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


EDITORIAL

It's time to take the risk of smart beta into account Smart beta has been a great success for several years now, both in business terms and from a financial point of view, since the performances that were announced on the basis of track records have now been confirmed. This success corresponds to the development of new indices and also the change of paradigm in the passive investment industry, which, from an objective of replicating the average performance of the market that is given by cap-weighted indices, has moved on today to a promise of outperformance. More...


INDUSTRY ANALYSIS

Why factors matter Sophisticated institutional investors have started to review factor-based investment strategies. For example, the Parliament of Norway, which acts as a trustee for the Norwegian Oil Fund, commissioned a report on the investment returns of the fund. This report was requested after the fund’s performance fell short of the performance of popular equity market benchmarks. The resulting report (Ang, Goetzmann and Schaefer 2009) showed that the returns relative to a cap-weighted benchmark of the fund’s actively-managed portfolio can be explained by exposure to a set of well-documented alternative risk factors. More...

EDHEC-Risk Institute Research Insights - IPE Supplement Summer 2014 In the summer 2014 issue of the Research Insights supplement to Investment & Pensions Europe we aim as ever to provide European institutional investors with an academic research perspective on the most relevant issues in the industry today. We report on the results of a survey of European institutional investors conducted by EDHEC-Risk Institute on their perceptions and expectations with respect to the governance and transparency of indices. The survey shows that institutional investors are not particularly impressed by the current level of transparency in the indexing industry and reveals that end-users strongly support higher standards of index transparency. More...

Big data looming large for asset managers Big data has become big business for companies hoping to exploit it. But financial services groups and in particular, asset management houses, now have compelling reasons to treat the topic much more seriously. The task of crunching the ubiquitous data overload has become magnified in recent years. The average company in 15 of the 17 US commercial sectors has more data in its systems than the Library of Congress, according to the consultants McKinsey. More...


FEATURES

Dynamic Liability-Driven Investing Strategies: The Emergence of a New Investment Paradigm for Pension Funds? A number of profound changes have taken place, which have collectively led to the emergence of a new investment paradigm for pension funds. The standard paradigm for pension fund investments, which used to be firmly grounded around one overarching foundational concept of the policy portfolio, is slowly but surely being replaced by a new, more modern, investment paradigm known as the dynamic liability-driven investing (DLDI) paradigm. More...


INTERVIEW

There are still too few pension funds putting risk management at the heart of their investment strategy - an interview with Cynthia Sweeney Barnes, Sophie Debehogne and Thomas Heckel In this month's interview, we speak to Cynthia Sweeney Barnes, Head of EMEA & Global Segments; Sophie Debehogne, Investment Specialist Customised & Fiduciary Solutions within the Multi Asset Solutions team; and Thomas Heckel, Head of Financial Engineering with BNP Paribas Investment Partners, about the EDHEC-Risk Institute publication, "Dynamic Liability-Driven Investing Strategies: The Emergence of a New Investment Paradigm for Pension Funds?" produced as part of the BNP Paribas Investment Partners research chair, the risk management approaches of pension funds, and BNP Paribas Investment Partners' approach to institutional markets in Europe. More...


EDHEC PUBLICATIONS

Benchmarking Long-Term Investment in Infrastructure: Objectives, Roadmap and Recent ProgressFrédéric Blanc-Brude. Matching the huge demand for capital investment in infrastructure projects around the world with the available supply of long-term funds by institutional investors - be they pension funds, insurers or sovereign wealth funds - has never been so high on the international policy agenda. This policy momentum, illustrated by the recent focus on long-term investment in infrastructure by the G20, coincides with the steadily growing investment appetite from institutional investors for unlisted and illiquid assets. More...

Revisiting Mutual Fund Performance EvaluationTimotheos Angelidis, Daniel Giamouridis, Nikolaos Tessaromatis. Mutual fund manager excess performance should be measured relative to their self-reported benchmark rather than the return of a passive portfolio with the same risk characteristics. Ignoring the self-reported benchmark results in different measurement of stock selection and timing components of excess performance. This paper revisits baseline empirical evidence in mutual fund performance evaluation utilising stock selection and timing measures that incorporate the self-reported benchmark. It introduces a new factor exposure based approach for measuring the – static and dynamic – timing capabilities of mutual fund managers. More...


EDHEC-RISK NEWS

PhD in Finance: Lifelong Learning Option, New Funding Schemes Introduced With a view to increasing the learning and networking opportunities available to PhD in Finance programme students and alumni and to facilitating the participation of professionals who are unable to fully fund programme expenses out of their own resources, EDHEC-Risk Institute is introducing a lifelong learning option to its doctoral programme and expanding its financial assistance schemes. More...

Two EDHEC students win the French Society of Financial Analysts (SFAF) prize in the International Competition of Master Degree Theses on Economics and Finance The recipients of the prize were EDHEC students Sylvain Bourrat, an auditor with KPMG in Paris, and Guillaume Wolff, an investment banking analyst with Deutsche Bank in London, for Best Thesis on Economics and Finance in Paris on 5 June, 2014. The two 2013 graduates of the EDHEC Financial Economics track and final-year students on the MSc in Corporate Finance focused their thesis on a subject of ongoing debate, namely the impact of private equity funds on the performance of companies over which they exert a significant influence, entitled “Underpricing & Long‐Term Performance of Private‐Equity Backed IPOs compared to Non‐Private‐Equity Backed IPOs: A French perspective”. More...

PhD in Finance candidates and alumni contribute to success of EDHEC-Risk Days Since 2004, the EDHEC-Risk Days have been giving finance practitioners access to some of the latest research advances in the fields of investment and risk management and allowed them to discuss the implications and applications of new concepts and results with the Institute’s research team. Since 2010, as part of the EDHEC-Risk Days, the PhD Forum has allowed students and graduates of the EDHEC-Risk Institute PhD in Finance programme to engage industry practitioners about their dissertation work. More...