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    Four-University Rotating FinTech Conference: Wealth Management Systems for Individual Investors    

In the context of the fourth revolution – the digital revolution – which is likely to have a dramatic impact on the investment industry, four prominent academic institutions – EDHEC-Risk Institute, Korea Advanced Institute of Science and Technology (KAIST), Princeton University and Tsinghua University – renowned for the quality and relevance of their

educational and research programmes in finance and technology are partnering for the first time. Together, they will host an international series of rotational conferences on financial technologies and offer a forum that will facilitate discussion among all interested parties (academics, practitioners and regulators) from around the world. More...

   
 
Industry Analysis
Risk and Asset Management Research
EDHEC Research Insights - IPE Supplement Spring 2017
In the Spring 2017 issue of the Research Insights supplement to Investment & Pensions Europe we aim as ever to provide European institutional investors with an academic research perspective on the most relevant issues in the industry today. Multi-factor models are standard tools for analysing the performance and the risk of equity portfolios. In addition to analysing the impact of common factors, equity portfolio managers are also interested in analysing the role of stock-specific attributes in explaining differences in risk and performance across assets and portfolios. In our article, produced as part of the CACEIS "New Frontiers in Risk Assessment and Performance Reporting" research chair at EDHECRisk Institute, we explore a novel approach to address the challenge raised by the standard investment practice of treating attributes as factors, with respect to how to perform a consistent risk and performance analysis for equity portfolios across multiple dimensions that incorporate micro attributes. More...
Notions of Shareholder Ownership and Shareholder Value Refuted
‘Companies are owned by their shareholders’ is considered an unassailable truth. In fact, it is wrong. Another related myth is that shareholder value should be paramount. This is not correct, either. The former is refuted by eminent legal authorities on both sides of the Atlantic, while the latter is increasingly debunked by industry leaders.  More...
EDHEC-Risk News
Appointments
EDHEC-Risk Director Lionel Martellini appointed member of the Consultative Working Group of ESMA’s Financial Innovation Standing Committee
We are honoured to announce that Lionel Martellini, Professor of Finance at EDHEC Business School and Director of EDHEC-Risk Institute, has been invited to join industry stakeholders of the Consultative Working Group (CWG) which advises the European Securities and Markets Authority's (ESMA's) Financial Innovation Standing Committee (FISC), alongside twenty-four fellow members.  More...
EDHEC-Risk Publications
Performance and Risk Reporting
Multi-Dimensional Risk and Performance Analysis for Equity Portfolios
Kevin Giron, Lionel Martellini, Vincent Milhau This paper explores a novel approach to address the challenge raised by the standard investment practice of treating attributes as factors, with respect to how to perform a consistent risk and performance analysis for equity portfolios across multiple dimensions that incorporate micro attributes. The study suggests a new dynamic meaningful approach, which consists in treating attributes of stocks as instrumental variables to estimate betas with respect to risk factors for explaining notably the cross-section of expected returns.  More...
 
Interviews
   Make an impact on strategic initiatives in the area of robo-advising technologies  
   
  The Four-University Rotating FinTech Conference: Wealth Management Systems for Individual Investors will be held on 26 April, 2017 on the Princeton Campus. In this month's interview, we will discuss the partnership project between EDHEC-Risk Institute and the ORFE department at Princeton University, look at the partnership between the four academic institutions, unveil the list of featured speakers and topics covered, and present their hopes for this first edition of the conference. We will hear from Woo Chang Kim (KAIST Center for Wealth Management Technologies); John Mulvey (ORFE Department, Princeton University); Lionel Martellini (EDHEC-Risk Institute); and Andrew Yao (Institute for Interdisciplinary Information Sciences, Tsinghua University). More...  
Features 
 
Smart Beta Replication Costs
This paper provides an explicit estimate of costs applied to a range of strategies and shows the impact of using different implementation rules or stock universes. A reasonable expectation from an investor’s perspective is that providers should disclose the estimated level of transaction costs generated by their strategies so as to allow for information on net returns. However, providers typically fail to make explicit adjustments for transaction costs and satisfy themselves with reporting gross returns, leaving it to other market participants to figure out what exactly the transaction costs amount to. More...
Industry Analysis
Fixed Income Securities
Learn from 4 EDHEC-Risk experts on Fixed Income Securities
Fixed-income investing is a strategic area of development for EDHEC-Risk Institute, with an increasing number of relevant questions for investors, including the smart harvesting of interest rate and credit risk premia, the impact of a zero-interest rate environment on bond portfolio management, or efficient interest rate risk management in retirement investing solutions. In this context, EDHEC-Risk Institute enjoys the privilege of being able to rely on the expertise of some of the world’s very best experts in the area of fixed-income Securities. More...
Risk and Asset Management Research
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. While these indices achieve an environmental objective by excluding high carbon stocks, and thus putting pressure on high polluting companies to reform, they achieve a financial objective by retaining exposure to rewarded risk factors and by maintaining a high level of diversification. More...
Risk and Asset Management Research
Research for Institutional Money Management - P&I Supplement May 2016
In the May 2016 issue of the Research for Institutional Money Management supplement to Pensions & Investments, the first article addresses the issue of combining several smart beta strategies, clarifies the conceptual underpinnings and relevant questions arising when considering smart beta index combinations and introduces the Scientific Beta six factor multi-smart factor indexes.  More...
New Frontiers in Smart Beta Investing: Benefits and Limits of Traditional and Alternative Bond Benchmarks
Over recent years, a number of concerns have been expressed about the (ir)relevance of existing forms of corporate and sovereign bond indices offered by index providers. One of the major problems with bond indices which simply weight the debt issues by their market value is the so-called “bums’ problem” (Siegel, 2003). Given the large share of the total debt market accounted for by issuers with large amounts of outstanding debt, market-value-weighted corporate bond indices will have a tendency to overweight bonds with large amounts of outstanding debt. It is often argued that such indices will thus give too much weight to riskier assets. While it is debatable whether debt-weighting really leads to the most risky securities being over-weighted, it is clear that market-value debt weighted indices lead to concentrated portfolios that are in opposition with investors’ needs for efficient risk premia harvesting, which involves holding well-diversified portfolios.  More...
EDHEC-Risk News
Indexes and Benchmarking
Riccardo Rebonato speaking on fixed-income smart beta at L’AGEFI Day: Indexing, ETF & Smart Beta Summit in London on 8 June, 2017
Riccardo Rebonato, Professor of Finance, EDHEC Business School and Member, EDHEC-Risk Institute, will be speaking on the theme of fixed-income smart beta at L’AGEFI Day: Indexing, ETF & Smart Beta Summit in London on 8 June, 2017.  More...
Executive Education
New session announced for the long-running flagship seminar on Advances in Asset Allocation on 15-17 May, 2017 in London
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. Cutting-edge concepts will be discussed and illustrated using Excel spreadsheets that delegates can take away. This exclusive event, presented in a highly accessible manner, will take place in London on May 15-17, 2017. The course will be led by Professor Lionel Martellini, a seasoned instructor who combines academic expertise and industry experience.  More...
Institutional Investment
Insights on retirement investing from Lionel Martellini, Director of the EDHEC-Risk Institute
In a recent exclusive video interview, Lionel Martellini tells us why retirement investing is such an important issue, he details the shortcomings of available retirement products, goes on to explain why the biggest challenge in retirement investing is a combination of engineering, R&D, production and distribution, and finally he gives us his view on the educational aspect of the problem and how EDHEC-Risk Institute is going to be involved in addressing this challenge.  More...
Indexes and Benchmarking
Felix Goltz will unveil the results of the EDHEC-Risk European ETF & Smart Beta Survey 2016 on June 8 in London
Felix Goltz, Head of Applied Research, EDHEC-Risk Institute, will be speaking on the theme of ETF and smart beta at L’AGEFI Day: Indexing, ETF & Smart Beta Summit in London on 8 June, 2017 and will unveil the results of the EDHEC-Risk European ETF & Smart Beta Survey 2016.  More...
EDHEC-Risk Publications
Corporate Finance
On the Correct Evaluation of Cost of Capital for Project Valuation
Carlos Heitor Campani This paper fills a very important gap in the literature with a straightforward methodology that generalises the classic Modigliani and Miller results and provides correct values for the expected return on equity and for the weighted average cost of capital (WACC). After some confusing debate in the literature, we show that these correct values make the three main project valuation approaches (WACC, flow to equity and adjusted present value) match perfectly.  More...
Commodities
Swing Oil Production and the Role of Credit: A Synthesis of Best-in-Class Research Views
Hilary Till In order to understand swing production and the role of credit, this working paper will briefly cover five topics. This working paper is based on the author’s introductory remarks and PowerPoint presentation at the International Energy Forum - Bank of Canada joint roundtable on "Commodity Cycles and Their Implications," which was held at the Bank of Canada in Ottawa on April 25th, 2016. Ms. Till participated in the concluding panel discussion on the theme, "What Will Be the New Swing Producer? The Role of Credit Conditions," which focused on the role of credit markets in the stability of the oil market.  More...
Commodities
Timing Indicators for Structural Positions in Crude Oil Futures Contracts
Hilary Till This article will argue that it is plausible that there are two fundamental metrics that could be useful for deciding upon crude oil futures positions: (1) whether there are ample inventories or not; and (2) whether spare capacity is at pinch-point levels or not. The article will further argue that a dynamic allocation strategy alone is not sufficient for holding the line against losses in a crude-oil-dominated strategy. More...
Indexes and Benchmarking
Direct and Indirect Effects of Index ETFs on Spot-Futures Pricing and Liquidity: Evidence from the CAC 40
Laurent Deville, Carole Gresse, Béatrice de Séverac This paper investigates how the introduction of an index security directly or indirectly impacts the underlying-index spot-futures pricing. Using intraday data for financial instruments related to the CAC 40 index, it does not find that the spot-futures price efficiency improvement observed after ETF introduction is explained either by the direct effect of ETF shares being used in arbitrage trades or by the indirect effect of ETF trading improving the liquidity of index stocks in the short run. A revisited version of this paper was published in the March 2014 issue of European Financial Management. More...

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