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:
Capturing the Market, Value, or Momentum Premium with Downside Risk Control: Dynamic Allocation Strategies with Exchange-Traded Funds
July 2011
Elie Charbit, Jean-René Giraud, Felix Goltz, Lin Tang
There is extensive evidence that investment strategies based on momentum and value are attractive for portfolio managers who seek higher performances. Momentum and value are among the most robust return drivers in the cross section of expected returns. Dynamic risk budgeting methodologies such as Dynamic Core Satellite strategies (DCS) are used to provide risk-controlled exposure to different asset classes. We examine how to exploit the value and momentum anomalies using a DCS investment model. This paper shows that the DCS approach can boost portfolio returns while keeping downside risk under control. The implementation of the portfolio strategies is enabled by exchange-traded funds which are natural investment vehicles since they offer a broad exposure to the markets and provide the necessary liquidity to the frequent rebalancing of the DCS model. [Press release announcing the publication of the research: 04/10/11]
EDHEC-Risk European ETF Survey 2010
May 2010
Felix Goltz, Adina Grigoriu, Lin Tang
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.
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. [Press release announcing the publication of the research: 16/06/10]
Risk control through dynamic core-satellite portfolios of ETFs
January 2010
Noël Amenc, Felix Goltz, Adina Grigoriu
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 2009
May 2009
Noël Amenc, Felix Goltz, Adina Grigoriu, David Schröder
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.
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. [Press release announcing the publication of the research: 27/05/09]
Related research:
Core-satellite investing
In March 2004, within the context of a study dedicated to the use of EuroMTS trackers in institutional investment, EDHEC-Risk Institute began to advocate the core-satellite approach to investment management, by predicting that it would revolutionise asset management, not only in France but also in Europe.
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 ETF is a product range of the Amundi Group. Amundi ranks second in Europe1 and ninth worldwide1 among the players in asset management with €691.9 billion under management.2 Amundi offers a comprehensive range of products covering all asset classes and major currencies. With more than 100 ETFs1 and $9.9 billion (€6.9 billion) in assets under management,2 the Amundi ETF range of products covers the main asset classes (equities, fixed income, EONIA, and commodities) and geographical exposures (Europe, US, emerging markets, and world). As one of the pioneers in the ETF market with its first products launched in 2001, Amundi ETF is characterized by its quality products, continuous innovation, and its low cost policy. Amundi group was awarded “Best Europe Equity ETF Manager 2010” and “Best Fixed Income – Cash (Money Market) ETF Manager 2011” as voted by the readers of ETF Express in March 2010 and March 2011 respectively. The Amundi ETF product range is distributed by dedicated sales teams in France, Germany, Italy, the Netherlands, Switzerland, and the United Kingdom.
1.Total net assets. Source IPE “Top 400 asset managers active in the European marketplace” published in June 2011, data as at December 2010.
2.Amundi Group figures as at 30 June 2011.
Contact:
E-mail: info-etf@amundi.com
Website: amundietf.com
