EDHEC-Risk in the Press
EDHEC-Risk Institute has been cited widely in the business and industry press. A selection of articles may be found below.
- Investment Europe (29/03/2017)
Evli registers pair of funds in France
"(...) The Evli Equity Factor Europe invests in stocks of major European companies. The fund tracks ERI Scientific Beta’s factor index, which focuses on four academically determined factors: value, low risk, momentum and quality. The fund, launched on 14 October 2015, is co-managed by Mattias Lagerspetz, Peter Lindahl and Antti Sivonen. The Evli Equity Factor Europe had assets under management of €136.95m as of 28 February 2017 and delivered annual returns of 5.11% since inception. Evli has currently over €10bn in assets under management. (...)"
Open Door Media Publishing Ltd [Full text]
- Institutional Investor (21/03/2017)
Danger Rising for Low-Vol, Investors Warn
"(...) Beware low-volatility stock allocation or face potentially significant underperformance in the years ahead, experts have warned. The warning comes amid increasing concerns that traditional defensive equity strategies – which surged in popularity after the financial crisis – are vulnerable to underappreciated risks from monetary policy, interest rates, factor tilts, and geopolitics. Speaking at the EDHEC Risk Institute's Smart Beta Day in London, Dr. Eric Shirbini, a director at ERI Scientific Beta, warned that use of traditional defensive portfolio modelling could risk sub-standard returns. Shirbini argued that traditional defensive strategies are heavily biased to the low-volatility factor by their very construction, and therefore miss out on rewards from other factor tilts when market sentiment shifts. "Investing in low-volatility stocks is great when there is a downturn in the market as you tend to outperform, but when the market goes up, these low volatility strategies tend to lag behind," he said. "Low risk, low-volatility strategies tend to be much more sensitive to changes in interest rates... you end up taking a lot of country risk, which is not well-rewarded – and these strategies can be very concentrated in certain sectors as well." Shirbini's warning follows recent cautionary notes from asset managers that sophisticated investors need to look again at how they calculate risk. (...)"
Copyright Institutional Investor LLC [Full text]
- IPE (20/03/2017)
Study sheds light on smart beta transaction costs
"(...) Investors will be able to assess net returns arising from smart beta strategies through a new transaction cost measurement approach put forward by a research paper from EDHEC Risk Institute. Currently, smart beta providers do not routinely report transaction cost estimates for their strategies, and performance evaluation often relies on simulated gross returns, the research said. “A reasonable expectation from an investor’s perspective is that providers should disclose the level of transaction costs generated by their strategies so as to allow for information on net returns,” the paper said. The paper – ”Smart Beta Replication Costs” – was written by EDHEC researchers Mikheil Esakiais, Felix Goltz, Sivagaminathan Sivasubramanian, and Jakub Ulahelis. EDHEC said its research provided an “explicit estimate” of costs applied to a range of strategies and showed the impact of using different implementation rules or stock universes. Among the major findings highlighted by the authors, the paper found that conclusions about transaction cost levels and strategy implementation challenges were heavily dependent on the stock universe under consideration. The researchers also found that, for commonly used beta indices built on liquid universes and integrated implementation rules, the impact of transaction costs on returns was small. These costs did not cancel out the relative return benefits over cap-weighted indices. (...)"
Copyright IPE International Publishers Limited [Full text]
- Money Management (16/03/2017)
Investors expect disclosure of transaction costs
"(...) Investors expect that the providers of exchange traded funds (ETFs), indexing and smart beta investment strategies should better disclose the estimated level of transaction costs generated by their strategies, according to a study conducted as part of the Amundi research chair at EDHEC-Risk Institute. The “Smart Beta Replication Costs”, which analysed the impact of transaction costs on the performance of systematic equity strategies, found that providers often failed to make reference to transaction costs and only reported gross returns, forcing investors to figure out the exact amount of such costs. (...)"
Copyright Cirrus Media [Full text]
- The Hedge Fund Journal (16/03/2017)
EDHEC-Risk Publishes New Paper
"(...) A new EDHEC-Risk Institute publication entitled “Smart Beta Replication Costs,” conducted as part of the Amundi research chair at EDHEC-Risk Institute on “ETF, Indexing and Smart Beta Investment Strategies”, provides an explicit estimate of the costs applied to a range of Smart Beta strategies and analyses the impact of different implementation rules or stock universes. A reasonable expectation from an investor’s perspective is that providers should disclose the estimated level of transaction costs generated by their strategies so as to allow for information on net returns. However, providers often fail to make explicit reference to transaction costs and simply report gross returns, leaving it to other market participants to figure out the exact amount of transaction costs. (...)"
Copyright The Hedge Fund Journal [Full text]
- TheStreet (13/03/2017)
Smart Beta ETFs Surpass $500 Billion in Assets, And Financial Advisors Better Understand Why
"(...) Many financial advisors see such indexes as a good way to provide investment exposure to myriad investment categories, while offering portfolio transparency, and a way to leverage volatility and imbalances in the financial market, while providing a clear path portfolio diversification. So far, investors like what they see from smart beta funds. A 2016 European study from the EDHEC-Risk Institute shows 86% of investors are satisfied with smart beta indexes, which bypass stock or sector concentration. That sentiment has helped push smart beta ETFs passed $500 billion in assets, as of January, 2017. (...)"
Copyright TheStreet, Inc. [Full text]
- Investor's Business Daily (10/03/2017)
3 Best Single-Country ETFs For Investing In Foreign Markets
"(...) Accuvest, based in California, has $375 million in assets under management. Exchange traded funds are key to its investment team's efforts in "building equity portfolios from the top down and focusing on country selection, rather than stock selection." In an interview with IBD, Garff discussed his best ideas for investing with ETFs in international markets as the cycle of U.S. outperformance gets ever-longer in the tooth. (...) Global X Scientific Beta Japan (SCIJ) builds its holdings based on a multifactor approach, with contributions from the value, size, momentum and low volatility factors. The result is a portfolio that is highly diversified, but takes noncapitalization-weighted positions in an attempt to outperform the cap-weighted index. Relative to the rest of the world, Japan looks interesting due to a combination of high expected earnings growth, lower risk, strong relative strength and average valuations. (...)"
Copyright Investor's Business Daily, Inc. [Full text]
- Asia Asset Management (March 2017)
Bottom-up vs. top-down approaches: Improving multi-factor equity exposure
Article by Felix Goltz, head of applied research, EDHEC-Risk Institute, research director, ERI Scientific Beta
"(...) With increasing investor interest in multi-factor solutions, product providers have been debating the respective merits of the “top-down” and “bottom-up” approaches to multi-factor portfolio construction. Top-down approaches assemble multi-factor portfolios by combining distinct sleeves for each factor, while the bottom-up methods build multi-factor portfolios in a single pass by choosing and/or weighting securities by a composite measure of multi-factor exposures. In this article, we discuss the results of recent research assessing the merits of both the approaches. (...)"
Copyright Asia-Pacific Media Limited [Full text - Registration required]
- Structured Retail Products (28/02/2017)
Index roundup: ERI releases new risk control and smart beta indices
"(...) ERI Scientific Beta has launched a new series of multi-smart-factor indices based on research conducted by its research teams reconciling a top-down approach with the search for strong factor intensity. The aim of this Multi-Beta Diversified High Factor Exposure offering is to conserve the advantages of explicit risk control and the diversification of specific risks, while allowing the interactions between factor indices, which can be negative, to be taken into account. (...)"
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- ETF Strategy (28/02/2017)
ERI Scientific Beta launches new series of multifactor smart beta indices
"(...) ERI Scientific Beta has announced the launch of a series of new multifactor smart beta indices. The Multi-Beta Diversified High Factor Exposure series uses a top-down approach to maximise explicit risk control and diversification while taking interactions between factors into account. The methodology uses a High-Factor-Exposure filter which eliminates stocks that have exposures to factors other than the desired factor. The indices may serve as the underlying for future investment products such as ETFs. (...)"
Copyright ETF Strategy Ltd [Full text]
- Institutional Asset Manager (21/02/2017)
ERI Scientific Beta makes carbon reporting available free of charge for all indices
"(...) ERI Scientific Beta has added Carbon Footprint and Carbon Intensity to all indices built on the Developed and Extended Developed Europe universes and both are now available to platform users free of charge. Noël Amenc (pictured), CEO of ERI Scientific Beta, says: "This initiative is part of our contribution towards the fight against the effects of human activities on climate change. When we signed the United Nations-supported Principles for Responsible Investment (PRI) on 27 September, 2016, we clearly expressed our desire to be one of the leaders in introducing environmental constraints into the investment industry. (...)"
Copyright GFM Ltd. [Full text]
- Exchangetradedfunds.com (17/02/2017)
Live is Better
"(...) Since 2013, with the Smart Beta 2.0 framework, EDHEC-Risk Institute has created Scientific Beta multi-smart-factor indices that are well diversified and exposed to rewarded factors. At that time, the four rewarded factors validated by EDHEC-Risk Institute were Value, Size, Low Volatility and Momentum. Furthermore, as a default weighting scheme option, Scientific Beta proposed its flagship multi-strategy weighting scheme which mixes different methods of alternative weightings to cap-weighted (Efficient Minimum Volatility, Efficient Maximum Sharpe Ratio, Maximum Deconcentration, Maximum Decorrelation and Diversified Risk Weighted) in order to diversify and thus reduce the model risks associated with each of these weighting schemes. (...)"
Copyright Exchangetradedfunds.com [Full text]
- ETF.com (16/02/2017)
Finalists Announced For 2016 ETF.com Europe Awards
"(...) ETF.com today announced the nominated finalists for the 2016 ETF.com Europe Awards, developed in partnership with Inside ETFs. The ETF.com Europe Awards are designed to recognise the people, products and firms that are driving the ETF industry forward and creating better outcomes for investors. (...)
Index of the Year – 2016
- Scientific Beta Developed Multi-Beta Multi-Strategy ERC Index
This index blends four main risk factors (value, size, low volatility and momentum) with five popular smart beta diversification strategies, and has demonstrated better performance in different market phases compared with its parent index (the MSCI World index) in the long term.
Index Provider of the Year – 2016
- ERI Scientific Beta
ERI continues to push the envelope of bringing cutting-edge academic research into the real world. The firm won plaudits for a unique approach to index pricing: It said investors who license its indexes can request the right to pay only when those indexes outperform the benchmark.
Best Index Provider Website in Europe – 2016
Awarded to the most informative and user friendly website by an index provider.
- ERI Scientific Beta
ERI goes beyond providing information on its own indexes: Registered users can actually use EDHEC’s systems to create new smart beta indexes of their own, right on the website. (...)"
Copyright ETF.com [Full text]
- ETF insight (15/02/2017)
Arrivée Desjardins – Facteurs multiples et FNB obligataires + Privilegiées = ?
"(...) Desjardins Wealth Management recently filed for their launch of a total of 9 ETFs, covering multi-factors strategies, as well as fixed income and preferred shares. (...) Interesting is though, that the partner in terms of the index construction process, is EDHEC – which, if memory serves, was the one firm a while back to state that if their smart beta strategy failed to add value, then they wouldn’t charge fees … => Click HERE for more info on “Scientific Beta”. All-in, if factors are good (and they can be), then the multi-factor flavor revolves around electing the “all-season” version, meaning blending factors such that one isn’t left in the cold in the one factor that happens to be out of favor for … (years?) – so let’s say Multi-Factors are a good thing and certainly worth considering versus the consistently underperforming active management space … (...)"
Copyright ETF insight [Full text]
- Asia Asset Management (February 2017)
The next big growth opportunity
"(...) According to a 2016 EDHEC survey on ETF institutional investors, 86% of respondents expressed satisfaction towards smart-beta ETFs and consider them useful tools in improving their investment process. In Europe, investors have employed smart-beta solutions as defensive strategies in light of the ongoing market turmoil as they allow investors to improve the risk/return profile of their portfolio. (...)"
Copyright Asia-Pacific Media Limited [Full text - Registration required]
- Risk.net (25/01/2017)
‘Great rotation’ highlights clash over unseen risks in factor investing
"(...) Gaps in performance of apparently similar products rekindle debate on index construction. (...) "What index providers are offering billed as factor investing based on academic consensus is no such thing," says Felix Goltz, head of applied research at EDHEC-Risk Institute in Nice. "The academic consensus exists around half a dozen factors, providing a sort of open-source due diligence for investors," he says. "But index providers have tweaked their definitions of factors to try to make them ‘better’. The problem is, these ‘better’ examples haven't faced the same levels of scrutiny." (...) Unlike for active managers, backtests are widely published and used by investors to inform decision-making about passive products, points out Felix Goltz at EDHEC Risk Institute. Goltz calls for providers to document how they ensure backtesting is reliable. "They should explain how factor definitions came about," he says. "Did they pick 50 versions and take the one that looked best? Even large institutional investors don't have the resources to redesign these indexes from scratch and check what the sensitivity is of performance to specific choices." (...)"
Copyright Incisive Risk Information (IP) Limited [Full text - Registration required]
- Benefits and Pensions Monitor (23/01/2017)
Smart Beta Assets Growing
"(...) Assets tracking the EDHEC Risk Institute’s smart beta indices reached US$12.3 billion as of December 31. In terms of geographical distribution, these assets come from North America (60 per cent), Europe (35 per cent), and Asia-Pacific (five per cent). Compared to December 31, 2015, this represents growth of 45 per cent. Among the drivers of this growth were the successful launch of an offering reconciling a low carbon objective and multi-smart-factor portfolio construction. Another driver of the growth in assets is their performance. The indices have a live track record that shows annualized outperformance of over two per cent compared to their cap-weighted benchmark. (...)"
Copyright Benefits and Pensions Monitor [Full text]
- ETF.com (17/01/2017)
Finalists Announced For 2016 ETF.com Awards
"(...) ETF.com and Inside ETFs are pleased to announce the finalists for the 2016 ETF.com awards. The awards are designed to recognize the people, companies and products that are driving the ETF industry forward and delivering new value to investors. (...)
Best Index Provider Website – 2016
Awarded to the most informative and user-friendly website by an index provider.
ERI Scientific Beta: This indexing website powerhouse actually lets users create their own benchmarks, emphasizing the factors that matter to them. http://www.scientificbeta.com (...)"
Copyright ETF.com [Full text]
- Pensions & Investments (17/01/2017)
CalPERS looking at expanding public asset classes as it kicks off year-long allocation review
"(...) An invited speaker at Tuesday's retreat meeting, Lionel Martellini, professor of finance at the EDHEC Business School in Lille, France, and director of EDHEC-Risk Institute, discussed whether CalPERS could reduce portfolio risk and increase returns by offering alternative equity benchmarks beyond a cap-weighted benchmark. He said one problem with a cap-weighted benchmark is it tends to overweight large-cap, growth stocks. He said that over the long term small-cap and value stocks have outperformed large-cap and growth stocks. (...)"
Copyright Crain Communications Inc. [Full text]
- Financial Investigator (04/01/2017)
ERI Scientific Beta: Scientific Beta multi-factor indices post impressive three-year live track record
"(...) The Scientific Beta Multi-Beta Multi-Strategy Equal Weight (EW) and Equal Risk Contribution (ERC) flagship indices in all regions have posted positive live performance in comparison with their cap-weighted counterparts, with an average annualised outperformance of 2.13% over the period since the indices went live on December 20, 2013 to the end of December 2016. Over the three-year live period, the 18 indices that correspond to the initial flagship offering (i.e. the Scientific Beta Multi-Beta Multi-Strategy EW and ERC indices for nine regions: Developed, Developed ex US, Developed ex UK, Developed Europe ex UK, US, UK, Eurozone, Asia-Pacific ex Japan and Japan) all outperformed, with an average annualised excess return of 2.13%. The Developed World indices for the EW and ERC indices produced excess returns of 1.61% and 1.65% respectively. (...)"
Copyright Financial Investigator Publishers [Full text]