Research Chairs and Strategic and Private Research Projects
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:
- 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.
- 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.
- Presentation at conférences/seminars
Each of the chair’s publications will be presented at a conference/seminar organised by the sponsor(s) and aimed at the public of their choice (collaborators or clients).
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.
- ETF and Passive Investment Strategies
In partnership with Amundi ETF, Indexing and Smart Beta
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. It also conducts research on the role of “smart beta” in the organisation of the investment process.
- Optimising Bond Portfolios
In partnership with BDF Gestion
The chair looks at the question of forming bond portfolios with optimal risk/reward by optimising in the absence of credit risk or within a homogenous credit risk category, in the presence of heterogeneous credit risk, and with a fixed horizon.
- New Frontiers in Risk Assessment and Performance Reporting
In partnership with CACEIS
This chair looks at improved risk reporting, integrating the shift from asset allocation to factor allocation, improved geographic segmentation for equity investing, and improved risk measurement for diversified equity portfolios.
- Innovations and Regulations in Investment Banking
Sponsored by the French Banking Federation (FBF)
This chair is providing advanced research in four areas: skewness as an asset class; corporate and sovereign credit default swap (CDS) markets; the evaluation of policies to regulate financial markets; and options on liquidity.
- Risk Allocation Solutions
In partnership with Lyxor Asset Management
This chair is examining performance portfolios with improved hedging benefits, hedging portfolios with improved performance benefits, and inflation risk and asset allocation solutions.
- Infrastructure Equity Investment Management and Benchmarking
In partnership with Meridiam Infrastructure and Campbell Lutyens
The purpose of this chair is to provide a better understanding of the nature and investment profile of equity investment in infrastructure assets. It will focus on fostering data collection and aggregation from investors and on improving the benchmarking of return distributions for direct and indirect investment in infrastructure equity by developing an academically-validated and industry-recognised index.
- Risk Allocation Framework for Goal-Driven Investing Strategies
In partnership with Merrill Lynch Wealth Management
The purpose of this chair is to develop new research on risk allocation and goals-based investing. The initiative involves the pursuit of fundamental research on risk allocation and goals-based wealth management. 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.
- Investment and Governance Characteristics of Infrastructure Debt Instruments
In partnership with Natixis
The aim of this chair is to contribute to clarifying the nature and investment profile of infrastructure debt instruments in order to reduce the relative shortfall of publicly available investment data on the subject, compared to longer established investment segments. The chair specifically focuses on the risk and return characteristics and portfolio diversification benefits that infrastructure debt instruments can bring to institutional investors.
- Advanced Modelling for Alternative Investments
In partnership with Société Générale Prime Services (Newedge)
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.
- Active Allocation to Smart Factor Indices
In partnership with Rothschild & Cie
The purpose of this research chair is to examine the benefits of smart beta allocation. The goal is to provide a quantitative assessment of the benefits expected from sources of added value in the design of equity portfolios with superior risk and return characteristics.
Private research projects
In addition to making important public contributions to the advancement of academic research and the improvement of industry practices, EDHEC-Risk Institute also employs its expertise to conduct proprietary research projects for selected partners with a focus on the design of meaningful welfare-improving forms of investment solutions and assist them in the development of innovative products, thus providing them with an edge over the competition.
Within the framework of its relations with the industry, EDHEC-Risk Institute aims to support a limited number of asset owners and asset managers in the design and in the implementation of welfare-improving investment solutions for both institutional and individual investors, with a particularly strong focus on retirement investing solutions.
With the need to supplement retirement savings via voluntary contributions, individuals will increasingly be responsible for their own retirement investment decisions. This global trend already poses substantial challenges to millions of baby-boomers who typically lack the expertise needed to make such educated investment decisions. These concerns have led to a renewed interest in retirement investment products inclusive or exclusive of protection against longevity risk. Unfortunately, these products, which are respectively known as variable annuities and target date funds, often fall short in their current form of implementation of providing satisfactory solutions to the problems faced by individuals when approaching investment decisions in a retirement context.
In this context, EDHEC-Risk is working with Merrill Lynch Wealth Management (MLWM). The focus of the project is to design and calibrate a range of standardised goal-based investment solutions, with a focus on retirement solutions, which can be used by MLWM to address the needs of individual investors. The aim is to propose a limited number of retirement solutions that could accommodate the needs of a variety of investors; it will lead to a full solution design exercise, with a focus on scalable standardised goal-based investing solutions, as well as a series of backtests and associated reporting outcomes.
Strategic research projects
The EDHEC-Risk research chairs involve a close partnership with a sponsor and a commitment from EDHEC-Risk over three years leading to international academic publications and position papers aimed at professionals, institutional investors and regulators. In addition to these research chairs, EDHEC-Risk also has close partnerships with major industry leaders on strategic research projects.
Seven areas of major strategic research projects conducted with the industry:
- Exploring the Commodity Futures Risk Premium: Implications for Asset Allocation and Regulation
In partnership with CME Group
- Assessing the Quality of Stock Market Indices: Requirements for Asset Allocation and
In partnership with UBS Global Asset Management and BNP Paribas Asset Management
- Financial Engineering and Global Alternative Portfolios for Institutional Investors
Alternative Investments for Institutional Investors: Risk Budgeting Techniques in Asset Management and Asset-Liability Management
In partnership with Morgan Stanley Investment Management
- MiFID and Best Execution Transaction Cost Analysis A-Z: A Step towards Best Execution in the Post-MiFID Landscape
In partnership with NYSE Euronext, SunGard and CACEIS
- EDHEC European Real Estate Investment and Risk Management Survey
In partnership with Aberdeen Property Investors
- Structured Forms of Investment Strategies in Institutional Investors’ Portfolios
Benefits of Dynamic Asset Allocation Through Buy-and-Hold Investment in Derivatives
Structured Equity Investment Strategies for Long-Term Asian Investors
In partnership with Société Générale Corporate & Investment Banking
- Using Index Options to Improve the Performance of Dynamic Asset Allocation
The Benefits of Volatility Derivatives in Equity Portfolio Management
In partnership with Eurex