EDHEC-Risk Institute Press Releases2009
Risk and clients matter: EDHEC-Risk Institute unveils major initiative for the investment industry
In a recent consultation conducted by EDHEC-Risk Institute in the wake of the financial crisis, 95% of investment professionals surveyed felt that improvements in investment practices were needed and 86% of respondents believed that further education and effort were required to close the gap between real-word practice and research. In this context, EDHEC-Risk Institute announced today the launch of a major initiative to address the educational needs of the investment industry. The Executive MSc in Risk and Investment Management will provide experienced practitioners with the conceptual and practical tools to embrace and lead the major changes that will redefine the profession.
New EDHEC-Risk Position Paper Finds No Evidence of Excessive Speculation in the US Oil Futures Markets
Because many aspects of the global oil markets have not been sufficiently transparent, it was unclear how much of the oil-price rally that peaked in July 2008 could be put down to speculation. This uncertainty has led to concerns that there was actually excessive speculation in the oil derivatives markets. On October 20th, 2009, the U.S. Commodity Futures Trading Commission (CFTC) released three years of enhanced market-participant data for 22 commodity futures markets in its new “Disaggregated Commitments of Traders” report. With this report, Hilary Till, Research Associate with the EDHEC-Risk Institute, was able to examine whether the balance of outright position-taking in the exchange-traded oil derivatives markets has been excessive relative to hedging demand during the past three years.
Mr. Philippe Marchessaux joins the EDHEC-Risk Institute’s International Advisory Board
We are very pleased to announce the appointment of Mr. Philippe Marchessaux, Chief Executive Officer of BNP Paribas Investment Partners, as a new member of the EDHEC-Risk Institute’s International Advisory Board. Philippe Marchessaux has over 20 years experience working across BNP Paribas' asset management businesses. He was most recently appointed Deputy CEO of BNP Paribas Investment Partners in February 2009 and has been a member of BNP Paribas Investment Partners' executive committee since 2004.
Bernd Scherer joins EDHEC Business School as Professor of Finance
EDHEC Business School and EDHEC-Risk Institute are pleased to announce the appointment of Bernd Scherer as Professor of Finance with EDHEC Business School and a member of EDHEC-Risk Institute. A specialist in asset valuation, portfolio construction, asset allocation, and asset liability modelling, Professor Scherer will take up his appointment in January 2010 and will be actively involved in the research carried out within EDHEC-Risk Institute. Prior to joining EDHEC-Risk, Professor Scherer was Managing Director and Global Head of Quantitative Structured Products at Morgan Stanley in London and Honorary Visiting Professor at the University of London Birkbeck College. Previously, he was with Deutsche Asset Management where he successively headed the Investment Solutions and Overlay Management Group in Frankfurt, and Global Quantitative Research and Portfolio Engineering from New York.
Exclusive PhD in Finance programme expands in Asia
EDHEC-Risk Institute today announced the extension of its PhD in Finance to Asia where it will be offered from Singapore. The three-year programme helps individuals acquire the background and skills required to conduct research that will yield original insights and lead to innovative finance solutions. It welcomes both recent university graduates, who join the Institute as research assistants, and seasoned practitioners, who keep their full-time jobs. The programme faculty consists of world-class specialists in economics and finance. It brings together senior EDHEC-Risk Institute scholars and outstanding affiliate professors from institutions such as the University of Chicago Booth School of Business, the Wharton School of the University of Pennsylvania, Columbia University, and Princeton University.
Pension fund regulation should encourage risk management concludes EDHEC survey
In a newly-released report by Samuel Sender, Applied Research Manager at EDHEC-Risk, EDHEC has surveyed pension funds, their advisers, their regulators, their fiduciary managers, and their asset managers for their reactions to an EDHEC study entitled “Impact of Regulations on the ALM of European Pension Funds.” The call for reaction elicited 142 non-blank responses and is the first international survey in which both regulatory constraints and the means of managing them—modern ALM techniques—are assessed jointly.
EDHEC welcomes the consultation paper on the UCITS depositary function, but finds the European Commission timetable has been drawn up too hastily
The European Commission is seeking to harmonise the UCITS depositary function and to strengthen investor protection mechanisms. In a recent position paper by Noël Amenc, director of EDHEC-Risk Institute and professor of finance at EDHEC, and Samuel Sender, director of applied research at EDHEC-Risk, in response to the European Commission Consultation on the UCITS depositary function of 15 September 2009, EDHEC expresses its approval of the consultation paper and stresses several key points.
CFA Institute and EDHEC-Risk Institute Extend Seminar Offering to Three Continents
In an effort to better serve the investment management community, CFA Institute and EDHEC-Risk Institute have reinforced their executive education partnership to offer their Advances in Asset Allocation seminar in London, New York, and Singapore. The seminar is intended for investment management professionals who give advice on or participate in the design and implementation of asset allocation policies and portfolio models, and for sell-side practitioners who develop new asset management and ALM solutions for investors. Previous seminars, in 2008 and 2009, have attracted more than 150 senior participants from a large cross-section of buy- and sell-side institutions in twenty-four countries worldwide.
EDHEC warns that the proposed revision to IAS 19 would lead pension funds to shed risky assets
In a new position paper produced as a response to the proposed revision to IAS 19 by the International Accounting Standards Board (IASB), EDHEC has shown that the immediate recognition of the volatility of pension surpluses and deficits in the profit and loss accounts of the sponsor may lead pension funds to shed risky assets. According to EDHEC, the IASB proposal gives pension funds no incentives to manage risk properly; instead, by suggesting that pension assets and liabilities can be considered held for trading, pension funds are given incentives to shed these liabilities.
EDHEC research suggests that the traditional approach to private wealth management is misguided
The results of a new study by EDHEC-Risk entitled “Asset-Liability Management in Private Wealth Management,” by Noël Amenc, Lionel Martellini, Vincent Milhau and Volker Ziemann, suggest that suitable extensions of portfolio optimisation techniques used by institutional investors can be transposed to private wealth management, precisely because these techniques have been engineered to incorporate in the portfolio construction process an investor's specific context, objectives, and horizon. The EDHEC-Risk analysis has great potential implications for the wealth management industry.
EDHEC-Risk and CACEIS set up research chair on risk and regulation in the European fund management industry
EDHEC-Risk and CACEIS have announced the creation of a new research chair on "Risk and Regulation in the European Fund Management Industry," through which EDHEC researchers will develop solutions to the major risks currently faced by the asset management industry in Europe. The chair will be headed up by Noël Amenc, director of EDHEC-Risk.
Barry Schachter joins the EDHEC Risk and Asset Management Research Centre as Research Associate
We are very pleased to announce the appointment of Barry Schachter as Research Associate at the EDHEC Risk and Asset Management Research Centre. Barry Schachter is Director of Quantitative Resources at Moore Capital Management where he is responsible for the Risk, Financial Engineering, and Trade Analysis and Control teams.
New EDHEC report counters the European Commission’s enthusiasm on the effects of MiFID
In the wake of a report by the economics consultancy Oxera for the European Commission on the positive impact of MiFID (Markets in Financial Instruments Directive), a new position paper from the EDHEC Risk and Asset Management Research Centre, entitled "MiFID: One Year On", looks at the changes that have been effected in the European capital markets more than one year after the implementation of the directive. The EDHEC report concludes that these changes are hard to quantify, but initial fears of the rise of so-called dark pools of liquidity have proven well founded, and the best execution obligation remains ambiguous.
The EDHEC Robeco Journal of Portfolio Management Award 2009 is presented to Laurence B. Siegel
At a special session of the EDHEC Institutional Days at the CNIT conference centre in Paris on May 26, EDHEC, Robeco and the Journal of Portfolio Management presented the first EDHEC Robeco Journal of Portfolio Management Award to the author of the academic paper published in the Journal of Portfolio Management in the previous calendar year which, in the opinion of the jury, has had the most relevance for institutional investors. For this inaugural award, the winner is Laurence B. Siegel, author of “Alternatives and Liquidity: Will Spending and Capital Calls Eat Your ‘Modern’ Portfolio?” Mr Siegel’s paper was chosen following a two-stage selection process, firstly involving a panel of academic experts who drew up a shortlist of potential winning papers, and then a final vote from a jury made up of three Chief Investment Officers from leading European pension funds.
EDHEC-Risk and Newedge set up research chair on advanced modelling for alternative investments
EDHEC-Risk and the Prime Brokerage Group at Newedge have announced the creation of a new research chair entitled "Advanced Modelling for Alternative Investments" through which EDHEC researchers will develop advanced modelling techniques that can be used for alternative investment returns. The chair is under the leadership of Lionel Martellini, scientific director of the EDHEC-Risk Centre.
EDHEC research shows that institutional investors' short-term constraints are less costly than the lack of genuine risk management strategies
The results of a new study by EDHEC entitled "Measuring the Benefits of Dynamic Asset Allocation Strategies in the Presence of Liability Constraints", drawn up by Lionel Martellini, scientific director, and Vincent Milhau, research engineer with the EDHEC Risk and Asset Management Research Centre, suggest that it is not so much the presence of funding ratio constraints that is in itself costly for pension funds as their reluctance to implement risk-management strategies that are optimal given such short-term constraints. According to EDHEC, dynamic risk-management strategies can turn irreversible contributions into reversible contributions and short-term constraints into long-term constraints, hence the severe opportunity cost for pension funds that do not follow them.
The EDHEC Risk and Asset Management Research Centre welcomes distinguished new members to its international advisory board
The EDHEC Risk and Asset Management Research Centre is pleased to announce that seven new members have joined its international advisory board, which brings together high-level representatives from regulatory bodies, leading pension funds, professional organisations and business partners. The role of the international advisory board is to validate the relevance and goals of the research programme proposals presented by the centre’s management and to evaluate research outcomes with respect to their potential impact on industry practices. The 36 members of the board also advise on the objectives and contents of projects deriving from the expertise of the research centre, thereby ensuring that graduate and executive programmes remain at the forefront of developments in the marketplace.
EDHEC’s annual European ETF Survey confirms that investors are highly satisfied with the features of ETFs
The EDHEC Risk and Asset Management Research Centre has announced the results of the EDHEC European ETF Survey 2009, which presents the results of a comprehensive survey of 360 institutional investors and private wealth managers conducted in January and February 2009. The EDHEC survey also provides an overview of the ETF market and of the mechanisms behind ETFs, and shows how advanced techniques involving dynamic allocation strategies can be carried out with ETFs, in particular to implement the beneficial core-satellite approach to investment.
EDHEC and UFG create a research chair on dynamic allocation models and new forms of target-date funds
The EDHEC Risk and Asset Management Research Centre and UFG have announced the creation of a new research chair entitled "Dynamic Allocation Models and New Forms of Target-Date Funds for Private and Institutional Clients". The chair will be overseen by a joint UFG/EDHEC steering committee. Researchers at the EDHEC Risk and Asset Management Research Centre, under the leadership of Lionel Martellini, the scientific director of the Centre, will examine the limitations of target-date funds of gradually more conservative profiles and the advantages of an asset-liability management approach sensitive to the period and to the economic cycle for target-date funds, in particular for pensions.
A new EDHEC report assesses the impact of regulation on the asset-liability management of European pension funds
A new study produced by the EDHEC Risk and Asset Management Research Centre, entitled “Impact of Regulations on the ALM of European Pension Funds,” analyses the impact of prudential and accounting constraints on the asset-liability management (ALM) of European pension funds in the Netherlands, the UK, Germany, and Switzerland. Among the highlights of this report:
- The retirement system would be more stable if regulators were more willing to tolerate short-term risk.
- Pension funds should build internal models for their risk management strategies.
EDHEC position paper lists the negative consequences of the short selling ban
An in-depth study of short-selling activities by EDHEC Finance Professor Abraham Lioui, entitled "The Undesirable Effects of Banning Short Sales," calls into question both the reasons for the decision to ban short selling and the prejudices that weigh on those who short. Among the consequences of the ban that are noted in the EDHEC position paper:
- Market volatility rose sharply because there was no clarity on the reasons behind the measure.
- The impact of the ban on market volatility was greater than the impact of the financial crisis.
- Share prices deviated yet more from their fundamental value.
- The risk/return possibilities of investors worsened.
- The desired effect on market trends has not been achieved (no reduction of the negative skewness of returns is being observed) and there is no evidence of the possible impact of this measure on extreme market movements.
EDHEC and CASAM partner a research chair on the use of ETFs within a "core-satellite" investment approach
The EDHEC Risk and Asset Management Research Centre and Crédit Agricole Structured Asset Management (CASAM) have announced the creation of new research chair entitled "Core-Satellite and ETF Investment". The chair will involve three years of academic research into ETFs (exchange-traded funds) and the use of ETFs as part of a core-satellite approach to asset management. A CASAM/EDHEC advisory board will supervise the work. The team of researchers at the EDHEC Risk and Asset Management Research Centre, under the leadership of centre director Noël Amenc, will examine advanced forms of risk budgeting in a dynamic core-satellite approach and the use of these techniques by investors and asset managers.
EDHEC to organise the third edition of the EDHEC Institutional Days in Paris on May 26-27
The EDHEC Risk and Asset Management Research Centre will be staging the third edition of the EDHEC Institutional Days in Paris on May 26 and 27, 2009. Following the success of the EDHEC Institutional Days 2008, which attracted more than 1,200 delegates, making it the largest conference in Europe for institutional investment management, the EDHEC Risk and Asset Management Research Centre will build on this success in 2009 by presenting a programme with significant added value in terms of both research and business. As such, the 2009 edition will be organised into three major events: the ETF and Indexation Summit, the 3rd edition of which will be devoted to new investment practices with ETFs and new forms of indexation; the EDHEC-Wall Street Journal Europe Global Institutional Investment Conference: the EDHEC Risk and Asset Management Research Centre will present the results of its research into international institutional investment management with a focus this year on the financial management of sovereign wealth funds and on new solvency constraints and European pension fund management; and the Annual Conference for French Institutional Investment, which will round up the regulatory and technical challenges for French institutional investment.
EDHEC survey reveals that investment managers lack sufficient knowledge to manage risk optimally
In order to obtain feedback from the industry on the findings of the EDHEC European Investment Practices Survey 2008, which showed that current practice in the industry fails to draw on widely-published and freely-available techniques in portfolio management techniques, EDHEC issued a “call for reaction” asking for explanations and ways to improve portfolio construction. When asked for the reasons behind the insufficient application of portfolio construction research to practice and for ways out of the current situation, more than half of the responding industry professionals see the level of knowledge within their profession as the main barrier.
EDHEC sets up a research chair in ALM and Sovereign Wealth Fund Management in partnership with Deutsche Bank
The EDHEC Risk and Asset Management Research Centre has created a research chair in "ALM and Sovereign Wealth Fund Management", in partnership with Deutsche Bank, under the scientific responsibility of Professor Lionel Martellini, Scientific Director of the EDHEC Risk and Asset Management Research Centre. "The rapid growth of sovereign wealth funds and its implications pose a series of challenges for the international financial markets, but also for sovereign states. The purpose of this research chair is to focus on improving our understanding of optimal investment policy risk management practices for SWFs. In particular, we aim to analyse the optimal investment policy of a SWF in a dynamic ALM framework that will allow us to formalise the impact on the optimal allocation policy induced by the presence of risk factors affecting both the state surplus dynamics and the implicit or explicit liabilities the fund is facing," commented Noël Amenc, Director of the EDHEC Risk and Asset Management Research Centre.
EDHEC, Robeco and the Journal of Portfolio Management launch new award for paper with most relevance for European institutional investors
The EDHEC Risk and Asset Management Research Centre, Robeco and the Journal of Portfolio Management have come together to launch an annual award for the paper published in the Journal of Portfolio Management in the previous year that is deemed to be of most relevance and usefulness for European institutional investors. The principle behind the selection will be to choose the paper that best reflects the spirit of the EDHEC Risk and Asset Management Research Centre, namely academic excellence and industry relevance, notably for institutional investors. There will be a two-stage selection process, firstly involving a panel of academic experts who will draw up a shortlist of potential winning papers, and then a final vote from a jury made up of three Chief Investment Officers from leading European pension funds.
EDHEC report shows that almost all hedge fund strategies posted their worst losses in 2008
In a new EDHEC publication, entitled "Hedge Fund Performance in 2008", Véronique Le Sourd, Senior Research Engineer at the EDHEC Risk and Asset Management Research Centre, provides a strategy-by-strategy account of the performance of each hedge fund strategy included in the EDHEC Alternative Indexes. One of the key conclusions of the report is that, except for CTAs and Short Sellers, all strategies posted their worst losses in 2008. The extraordinary events of 2008 had a significant impact on hedge fund returns. Funds of hedge funds, which are sometimes taken to give an aggregate view of the industry’s performance, performed very badly in 2008, with a strong negative average return of -17.08%. It is the first time since 1997 that this index has posted negative returns. Hedge fund investments lost value across the board.
Madoff - EDHEC position paper sets out the red flags that should have served as warning signals
In a new position paper from the EDHEC Risk and Asset Management Research Centre, François-Serge Lhabitant and Greg Gregoriou, two of academia’s recognised worldwide authorities on hedge funds, have reviewed some of the red flags that any operational due diligence and quantitative analysis should have identified as a concern. In the report, "Madoff: A Riot of Red Flags", the authors highlight some of the salient operational features common to best-of-breed hedge funds, features that were clearly missing from Madoff’s operations. Indeed, according to Lhabitant and Gregoriou, the list of due diligence red flags was so long and unsettling that it should have deterred potential investors.
New EDHEC research highlights long-term inflation-hedging attributes of real assets
A new research publication from the EDHEC Risk and Asset Management Research Centre finds that novel liability-hedging investment solutions can decrease the cost of inflation insurance and the probability of severe deficits for long-horizon investors versus a solution solely based on Treasury Inflation Protected Securities (TIPS) or inflation swaps. Liability-hedging investment solutions include commodities and real estate in addition to inflation-linked securities. The research, entitled Alternative Investments for Institutional Investors: Risk Budgeting Techniques in Asset Management and Asset-Liability Management, was drawn from the EDHEC/Morgan Stanley Investment Management "Financial Engineering and Global Alternative Portfolios for Institutional Investors" research chair.
EDHEC research shows that a single reform to the banking system would have made most injections of public funds unnecessary
A new EDHEC position paper by Noël Amenc and Samuel Sender entitled “The Basel II reform that would have made most injections of public funds unnecessary” analyses one of the essential causes of systemic risk that has yet to be addressed by governments and regulators: the inflexibility of prudential regulation for banking. EDHEC’s report argues that a single minor change would make it possible to restore much of the confidence in the banking sector without requiring any capital injections in the short term: acknowledging that banking capital ratios fall during downturns would have made most of the injections of public funds unnecessary. Making this change today would give governments far more room to support the real economy.
EDHEC survey shows that hedge fund investors had noted the dangers of inadequate reporting before the Madoff scandal
A new survey from the EDHEC Risk and Asset Management Research Centre, the EDHEC Hedge Fund Reporting Survey, shows that even before the Madoff scandal, investors were dissatisfied with the quality of information on liquidity and operational risk exposure and had noted the dangers of inadequate reporting. The survey, which targeted hedge fund managers, hedge fund investors and fund of hedge fund managers, was taken in the summer of 2008. The first response was received on July 4, 2008, the last on October 1, 2008. Nearly 90% of the 214 respondents to the survey are based in Europe, many of them in the UK, Switzerland, and France.
EDHEC and IEIF set up a new index for commercial property in France
The EDHEC Risk and Asset Management Research Centre and the IEIF (an independent French real estate research institute), with the support of Finance Innovation, the global competitiveness institution, have announced the launch of the EDHEC IEIF Commercial Property Index (France). The EDHEC IEIF Commercial Property Index (France) will measure the performance of shares traded in an aggregate portfolio of unlisted property funds. This portfolio currently represents €7.5bn, spread between 3,400 assets.