The EDHEC-Risk Institute research chairs involve close partnerships with their financial sponsors and a commitment from EDHEC-Risk to publishing related articles in international academic journals as well as to releasing the research results to the investment management profession through wide distribution of practitioner-oriented publications and presentations at industry conferences.

The EDHEC-Risk Institute research chairs include three types of actions:

1. Carrying out the research

   Each year, the chair proposes to produce a major research study which will lead to both academic and professional publications. The themes are proposed by EDHEC-Risk and agreed with the sponsor.

2. Organising the dissemination of the research

   The research work from the chair is widely promoted on the basis of:

   • "Features" in the EDHEC-Risk newsletter;
   • A section on the EDHEC–Risk website dedicated to the work of the chair;
   • Distribution of the research to European institutional investors;
   • Specific actions with European financial newspapers and professional publications.

3. Presentation at conferences

   Each of the chair’s publications is presented at a conference organised by the sponsor(s) and aimed at the public of their choice (employees or clients) and also at the EDHEC-Risk conferences which bring together more than 2,000 European institutional investors and asset managers each year.

   The research chair is managed by one of the directors of the centre. The research topics and associated plans are drawn up by EDHEC-Risk and validated by the sponsor. The marketing actions are validated and carried out by a steering committee comprising the marketing director of EDHEC-Risk Institute and a representative from the sponsor.

• Regulation and Institutional Investment
  In partnership with AXA Investment Managers (AXA IM)
  The chair investigates the interaction between regulation and institutional investment management and highlights the challenges of regulatory developments for institutional investment managers.

• Asset-Liability Management and Institutional Investment Management
  In partnership with BNP Paribas Investment Partners
  The chair examines advanced ALM topics such as dynamic allocation strategies, rational pricing of liability schemes, and formulation of an ALM model integrating the financial circumstances of pension plan sponsors.

• Structured Products and Derivative Instruments
  Sponsored by the French Banking Federation (FBF)
  The chair investigates the optimal design of structured products in an ALM context and studies structured products and derivatives on relatively illiquid underlying instruments.

• ALM and Sovereign Wealth Fund Management
  In partnership with Deutsche Bank
  The chair involves formalising a dynamic asset allocation model that incorporates the most salient factors in sovereign wealth fund management, analysing the risk factors impacting the inflows and outflows of cash of sovereign funds, and exploring the design of solutions for optimal financial management of sovereign wealth funds.

• Core-Satellite and ETF Investment
  In partnership with Amundi ETF
  The chair analyses the developments in the use of exchange-traded funds as part of the asset allocation process and looks at advanced forms of risk budgeting within the framework of a core-satellite approach.

• Dynamic Allocation Models and new Forms of Target Funds for Private and Institutional Clients
  In partnership with La Française AM
  The chair examines the limitations of the traditional techniques supporting target-date funds and looks at the advantages of an asset-liability management approach sensitive to the period and to the economic cycle for target-date funds, in particular for pensions.

• Advanced Modelling for Alternative Investments
  In partnership with Newedge Prime Brokerage
  The purpose of the chair is to expand the frontiers in alternative investment modelling techniques by enhancing the understanding of the dynamic and non-linear relationship between alternative investment returns and the returns on underlying fundamental systematic factors, and analysing the implications for managing portfolios that include alternative investments.

• Risk and Regulation in the European Fund Management Industry
  In partnership with CACEIS
  The chair deals with the issue of operational risk and performance in a changing regulatory framework for the European fund management industry. It analyses the major risks those in the industry face as a result of regulation and of their practices, assesses their importance and impact in terms of solvency and business models, and proposes methods to mitigate them.

• The Case for Inflation-Linked Corporate Bonds: Issuers’ and Investors’ Perspectives
  In partnership with Rothschild & Cie
  The purpose of this research chair is to support research undertaken at EDHEC-Risk on the benefits of inflation-linked corporate bonds from the issuers’ perspective as well as from the investors’ perspective. The research chair also focuses on comparing and contrasting issuers’ and investors’ perceptions of inflation-linked corporate bonds.

• Advanced Investment Solutions for Liability Hedging for Inflation Risk
  In partnership with Ontario Teachers' Pension Plan
  This chair analyses the design of novel forms of inflation-hedging portfolios that do not solely rely on inflation-linked securities but instead involve substantial investment in traditional asset classes. Overall these novel forms of inflation hedging solutions should be engineered to generate higher expected performance for a given inflation hedging level, which in turn will allow for a decrease in the cost of inflation hedging.

• Solvency II Benchmarks
  In partnership with Russell Investments
  The purpose of the chair is to design new benchmarks for European insurance companies that are representative of a dynamic allocation strategy between bonds and equities. The aim of the initiative is to enable all small- or medium-sized European insurance companies which do not have a full internal risk mitigation model to be able to avail of an objective academic reference in order to manage the risk of their equity investments.

Strategic research projects

In addition to the research chairs, EDHEC-Risk Institute is currently conducting three major strategic research projects:

• Exploring the Commodity Futures Risk Premium: Implications for Asset Allocation and Regulation
  In partnership with CME Group
  The aim of the project is to explore the conditional correlations between the commodity risk premium and the returns of traditional assets over the long term to examine the diversification and extreme-risk hedging potential of commodity futures as an asset class. It will also look at the possible influence of long-short speculators and long-only index traders on commodity markets to bring research-based facts to the current debate on the link between commodity market “financialisation” and price formation.

• Structured Equity Investment Strategies for Long-Term Asian Investors
  In partnership with Société Générale Corporate & Investment Banking
  The objective of the project is to develop a framework for the comparative analysis of various forms of allocation to equities, including new structured forms of investment management, from an institutional asset allocation and risk management standpoint.

• The Benefits of Volatility Derivatives in Equity Portfolio Management
  In partnership with Eurex
  The project is dedicated to exploring the uses of volatility derivatives by professional investors, with specific emphasis on their equity portfolio management applications. It will show how volatility derivatives can be used to optimise access to the equity risk premium in a controlled volatility-risk environment, and engineer equity portfolios with downside-risk properties that compare favourably to solutions put forward by leading asset managers.