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EDHEC-Risk Institute Press Releases


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  • 28/11/12:
    Mr Tomas Franzén appointed new chairman of EDHEC-Risk Institute’s international advisory board
    EDHEC-Risk Institute is pleased to announce the appointment of Mr Tomas Franzén, Chief Investment Strategist with Andra AP-fonden (AP2), the second Swedish national pension fund, as chairman of its international advisory board. Mr Franzén succeeds as chairman Mr Theo Jeurissen, former Director of Investments at PMT, the Dutch industry-wide pension fund, and former Chairman of the Investors’ Committee of the Dutch Association of Pension Funds, who has recently retired. AP2 is one of four buffer-funds within the Swedish national pay-as-you-go pension system. As Chief Investment Strategist, Mr Franzén is responsible for issues related to Investment Policy and Strategic Asset Allocation and is a member of the Executive Committee at AP2.

  • 22/10/12:
    EDHEC-Risk Institute and NATIXIS set up a research chair on the investment characteristics and governance of infrastructure debt instruments
    EDHEC-Risk Institute and Natixis are proud to announce the creation of a research chair entitled “Investment and Governance Characteristics of Infrastructure Debt Instruments”. The purpose of the chair is to contribute to clarifying the nature and investment profile of infrastructure debt instruments in order to reduce the relative shortfall of publicly available investment data on the subject, compared to longer established investment segments. The chair will specifically focus on the risk and return characteristics and portfolio diversification benefits that infrastructure debt instruments can bring to institutional investors. The research associated with the Natixis-sponsored Infrastructure Debt Chair will be led by Research Director Frederic Blanc-Brude, Ph.D., who has more than ten years of research experience in the infrastructure sector and has published numerous academic papers on this topic.

  • 09/10/12:
    EDHEC-Risk Institute Considers that the European Commission White Paper on Pensions could be Improved
    EDHEC-Risk Institute has released a comprehensive new study in response to the European Commission White Paper entitled “An Agenda for Adequate, Safe and Sustainable Pensions,” published on February 16th, 2012, which proposed a series of measures related to information and monitoring, European harmonisation and portability, and pension design. In a letter addressed to Mr László Andor, European Commissioner for Employment, Social Affairs and Inclusion, on October 4, 2012, EDHEC-Risk Institute considers that the European Commission White Paper constitutes a first step but that the Commission should go further in terms of harmonisation and better take into account the specifics of the financial management of pension funds.

  • 03/10/12:
    EDHEC-Risk Institute welcomes distinguished new members to its international advisory board
    EDHEC-Risk Institute is pleased to announce that six 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 42 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. The six new members are as follows: Ashvin B. Chhabra, Chief Investment Officer, Institute for Advanced Study; Joseph John Jelincic, Member of the Board of Administration and Chair of the Risk & Audit Committee, California Public Employees' Retirement System (CalPERS); Timo Löyttyniemi, Managing Director, The State Pension Fund (Finland); Joseph Masri, Head of Risk Management, Qatar Investment Authority; Olivier Rousseau, Executive Director, Fonds de réserve pour les retraites (The French pension reserve fund); Jean-Paul Villain, Director, Strategy Unit, Managing Director’s Office, Abu Dhabi Investment Authority.

  • 28/09/12:
    EDHEC-Risk Institute and CFA Institute to reinforce their executive education partnership
    EDHEC-Risk Institute and CFA Institute are pleased to announce the reinforcement of their executive education partnership (initiated in 2008 with the Advances in Asset Allocation Seminar) by offering the Advances in Equity Portfolio Construction Seminar. The course aims to provide investment practitioners with the tools to better understand the limits and benefits of different portfolio construction approaches, and to discuss alternative equity index strategies. The two-day programme is intended for finance practitioners who contribute to the design and implementation of portfolio construction models and is also insightful for investment professionals who analyse or decide on the adoption of appropriate model portfolios or benchmarks for equity investments, or who are interested in customising their strategic equity benchmark. The event will take place on 20-21 November, 2012 in Singapore and on 12-13 February, 2013 in London.

  • 25/09/12:
    New EDHEC-Risk Institute study addresses Volatility ETNs following the Credit Suisse TVIX controversy of early 2012
    Gaining exposure to volatility has become easier for investors after the introduction of volatility ETNs (exchange-traded notes) and volatility ETFs (exchange-traded funds) and some of these products have enjoyed a surge in popularity. In the wake of the incidents of spring 2012 involving the TVIX ETN issued by Credit Suisse, EDHEC-Risk Institute has published a new study entitled “The Risks of Volatility ETNs: a Recent Incident and Underlying Issues,” which sheds light on the nature of volatility ETNs and the issues involved in the TVIX crisis. EDHEC-Risk’s analysis of the incident indicates that the distortion was created by factors specific to ETNs, with no relation to the particular exposure to a volatility index.

  • 30/08/12:
    EDHEC-Risk Institute Research Highlights the Risk of New Forms of Equity Indices Underperforming Cap-Weighted Indices
    In a new research paper published in the prestigious Journal of Portfolio Management, entitled “Diversifying the Diversifiers and Tracking the Tracking Error: Outperforming Cap-Weighted Indices with Limited Risk of Underperformance,” EDHEC-Risk Institute warns of the risk of new forms of alternative-weighted equity indices seriously underperforming traditional cap-weighted indices. The research shows that the main alternative indices on the market, while superior performers over the long term, have considerable relative drawdowns with regard to their cap-weighted counterparts. These drawdowns can be long (more than two years) and significant (more than 13%).

  • 30/07/12:
    EDHEC-Risk Institute strongly welcomes ESMA's ETF guidelines
    EDHEC-Risk Institute has strongly welcomed the ETF guidelines released by the European Securities and Markets Authority (ESMA) on July 25, 2012, which are consistent with the conclusions of EDHEC-Risk Institute’s research on ETF risks and ESMA's consultation paper, which were both published earlier this year. These guidelines go further than the consultation document in two notable areas: The first is securities lending, where ESMA indicates clearly that all profits from securities lending should be returned to the fund. (...) The second area is the new requirements in the domain of financial indices. EDHEC-Risk Institute is very satisfied that the European regulator has taken a major step towards transparency in an industry which up until now, with some exceptions, was characterised, under the pretext of protecting intellectual property, by the low level of information given to investors on index methodologies and compositions.

  • 26/07/12:
    A new EDHEC study analyses the impact of Solvency II on bond management and highlights the potential consequences on the financing needs of the economy
    Solvency II, which will come into effect in 2014, will have a significant impact on the way insurance companies, as well as financial markets, perceive risk. One of the major changes with Solvency II is the treatment of market risks, which represent an additional capital cost that now needs to be incorporated into the analysis of insurers’ investment choices. In this study entitled, “The Impact of Solvency II on Bond Management”, the EDHEC Financial Analysis and Accounting Research Centre analyses the impact of Solvency II on insurers’ bond management practices. The authors consider the appropriateness of the bond solvency capital requirement (SCR) as a risk measure, the effects of this risk measure on bond management within a return-volatility-Value-at-Risk-SCR universe, and whether Solvency II will give rise to a new bond hierarchy and arbitrage opportunities.

  • 13/07/12:
    EDHEC-Risk Institute Proposes a Robust New Method for Assessing Hedge Fund Performance
    In a newly-released research publication produced as part of the Newedge research chair on “Advanced Modelling for Alternative Investments,” EDHEC-Risk Institute has evaluated the performance of hedge funds through a non-linear risk adjustment of returns. This methodology is applied to various hedge fund indices as well as to individual hedge funds, considering a set of risk factors including equities, bonds, credit, currencies and commodities. The research findings strongly suggest that what was incorrectly measured as hedge fund alpha in previous studies is actually some form of fair reward obtained by hedge fund managers from holding a set of relatively complex linear and non-linear exposures with respect to various risk factors. Often the reduction in performance comes from a small number of extreme events which are not captured well with the usual linear approach.

  • 03/07/12:
    North American index investors highlight concerns with cap-weighting size biases but do not wish to replace cap-weighted indices
    In its first EDHEC-Risk North American Index Survey, a survey of 139 investment professionals (institutional investors, asset managers, private wealth managers, investment banks and brokerage firms), EDHEC-Risk Institute has analysed the current uses of and opinions on stock, bond and volatility indices in the North American region. (...) Having carried out complementary surveys for Europe and Asia (see EDHEC-Risk European Index Survey 2011 and EDHEC-Risk Asian Index Survey 2011), EDHEC-Risk is in a position to compare responses from institutional investors in the three regions.

  • 26/06/12:
    Institutional Investors and Corporations Suggest that Inflation-Linked Corporate Bonds may Provide Solution to Both Parties and could Become an Interesting Substitute for Sovereign Debt
    In a survey of institutional investors and members of corporate finance departments, EDHEC-Risk Institute sought reactions to the key conclusions of a study entitled “Optimal Design of Corporate Market Debt Programmes in the Presence of Interest-Rate and Inflation Risks”, which was produced as part of the Rothschild & Cie research chair. The results indicate that the research topic is perceived as highly relevant to current investor concerns and issuers of corporate debt. Respondents suggest that the issuance of inflation-linked bonds may provide a solution to both parties. For investors, inflation-linked corporate debt could be an ideal instrument for hedging their liabilities at a time when sovereign debt is no longer considered the default asset for pension funds’ asset-liability management. For corporations, issuing inflation-linked debt would ultimately limit the firm’s risk and increase the value of its shares.

  • 14/06/12:
    In Cooperation with Russell, EDHEC-Risk Institute Makes Solvency II Benchmarks Available Online to European Insurance Companies
    The EDHEC-Risk Institute today announces the launch of its new Solvency II Benchmarks, constructed in cooperation with the leading multi-asset solutions manager, Russell Investments. The new benchmarks for European insurance companies are representative of a dynamic allocation strategy to equities. The benchmarks, which are based on two underlying indices from Russell Indexes, Russell Developed and Russell Global, rely on dynamic core-satellite and life-cycle investing techniques and allow investors to respect a maximum loss limit in each calendar year. The benchmarks’ current and historical performance, with both returns and weights, along with a full set of documentation, are freely available for download online.

  • 06/06/12:
    EDHEC-Risk Research Reveals Benefits of Diversifying Equity Portfolios with Volatility Derivatives
    Following the collapse of worldwide equity markets in 2008, and the subsequent rally in long positions in equity volatility, interest has grown in the possible use of equity volatility derivatives as diversifiers for traditional and alternative portfolios. In a new publication entitled “The Benefits of Volatility Derivatives in Equity Portfolio Management,” produced with the support of Eurex Exchange, EDHEC-Risk researchers show how volatility derivatives can be used to optimise access to the equity risk premium in a controlled volatility risk environment, and to engineer equity portfolios with attractive downside-risk properties.

  • 23/05/12:
    EDHEC-Risk Research Shows that Dynamic Portfolio Strategies Can Provide Solutions to Corporate Pension Fund Challenges
    A new publication entitled “Dynamic Investment Strategies for Corporate Pension Funds in the Presence of Sponsor Risk,” produced as part of the BNP Paribas Investment Partners research chair on asset-liability management and institutional investment management at EDHEC-Risk Institute, shows that sophisticated dynamic allocation strategies can usefully be implemented by pension funds. One of the key findings of the paper is to show that imposing a cap on the funding ratio, in addition to a floor, has a positive impact on both pensioners and bondholders, while only having a minor negative effect on equity value. The paper introduces novel forms of dynamic strategies that recognise that pension risk is not only driven by the funding ratio of the pension fund, but also by the financial strength or weakness of the sponsor company. These strategies aim to control sponsor risk by avoiding states of the world where the pension fund is underfunded and the sponsor is unable to make up for the gap.

  • 10/05/12:
    Equity and bond index investors in Asia-Pacific region show dissatisfaction with their indices, and concerns exist over index transparency
    EDHEC-Risk Institute has released the results of its inaugural Asian Index Survey, a comprehensive survey of 127 Asian investment professionals (asset managers, institutional investors, investment consultants, and private wealth managers) on the subject of indices and passive investment and the first comprehensive account of investor attitudes to equity and bond indices in the Asia-Pacific region. Respondents are principally from the three asset management hubs in the Asia Pacific region (Australia, Singapore and Hong Kong), but a wide range of other countries are represented, including India, China, Japan and New Zealand. The survey was conducted as part of the Amundi ETF research chair at EDHEC-Risk Institute on “Core-Satellite and ETF Investment.”

  • 07/05/12:
    Inaugural EDHEC-Risk Days Asia conference attracts over 1,100 delegates
    Based on the principle of delivering research insights to investment professionals, the EDHEC-Risk Days Asia 2012 conference, which is taking place at the Marina Bay Sands in Singapore on May 9 and 10, 2012, has proven to be a great success. Organised by an academic research centre for the benefit of professionals, EDHEC-Risk Days Asia presents the research done by EDHEC-Risk Institute and discusses it with the institutional investment and wealth management communities. Over 1,100 delegates, from more than 30 countries, have registered for the event. These delegates represent sovereign wealth funds, pension funds, insurance companies and other end investors, third-party asset managers, investment banks and private banks.

  • 03/05/12:
    EDHEC-Risk study highlights the need to reform retirement systems and corporate pension funds
    A new EDHEC-Risk Institute study entitled “Shifting Towards Hybrid Pension Systems: A European Perspective,” made possible with the support of AXA Investment Managers, highlights the need to reform retirement systems and pension funds, as well as the need to adopt professional management structures and to considerably improve the product offering of defined-contribution (DC) funds. Among the key prescriptions of the study: • In DC plans, primarily in the US and the UK, employees bear all the financial risk and no guarantees are offered by the sponsor or by prudential regulation. However, the lack of guarantees and transparency could lead to a problem of trust – it is thus important that some guarantees are offered in DC funds and that their costs are clearly explained in order to avoid creating a biased risk/return illusion. These changes would help to avoid future disappointment amongst employees, who would reduce their participation in such retirement systems and potentially question their perception of their overall remuneration.

  • 17/04/12:
    A new EDHEC-Risk survey reveals that “transparency, information and governance” tops the list of concerns for European fund management industry professionals in the area of non-financial risk management
    More than 160 high-level European fund management industry professionals were surveyed by EDHEC-Risk as part of the “Risk and Regulation in the European Fund Management Industry” research chair, sponsored by CACEIS. For the respondents to this survey, entitled “Shedding Light on Non-Financial Risks – a European Survey,” the main causes of the increase in non-financial risks are firstly the growing sophistication of operations (a cause considered important by 77% of respondents), followed by the reduced capacity of some intermediaries to guarantee deposits (59%), unclear or inappropriate regulation (57%) and finally the total absence of responsibility of management companies regarding restitution (53%). The main message from this study is that the regulatory priorities for the respondents relate to themes to which the regulator has paid less attention in recent work, notably AIFMD.

  • 10/04/12:
    In response to ESMA consultation paper on ETFs, EDHEC-Risk Institute calls for improved transparency, governance and auditability of indices
    In commenting on the ESMA Consultation Paper entitled “ESMA’s guidelines on ETFs and other UCITS issues” (ESMA/2012/44, January 2012), EDHEC-Risk Institute has welcomed the broadened focus of this new consultation, which goes a long way towards approaching important issues in a horizontal way across all UCITS, rather than in a vertical way limited to UCITS ETFs, but regrets that the consultation paper has not gone further in several key areas: While underlining the differences between passively and actively managed funds and proposing more disclosures on tracking error, the consultation paper falls short of giving a definition of passive management that would be framed in terms of a limit on the maximum level of tracking error acceptable.

  • 03/04/12:
    New EDHEC-Risk Survey Reveals the Investment Management Opinions of Sovereign Wealth Funds
    In a new survey entitled “What Asset-Liability Strategy for Sovereign Wealth Funds?” produced as part of a research chair supported by Deutsche Bank, Sovereign Wealth Fund (SWF) respondents have underlined the need for a change in investment practices to take into account both short-term constraints and liabilities. The survey presents the results of the Deutsche Bank research chair’s foundation paper – a dynamic asset-liability management (ALM) model developed to guide asset allocation and risk management decisions at the SWF level, and describes the results of a call for reaction on its theoretical and practical appeal for sovereign fund management. In spite of the prevailing view that Sovereign Wealth Funds (SWFs) are not like other institutional investors and that they are pursuing a pure strategy of accumulation as a standalone, the EDHEC-Risk survey shows that the funds themselves consider that ALM techniques are appropriate for their financial management and that they have as a mission and constraint to take account of the risks of the States that set them up.

  • 28/03/12:
    EDHEC-Risk’s annual European ETF Survey reveals investor attitudes to risk, replication and asset allocation
    EDHEC-Risk Institute has announced the results of the EDHEC European ETF Survey 2011, which represents a comprehensive survey of 174 European ETF investors. The survey was conducted as part of the Amundi ETF research chair at EDHEC-Risk Institute on “Core-Satellite and ETF Investment.” Among the key findings of the 2011 survey: In relation to the issues raised by financial authorities and international organisations on ETF risks, the survey suggests that investors have a differentiated view on different replication methods, taking several dimensions into account such as cost, tracking error, and accessibility of broad indices, among others, when making choices on the preferred replication mechanism. Depending on the objectives at hand, different replication mechanisms are perceived to have different types of benefits.

  • 23/03/12:
    Professor Raman Uppal of EDHEC-Risk Institute Co-Recipient of First Prize from S&P at the SPIVA Awards
    EDHEC-Risk Institute is pleased to announce that Raman Uppal, Member of EDHEC-Risk Institute and Professor of Finance at EDHEC Business School, along with co-authors Grigory Vilkov and Yuliya Plyakha, both of Goethe University in Frankfurt, has been awarded first prize at the SPIVA Awards for the paper "Why Does an Equal-Weighted Portfolio Outperform Value- and Price-Weighted Portfolios?". The first annual SPIVA Awards support researchers from around the world that explore innovative techniques that enhance the use of indices in the financial markets. The awards were launched by S&P Indices as an international programme that recognises excellence in research on the topic of index-related applications. The first prize is awarded for distinctive, high-quality research in the use of financial market indices for investment analysis and management.

  • 21/03/12:
    EDHEC-Risk Survey on Non-Financial Risks in the European Fund Management Industry to be Presented at the EDHEC-Risk Europe Days conference in London on March 28
    On March 28 next at the EDHEC-Risk Europe Days conference at The Brewery in London, EDHEC-Risk Institute will be presenting the results of an exclusive survey on perceptions of non-financial risks in the European fund management industry. More than 160 high-level European fund management industry professionals were surveyed by EDHEC-Risk for this study as part of the CACEIS research chair on “Risk and Regulation in the European Fund Management Industry” at EDHEC-Risk Institute. The survey results will be presented by Noël Amenc, Director, and Samuel Sender, Applied Research Manager, EDHEC-Risk Institute, at 2.30pm on the afternoon of March 28, following an introduction from session chairman, Jean-Marc Eyssautier, Chief Compliance Officer with CACEIS.

  • 15/03/12:
    EDHEC-Risk Institute to unveil the results of its latest European ETF Survey at the EDHEC-Risk Europe Days conference in London on March 27
    The results of an exclusive survey of European asset owners highlighting the latest trends in ETF usage will be unveiled at the EDHEC-Risk Europe Days conference at The Brewery in London on March 27 next. Last year’s survey results suggested that the ETF market had entered a phase of increased maturity and investors were now embracing more advanced ways of trading ETFs and more innovative ETF products. Following an introduction from Valérie Baudson, Managing Director of Amundi ETF, this year’s survey results will be presented by Felix Goltz, Head of Applied Research at EDHEC-Risk Institute, at 9.30am on the morning of March 27. In addition to European ETF usage, the presentation will also discuss the perceived benefits and drawbacks of ETFs by asset class, and asset owners’ views on the investment risk involved when using ETFs. The survey, which received responses from 174 European ETF investors, was conducted as part of the Amundi ETF research chair at EDHEC-Risk Institute on “Core-Satellite and ETF Investment.”

  • 13/03/12:
    New EDHEC-Risk Research Sees No Evidence of Causal Link between Credit Default Swap (CDS) and Sovereign Debt Prices
    In newly-released research by Dominic O’Kane, Affiliated Professor of Finance at EDHEC Business School, EDHEC-Risk Institute has performed a theoretical and empirical analysis of the relationship between the price of eurozone sovereign-linked credit default swaps (CDS) and the same sovereign bond markets during the eurozone debt crisis of 2009-2011. The working paper, entitled “The Link between Eurozone Sovereign Debt and CDS Prices,” tests the claim that speculative use of CDS by market participants had caused or accelerated the rapid decline in 2010-11 of bond prices in eurozone periphery countries, a claim that led to the decision by the European Parliament and member states on October 18, 2011, to make the ban on so-called “naked” CDS permanent. The EDHEC-Risk research shows that CDS spreads do not drive the sovereign bond spread in all circumstances, and that in various countries and at various times, the opposite effect is present.

  • 06/03/12:
    EDHEC-Risk Institute research sees social infrastructure as too small and risky to be attractive to pension funds
    In a new study entitled “Pension Fund Investment in Social Infrastructure: Insights from the 2012 reform of the private finance initiative in the United Kingdom,” EDHEC-Risk Institute has identified two fundamental issues that make social infrastructure potentially unattractive to pension funds: in-built political risk and limited asset pool size. Social infrastructure investments deliver public assets and services, such as schools and hospital buildings, in exchange for a revenue stream paid directly by the public sector. It is typically opposed to economic infrastructure, which collects revenues from end users and can include toll roads, airports or power generation. According to the author of the research, Frédéric Blanc-Brude, Research Director at EDHEC Risk Institute—Asia, addressing the uncertainty created by political risk through a transparent and independent regulatory framework for long-term buy-and-hold investors like pension funds would make individual social infrastructure assets much more desirable investments in an asset-liability management context. However, until a much larger asset pool has been created, it is unlikely that pension funds will treat social infrastructure as an asset class demanding specific allocations, which would considerably increase the flow of funds towards social infrastructure that cash-strapped governments are now keen to see.

  • 28/02/12:
    EDHEC-Risk Institute and Princeton University to co-organise institutional money management conference in New York on April 27, 2012
    At a conference that aims to inform practitioners about the latest research insights into institutional money management, leading finance professors from EDHEC-Risk Institute and Princeton University will be presenting research results on investment benchmarks and asset allocation strategies at the Princeton Club of New York in New York City on April 27 next. The day-long EDHEC-PRINCETON Institutional Money Management Conference represents the first time that these prestigious institutions have joined forces to present their academic research results in finance and the usefulness of their conclusions for the industry to professionals.

  • 15/02/12:
    EDHEC-Risk Institute research provides insights into optimal hedge fund allocation
    In a research paper published in the Winter 2012 issue of the Journal of Alternative Investments, entitled “Optimal Hedge Fund Allocation with Improved Estimates for Coskewness and Cokurtosis Parameters,” EDHEC-Risk Institute has provided insights into optimal portfolio decisions involving hedge funds. Drawn from research conducted as part of the “Advanced Modelling for Alternative Investments” research chair at EDHEC-Risk Institute, supported by the Prime Brokerage Group at Newedge, the paper presents an application of the improved estimators for higher-order co-moment parameters, in the context of hedge fund portfolio optimisation. The authors find that the use of these enhanced estimates generates a significant improvement for investors in hedge funds. It is only when improved estimators are used and the sample size is sufficiently large that portfolio selection with higher-order moments consistently dominates mean–variance analysis from an out-of-sample perspective. The results have important potential implications for hedge fund investors and hedge fund of funds managers who routinely use portfolio optimisation procedures incorporating higher moments.

  • 07/02/12:
    Debates on key regulatory topics and presentation of latest EDHEC-Risk Institute research at the EDHEC-Risk Europe Days conference in London, March 27-29, 2012
    Debates on the risks and regulation of Exchange-Traded Funds (ETFs) and protection of investors from pension fund and alternative investment risks will be high on the agenda of the EDHEC-Risk Europe Days 2012 conference at The Brewery in London on March 27-29 next. Roundtables involving leading industry representatives and regulators will address the following topics on each morning of the conference: Perceived Risks and Benefits of ETF Investments and Regulators’ Considerations: Towards More Regulation for ETFs?; Pensions at Risk: How to Protect Investors from Pension Fund Risk?; Is the AIFM Directive Really Guaranteeing Better Protection for Investors? The conference will also feature the latest EDHEC-Risk Institute research on a range of topics that are currently relevant for the financial industry.

  • 30/01/12:
    EDHEC-Risk Institute welcomes conclusions of ESMA consultation paper on ETFs and UCITS issues
    Following the publication on January 30, 2012, of the European Securities and Markets Authority’s (ESMA) consultation paper on ETFs and other UCITS issues (ESMA/2012/44), EDHEC-Risk welcomes the broadened focus of the new ESMA consultation, which approaches important issues in a horizontal way across all UCITS rather than in a vertical way limited to UCITS ETFs; as underlined in its recent contribution, EDHEC-Risk believes that continued adherence to a silo approach would have increased the risks of adverse selection by investors and regulatory arbitrage by issuers.

  • 16/01/12:
    New EDHEC-Risk Institute research assesses the true risks of Exchange-Traded Funds (ETFs)
    New research at EDHEC-Risk Institute has addressed the question of the true risks of Exchange-Traded Funds (ETFs) in Europe in the light of issues raised by financial regulators and international organisations. According to EDHEC-Risk Institute, any discussion of the risks inherent in ETFs should go beyond merely hypothesising about potential risks, and should also take into account the empirical evidence provided by the existing academic research on ETFs, which has documented various benefits in terms of liquidity and price efficiency.

  • 11/01/12:
    EDHEC-Risk Institute Draws the French Government’s Attention to the Inadvisability of Imposing a Tobin Tax in France
    In an open letter dated January 10, 2012 addressed to the French Prime Minister, which itself referred to a previous letter addressed to the European Internal Market and Services Commissioner, Michel Barnier, EDHEC-Risk Institute has underlined the difficulties and risks associated with implementing a tax on financial transactions in France. On the basis of a position paper* by Raman Uppal, Professor of Finance at EDHEC Business School, EDHEC-Risk Institute’s recommendations are structured around theoretical evidence on financial transaction taxation, empirical evidence on its effects, as well as the implementation challenges of such a tax.