EDHEC-Risk Institute, KAIST, Princeton, and Tsinghua University to host a series of annual rotational conferences on FinTech starting in Princeton on 26 April 2017
EDHEC-Risk Institute, KAIST, Princeton, and Tsinghua University are partnering for the first time and are pleased to announce the launch of a series of rotational conferences on financial technologies. This forum will facilitate discussion among all interested parties (academics, practitioners, and regulators) from around the world. In the era of the fourth industrial revolution, every aspect of our lives is rapidly changing. What were once perceived as topics of science fiction – including artificial intelligence, robotics, autonomous vehicles, the Internet of Things, and quantum computing – are now being deployed in the real world, with a speed and on a scale we have never seen. Thanks to the vast amount of data, increased computing power and newly developed technologies, the tasks that only human beings could do are now beautifully and efficiently conducted by machines. Without question, many industries will face unprecedented fundamental changes – from daily operations to the whole value chain.
EDHEC-Risk Institute paper analyses the impact of transaction costs on the performance of systematic equity strategies
A new EDHEC-Risk Institute publication entitled “Smart Beta Replication Costs,” conducted as part of the Amundi research chair at EDHEC-Risk Institute on “ETF, Indexing and Smart Beta Investment Strategies”, provides an explicit estimate of the costs applied to a range of Smart Beta strategies and analyses the impact of different implementation rules or stock universes. A reasonable expectation from an investor’s perspective is that providers should disclose the estimated level of transaction costs generated by their strategies so as to allow for information on net returns. However, providers often fail to make explicit reference to transaction costs and simply report gross returns, leaving it to other market participants to figure out the exact amount of transaction costs. The objective of this paper is to assess transaction costs of smart beta strategies in order to contrast the gross returns of such strategies shown in backtests with estimates of net returns that are actually available to investors when considering transaction costs.