EDHEC-Risk Newsletter
December 14, 2017 Asset Management Research
 
 
Events
 
Books


EDITORIAL

EDHEC-Risk Days North America 2013 In 2013 the EDHEC-Risk Days Europe and EDHEC-Risk Days Asia conferences welcomed over 1,500 delegates. The audience included institutional investors, who represented nearly a third of the registered audience in addition to over 70 speakers and panelists composed of industry professionals. This year, the Institute is exporting its conference concept to North America in order to provide finance professionals in the region with state-of-the-art applied research in investment and risk management. The inaugural EDHEC-Risk Days North America will take place at the Crowne Plaza in New York on October 8-9, 2013. More...


INDUSTRY ANALYSIS

Avoiding sovereign credit risk exposure in equity portfolios This article discusses results from recent EDHEC-Risk Institute research on whether it is possible to reliably categorise stocks by their exposure to sovereign risk in order to create equity portfolios with low sovereign risk exposure. It uses robust estimation techniques to measure stock return sensitivities to changes in sovereign credit default swap spreads. The main finding is that such a measurement of sovereign risk exposure of stocks is reliable out-of-sample: in bad times where negative news occurs on sovereign risk conditions, our low sovereign beta portfolios indeed outperform high sovereign beta portfolios. More...

Rising US activism shaking up equities? Resurgent shareholder activism has been terrorising boardrooms in North America. In Europe too, activism is on the rise, though more muted. In 2012, investment funds aiming at profiting by instigating change in companies on the whole had a marvellous year, with many of them producing performances well exceeding that of the US stock market and most active mainstream funds. More...


FEATURES

Investment Solutions for East Asia's Pension Savings Two of the most commonplace stylised facts about East Asia have to do with pension issues: the region's population is ageing fast and its household sector has high savings rates. Both ideas are intuitively related: as demographic transitions occur, more individuals should save in preparation for their retirement. This paper, supported by AXA IM as part of the "Regulation and Institutional Investment" research chair at EDHEC-Risk Institute, examines the relationship between savings and retirement income in East Asia, defined as North-East Asia and Greater China (Japan, Korea, Taiwan, China and Hong Kong). More...

EDHEC European ETF Survey 2012 The EDHEC European ETF Survey 2012 was conducted as part of the Amundi ETF "Core-Satellite and ETF Investment" research chair at EDHEC-Risk Institute. The objective of this research chair is to provide research insights into the recent development of exchange-traded funds (ETFs) and the ways they are used in core-satellite asset management. Since indexing and dynamic asset allocation represent a considerable share of our asset management research, it is natural for EDHEC-Risk Institute to devote significant resources to this research topic. More...


INTERVIEW

ETFs are designed to provide investors with market exposure, nothing more, nothing less - an interview with Valerie Baudson In this month's interview, we talk to Valérie Baudson, Managing Director of ETFs and Indexing at Amundi, about levels of usage of ETFs, transparency and the UCITS ETF label, innovation in ETFs, the future of fixed-income ETFs, and active management of ETFs. More...


EDHEC PUBLICATIONS

Who is Afraid of Construction Risk?Frédéric Blanc-Brude, Omneia R. H. Ismail. This paper, supported by Natixis as part of the "Investment and Governance Characteristics of Infrastructure Debt Instruments" research chair at EDHEC-Risk Institute, focuses on the question of credit risk in infrastructure investment but also addresses a public policy question that has come to the fore since the financial crisis of 2007-9: should pension funds and insurance companies invest significantly in new infrastructure projects? The notion of a potential convergence between macroeconomic policies aimed at supporting long-term growth and the need to invest in long-term, stable fixed income products for institutional investors is attractive. More...

Size Rotation in the US Equity MarketKeith L. Miller, Chee Ooi, Hong Li, Daniel Giamouridis. This paper develops a hybrid model that relies on the non-linear classification Decision Tree (DT) approach but also on multivariate predictive regressions to aid implement a size rotation strategy in the U.S. equity markets. The authors' investment prediction is derived with a two-stage algorithm. In the first stage they use a decision tree to determine whether large-cap or small-cap stocks will outperform in the subsequent quarter. In the second stage they use a multiple linear regression model to predict whether large-cap stocks will outperform or underperform small-cap stocks over the next quarter. More...


EDHEC-RISK NEWS

PhD in Finance programme adds three alumni Recently, three programme participants have successfully defended their dissertations. Their research work brought new insights on asset allocation, international asset pricing and volatility and dependence transmission. More...

Sponsorship opportunities now open for EDHEC-Risk Days Europe 2014 on 25-26 March in London The Institute will be hosting the next edition of its EDHEC-Risk Days Europe conference on 25-26 March, 2014 at The Mermaid in London, a two-day event providing finance professionals with the state-of-the-art applied research in investment and risk management. More...

EDHEC-Risk Institute welcomes eight distinguished new members to its international advisory board EDHEC-Risk Institute is pleased to announce that eight new members have joined its international advisory board, which brings together distinguished scholars, representatives of regulatory bodies as well as senior executives from business partners and other leading institutions. More...

EDHEC-Risk Institute unveils major scholarship programme for Asia-Pacific To support the build-up of a strong, home-grown cohort of financial sector and capital market leaders within ASEAN countries and the wider Asia-Pacific region, EDHEC Risk Institute–Asia is creating a scholarship scheme aimed at facilitating the participation of outstanding professionals in the executive track of its doctoral programme in Singapore. More...

EDHEC Business School’s MSc in Financial Markets ranked 4th in the Financial Times Global Masters in Finance 2013 EDHEC Business School is proud to announce that its MSc in Financial Markets was ranked in fourth position overall in the third annual global ranking of Masters in Finance pre-experience programmes, published on 24 June, 2013 by the Financial Times. Additionally, the EDHEC MSc in Financial Markets was ranked first worldwide on criteria related to the international dimension of the programme (international course experience and languages). More...