EDHEC-Risk Newsletter
December 16, 2017 Asset Management Research
 
 
Events
 
Books


EDITORIAL

Nationality is not Geography In a new publication entitled “Accounting for Geographic Exposure in Performance and Risk Reporting for Equity Portfolios,” EDHEC-Risk Institute underlines the usefulness of analysing the performance and risks of portfolios, by taking into account their geographic equity exposure based on real economic activity and not only on their place of listing or, more generally, the nationality assigned to them in market indices. This research was conducted with the support of CACEIS as part of EDHEC-Risk Institute’s research chair on “New Frontiers in Risk Assessment and Performance Reporting”. More...


INDUSTRY ANALYSIS

EDHEC-Risk Institute Research for Institutional Money Management - P&I Supplement February 2015 The February 2015 issue of EDHEC-Risk Institute's Institutional Money Management supplement to Pensions & Investments is a “Liability-Driven Investing Special” in which we first examine the evolution of pension fund investment management from asset management to asset-liability management and risk and asset-liability management, and from liability-driven investing to dynamic liability-driven investing, concluding with a survey of institutional investors who provide insights on current practices in these areas and how those practices compare to those prescribed in the academic literature. More...


FEATURES

The EDHEC European ETF Survey 2014 EDHEC-Risk Institute conducted its 8th survey of European investment professionals about the usage and perceptions of ETFs at the end of 2014. The aim of this study is to analyse the usage of exchange-traded funds (ETFs) in investment management and to give a detailed account of the current perceptions and practices of European investors in ETFs. More...


INTERVIEW

CFA Institute Research Foundation James R. Vertin Award - an interview with Frank J. Fabozzi In this month's interview, we speak with Frank J. Fabozzi, Professor of Finance at EDHEC Business School and a member of the EDHEC-Risk Institute, who was recently awarded the James R. Vertin Award by the CFA Institute Research Foundation. The award recognised Frank Fabozzi's achievement in producing a relevant and valuable body of research that has contributed to the investment profession. He joins a distinguished group of prior recipients of the award, including Nobel prize recipients William Sharpe and Robert Shiller, and highly regarded investment experts Roger Ibbotson and Andrew Lo. More...


EDHEC PUBLICATIONS

Do Multiple Credit Ratings Signal Complexity? Evidence from the European Triple-A Structured Finance SecuritiesFrank J. Fabozzi, Mike E. Nawas, Dennis Vink. In much of the current research on market practices with respect to the use of credit ratings, the rating shopping hypothesis and the information production hypothesis feature prominently. Both of these hypotheses predict an inverse relationship between the number of ratings and a security’s funding cost; that is, more ratings will reduce funding costs and, conversely, fewer ratings will increase funding costs. More...

Why Some Futures Contracts Succeed and Others Fail: A Survey of Relevant ResearchHilary Till. Why do some futures contracts succeed and others fail? Numerous researchers have provided case studies on both new and existing futures contracts, so this paper is fortunate to have a wealth of material from which to directly cite. Accordingly, this paper surveys a number of textbooks, trade publications, academic papers, and think-tank articles from which one can distill lessons from over 160 years of (largely) U.S. experience with commodity trading. More...

Commodity Risks and the Cross-Section of Equity ReturnsChris Brooks, Adrian Fernandez-Perez, Joëlle Miffre, Ogonna Nneji. This paper examines whether commodity risk is priced in the cross-section of equity returns. The authors employ a long-only equally-weighted portfolio of commodity futures and a term structure portfolio that captures phases of backwardation or contango as mimicking portfolios for commodity risk. Equity-sorted portfolios with greater sensitivities to these two commodity portfolios command higher average excess returns. The two commodity portfolios are also found to explain part of the value and momentum anomalies. More...


EDHEC-RISK NEWS

Twenty alumni for the PhD in Finance programme Since the beginning of the PhD in Finance programme in September 2008, twenty EDHEC PhD candidates have successfully defended their dissertations. Their research work brings new insights into subjects such as strategic and tactical asset allocation, inflation modelling and hedging, asset pricing, corporate financial policy, pension fund management, and household investment. More...

EDHEC-Risk Institute and Princeton University to present latest academic research results at the Institutional Money Management Conference in New York, April 23, 2015 Following the success of the second edition of the EDHEC-PRINCETON "Academia meets Practice" Conference, which attracted more than 150 finance professionals in 2013, EDHEC-Risk Institute and Princeton University will be organising the 2015 edition of the conference at The Princeton Club of New York on 23 April, 2015. This one-day conference represents the third time our institutions have joined forces to present our academic research results in finance and the usefulness of our conclusions for the industry to professionals. More...

Frank Fabozzi receives James R. Vertin Award from CFA Institute Research Foundation Frank Fabozzi has been awarded the James R. Vertin Award by the CFA Institute Research Foundation, a not-for-profit organisation that sponsors independent research for investors and investment professionals around the world. The award was established in 1996 to honour James R. Vertin, CFA, for his outstanding leadership in promoting excellence and relevancy in research and education. It is presented periodically to recognise individuals who have produced a body of research notable for its relevance and enduring value to investment professionals. More...