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EDHEC-Risk Institute Press Releases


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  • 12/11/14:
    50% greater probability of achieving objectives with goal-based investing compared to traditional private wealth management approach
    On the occasion of its annual European conference EDHEC-Risk Days, in 2015 EDHEC-Risk Institute will be organising a pre-conference Masterclass on Individual Investor Solutions on March 23 at The Brewery, in London, focusing on goal-based investment solutions in private wealth management. The aim of this masterclass is to provide participants with an introduction to the modern financial engineering and risk management techniques which will allow a new breed of investment managers to design and implement innovative forms of welfare-improving investment solutions for individual investors.

  • 04/11/14:
    Is infrastructure an asset class? Can infrastructure play a role in developing liability-driven investment strategies and improving diversification?
    Following on from the success of previous courses on Strategic Asset Allocation and Investment Solutions, Equity Investment, Fixed-Income Investment, which attracted over 200 participants, the Yale School of Management (SOM) and EDHEC-Risk Institute Seminar Series continues. The next seminar on Alternative Investments (in London on 20-21 November and in New Haven on 2-3 December) will explore the reasons behind the decision taken a decade ago by a number of large investors to become direct investors in infrastructure and to abandon investment delegation to specialist infrastructure managers.

  • 21/10/14:
    EDHEC-Risk Institute publication shows that smart beta risks can be controlled while benefitting from smart beta performance
    A new EDHEC-Risk Institute publication entitled “Risk Allocation, Factor Investing and Smart Beta: Reconciling Innovations in Equity Portfolio Construction,” drawn from the Amundi ETF & Indexing research chair at EDHEC-Risk Institute on “ETF and Passive Investment Strategies,” shows that it is possible to reconcile the performance of smart beta with control over the risk of the investment. Starting with the observation that if the performance of smart beta comes from efficient allocation to smart factor indices maximising the risk-adjusted performance for a given factor exposure, EDHEC’s researchers show that the implementation of a risk allocation solution to support this efficient allocation to smart beta enables the risk constraints to be respected in both absolute and relative terms.

  • 31/07/14:
    EDHEC-Risk Institute releases the first robust yet implementable valuation method for infrastructure debt and defines data collection needed
    A new paper entitled “Unlisted Infrastructure Debt Valuation and Performance Measurement”, drawn from the Natixis research chair at EDHEC-Risk Institute on the “Investment and Governance Characteristics of Infrastructure Debt Instruments,” proposes the first academically robust, yet operationally implementable valuation and risk measurement framework for illiquid infrastructure debt. Long-term infrastructure debt poses a significant pricing challenge with no market prices, private cash flow data scattered amongst originators, and covenant structures creating "embedded options" that are not taken into account in standard valuation models. Taking these characteristics into account is instrumental to capturing the expected performance of infrastructure debt.

  • 24/07/14:
    EDHEC-Risk Institute study shows room to improve investment solutions in the Australian super system
    Latest research argues that the Australian superannuation industry could be further strengthened by the development of an industry-led reporting standard and certification scheme. The study from EDHEC-Risk Institute sponsored by the AXA Investment Managers’ Research Chair on Regulation and Institutional Investment entitled, “Superannuation v2.0: Towards the Next Generation of Pension Funds in Australia”, examines recent developments in and opportunities for improvement of the defined contribution (DC) superannuation system in Australia, in light of recent regulatory efforts to further develop the framework for default options. The paper suggests improvements which could be implemented within existing DC super funds and argues for the design of a second generation of DC funds to achieve clear objectives at relevant horizons, using state-of-the-art risk management to deliver these outcomes with the highest probability.

  • 16/06/14:
    EDHEC-Risk Institute study shows that it is possible to construct improved forms of risk parity strategies
    In a new study entitled “Towards Conditional Risk Parity – Improving Risk Budgeting Techniques in Changing Economic Environments”, drawn from the Lyxor research chair on “Risk Allocation Solutions,” EDHEC-Risk Institute develops a conditional approach to risk parity, which contrasts with standard unconditional risk parity portfolios based on historical volatility estimates. The paper looks at the topical issue of risk parity. It has become increasingly apparent that a portfolio that seems to be well-balanced in terms of dollar contributions can be extremely concentrated in terms of risk contributions because of differences in volatility and pairwise correlation levels amongst the constituents.

  • 05/06/14:
    Without proper benchmarks, infrastructure investments will be stunted
    In a new position paper, EDHEC-Risk Institute argues that benchmarking long-term infrastructure investments has become a sine qua non to match the supply and demand of long-term capital, improve asset allocation outcomes for investors, adapt prudential regulation and support economic development. It then details a roadmap towards infrastructure investment benchmarks and presents recent advances. Matching the huge demand for capital investment in infrastructure projects around the world with the available supply of long-term funds by institutional investors has never been so high on the international policy agenda. For asset allocation to long-term investments in infrastructure to grow in a sustainable manner, investors need reliable information on the performance to be expected from such investments over time and in different economic environments, and regulators need to understand the risks investors are taking to correctly calibrate their prudential frameworks.

  • 24/04/14:
    EDHEC-Risk Institute study shows that progress remains to be made in risk management for pension funds
    In a new study produced as part of the BNP Paribas Investment Partners research chair on “Asset-Liability Management and Institutional Investment Management,” EDHEC-Risk Institute attempts to assess the views of pension funds and sponsor companies as they relate to their reactions to dynamic liability-driven investing (LDI) strategies and their desire to integrate this approach into their processes. Between November 2013 and January 2014, EDHEC-Risk Institute surveyed 104 investors, to determine how LDI and DLDI strategies are used in practice and the reasons that motivate the adoption or non-adoption of such techniques.

  • 31/03/14:
    In new research, EDHEC-Risk Institute cautions institutional investors on portfolio diversification
    In a new publication entitled “Improved Risk Reporting with Factor-Based Diversification Measures,” EDHEC-Risk Institute encourages institutional investors to look carefully at the effectiveness of their portfolio diversification. CACEIS supports the research chair on “New Frontiers in Risk Assessment and Performance Reporting” in which this research was produced. Before the financial crisis, pension funds were insufficiently diversified, with concentration in a small number of asset categories. Since the crisis of 2007, there has been a genuine trend towards investment in new asset classes and categories in order to diversify, but that does not mean that the diversification is effective.

  • 26/03/14:
    EDHEC-Risk’s annual European ETF Survey highlights ETF investors’ positive outlook
    EDHEC-Risk Institute has announced the results of the EDHEC European ETF Survey 2013, a comprehensive survey of 207 European ETF investors. The survey was conducted as part of the Amundi ETF & Indexing research chair at EDHEC-Risk Institute on “Core-Satellite and ETF Investment.” Among the key findings of the 2013 survey: Satisfaction has remained at high levels across most asset classes. There have been increases in satisfaction for corporate bond, commodity, real estate and sector ETFs, but satisfaction rates for ETFs based on the most liquid ETF asset classes are far more consistent compared to those based on illiquid asset classes.

  • 20/03/14:
    Merrill Lynch Wealth Management and EDHEC Business School Join Forces to Advance Goals-Based Wealth Management
    Merrill Lynch Wealth Management is teaming up with France’s EDHEC Business School to develop new research on risk allocation and goals based investing, the organizations announced today. The initiative involves the pursuit of fundamental research on risk allocation and goals-based wealth management through a collaboration between Merrill Lynch’s Investment Management and Guidance group and the EDHEC-Risk Institute. The aim of the research project is to deliver a mathematically rigorous approach to investing for goals such as capital preservation, retirement income, maintenance of minimum wealth levels and preferences regarding risk and liquidity, according to Professor Lionel Martellini, scientific director of EDHEC-Risk Institute, who will lead its participation in the partnership.

  • 17/03/14:
    EDHEC-Risk Institute survey documents unmet institutional investor requirements for transparency of indices
    Between August and November 2013, EDHEC-Risk Institute surveyed 109 institutional investors from across Europe, including Europe’s largest pension and reserve funds, insurance and provident institutions and their asset management subsidiaries, to document their expectations and requirements with respect to index transparency and take stock of their perceptions of, and the extent of their support for, the main directions of the ongoing regulatory debate on indexing and financial benchmarks.

  • 14/02/14:
    Presentation of latest EDHEC-Risk Institute research at the EDHEC-Risk Europe Days conference in London, March 25-26, 2014
    Smart beta investing, efficient risk diversification, liability driven investment (LDI) strategies, infrastructure and fixed income investing are among the topics to be presented at the EDHEC-Risk Days Europe 2014 conference at The Mermaid Conference & Events Centre in Blackfriars, London on March 25-26 next. The conference will open with a roundtable involving leading industry representatives and regulators and will address the topic of index transparency and investor expectations. The session will include the presentation of a survey on the transparency and governance of international indices carried out by EDHEC-Risk Institute. The conference will also feature the latest EDHEC-Risk Institute research on a range of topics that are currently relevant for the financial industry.

  • 11/02/14:
    EDHEC-Risk Institute welcomes two distinguished new members to its international advisory board
    EDHEC-Risk Institute is pleased to announce that two new members have joined its international advisory board, which brings together distinguished scholars, representatives of regulatory bodies as well as senior executives from business partners and other leading institutions. The role of the international advisory board is to validate the relevance and goals of the research programme proposals presented by the institute’s management and to evaluate research outcomes with respect to their potential impact on industry practices. The 49 members of the board also advise on the objectives and contents of projects deriving from the expertise of the institute, thereby ensuring that graduate and executive programmes remain at the forefront of developments in the marketplace. The two new members are as follows: Mr Brad Holzberger, Chief Investment Officer, QSuper; Mr Yuan Zhou, Chief Strategy Officer, China Investment Corporation (CIC).

  • 30/01/14:
    Financial Benchmarks: EDHEC-Risk Institute welcomes vote delay, calls for transparency
    Needing more time to reach consensus, the European Parliament’s Economic and Monetary Affairs Committee has delayed its vote on the proposed regulation of financial benchmarks amid divergences over the scope of the regulation and the supervisory role of the European Securities and Markets Authority (ESMA). To reduce the risk of benchmark manipulation, the European Commission proposed to regulate a very wide spectrum of indices, while subjecting inter-bank interest rate benchmarks, commodity benchmarks and critical benchmarks to additional requirements. Given the onerous compliance requirements that the Commission proposed to impose on all benchmark providers irrespective of the quality and transparency of their indices, EDHEC-Risk Institute welcomes the Committee’s proposals to focus the regulation on critical, vulnerable or systemically relevant benchmarks while further expanding the scope of the indices covered by the regulation, and to mandate ESMA to develop regulatory technical standards for a risk-based proportionate implementation.