EDHEC-Risk Institute suggests a new dynamic approach for measuring the market exposures of stock portfolios
Multi-factor models are standard tools for analysing the performance and the risk of equity portfolios. In addition to analysing the impact of common factors, equity portfolio managers are also interested in analysing the role of stock-specific attributes in explaining differences in risk and performance across assets and portfolios. In a new publication entitled “Multi-Dimensional Risk and Performance Analysis for Equity Portfolios”, EDHEC-Risk Institute explores a novel approach to address the challenge raised by the standard investment practice of treating attributes as factors, with respect to how to perform a consistent risk and performance analysis for equity portfolios across multiple dimensions that incorporate micro attributes. This research was conducted with the support of CACEIS as part of EDHEC-Risk Institute’s research chair on “New Frontiers in Risk Assessment and Performance Reporting”.
Mark Fawcett appointed new chairman of EDHEC-Risk Institute’s international advisory board
EDHEC-Risk Institute is pleased to announce the appointment of Mark Fawcett as chairman of its international advisory board. He is Chief Investment Officer of NEST Corporation, the trustee body responsible for running NEST, the National Employment Savings Trust. NEST was set up specifically to support changes that meant UK employers now have to automatically enrol their workers into a workplace pension scheme. Since its creation in 2011 NEST has become one of the largest master trusts in the UK and currently has over 200,000 employers signed up, 3.7 million members and over £1.2 billion assets under management.
A growing interest from investors in Smart Beta ETFs with more requirements and challenges to address
In a survey of investment professionals conducted as part of the Amundi ETF, Indexing & Smart Beta research chair at EDHEC-Risk Institute on “ETF and Passive Investment Strategies”, EDHEC-Risk Institute has solicited the specific views of 180 European ETF investors on “smart beta” exchange-traded funds (ETFs). This questionnaire has given rise to a study entitled “Investor Perceptions about Smart Beta ETFs”. There are four key findings.
Inaugural EDHEC-Risk Smart Beta Day in partnership with ERI Scientific Beta to take place in Amsterdam on October 13
The inaugural EDHEC-Risk Smart Beta Day Europe, organised by EDHEC-Risk Institute in partnership with ERI Scientific Beta, will take place at The Amstel Intercontinental in Amsterdam on October 13, 2016. The one-day conference will showcase the latest conceptual advances and research results in smart beta investing. The conference will include multiple plenary sessions allowing professionals to review major industry challenges, explore state-of-the-art investment techniques and benchmark practices to research advances.
EDHEC Risk Institute releases major new research on misconceptions in smart beta investing
EDHEC Risk Institute has released a major new research publication on misconceptions in smart beta investing. The research reviews ten common but mistaken claims about smart beta in three separate areas of smart beta performance and risk – performance drivers, investability hurdles, and strategy design choices – that present risks for investors and sheds light on underlying issues. The objective of the research is to provide perspective on these beliefs by examining conceptual considerations and empirical evidence. The analysis shows that, more often than not, superficially convincing claims about smart beta strategies stand on shaky foundations. Challenging conventional wisdom by reviewing the extant academic literature and empirical evidence would lead to more balanced conclusions and a more nuanced understanding of the benefits and risks of smart beta strategies.
New margin regulations for the non-cleared OTC derivatives to reduce systemic risk across financial markets
In a new publication entitled “Initial Margin for Non-Centrally Cleared OTC Derivatives – Overview, Modelling and Calibration,” EDHEC-Risk Institute provides a detailed overview and analysis of the forthcoming new framework to be used by large financial institutions to determine initial margin (IM) and variation margin (VM) payments when trading non-cleared over-the-counter (OTC) derivatives. The Fédération Bancaire Française (FBF) supports the research chair on “Innovations and Regulations in Investment Banking” in which this research was produced. Coming into effect in September 2016, this new framework was set out in 2015 and is based on the recommendations of the BCBS/IOSCO Working Group on Margin Requirements (WGMR).
Risk allocation strategies applied to alternative risk factors could be more relevant than hedge fund replication for harvesting alternative risk premia
In a new study entitled “Factor Investing and Risk Allocation: From Traditional to Alternative Risk Premia Harvesting”, drawn from the Lyxor Asset Management research chair on “Risk Allocation Solutions”, EDHEC-Risk extends the analysis of factor investing beyond traditional factors and seeks to investigate what the best possible approach is for harvesting alternative long short-risk premia. There is a growing interest amongst sophisticated institutional investors in factor investing. It is now well accepted that the average long-term performance of active mutual fund managers can, to a large extent, be replicated through a static exposure to traditional factors, which implies that traditional long-only risk premia can be most efficiently harvested in a passive manner. By looking beyond traditional factors, this research does indeed identify other strategies that serve to harvest alternative risk premia.
Professor Riccardo Rebonato joins EDHEC-Risk Institute
We are very delighted to announce that Professor Riccardo Rebonato, a specialist in interest rate risk modelling with applications to bond portfolio management and fixed-income derivatives pricing, has joined EDHEC-Risk Institute on May 2, 2016. He also joined the EDHEC Faculty. Professor Rebonato was previously Global Head of Rates and FX Research at PIMCO. He also served as Head of Front Office Risk Management and Head of Clients Analytics, Global Head of Market Risk and Global Head of Quantitative Research at Royal Bank of Scotland (RBS). Prior joining RBS, he was Head of Complex IR Derivatives Trading and Head of Head of Derivatives Research at Barclays Capital. Riccardo Rebonato has served on the Board of ISDA (2002-2011), and has been on the Board of GARP since 2001. He was a visiting lecturer in Mathematical Finance at Oxford University (2001-2015).
EDHEC-Risk’s annual European ETF Survey sheds new light on drivers of investor demand for ETFs and evaluation challenges for investors
EDHEC-Risk Institute has announced the results of the EDHEC European ETF Survey 2015, a comprehensive survey of 180 European ETF investors, conducted as part of the Amundi ETF, Indexing & Smart Beta research chair at EDHEC-Risk Institute on “ETF and Passive Investment Strategies”. EDHEC-Risk Institute has conducted a regular ETF survey since 2006, thus providing a detailed account of the perceptions and practices of European investors in ETFs and trends over the past decade. Key findings of the 2015 survey covered the following aspects: the increasing appetite for ETF usage, the drivers for ETF demand, and evaluation challenges.
Presentation of latest EDHEC-Risk Institute research at the EDHEC-Risk Days conference in London, March 15-16, 2016
Smart beta solutions, factor investing, multi-asset risk allocation, infrastructure, and hedge fund investing are among the topics to be presented at the EDHEC-Risk Days 2016 conference at The Brewery in London on March 15-16 next. The conference will feature the latest EDHEC-Risk Institute research on a range of topics that are currently relevant for the financial industry. On the first day, the latest research results on smart beta risk allocation solutions, factor-based investment strategies, robustness and live performance of smart beta as well as current misconceptions in smart beta investing will be presented. The conference will also be the occasion to discover the results of the latest European ETF survey. On day two, the Institutional Money Management Conference will present research of great interest to institutional investors on new frontiers in retirement solutions, multi-dimensional risk and performance analysis, hedge fund investing and multi-asset allocation solutions. Day two will also include the EDHECinfra Forum presenting the latest research results on infrastructure investing.