At the beginning of 2011, EDHEC-Risk Institute and Investment & Pensions Europe (IPE) established a partnership to produce a special quarterly editorial supplement to provide IPE readers with academic insights that genuinely contribute to improving institutional investment practices.

The list of past issues may be consulted below.

• Autumn 2012

The present supplement features several articles drawn from the research that was presented at the inaugural EDHEC-Princeton Institutional Money Management Conference that was held on 27 April 2012, at the Princeton Club in New York with the aim of providing participants with the latest academic insights related to new frontiers in institutional money management. This issue also features the results of several recent research projects at EDHEC-Risk Institute.

[Download]

Contents: A generalised approach to portfolio optimisation: improving performance by constraining portfolio norms Advantages of long-short commodity funds for long-term investors Portfolio allocation decisions in the presence of regimes in asset returns The benefits of volatility derivatives in equity portfolio management What asset-liability management strategy for sovereign wealth funds? Reactions to the EDHEC study ‘Optimal design of corporate market debt programmes in the presence of interest rate and inflation risks’ European regulation of the commodity derivatives market – be wary of placebos Reactions to the EDHEC-Risk European Index Survey 2011 Insights from the EDHEC-Risk North America Index Survey 2011 How to assess hedge fund performance in a robust manner Risk-managed investing in non-cap-weighted equity indices

• Summer 2012

This issue introduces some of the research results presented at the EDHEC-Risk Days Europe conference held at The Brewery in London from 27–29 March. It focuses on five subjects of particular current importance for European institutional investors in individual research produced with the support of a number of EDHEC-Risk Institute's research chair partners in order to propose optimal solutions to the primary issues facing the European financial industry today.

[Download]

Contents: Is the crisis financial? How to allow insurance companies to benefit from investment in equities within the framework of Solvency II Shedding more light on non-financial risks — a European survey The use of ETFs by European institutional investors and asset managers Dynamic investment strategies for corporate pension funds in the presence of sponsor risk Shifting towards hybrid pension systems: a European perspective How investors can respond to the shifting pension landscape

• Spring 2012

In the past few years the advisability of including commodities in institutional investors' portfolios and the supposed role of speculative activity in the volatility of commodity prices have been widely discussed within the industry, not least as a response to EDHEC-Risk Institute's research on these topics. In view of the importance of commodities investment, a considerable portion of the Spring 2012 issue is devoted to commodities investing, from both the research and practitioner perspectives.

[Download]

Contents: Lessons from history on commodity futures trading controversies Long-short commodity investing: implications for porfolio risk and market regulation Commodity prices over the last decade were greatly influenced by the rise of emerging markets: Interview with Blu Putnam, Managing Director & Chief Economist, CME Group Assessing the risks of European ETFs Accounting and sponsor risks in European pension plans

• Autumn 2011:

This edition is a special issue to celebrate the 10th anniversary of EDHEC-Risk Institute. Since it was founded in 2001, the institute has endeavoured to remain faithful to its “research for business” approach, by providing research that is both academically excellent and relevant and useful for the industry. This supplement looks at the industry-sponsored research that has been developed at EDHEC-Risk Institute over the past ten years.

[Download]

Contents: EDHEC-Risk Institute 2001-11, key dates The choice of asset allocation and risk management Ten years of research supported by the financial industry Ten years of applied research Ten years of speaking up on important issues for the financial industry

• Summer 2011

This issue addresses one of the key questions in modern finance from both an academic and practitioner perspective: are investors rewarded for investing in high-risk stocks by enjoying higher expected returns? It also discusses what is probably the single most important subject to come out of the financial crisis: risk management. The supplement also looks at the difference between a reference index and a custom benchmark, explaining how this distinction leads to different approaches to passive investment, and introduces the EDHEC-Risk Indices & Benchmarks’ efficient relative return benchmark approach. Other articles examine the advantages and shortcomings of minimum variance portfolios and how the shortcomings can be addressed, and look at the question of optimal hedge fund allocation. Finally, an analysis of dynamic core-satellite strategies with exposure to value and momentum strategies is provided.

[Download]

Contents: Is there a risk/return trade-off across stocks? A post-crisis perspective on diversification for risk management Efficient indices and efficient relative return benchmarks Advantages and shortcomings of minimum variance portfolios Optimal hedge fund allocation with improved estimates for coskewness and cokurtosis parameters Value and momentum effects across exchange-traded funds

• Spring 2011

In this issue, EDHEC-Risk’s researchers look at two of the key challenges facing institutional investors today: selecting the right benchmark for passive investment and holding a portfolio that provides an optimal risk-return tradeoff. Additional articles address the optimal design of debt programmes for corporates and the optimal dynamic asset allocation for sovereign assets given different drivers of economic risks as well as varying levels of debt. Finally, the supplement reports the results of separate European surveys of institutional investors on exchange-traded funds and indices, both equity and fixed-income.

[Download]

Contents: Alternative weighting schemes: conditions for optimality Efficient indexation: an alternative to cap-weighted indices Indices in institutional investment management: results of a European survey Institutional investors’ views on exchange-traded funds Inflation-linked corporate bonds and the optimal design of debt programmes Integrated approach to sovereign wealth risk management

• Winter 2010/11

This first issue of the IPE EDHEC-Risk Institute Research Insights was produced on the occasion of the EDHEC-Risk Institutional Days 2010 which were held in Monaco on 8-9 December, 2010 as a complement to the Global Institutional Investment Conference with the aim of providing research-based solutions to some of the key challenges facing institutional investors today. One of the most prominent of these challenges is to find an appropriate benchmark for institutional investments. Another key question is whether currently available bond indices are optimal for investors. Further research focuses on the biases that prevent many pension funds from managing their assets optimally following a survey of European pension funds, advisers, regulators, and fund managers, and the impact of pension fund allocation decisions on the wealth of shareholders, bondholders and pensioners. The supplement also examines whether private wealth managers will adopt institutional investors’ risk management techniques in the light of the results of a survey on the subject, and looks at the optimal asset allocation for sovereign wealth funds.

[Download]

Contents: Alternatives to cap-weighted indices Are currently available corporate bond indices optimal for investors? Rules-based strategies for pension funds Integrated ALM Will wealth managers adopt institutional risk management? Optimal asset allocation for sovereign wealth funds