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EDHEC-Risk Newsletter Archives

2016

December 2016

Summary:
  • From Equity to Fixed-Income - Exploring New Frontiers and Pushing Boundaries in Factor Investing and Smart Beta
  • Smart Beta Strategies in Fixed Income
  • New Frontiers in Smart Beta Investing: Benefits and Limits of Traditional and Alternative Bond Benchmarks
  • Learn from 4 EDHEC-Risk experts on Fixed Income Securities
  • Time appears ripe for focusing on smart beta in fixed income - an interview with Riccardo Rebonato, Professor of Finance at EDHEC Business School and Member of EDHEC-Risk Institute
  • Hedging Inflation-Linked Liabilities without Inflation-Linked Instruments through Long/Short Investments in Nominal Bonds
  • Modelling Single-name and Multi-name Credit Derivatives
  • Modern Pricing of Interest-Rate Derivatives: The LIBOR Market Model and Beyond
  • Portfolio Management under Stress: A Bayesian-Net Approach to Coherent Asset Allocation
  • Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models
  • Mr Mark Fawcett appointed new chairman of EDHEC-Risk Institute's international advisory board
  • EDHEC-Risk Institute is associated with the Yale School of Management to offer executive education courses based on the exceptional strength and relevance of academic research: The Certificate in Risk and Investment Management

September 2016

Summary:
  • Thoughts and Afterthoughts on the JOIM-Oxford-EDHEC Retirement Investing Conference
  • EDHEC-Risk Institute Research Insights - IPE Supplement Autumn 2016
  • Current Commodity Views: Themes and Wildcards
  • Investor Perceptions about Smart Beta ETFs
  • The digitalisation of the asset management industry will mostly impact distribution models - an interview with Bernd Scherer, Head of Quantitative Strategies at Deutsche Asset Management and Research Associate with the EDHEC-Risk Institute
  • Factor Investing and Risk Allocation: From Traditional to Alternative Risk Premia Harvesting
  • Initial Margin for Non-Centrally Cleared OTC Derivatives: Overview, Modelling and Calibration
  • Ten Misconceptions about Smart Beta: Analysing common claims on performance drivers, investability issues and strategy design choices
  • Professor Martellini on Advances in Asset Allocation: Investing with a goal in London on November 22-24, 2016
  • EDHEC-Risk Smart Beta Day Europe 2016 to take place on October 13, 2016 at the Intercontinental Amstel in Amsterdam
  • Hilary Till, EDHEC-Risk Institute Research Associate, publishes new research in the Journal of Governance and Regulation

June 2016

Summary:
  • The Rise of the Robo-Advisors: The Start of a New Industrial Revolution in Wealth Management?
  • Research for Institutional Money Management - P&I Supplement May 2016
  • In what circumstances is it useful to examine whether the futures curve is in backwardation or in contango?
  • Is There a New Swing Producer in the Oil Markets?
  • Initial Margin for Non-Centrally Cleared OTC Derivatives - Overview, Modelling and Calibration
  • Research must be at the core of investment decisions and long-term allocation - an interview with Thierry Roncalli, Head of Research & Development at Lyxor
  • Frictional Diversification Costs: Evidence from a Panel of Fund of Hedge Fund Holdings
  • A Primer on the Tax Framework of Offshore and Onshore Hedge Funds
  • Skewness Strategies in Commodity Futures Markets
  • Insights on retirement investing from Lionel Martellini, Director of the EDHEC-Risk Institute
  • Professor Riccardo Rebonato joins EDHEC-Risk Institute
  • The Journal Of Investment Management (JOIM) - Call for papers
  • Frédéric Ducoulombier discussed factor investing at The Asset 2nd ETF Asia Summit on 15 June, 2016 in Taiwan
  • Hilary Till, Research Associate, to discuss movements in the oil markets at NYSSA event on 30 June, 2016 in New York

March 2016

Summary:
  • Insights from the EDHEC European ETF Survey
  • EDHEC Research Insights - IPE Supplement Spring 2016
  • EDHEC-Risk Institute Research for Institutional Money Management - P&I Supplement February 2016
  • Enhancement of Asset Liability Management with Smart Beta Analysis
  • Diversified or Concentrated Factor Tilts?
  • JOIM-Oxford-EDHEC Retirement Investing Conference - an interview with H. Gifford Fong, Editor of the Journal of Investment Management (JOIM)
  • The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium Analysis
  • Is Smart Beta just Monkey Business? An Analysis of Factor Exposures, Upside-Down Strategies and Rebalancing Effects
  • How to Calibrate Risk Appetite, Tolerance and Limits: The Issues at Stake for Capital Allocation, ERM and Business Performance
  • EDHEC-Risk Director associated with a major discovery… in astrophysics
  • A great success for EDHEC-Risk Days 2016 with over 700 professionals in attendance from the investment and risk management industry
  • Insight from 3 world-class thought leaders on Harvesting Risk Premia in Equity and Bond Markets seminar, in partnership with Yale School of Management
  • Barry Schachter and Yaacov Kopeliovich, Research Associates at EDHEC-Risk Institute, receive the Peter L. Bernstein Award for the best paper published in an Institutional Investor journal in 2015
  • Hilary Till to review structural sources of returns for CTA's and commodity indices at PRMIA Chicago event on 19 May, 2016

2015

December 2015

Summary:
  • New conceptual framework to better achieve individual investors' goals
  • EDHEC-Risk Institute Research Insights - IPE Supplement Autumn 2015
  • EDHEC-Risk Institute Research for Institutional Money Management - P&I Supplement August 2015
  • Benchmark Absence an Obstacle to Infrastructure Investment
  • Alternative Equity Beta Investing: A Survey
  • Yale School of Management - EDHEC-Risk Institute Certificate in Risk and Investment Management programme - an interview with Will Goetzmann, Edwin J. Beinecke Professor of Finance and Management Studies, Director of the International Center for Finance at Yale School of Management and Lionel Martellini, Professor of Finance at EDHEC Business School and Director of EDHEC-Risk Institute
  • The Limitations of Factor Investing: Impact of the Volkswagen Scandal on Concentrated versus Diversified Factor Indices
  • Stock Market Dispersion, the Business Cycle and Expected Factor Returns
  • What are the Sources of Return for CTAs and Commodity Indices? A Brief Survey of Relevant Research
  • EDHEC-Risk Days 2016 to take place on March 15-16, 2016 at The Brewery in London
  • Frank J. Fabozzi presented with James R. Vertin Award from CFA Institute Research Foundation at ceremony in New York
  • New book on risk-based and factor investing published, featuring contribution from EDHEC-Risk Institute authors
  • 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

September 2015

Summary:
  • Thoughts on the Future of the Investment Management Industry: From Investment Products to Investment Solutions
  • EDHEC-Risk Institute Research for Institutional Money Management - P&I Supplement May 2015
  • Complexities of Indexation and Smart Beta in Fixed-Income
  • Factor Investing: A Welfare-Improving New Investment Paradigm or Yet Another Marketing Fad?
  • Research programmes and projects are chosen and conducted to meet the needs of the investment and asset management industry - an interview with Tomas Franzén, Chief Investment Strategist, AP2 - Andra AP-fonden and Chairman of EDHEC-Risk Institute's International Advisory Board
  • Alternative Equity Beta Investing: A Survey
  • Commodity Markets, Long-Run Predictability and Intertemporal Pricing
  • Lessons from History on Commodity Futures Trading Controversies
  • Registrations now open for the EDHEC-Risk Smart Beta Day 2015
  • Building upon the success of the first 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 in London and New Haven
  • Frédéric Blanc-Brude speaking at the Second Annual Meeting of the Long-Term Infrastructure Investors Association in Washington DC on 21-22 September, 2015
  • Frédéric Ducoulombier presenting on smart beta at the Asia Investment Management Summit for Insurance
  • Hilary Till participating in US Energy Information Administration workshop on 29 September, 2015

June 2015

Summary:
  • Mind the Gap
  • How to gauge the most valuable and most mysterious asset, human capital
  • EDHEC-Risk Institute Research Insights - IPE Supplement Spring 2015
  • Need for discrimination in selecting a smart beta product
  • The Valuation of Privately-Held Infrastructure Equity Investments: Theoretical Framework and Data Collection Requirements
  • Not only long overdue but vital for successful investment - an interview with Thierry Déau, CEO of Meridiam
  • Investor Interest in and Requirements for Smart Beta ETFs
  • Comparing Different Regulatory Measures to Control Stock Market Volatility: A General Equilibrium Analysis
  • A Predictive System with Heteroscedastic Expected Returns and Economic Constraints
  • 2015/2016 seminars for the PhD in Finance programme unveiled
  • Frédéric Ducoulombier invited to speak on smart beta at The Asset ETF Asia Summit 2015
  • Sivagaminathan Sivasubramanian, Quantitative Research Analyst at EDHEC-Risk Institute, awarded research prize by EDHEC Business School for best research work on smart beta
  • Frédéric Blanc-Brude presents the results of EDHEC-Risk Institute's infrastructure research at the International Centre for Pension Management in Toronto

April 2015

Summary:
  • Nationality is not Geography
  • EDHEC-Risk Institute Research for Institutional Money Management - P&I Supplement February 2015
  • The EDHEC European ETF Survey 2014
  • CFA Institute Research Foundation James R. Vertin Award - an interview with Frank J. Fabozzi
  • Do Multiple Credit Ratings Signal Complexity? Evidence from the European Triple-A Structured Finance Securities
  • Why Some Futures Contracts Succeed and Others Fail: A Survey of Relevant Research
  • Commodity Risks and the Cross-Section of Equity Returns
  • Twenty alumni for the PhD in Finance programme
  • EDHEC-Risk Institute and Princeton University to present latest academic research results at the Institutional Money Management Conference in New York, April 23, 2015
  • Frank Fabozzi receives James R. Vertin Award from CFA Institute Research Foundation

February 2015

Summary:
  • Masterclass on Individual Investor Solutions
  • Detecting true factors in the factor zoo: assessing the economic rationale behind equity factors
  • Accounting for pension liabilities via the liability-driven investing paradigm: from asset management to asset-liability management
  • Hedging long-term inflation-linked liabilities under various inflation regimes without inflation-linked instruments
  • Unlisted Infrastructure Debt Valuation and Performance Measurement
  • More institutions will be convinced to make the extra effort to contribute their data - an interview with Benjamin Sirgue, Global Head of Aviation, Export & Infrastructure Finance within the Structured & Asset Finance business line of Natixis Wholesale Bank
  • Should a Skeptical Portfolio Insurer use an Optimal or a Risk-Based Multiplier?
  • Commodity Risk Factors and Intertemporal Asset Pricing
  • The Importance of the Structural Shape of Crude Oil Futures Curves
  • PhD in Finance candidates to present at EDHEC-Risk Days Europe 2015
  • EDHEC-Risk Institute to present masterclass on risk allocation in New York
  • EDHEC-Risk Institute to present masterclass on individual investor solutions in London
  • EDHEC-Risk Days 2015 to take place on March 24-25, 2015 at the Brewery in London

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