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


EDITORIAL

Thoughts and Afterthoughts on the JOIM-Oxford-EDHEC Retirement Investing Conference A few weeks after the JOIM-Oxford-EDHEC Retirement Investing Conference took place at the Saïd Business School, University of Oxford on 11, 12 and 13 September 2016, I would like to reflect upon some of the many insightful discussions that took place on that occasion, and share some thoughts and afterthoughts with you about the event. From the collective opinion of all parties involved, participants and speakers alike, the conference was a great success with over 70 professionals in attendance, including individuals from investment and wealth management companies, banks, institutional investors and academics. Our mandate was to feature the best of the current state-of-the-art, which has an immediate as well as a future impact on the practice of retirement investing. More...


INDUSTRY ANALYSIS

EDHEC-Risk Institute Research Insights - IPE Supplement Autumn 2016 In the Autumn 2016 Scientific Beta special issue of the Research Insights supplement to Investment & Pensions Europe, we first clarify the conceptual underpinnings and the need for diversification in factor investing, discuss the benefits of combining various factor strategies, the evolution of multi-factor allocation in recent times and the key features that distinguish the various multi-factor offerings. We show that it is possible to reconcile environmental and financial objectives using low carbon indices. More...

Current Commodity Views: Themes and Wildcards This column was excerpted from Hilary Till’s prepared remarks at the commodity panel during the New York Society of Security Analysts (NYSSA) event on June 30th, 2016, “A Global View of Commodity Markets.” Hilary Till is a Research Associate with EDHEC-Risk Institute. More...


FEATURES

Investor Perceptions about Smart Beta ETFs EDHEC-Risk Institute conducted its 9th survey of European investment professionals about the usage and perceptions of ETFs at the end of 2015. For the third year running, in view of the considerable development in new forms of indices, as well as the increasing attention smart beta ETFs have received in the media in the recent years, part of the survey was dedicated to investment professionals’ practices and use of products tracking smart beta indices and on the importance of risk factors in alternative equity beta strategies. The present document is a focus on investor perceptions about smart beta ETFs, as reported by the survey. From our survey, it appears that investment professionals have a growing interest in smart beta ETFs, but also have strong quality requirements concerning the underlying indices, most notably in terms of transparency. More...


INTERVIEW

The digitalisation of the asset management industry will mostly impact distribution models – an interview with Bernd SchererIn this interview, we talk to Bernd Scherer, Head of Quantitative Strategies at Deutsche Asset Management and Research Associate with the EDHEC-Risk Institute. We discuss his new position paper, “What Investment Robots Need To Know”, as well as the impacts and implications automated asset management offerings have on the industry, and we take a deeper look into his research projects. More...


EDHEC PUBLICATIONS

Factor Investing and Risk Allocation: From Traditional to Alternative Risk Premia HarvestingJean-Michel Maeso, Lionel Martellini. This study extends the analysis of factor investing beyond traditional factors and seeks to investigate what the best possible approach is for harvesting alternative long short-risk premia. While the replication of hedge fund factor exposure appears to be a very attractive concept, we find that hedge fund replication strategies achieve in general a relatively low out-of-sample explanatory power, regardless of the set of factors and the methodologies used. Our results also suggest that risk parity strategies applied to alternative risk factors could be a better alternative than hedge fund replication for harvesting alternative risk premia in an efficient way. More...

Initial Margin for Non-Centrally Cleared OTC Derivatives: Overview, Modelling and CalibrationDominic O'Kane. The paper provides an overview of the new initial margin (IM) regulations that will come into effect in September 2016. Of the two proposed approaches, it explains why the model-based approach is the only framework that correctly captures the counterparty risk presented by non-centrally cleared OTC derivatives. It also sets out the modelling requirements specified by the WGMR, and discusses modelling implementation issues. More...

Ten Misconceptions about Smart Beta: Analysing common claims on performance drivers, investability issues and strategy design choices Noël Amenc, Frédéric Ducoulombier, Felix Goltz, Jakub Ulahel. That a new investment approach be debated should not be surprising. Such debate should be expected to further the understanding of potential benefits as well as risks and possible pitfalls of the new approach. In the area of Smart Beta investing however, an intense debate has also produced a certain number of beliefs which are accepted as conventional wisdom and impede progress towards the adoption of approaches that could add more value for end investors. The objective of this paper is to provide perspective on these beliefs by examining conceptual considerations and empirical evidence. More...


EDHEC-RISK NEWS

Professor Martellini on Advances in Asset Allocation: Investing with a goal in London on November 22-24, 2016 The renowned Advances in Asset Allocation seminar is an intensive three-day course that will provide participants with an in-depth appreciation of the concepts and techniques that will shape the future of investment management. The seminar will also equip them with practical tools to improve asset allocation and risk management processes, implement novel investment management approaches, and develop new products and solutions. More...

EDHEC-Risk Smart Beta Day Europe 2016 to take place on October 13, 2016 at the Intercontinental Amstel in AmsterdamThe conference enables participants to have access to the latest conceptual advances and research results in smart beta investing and to discuss their implications and applications with researchers who combine expertise of advanced financial techniques with a sound awareness of their industry relevance. The event is structured to appeal to asset owners and their direct investment consultants and financial advisors. More...

Hilary Till, EDHEC-Risk Institute Research Associate, publishes new research in the Journal of Governance and Regulation The article discusses the practical issues involved in applying a disciplined risk management methodology to commodity futures trading. Accordingly, the paper shows how to apply methodologies derived from both conventional asset management and hedge fund management to futures trading. The article also discusses some of the risk management issues that are unique to leveraged futures trading. More...