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AsianInvestor EDHEC-Risk Institute Research Insights

In the middle of 2013, EDHEC-Risk Institute and AsianInvestor established a partnership to produce a special quarterly editorial supplement to provide AsianInvestor readers with research-based analysis of some of the most pressing issues facing investment professionals today.

The list of past issues may be consulted below.

Past Issues

• November 2016

This issue of the EDHEC Research Insights supplement to AsianInvestor looks at the topic of smart beta. It first shows that it is possible to reconcile environmental and financial objectives using low carbon indices. It then presents a series of three articles on the subject of defensive solutions and indices that examine the concepts underlying low risk equity strategies and the distinction between exposure to a defensive strategy and benefitting from the reward to the low risk factor, introduce alternative approaches to limiting concentration in minimum and low volatility strategies, and present solutions which rely on a risk-based allocation model to dynamically allocate to smart factor indices carrying long-term risk premia, with a view to delivering a dissymmetric defensive profile. A final article looks at the live performance of Scientific Beta Multi-Beta Multi-Strategy indices.

  • Reconciling environmental and financial objectives with smart beta
  • Distinction between exposure to a defensive strategy and benefitting from the reward to the Low Risk Factor
  • Smart factor indices and defensive strategies
  • Achieving dynamic defensive strategies
  • Evaluating the live performance of multi smart factor indices

• March 2016

This issue of the EDHEC Research Insights supplement to AsianInvestor looks at a variety of topics. It begins by comparing different approaches to the design of factor indices in the equity space and then provides perspective on misconceptions about performance drivers by drawing on conceptual considerations and empirical evidence. Other research examines whether it would make sense for a pension fund to hold a customised equity portfolio engineered to exhibit enhanced liability-hedging properties versus holding a broad off-the-shelf equity index. Further articles analyse whether suitably-designed risk allocation strategies provide a cost-efficient way for investors to obtain attractive exposure to alternative factors, and discuss the need for the investment industry to evolve beyond standard product-based market-centred approaches and to start providing both institutions and individuals with meaningful retirement investment solutions. The last two articles present the first large scale empirical analysis of the characteristics of cash flows in private infrastructure firms from the perspective of equity owners, and on the subject of the cash flow dynamics of private infrastructure project debt, produce new results using a new infrastructure cash flow database.

  • Concentrate or Diversify - What is the Best Way to Gain Factor Exposure?
  • The Performance Drivers of Smart Beta – Facts and Fiction
  • Enhancing LDI Solutions with Improved Equity Benchmarks
  • Harvesting Alternative Risk Premia
  • Providing Meaningful Retirement Investment Solutions
  • Do Infrastructure Firms Differ from Other Firms?
  • Private Infrastructure Project Debt: Cash Flow Dynamics

• October 2015

This special issue of the EDHEC-Risk Institute supplement to AsianInvestor on smart beta begins by looking at the consequences for investors of the development of passive equity investment and “smart beta” indices. It also examines the live performance of the Efficient Maximum Sharpe Ratio (MSR) indices that EDHEC-Risk Institute has been producing with FTSE since 2009 and compares it both to smart beta indices from other providers and EDHEC-Risk Institute's more recent index offerings within the Scientific Beta framework. Additional articles focus on the link between the well-known value factor on the one hand, and the profitability and investment factors on the other hand, the robustness of the first generations of smart beta indices on the basis of live track records, and what investors can learn from academic research on long-term rewarded equity factors.

  • The Virtues of Transparency
  • Live Performance and Long-Term Track Records of Smart Beta Indices
  • Value and Quality: a Comparison
  • How Robust is the Performance of Smart Beta?
  • What Does Academic Research Teach Us about Rewarded Equity Factors?
  • Factor Diversification versus Factor Concentration
  • General Principles of Smart Allocation Offerings
  • Optimal Implementation of Defensive Smart Beta Strategies
  • Relative Risk Allocation with Smart Factor Indices

• March 2015

This special issue of the EDHEC-Risk Institute supplement to AsianInvestor on smart beta begins by introducing a new approach to equity investing termed ‘smart factor investing.’ It then turns to risk allocation with smart factor indices, examining a case study with factor exposure constraints. Further articles look at solutions for allocating to smart beta, describe how to ensure that smart beta indices are investable by managing turnover and capacity constraints, and examine their robustness in relative and absolute terms. Finally, the supplement provides a brief overview of equity factor index offerings from major index providers.

  • Smart Factor Investing
  • How to Perform Risk Allocation with Smart Factor Indices
  • A Relative Risk Perspective on Risk Allocation with Smart Factor Indices
  • How Investable are Smart Beta Indices?
  • Relative and Absolute Robustness of Smart Beta Strategies
  • Assessing Factor Indices

• June 2014

The fourth issue of the EDHEC-Risk Institute supplement to AsianInvestor first shows that a good smart beta index is one which diversifies away the specific risks and manages the exposure to equity risk factors. It then analyses the performance of smart factor indices in other developed economies (at a local level) and in the global developed stock universe. After looking at the performance and implementation benefits of multi smart beta allocation in Asian equity markets, it then examines the importance of the structural shape of crude oil futures curves. Finally, the supplement focuses on the question of alpha and the choice of rate of return in regressions.

  • Smart Factor Indexing in Asian Markets: Assessing the Performance of Well-Diversified Factor Indices for Japan and Developed Asia Pacific ex Japan
  • Smart Factor Indexing Around the World
  • Multi Smart Beta Allocation in Asian Equity Markets: Performance and Implementation Benefits
  • The Importance of the Structural Shape of Crude Oil Futures Curves
  • Alphas and the Choice of Rate of Return in Regressions

• March 2014

The third issue of the EDHEC-Risk Institute supplement to AsianInvestor first looks at how to constitute a well diversified smart beta index that diversifies away specific risks and manages exposure to equity risk factors. It then explores the long-term performance and risks of selected smart beta strategies in order to examine the consistency of the performance of these strategies over the long run and consequently examines the robustness of their outperformance. The supplement also analyses the diversification of pension fund portfolios and its relationship with subsequent portfolio performance, and finally looks at the extreme risk of Asian stock market indices.

  • Multi-Beta Multi-Strategy Approach: an Asian Perspective
  • Long-Term Performance of Scientific Beta Indices
  • How Robust is the Outperformance of Smart Beta Equity Strategies?
  • Measuring Pension Fund Diversification
  • The Extreme Risk of Asian Indices

• October 2013

The second issue of the EDHEC-Risk Institute supplement to AsianInvestor again examines some of the most pressing issues currently facing investment professionals, looking at the need for lifecycle pension products in East Asia, the lifecycle deficits at the macro level, the shortcomings of corporate bond indices, smart beta indices with a focus on the Japanese equity universe, and the risk exposures of minimum-volatility equity index strategies.

  • Recognising the need for lifecycle pension products in East Asia
  • Pension asset management matters for long-term fiscal stability
  • Corporate bond indices: considerable room for improvement
  • Smart-beta diversification indices: a focus on Japan
  • Risk exposures of minimum-volatility index strategies

• June 2013

This inaugural issue looks at the shortcomings of Asian indices, the protection of Asian investors against non-financial risks, equity volatility indexing products, alternative equity index strategies, and ways of measuring and managing the specific risks of smart beta investing.

  • Assessing the risk-reward efficiency of Asian stock indices
  • Protecting investors against non-financial risks
  • Equity volatility indexing products
  • Smart-beta indices: selecting risk exposures
  • Measuring and managing the risks of smart-beta investing