EDHEC-Risk Newsletter
December 15, 2017 Asset Management Research
 
 
Events
 
Books


EDITORIAL

Benchmarking long-term investment in infrastructure 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...


INDUSTRY ANALYSIS

Fixed-income performance attribution analysis and other performance evaluation approaches Clients of asset management firms need to have more information than merely whether or not a portfolio manager outperformed a benchmark and by how much. They need to know the reasons why a portfolio manager realized the performance relative to the benchmark which can be either a bond index, smart beta, or a customized index More...

Financial regulation: comparing different measures to control stock market volatility Whenever there is a crisis in financial markets, there is a call for greater regulation of these markets and the financial institutions that operate in these markets. It is not clear, however, whether more tightly regulated markets would also be more stable, or whether they would function better than those that are less tightly regulated. More...

Multi-asset funds taking off Multi-asset funds, also referred to as mixed-asset funds, are taking off. While strong tail winds drive their growth, some players are beset by problems. The demand for these funds comes from both retail and institutional investors. The retail public know them as “absolute-return” funds. More...

Catastrophe bonds Catastrophe bonds (CAT bonds) are a major category in the class of securities known as insurance-linked securities or ILS. Their purpose is to crowd-source reinsurance coverage, in order to reduce reinsurers’, insurers’, and self-insurers’ reserve requirements and reduce their cost of coverage. At the same time they are attractive to investors, because the risks they cover are virtually uncorrelated with other risks such as equity market risk, interest rate risk, and credit risk.More...


FEATURES

Superannuation v2.0: Towards the next generation of pension funds in Australia Numerous surveys suggest that Australians are not completely satisfied with Superannuation as it exists today. First, fund members tend to think that they will not have enough to retire and second, that investment plan providers are not necessarily acting in their best interest. In this context, we asked in a recent study supported by AXA Investment Managers whether the recent rapid development of self-managed superannuation funds (SMSFs) may be related to the level of dissatisfaction with the more mainstream types of pension funds (retail, industry and non-profit) especially amongst the relatively more financially literate and wealthier segment of the population. More...


INTERVIEW

Passive investment can add much more value than it does today - an interview with Noël Amenc In this month's interview, we speak with Noël Amenc, Professor of Finance at EDHEC Business School, Director of EDHEC-Risk Institute and CEO of ERI Scientific Beta, about passive investment in general and smart beta investing in particular. More...


EDHEC PUBLICATIONS

Towards Conditional Risk Parity — Improving Risk Budgeting Techniques in Changing Economic EnvironmentsLionel Martellini, Vincent Milhau, Andrea Tarelli. It has become increasingly apparent that a portfolio that seems to be well-balanced in terms of dollar contributions can be extremely concentrated in terms of risk contributions because of differences in volatility and pairwise correlation levels amongst the constituents. In this context, risk parity, which assigns the same contribution to portfolio risk to all assets, has become an increasingly popular risk management methodology within and across asset classes. More...

Stock Return Predictability of Cross-Market Deviations in Option Prices and Credit Default Swap SpreadsGeorgios Angelopoulos, Daniel Giamouridis, Georgios Nikolakakis. Cross-market deviations in (deep out-of-the-money) equity put option prices and credit default swap spreads of the same firm are temporary and predict future movements in the put options and credit default swaps. We document that these deviations are only temporary and the prices of the two insurance contracts revert to their usual level shortly after they occur, on average within about one week. More...

The Impact of Risk Controls and Strategy-Specific Risk Diversification on Extreme RiskLixia Loh, Stoyan Stoyanov. To overcome the deficiencies of cap-weighted indices, smart beta strategies have been proposed. They employ weighting schemes that deviate from cap-weighting, deal with the problem of concentration and allow for a flexible index construction process in which the index can be tilted to better rewarded factors. More...


EDHEC-RISK NEWS

PhD in Finance welcomes new class Thirteen executive participants have joined the October 2014 class of the EDHEC-Risk Institute PhD in Finance. They come from three continents and represent ten countries, have fourteen years of professional experience on average and work in wealth and asset management, corporate and investment banking, and for a financial supervisory authority. More...

EDHEC-Risk Institute to present masterclass on individual investor solutions in London EDHEC-Risk Institute will be holding a special masterclass on individual investor solutions entitled "Advanced Techniques for Wealth and Retail Investments" on March 23, 2015 at The Brewery in London. Like institutional investors, individual investors do not just need investment products with allegedly superior performance. They need investment solutions that help them meet their goals subject to a number of dollar and risk budget constraints. More...

EDHEC-Risk Days 2015 to take place on March 24-25, 2015 at the Brewery in London The EDHEC-Risk Days conference 2015 will take place on March 24-25, 2015 at the Brewery in London and will present the results of EDHEC-Risk research on themes of great interest to the institutional investment and fund manager communities. The 2015 conference is a two-day event focusing on new frontiers in risk allocation and investment management that will allow investment professionals to review major industry challenges, explore state-of-the-art investment techniques and benchmark practices to research advances. More...

Yale School of Management – EDHEC-Risk executive seminar series to continue in Q1 2015 The highly successful executive seminar series organised by Yale School of Management and EDHEC-Risk Institute is set to continue in the first quarter of 2015. The seminar series, which allows participants to obtain the prestigious Certificate in Risk and Investment Management, will resume with the two-day Yale SOM-EDHEC-Risk Alternative Investments Seminar at the EDHEC-Risk Institute campus in London on February 24-25, 2015 and the Yale campus New Haven, Connecticut on March 3-4, 2015. More...