Amundi ETF "Core-Satellite and ETF Investment" Research Chair
The Amundi ETF "Core-Satellite and ETF Investment" research chair will involve three years of academic research into ETFs (exchange-traded funds) and the use of ETFs as part of a core-satellite approach to asset management. The work will be overseen by a joint Amundi ETF/EDHEC-Risk Institute advisory board.
The team of researchers at EDHEC-Risk Institute, under the leadership of centre director Noël Amenc, will examine advanced forms of risk budgeting in a dynamic core-satellite approach and the use of these techniques by investors and asset managers.
[Press release announcing the creation of the research chair (30/03/09)]
Research output:
• EDHEC-Risk European ETF Survey 2009 (May 2009):
The first project undertaken as part of the chair was the EDHEC-Risk ETF Survey 2009, an in-depth pan-European survey of the use of ETFs by European investors. The findings of this survey were presented at the third ETF and Indexation Summit at EDHEC-Risk Institutional Days in Paris on 26 and 27 May 2009.
Earlier editions of the EDHEC-Risk European ETF Survey showed how institutional investors could manage a portfolio of ETFs actively. The support from Amundi ETF will enable EDHEC-Risk Institute to take this work into the field of dynamic portfolio management, and to do so to the advantage of investors.
- Press release announcing the publication of the research:
- Research publication:
The EDHEC-Risk European ETF Survey 2009 presents the results of a comprehensive survey of 360 institutional investors and private wealth managers conducted in January and February 2009.
It is divided into two parts. The first part is an overview of the ETF market and of the mechanisms behind ETFs. It then goes on to show how advanced techniques involving dynamic allocation strategies can be carried out with ETFs. In particular, this part shows how ETFs can be used to implement the core-satellite approach to investment.
The second part presents the results of our in-depth pan-European survey of the current use of ETFs. In general, the results suggest that European investors make wide use of ETFs and consider them superior to other indexing vehicles. However, we also find that investors seem to be somewhat wary of ETFs in such illiquid asset classes as hedge funds, real estate and corporate bonds. And it seems that ETFs are predominantly used for broad market exposure over long time horizons, a use that is at odds with the plentiful opportunities they provide for strategies that are dynamic and/or apply to specific market segments.
• Risk control through dynamic core-satellite portfolios of ETFs (January 2010):
The paper examines the ways dynamic asset allocation techniques can be used to manage portfolios of exchange-traded funds (ETFs). First, dynamic allocation to stock and bond ETFs and traditional static diversification are compared. Second, tactical allocation to stock and bond ETFs and risk-controlled allocation—with both forms of allocation informed by the same return forecasts—are compared. The paper shows that dynamic asset allocation techniques that can be used with frequently traded and broadly diversified instruments such as ETFs make it possible better to address investor concerns over drawdown and intra-horizon risk, whether or not the manager wishes to make return predictions.
• EDHEC-Risk European ETF Survey 2010 (May 2010):
This survey has been taken as part of the second year of the Amundi ETF "Core-Satellite and ETF Investment" research chair. The findings of the survey were first presented at EDHEC-Risk's "Conférence de la Gestion Institutionnelle Française" (French institutional asset management conference) held in Paris on 9 June, 2010.
- Press release announcing the publication of the research:
- Research publication:
[EDHEC-Risk European ETF Survey 2010; Felix Goltz, Adina Grigoriu, Lin Tang; May 2010]
The EDHEC European ETF Survey 2010 presents the results of a comprehensive survey of 192 institutional investors, asset managers and private wealth managers conducted between January and March 2010. It analyses the possible uses of ETFs (exchange-traded funds) in investment management and gives a detailed account of current perceptions and practices of European investors in ETFs.
On the whole, the results of the survey suggest that, as a consequence of strong growth, the industry has entered a phase of increased maturity. As ETFs are now very widely used, investors are embracing more advanced ways of trading and using ETFs, such as OTC trading and securities lending, and the positive impact of ETFs on the market as a whole, including their underlying assets and other related instruments, is being felt by an increasing number of market participants.
Despite this maturity, there is still room for growth. In particular, survey respondents see a need for new products on emerging markets and alternative asset classes. Likewise, ETFs are still used mostly in static strategies and on broad market indices; their potential contribution to dynamic asset allocation and to allocation strategies in precisely defined market segments or styles is not yet fully exploited.
Related research:
Amundi ETF/EDHEC-Risk Institute European Seminar Series 2010:
Recent research drawn from the Amundi ETF "Core-Satellite and ETF Investment" research chair will be jointly presented by Amundi ETF and EDHEC-Risk Institute at a series of seminars organised throughout Europe between April and June, 2010:
- 28 April - Frankfurt
08:30 - Breakfast
CA Cheuvreux/Amundi Frankfurt (German office), Taunusanlage 14, 60325 Frankfurt - 28 April - Munich
16:00 - Group meeting
Sofitel Munich Bayerpost, Bayerstrasse 12, 80335 Munich - 29 April - Hamburg
08:30 Breakfast
Renaissance Hamburg Hotel, Große Bleichen, 20354 Hamburg - 29 April - Cologne
16:00 - Group meeting
Excelsior Hotel Ernst, 5 Trankgasse, 50667 Cologne - 12 May - Milan
11:30 - Presentation, Buffet lunch
Grand Hotel et de Milan, Via Manzoni 29, 20121 Milan - 13 May - Rome
11:30 - Presentation, Buffet lunch
Villa Medici, Viale Trinità dei Monti 1, 00187 Rome - 19 May - Zurich
08:00 - Breakfast
Haus Zum Ruden, Limmatquai 42, 8001 Zurich - 19 May - Geneva
16:00 - Group meeting
Mandarin Oriental, Quai Turrettini 1, 1201 Geneva - 9 June - Amsterdam
16:00 - Group meeting
Park Plaza Victoria Amsterdam, Damrak 1-5, 1012 Amsterdam - 10 June - Luxembourg
09:00 - Breakfast
Le Royal Luxembourg, 12 boulevard Royal, 2449 Luxembourg - 10 June - Brussels
16:00 - Group meeting
Hotel Amigo, Brussels, Rue de L’Amigo 1-3, 1000 Brussels
A second application is risk control of tactical strategies. Dynamic risk budgeting is used to provide risk-controlled exposure—taking the manager’s forecasts as a given—to an asset class. EDHEC’s research shows that, even if the manager is an excellent forecaster, this approach yields intra-horizon and end-of-horizon risk-control benefits considerably greater than those of standard tactical asset allocation.
The results of this research will be presented at the seminars by Felix Goltz, Head of Applied Research, and Jean-René Giraud, Research Associate, EDHEC-Risk Institute.
The seminar programme may be downloaded here.
Please contact Stéphanie Parenty at sparenty@cheuvreux.com for further information.
About Amundi ETF:
Amundi is an asset management company, joint venture between Crédit Agricole S.A. and Société Générale. Amundi ranks third in Europe1 with more than €650 billion under management2.
Amundi strengthened its position among the major players in the European ETF market with assets under management totalling €3.3 billion at 31st December 2009, more than double that of the previous year*.
By launching an average of 10 new products every 3 months, the Amundi ETF range has rapidly expanded in 2009 and now comprises 78 products, notable for their competitive pricing.
The range covers the main asset classes: equities, fixed income, money markets and commodities, offering investors a genuine toolbox of products.
In line with its strategy, Amundi ETF continues to provide products that are characterized by their competitive pricing, quality and innovation.
The Amundi ETF range is distributed by a dedicated sales team at CA Cheuvreux and by the sales teams of Amundi.
For more information, visit amundietf.com or contact:
Amundi ETF Team
Hotline +33 (0)1 43 23 84 44
info-etf@amundi.com.
1.IPE Top 400 survey published July 2009, data at 31 December 2008
2.Pro forma data for Amundi, 30 September 2009
