EDHEC-Risk Concept Industry Analysis Featured Analysis Latest EDHEC-Risk Surveys Features Interviews Indexes and Benchmarking FTSE EDHEC-Risk Efficient Index Series FTSE EDHEC-Risk ERAFP SRI Index EDHEC-Risk Alternative Indexes EDHEC IEIF Quarterly Commercial Property Index (France) Hedge Fund Index Research Equity Index Research Amundi "ETF, Indexing and Smart Beta Investment Strategies" Research Chair Rothschild & Cie "Active Allocation to Smart Factor Indices" Research Chair Index Regulation and Transparency ERI Scientific Beta Performance and Risk Reporting Hedge Fund Performance Performance Measurement for Traditional Investment CACEIS "New Frontiers in Risk Assessment and Performance Reporting" Research Chair Asset Allocation and Alternative Diversification Real Assets Meridiam Infrastructure/Campbell Lutyens "Infrastructure Equity Investment Management and Benchmarking" Research Chair Natixis "Investment and Governance Characteristics of Infrastructure Debt Instruments" Research Chair Société Générale Prime Services (Newedge) "Advanced Modelling for Alternative Investments" Research Chair CME Group "Exploring the Commodity Futures Risk Premium: Implications for Asset Allocation and Regulation" Strategic Research Project Asset Allocation and Derivative Instruments Volatility Research Eurex "The Benefits of Volatility Derivatives in Equity Portfolio Management" Strategic Research Project SGCIB "Structured Investment Strategies" Research ALM and Asset Allocation Solutions ALM and Private Wealth Management AXA Investment Managers "Regulation and Institutional Investment" Research Chair BNP Paribas Investment Partners "ALM and Institutional Investment Management" Research Chair Deutsche Bank "Asset-Liability Management Techniques for Sovereign Wealth Fund Management" Research Chair Lyxor "Risk Allocation Solutions" Research Chair Merrill Lynch Wealth Management "Risk Allocation Framework for Goal-Driven Investing Strategies" Research Chair Ontario Teachers' Pension Plan "Advanced Investment Solutions for Liability Hedging for Inflation Risk" Research Chair Non-Financial Risks, Regulation and Innovations Risk and Regulation in the European Fund Management Industry Index Regulation and Transparency Best Execution: MiFID and TCA Mitigating Hedge Funds Operational Risks FBF "Innovations and Regulations in Investment Banking" Research Chair EDHEC-Risk Publications All EDHEC-Risk Publications EDHEC-Risk Position Papers IPE EDHEC-Risk Institute Research Insights AsianInvestor EDHEC-Risk Institute Research Insights P&I EDHEC-Risk Institute Research for Institutional Money Management Books EDHEC-Risk Newsletter Events Events organised by EDHEC-Risk Institute EDHEC-Risk Smart Beta Day Amsterdam 2017, Amsterdam, 21 November, 2017 EDHEC-Risk Smart Beta Day North America 2017, New York, 6 December, 2017 Events involving EDHEC-Risk Institute's participation EDHEC-Risk Institute Presentation Research Programmes Research Chairs and Strategic and Private Research Projects Partnership International Advisory Board Team EDHEC-Risk News EDHEC-Risk Newsletter EDHEC-Risk Press Releases EDHEC-Risk in the Press Careers EDHEC Risk Institute-Asia EDHEC Business School EDHEC-Risk Executive Education EDHEC-Risk Advances in Asset Allocation Blended Learning Programme 2017-2018 Yale School of Management - EDHEC-Risk Institute Certificate in Risk and Investment Management Yale SOM-EDHEC-Risk Harvesting Risk Premia in Alternative Asset Classes and Investment Strategies Seminar, New Haven, 5-7 February, 2018 Investment Management Seminars Contact EDHEC-Risk Executive Education Contact Us ERI Scientific Beta EDHEC PhD in Finance
EDHEC-Risk Information

EDHEC-Risk Institute Press Releases


[2017] [2016] 2015 [2014] [2013] [2012] [2011] [2010] [2009] [2008] [2007] [2006] [2005] [2004] [2003]

  • 03/12/15:
    Yale School of Management is teaming up once again with EDHEC-Risk Institute to offer state-of-the-art executive seminar series in Risk and Investment Management
    Building upon the success of the first seminar series, the second edition of the Yale School of Management–EDHEC-Risk Institute Certificate in Risk and Investment Management will start again from January 2016, both in London and New Haven. This high-level programme relies on the exceptional strength and relevance of academic research, conducted by both Yale SOM and EDHEC-Risk finance faculty. Participants will be taught by world-class thought leaders in their fields and will be exposed to cutting-edge research and practices in the investment business. The programme has a very attractive format, which is conveniently adapted to an executive's agenda, as the Certificate can be completed over a 1 to 2-year period.

  • 03/12/15:
    De nouveaux indices issus de la recherche de l’EDHEC Risk Institute réduisent l’empreinte carbone des investissements en actions de plus de 75% tout en surperformant le marché
    A l’occasion de la conférence mondiale sur le climat COP 21, qui se tient actuellement à Paris, ERI Scientific Beta, l’entité créée par EDHEC Risk Institute en 2012 pour proposer aux investisseurs institutionnels des indices « smart beta », a annoncé le lancement d’une nouvelle offre d’indices « low carbon » issue des recherches conduites par l’institut et qui permettent de réduire de plus de 75 % l’empreinte carbone d’un investissement en actions tout en créant à moyen terme plus de 50 % de richesse supplémentaire. Ces résultats correspondent à l’application d’une méthode de construction d’indices qui prévoit d’une part l’exclusion a priori des titres des sociétés ayant les plus fortes empreintes carbones et d’autre part, l’utilisation des techniques traditionnelles de construction de portefeuilles qui ne se préoccupent pas de la rentabilité future des titres ayant une faible empreinte carbone.

  • 27/11/15:
    EDHEC Risk regrets that the future text on European regulation of benchmarks organises opacity in the index provision market
    An agreement between the European Parliament and the Council of the EU on a Regulation of financial benchmarks was found in the night of November 24 to 25, 2015. Unfortunately, this agreement does not respond to the criticism that EDHEC Risk Institute had expressed in an open letter to the chair of the European Parliament’s ECON committee Roberto Gualtieri on February 20, 2015. To the extent that the agreement is consistent with the text adopted by the European Parliament on May 19, 2015, we confirm that the proposed Regulation condones opacity in the index provision market. The mere disclosure of a concise methodology will be sufficient to meet the transparency requirements of the Regulation – neither investors nor their advisors will be in a position to perform advanced due diligence on the quality and robustness of methodologies, let alone verify that the advertised track records of indices correspond to the systematic application of their methodologies.

  • 24/11/15:
    Inaugural EDHEC-Risk Smart Beta Day in partnership with ERI Scientific Beta to take place in New York on December 15
    The inaugural EDHEC-Risk Smart Beta Day, organised by EDHEC-Risk Institute in partnership with ERI Scientific Beta, will take place at The Plaza on Fifth Avenue in New York on December 15, 2015. 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. Part I of the conference will focus on smart beta indexation and factor investing and will present and discuss the latest research results on long-term rewarded equity factors, diversified factors and concentrated factors, the robustness of smart beta strategies and quality dimensions in smart beta investing. Part II will focus on smart beta solutions and will present research of great interest to asset owners on the shift from smart beta products to smart beta solutions and smart beta and ALM.

  • 09/11/15:
    In new research, EDHEC-Risk Institute introduces a new conceptual framework to better achieve individual investors’ goals
    Any investment process should start with a thorough understanding of the investor problem. Individual investors do not need investment products with alleged superior performance; they need investment solutions that can help them meet their goals subject to prevailing dollar and risk budget constraints. In a new publication entitled “Introducing a Comprehensive Investment Framework for Goals-Based Wealth Management,” EDHEC-Risk Institute develops a general operational framework that can be used by financial advisors to allow individual investors to optimally allocate to categories of risks they face across all life stages and wealth segments so as to achieve personally meaningful financial goals. This research was conducted with the support of Merrill Lynch Wealth Management as part of EDHEC-Risk Institute’s research chair on a “Risk Allocation Framework for Goal-Driven Investing Strategies.”

  • 08/10/15:
    EDHEC-Risk Institute study highlights the added value of active allocation to smart beta indices
    In a new study entitled “Active Allocation to Smart Factor Indices”, drawn from the eponymous Rothschild & Cie research chair, EDHEC-Risk provides a formal empirical analysis of the benefits of strategic and tactical allocation to multiple equity smart factor indices in a context where relative risk with respect to the cap-weighted indices needs to be explicitly controlled for. Once regarded as exotic curiosities, smart equity factor indices have now made it into the mainstream, and have become important for investors to better understand how their outperformance relates to underlying sources of risk. The focus of this paper is to provide a quantitative assessment of the benefits expected from the three sources of added-value (which come from time-varying strategic, time-varying tactical or time-varying core-satellite allocation decisions) in the design of equity benchmarks with superior risk and return characteristics.

  • 05/10/15:
    2015-2016 edition of the flagship EDHEC-Risk Institute seminar in partnership with CFA Institute: “Advances in Asset Allocation”
    Having learned through the recent crises about the limited payoffs and significant risks of excessive reliance on security asset selection models, investment managers and institutional investors are showing unprecedented interest in asset allocation approaches as sources of performance. It is against this backdrop that in 2008, CFA Institute and EDHEC-Risk Institute, the premier European institution for applied research into risk and investment management, partnered to offer advanced executive education programmes to senior investment industry professionals and introduced what remains their flagship programme, the three-day “Advances in Asset Allocation” seminar. The course presents the latest research in advances in asset allocation and examines emerging trends to clarify the sometimes fuzzy distinction between true innovation and mere marketing claims.

  • 08/09/15:
    Is Factor Investing a Welfare-Improving New Investment Paradigm or Yet Another Marketing Fad?
    In a new study entitled “Factor Investing: A Welfare-Improving New Investment Paradigm or Yet Another Marketing Fad?”, drawn from the Lyxor research chair on “Risk Allocation Solutions”, EDHEC-Risk examines the relative efficiency of standard forms of practical implementation of the factor investing paradigm based on commonly used factors in the equity, fixed-income and commodity universes. Investment practice has recently witnessed the emergence of a new approach known as factor investing, which recommends that allocation decisions be expressed in terms of risk factors, as opposed to standard asset class decompositions. To answer the question of whether factor investing is truly a welfare-improving new investment paradigm or whether it is merely yet another marketing fad, the paper identifies mathematical conditions under which it is expected to generate welfare gains for asset owners and provides an empirical measure of such gains.

  • 30/07/15:
    Investors recognise advanced beta equity investing as a promising avenue but call for caution on insufficient transparency and on the difficulties in implementing long/short strategies
    In a new study produced as part of the Société Générale Prime Services (Newedge) research chair on “Advanced Modelling for Alternative Investments”, EDHEC-Risk Institute attempts to give an overall view on alternative equity beta strategies, to determine the areas of usage and to analyse the alternative equity beta practices and perceptions of investment professionals. Between January and February 2014, EDHEC-Risk Institute carried out a survey among a representative sample of 128 investment professionals to identify their views and uses of alternative equity beta.

  • 28/07/15:
    Launch of the new EDHEC IEIF Quarterly Commercial Property Index (France)
    Following the announcement of the revision of the rules of the EDHEC IEIF Commercial Property Index (France), published on 6 January 2015, IEIF and EDHEC-Risk Institute have decided to launch the new EDHEC IEIF Quarterly Commercial Property Index (France). Publication of the previous index has been discontinued. This new index integrates fixed and variable capital SCPIs (unlisted French property investment trusts) invested in commercial property. The index is made up of SCPIs that, over the past year, have posted a volume of transactions on the secondary market in excess of €2 million.

  • 23/06/15:
    Investors in smart beta ETFs satisfied, but…
    In a survey of investment professionals conducted as part of the Amundi ETF & Indexing research chair at EDHEC-Risk Institute on “ETF and Passive Investment Strategies,” EDHEC-Risk Institute has solicited the specific views of European ETF investors on “smart beta” exchange-traded funds (ETFs). This questionnaire has given rise to a study entitled “Investor Interest in and Requirements for Smart Beta ETFs.” There are three key findings: Those who have invested in smart beta ETFs are pleased overall, a considerable share of investors still have concerns about these types of products, and lack of transparency is a major concern.

  • 16/04/15:
    EDHEC-Risk Institute and Princeton University to present latest academic research results at the Institutional Money Management Conference in New York, April 23, 2015
    Following the success of the second edition of the EDHEC-PRINCETON "Academia meets Practice" Conference, which attracted more than 150 finance professionals in 2013, EDHEC-Risk Institute and Princeton University will be organising the 2015 edition of the conference at The Princeton Club of New York on 23 April, 2015. This one-day conference represents the third time our institutions have joined forces to present our academic research results in finance and the usefulness of our conclusions for the industry to professionals. This event is intended to provide a selected number of investment professionals with the latest academic insights into institutional money management. Themes such as factor investing, synthetic diversification, predictability of bond and stock returns, asset pricing and liquidity risk will be addressed during the conference.

  • 14/04/15:
    Professor Noël Amenc Steps Down as Director of EDHEC-Risk Institute
    On the occasion of the EDHEC-Risk Days conference, which took place in London on March 24 and 25, 2015, Tomas Franzén, Chief Investment Strategist with the Swedish national pension fund AP2 and chairman of EDHEC-Risk Institute’s International Advisory Board, announced the resignation of Professor Noël Amenc from his role as Director of EDHEC-Risk Institute. Professor Amenc’s resignation will be effective as of August 1, 2015. At that date, Professor Lionel Martellini, who has been fulfilling the role of Scientific Director at EDHEC-Risk Institute, will succeed him as Director. Professor Amenc will continue to head up ERI Scientific Beta, the smart beta index provider set up by EDHEC-Risk Institute at the end of 2012, which becomes an entity that is autonomous from the institute.

  • 07/04/15:
    In new research, EDHEC-Risk Institute proposes a different reporting approach to better assess the real risks and performance of a portfolio
    In a new publication entitled “Accounting for Geographic Exposure in Performance and Risk Reporting for Equity Portfolios”, EDHEC-Risk Institute underlines the usefulness of analysing the performance and risks of portfolios, by taking into account their geographic equity exposure based on real economic activity and not only on their place of listing or, more generally, the nationality assigned to them in market indices. 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”. This study finds that, for a number of stocks, their official nationality does not match their real economic exposure as represented by the company’s distribution of sales.

  • 02/04/15:
    In new research, EDHEC-Risk Institute proposes a comprehensive framework to measure performance in privately-held infrastructure equity investments
    A new paper entitled “The Valuation of Privately-Held Infrastructure Equity Investments,” drawn from the Meridiam and Campbell Lutyens research chair at EDHEC-Risk Institute on “Infrastructure Equity Investment Management and Benchmarking,” contributes a rigorous valuation framework to the debate on the benchmarking of privately-held infrastructure equity investments. The study also proposes a parsimonious data collection template, which can be used on an industry-wide basis to improve existing knowledge of the performance of privately-held infrastructure equity investments on an ongoing basis.

  • 25/03/15:
    EDHEC-Risk’s annual European ETF Survey confirms high satisfaction levels and increasing interest in products tracking smart beta indices
    EDHEC-Risk Institute has announced the results of the EDHEC European ETF Survey 2014, a comprehensive survey of 222 European ETF investors. The survey was conducted as part of the Amundi ETF & Indexing research chair at EDHEC-Risk Institute on “ETF and Passive Investment Strategies.” Among the key findings of the 2014 survey: Satisfaction has remained at high levels especially for traditional asset classes (satisfaction rate higher or equal to 90%). There have been increases in satisfaction for corporate bond, government bond and equity 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.

  • 02/03/15:
    EDHEC-Risk Institute warns European Parliament on opacity in index regulation proposal
    In an open letter addressed to the Chair of the European Parliament ECON committee, Roberto Gualtieri on February 20, 2015, EDHEC-Risk Institute has expressed its concern about the new draft text which is being proposed for a vote by the committee on March 9, which plans to remove all obligations of transparency from the initial project for regulation of indices used as benchmarks. If this provision is adopted, EDHEC-Risk Institute considers that it would constitute a step backwards compared to the texts currently in place, which organise the transparency of the investment industry.

  • 25/02/15:
    Frank Fabozzi awarded James R. Vertin Award by CFA Institute Research Foundation
    Frank Fabozzi has been awarded the James R. Vertin Award by the CFA Institute Research Foundation, a not-for-profit organization that sponsors independent research for investors and investment professionals around the world. The award was established in 1996 to honour James R. Vertin, CFA, for his outstanding leadership in promoting excellence and relevancy in research and education. It is presented periodically to recognize individuals who have produced a body of research notable for its relevance and enduring value to investment professionals. Frank Fabozzi joins a distinguished group of prior recipients of the award, including Nobel prize recipients William Sharpe and Robert Schiller, and highly regarded investment professionals Roger Ibbotson and Andrew Lo. Frank J. Fabozzi is Professor of Finance at EDHEC Business School and a member of the EDHEC-Risk Institute.

  • 12/02/15:
    Goal-based investing to better achieve investors' goals
    Any investment process should start with a proper understanding of investors' problems. Individual investors, just like institutional investors, do not need investment products with alleged superior performance. They need investment solutions that could help them meet their goals subject to a number of monetary and risk budget constraints. This much needed focus on a client-centric approach implies that investing in safe assets is perhaps the riskiest of all strategies for individual investors, since it generally involves an exceedingly high probability of not meeting ambitious consumption objectives throughout the life-cycle given existing budget constraints. It also implies that the traditional focus on risk-aversion is mostly irrelevant when it comes to capturing investors' preferences. The challenges of long-term investment decisions can only be addressed through a suitably designed- dynamic combination of risky performance-seeking portfolios and dedicated goal-hedging portfolios, engineered so as to generate the highest possible probability of meeting individual investors' aspirational goals while securing their essential goals. EDHEC-Risk Institute will be organising a Masterclass on Individual Investor Solutions on March 23 at The Brewery, in London, focusing on these goal-based investment solutions in private wealth management.

  • 05/02/15:
    Presentation of latest EDHEC-Risk Institute research at the EDHEC-Risk Europe Days conference in London, March 24-25, 2015
    Fixed-income investing, factor-based investment strategies, smart beta and multi-index allocation, infrastructure, commodities and hedge fund investing are among the topics to be presented at the EDHEC-Risk Days 2015 conference at The Brewery in London on March 24-25 next. The conference will open with a roundtable involving leading industry representatives and will address the topic of Smart Beta and Fixed Income. The session will look at whether smart beta can be successfully extended to the fixed-income space and the practical challenges in developing investable sovereign or corporate bond indices with superior risk-adjusted performance in the presence or the absence of duration constraints. The conference will also feature the latest EDHEC-Risk Institute research on a range of topics that are currently relevant for the financial industry.

  • 13/01/15:
    EDHEC-Risk Institute and Rothschild & Cie launch new research chair on active allocation to smart factor indices
    Rothschild & Cie and EDHEC-Risk Institute have announced the creation of a new research chair at EDHEC-Risk Institute entitled “Active Allocation to Smart Factor Indices.” This new chair will follow on from the previous Rothschild & Cie research chair at EDHEC-Risk Institute on “The Case for Inflation-Linked Corporate Bonds: Issuers’ and Investors’ Perspectives.” Led by Professor Noël Amenc, Director of EDHEC-Risk Institute, and Professor Lionel Martellini, Scientific Director of EDHEC-Risk Institute, the research chair team will examine the benefits of smart beta allocation.

  • 06/01/15:
    Variable-capital SCPIs invested in commercial property will be introduced into the EDHEC IEIF Commercial Property (France) Index from January 1, 2015
    In order to take account of the increasing proportion of variable-capital SCPIs (Société Civile de Placement Immobilier or real estate investment company) invested in commercial property, the EDHEC IEIF Commercial Property (France) Index will include them in its universe from January 1, 2015. There is no change to the index composition rules: only SCPIs that have recorded trading volume of more than 2 million euros on the secondary market during the previous year will be included. The secondary market is the share trading market organised by SCPI investment companies in accordance with articles 422-21 to 39 of the AMF’s (French financial market authority) general regulations. For variable-capital SCPIs, the price considered in the calculation of the index is the subscription prices of compensated withdrawals, determined by the investment company.