the sessions.

By setting up the EDHEC Hedge Fund Days in May 2004, EDHEC-Risk Institute 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.

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 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 December 9-10, 2008, was attended by over 1,200 delegates in the midst of the financial crisis, confirming that this event had become the most prestigious and well-attended academic and professional conference on alternative investments in Europe. In 2010, the EDHEC-Risk Alternative Investment Days returned to The Brewery in London. The event included two conferences and a roundtable that were genuinely significant events for alternative investment professionals: the CNBC EDHEC-Risk International Herald Tribune Hedge Fund Roundtable of Global Thought Leaders, the EDHEC-Risk Hedge Fund Summit and the EDHEC-Risk State-of-the-Art Alternative Investment Conference. The 2011 event was held in The Tower in London on April 5-6, 2011.

The first EDHEC-Risk Institutional Days ran in Paris in November 2006 and were attended by over 800 senior industry professionals in order to better understand how state-of-the-art asset management techniques could address their current and foreseeable needs. The 2008 event, in Paris on June 12-13, and the 2009 event, in Paris on May 26-27, attracted more than 2,100 institutional investors, asset managers and private bankers. To ensure that the conference was the European institutional event of 2010, EDHEC-Risk entered into a partnership with Investment & Pensions Europe (IPE), the leading monthly magazine for European institutional investors. 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, thus providing an exceptional opportunity for the awards ceremony attendees to take advantage of their visit to Monaco in order to bring themselves up-to-date with the latest developments in institutional investment research.

In 2012, EDHEC-Risk Institute has merged these two major flagship conferences into a new three-day event, the EDHEC-Risk Days Europe, taking place on March 27-29, 2012 at The Brewery in London. This major international conference will continue to bring together institutional investors and investment management professionals to discuss the results of EDHEC-Risk Institute’s latest research. Three events will be taking place within the main conference: the Indexation and Passive Investment Conference, the Global Institutional Investment Conference, and the Alternative Investment Conference. Three main roundtables will be organised each morning to allow for in-depth discussion of a key topic for the future of institutional investment.

Following the set-up of EDHEC-Risk Institute–Asia, the Institute is also bringing its new annual conference to the Asian region with the inaugural EDHEC-Risk Days Asia conference taking place on May 9-10, 2012 at the Marina Bay Sands conference centre in Singapore. The four main themes of the conference—Advances in Equity Investment, Indexing and Passive Investment, Alternative Investments and Regulatory Developments—will allow professionals to review major industry challenges, explore state-of-the art investment techniques and benchmark practices to research advances. Each day will open with an exclusive forum at which leading figures from the investment industry and senior officers of supervisory authorities will discuss ongoing regulatory initiatives that will impact the future of investing.

EDHEC-Risk Institute in the press and media

EDHEC-Risk Institute has been cited in more than 2,000 articles in the industry press.

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 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 Pension Fund Awards, and the EDHEC-Risk Institutional Days.

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:

• Commodities Investing Seminar
• Equity Portfolio Construction Seminar
• Alternative Investments Seminar

Courses are offered in Europe, North America and Asia 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, San Francisco, Singapore
• Alternative Asset Allocation Seminar – London, New York, Singapore

The EDHEC-Risk Institute PhD in Finance

The EDHEC-Risk Institute PhD in Finance programme is designed for professionals who aspire to higher intellectual levels and aim to redefine the investment banking and asset management industries.

The programme has two tracks: a ‘residential track‘ for high-potential graduate students who hold part-time positions at EDHEC-Risk, and an ‘executive track‘ for high-level practitioners who keep their full-time jobs.

Drawing its faculty from the world’s best universities and enjoying the support of a leader in applied financial research, the EDHEC-Risk Institute PhD in Finance creates an extraordinary platform for professional development and industry innovation.

Contact details:

E-mail address: research@edhec-risk.com

Postal address:

EDHEC-Risk Institute
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