EDHEC-Risk Newsletter
December 13, 2017 Asset Management Research
 
 
Events
 
Books


EDITORIAL

New conceptual framework to better achieve individual investors' goals Any investment process should start with a thorough understanding of the investor problem. Individual investors do not need investment products with alleged superior performance; they need investment solutions that can help them meet their goals subject to prevailing dollar and risk budget constraints. In a new publication entitled “Introducing a Comprehensive Investment Framework for Goals-Based Wealth Management”, EDHEC-Risk Institute develops a general operational framework that financial advisors can use to help individual investors optimally allocate their wealth across the categories of risks they face through all life stages and wealth segments, so as to achieve personally meaningful financial goals. More...


INDUSTRY ANALYSIS

EDHEC-Risk Institute Research Insights - IPE Supplement Autumn 2015 In the autumn 2015 Scientific Beta special issue of the Research Insights supplement to Investment & Pensions Europe we begin by looking at ‘quality’ investing and more specifically the role of two separate equity risk factors related to balance sheet characteristics: low investment and high profitability. These factors rely on straightforward, 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...

EDHEC-Risk Institute Research for Institutional Money Management - P&I Supplement August 2015 In the August 2015 issue of the EDHEC-Risk Institute's Institutional Money Management supplement to Pensions & Investments, we look first at the consequences for investors of the development of passive equity investment and “smart beta” indexes. A key issue with these indexes that has not yet been resolved, and is not being attended to properly by regulators, is their level of transparency and the provision of detailed information on the indexes to investors. More...

Benchmark Absence an Obstacle to Infrastructure Investment The lack of benchmarks in infrastructure investment is holding back institutional investors. In studies spearheaded by Professor Blanc-Brude, EDHEC has come up with a feasible and practical program for the way forward but the challenges facing the industry for its implementation are formidable. More...


FEATURES

Alternative Equity Beta Investing: A Survey EDHEC-Risk Institute carried out its survey among a representative sample of 128 investment professionals at the beginning of 2014, as part of the Société Générale Prime Services (Newedge) research chair on “Advanced Modelling for Alternative Investments”. The aim of the study is to give an overall view on alternative equity beta strategies, to determine the areas of usage and to analyse the alternative equity beta practices and perceptions of investment professionals.

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. More...


INTERVIEW

Yale School of Management - EDHEC-Risk Institute Certificate in Risk and Investment Management programme – an interview with Will Goetzmann and Lionel Martellini In this month's interview, Will Goetzmann, Edwin J. Beinecke Professor of Finance and Management Studies, Director of the International Center for Finance at Yale School of Management and Lionel Martellini, Professor of Finance at EDHEC Business School and Director of EDHEC-Risk Institute, discuss Yale SOM and EDHEC-Risk Institute's shared history of bringing theory to practice, provide further details on the second edition of the seminar series, present the key success factors for this partnership, share their objectives and initiatives for the future and give us their thoughts about trends and paradigm changes that are affecting the investment industry. More...


EDHEC PUBLICATIONS

The Limitations of Factor Investing: Impact of the Volkswagen Scandal on Concentrated versus Diversified Factor IndicesNoël Amenc, Sivagaminathan Sivasubramanian, Jakub Ulahel. Volkswagen has been caught up in one of the most notorious scandals in corporate history by installing cheat software to reduce emissions during testing. The news broke on the eve of Friday, 18 September 2015 and the stock markets heavily penalised Volkswagen AG and other automobile stocks, including suppliers, on Monday, 21 September 2015. In the present study, we show that, in the month of September 2015, the impact of the Volkswagen scandal is much stronger in concentrated factor indices as opposed to Scientific Beta’s well-diversified smart factor indices which outperformed the cap-weighted benchmark. More...

Stock Market Dispersion, the Business Cycle and Expected Factor ReturnsTimotheos Angelidis, Athanasios Sakkas, Nikolaos Tessaromatis. This paper provides evidence using data from the G7 countries suggesting that return dispersion may serve as an economic state variable in that it reliably predicts time-variation in economic activity, market returns, the value and momentum premia and market volatility. A relatively high return dispersion predicts a deterioration in business conditions, a higher value premium, a smaller momentum premium and lower market returns. The evidence is robust to alternative specifications of return dispersion and is not driven by US data. Return dispersion conveys incremental information relative to idiosyncratic risk. More...

What are the Sources of Return for CTAs and Commodity Indices? A Brief Survey of Relevant ResearchHilary Till. This survey paper will discuss the (potential) structural sources of return for both CTAs and commodity indices based on a review of empirical research articles from both academics and practitioners. The paper specifically covers (a) the long-term return sources for both managed futures programs and for commodity indices; (b) the investor expectations and the portfolio context for futures strategies; and (c) how to benchmark these strategies. More...


EDHEC-RISK NEWS

EDHEC-Risk Days 2016 to take place on March 15-16, 2016 at The Brewery in London The EDHEC-Risk Days conference 2016 will take place on March 15-16, 2016 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 2016 conference is a two-day event which includes three major events that will allow professionals to review major industry challenges, explore state-of-the-art investment techniques and benchmark practices to research advances. More...

Frank J. Fabozzi presented with James R. Vertin Award from CFA Institute Research Foundation at ceremony in New York On 26 October, 2015 on the occasion of the CFA Institute Research Foundation’s 50th Anniversary Forum on the theme of "The Future of Investment Research" in New York, Frank J. Fabozzi was presented with the 2015 James R. Vertin Award for his lifetime contribution to investment research, the highest honour bestowed by the CFA Institute Research Foundation. More...

New book on risk-based and factor investing published, featuring contribution from EDHEC-Risk Institute authors A new book entitled "Risk-Based and Factor Investing" has just been published, containing a compilation of recent articles written by leading academics and practitioners in this field. More...

Yale School of Management is teaming up once again with EDHEC-Risk Institute to offer state-of-the-art executive seminar series in Risk and Investment Management The first seminar offered as part of this joint initiative is an in-depth discussion of advanced methods for performing asset allocation decisions with a particular emphasis on the design of investment solutions that should help investors achieve their long-term objectives. It will also equip participants with practical tools to improve asset allocation and risk management decision processes and to implement novel investment management approaches. The Asset Allocation and Investment Solutions Seminar will be held in London on 26-27 January, 2016, and in New Haven on 3-4 February, 2016. More...