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


EDITORIAL

Thoughts on the Future of the Investment Management Industry: From Investment Products to Investment Solutions Professor Lionel Martellini, the new director of EDHEC-Risk Institute, reflects upon recent and expected changes affecting the investment management industry, and how the Institute ambitions to re-position its research and educational activities in the face of these changes. Since the creation of EDHEC-Risk Institute about 15 years ago, the investment industry has experienced a series of profound structural changes, and a number of new challenges are increasingly being faced by both institutional and individual investors as a result of these changes. More...


INDUSTRY ANALYSIS

EDHEC-Risk Institute Research for Institutional Money Management - P&I Supplement May 2015 In the May 2015 issue of the EDHEC-Risk Institute's Institutional Money Management supplement to Pensions & Investments, we begin by examining the role of two separate equity risk factors related to balance sheet characteristics: Low Investment and High Profitability. These factors rely on straightforward and parsimonious indicators, and can be expected to provide more robust performance benefits than ad-hoc stock picking indicators of “quality” used in the industry. More...

Complexities of Indexation and Smart Beta in Fixed-Income Lionel Martellini, director of the EDHEC-Risk Institute, summed up in a presentation at the EDHEC conference in London in March this year the difficult challenges involved in the emergence of meaningful smart beta solutions in fixed-income. He pointed out that the smart beta concept in fixed-income was still relatively immature compared with its firm grounding in equity investment practices. He went on to say that the motivation for smart beta inevitably arises from the shortcomings of current bond benchmarks, which are mainly the lack of investability, poor diversification and wrong risk exposures. Accordingly, a successful smart beta bond benchmark must avoid problems in each of these three areas. More...


FEATURES

Factor Investing: A Welfare-Improving New Investment Paradigm or Yet Another Marketing Fad?This paper examines the relative efficiency of standard forms of practical implementation of the factor investing paradigm based on commonly-used factors in the equity, fixed-income and commodity universes. Investment practice has recently witnessed the emergence of a new approach known as factor investing, which recommends that allocation decisions be expressed in terms of risk factors, as opposed to standard asset class decompositions. More...


INTERVIEW

Research programmes and projects are chosen and conducted to meet the needs of the investment and asset management industry - an interview with Tomas Franzén In this month's interview, we speak with Tomas Franzén, Chief Investment Strategist, AP2 - Andra AP-fonden and Chairman of EDHEC-Risk Institute's International Advisory Board, about EDHEC-Risk Institute's mission and achievements since it was founded, ERI Scientific Beta's initiative and main challenges facing asset owners. More...


EDHEC PUBLICATIONS

Alternative Equity Beta Investing: A SurveyNoël Amenc, Felix Goltz, Véronique Le Sourd, Ashish Lodh. Alternative equity beta investing has attracted increased attention within the industry recently. Though products in this segment currently represent only a fraction of overall assets, there has been tremendous growth recently in terms of both assets under management and new product development. In this context, EDHEC-Risk Institute carried out a survey among a representative sample of investment professionals to identify their views and uses of alternative equity beta. More...

Commodity Markets, Long-Run Predictability and Intertemporal PricingAdrian Fernadez-Perez, Ana-Maria Fuertes, Joëlle Miffre. This paper shows that backwardation versus contango factor-mimicking portfolios exhibit in-sample and out-of-sample predictive power for the first two moments of the distribution of long-run aggregate market returns and for the business cycle. It also demonstrates that a pricing model based on innovations to the backwardation versus contango risk factors explains relatively well a wide cross-section of equity portfolios. The cross-sectional “hedging” risk prices are economically consistent with the direction of long-run predictability of expected market returns and variances. More...

Lessons from History on Commodity Futures Trading ControversiesHilary Till. Public scrutiny of, and scepticism about, commodity futures markets has had a long tradition in both the United States and in Continental Europe, dating back to (at least) the last great era of globalisation in the 1890s. Over the past 120 years, two determinations have historically prevented futures trading from generally being heavily restricted. More...


EDHEC-RISK NEWS

Registrations now open for the EDHEC-Risk Smart Beta Day 2015 The EDHEC-Risk Smart Beta Day, organised by EDHEC-Risk Institute in partnership with Scientific Beta, will take place in New York on 15 December, 2015 and will showcase the latest conceptual advances and research results in smart beta investing. More...

Building upon the success of the first series, the second edition of the Yale School of Management – EDHEC-Risk Institute Certificate in Risk and Investment Management will start again from January 2016 in London and New Haven The focus of this series of joint executive education seminars, around the unifying theme “Advanced Risk and Investment Management", is on utilising the latest academic insights to help investment professionals better understand and implement advanced investment approaches and methodologies. The seminars provide relevant academic insights with respect to some of the most important dimensions of the investment process, including implementing disciplined risk and asset allocation decisions, efficiently harvesting factor risk premia across and within traditional and alternative asset classes, and designing truly meaningful forms of liability driven or goal-based investment solutions. More...

Frédéric Blanc-Brude speaking at the Second Annual Meeting of the Long-Term Infrastructure Investors Association in Washington DC on 21-22 September, 2015 The event will start with investor and LTIIA member sessions on the first day, concluding by a reception with Mr. Joseph Biden the US Vice President, followed by general sessions on the second day, where US and international infrastructure policy makers, including Mr. Jack Lew, the US Treasury Secretary and Mr. Anthony Foxx, the US Transportation Secretary, will join the convention. Ms. Christine Lagarde, Managing Director of the International Monetary Fund (IMF), will also be making a keynote address. More...

Frédéric Ducoulombier presenting on smart beta at the Asia Investment Management Summit for Insurance Frédéric Ducoulombier, Director, EDHEC Risk Institute – Asia, will be speaking on the topic "From Smart Beta to smart allocation: New approaches to defensive equity investing for insurers" at the 4th Asia Investment Management Summit for Insurance. More...

Hilary Till participating in US Energy Information Administration workshop on 29 September, 2015 Hilary Till, Principal at Premia Capital Management, LLC and Research Associate at EDHEC-Risk Institute, has been invited to join the US Energy Information Administration workshop on the "Evolution of Petroleum Market and Price Dynamics" as a panel member in Washington on 29 September, 2015. More...