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    Insights from the 10th EDHEC European ETF and Smart Beta Survey    

EDHEC-Risk Institute conducted its 10th survey of European investment professionals about the usage and perceptions of ETFs, as part of the Amundi research chair at EDHEC-Risk Institute on “ETF, Indexing and Smart Beta Investment Strategies”. The aim of this study is to analyse current European investor practices and perceptions on ETF and smart beta strategies. By comparing our results to those of our previous surveys, we aim to shed some light on trends within

the ETF market and within the smart beta strategy offer. In the present edition of the survey, we dedicate a large group of questions not only to ETFs that track smart beta indices, but also to their general use of and opinions on smart beta strategies. This survey brings together the main strands of passive investment, namely ETFs – which are standard and very liquid products that track indices – and strategies based on the new forms of indices. More...

   
 
Industry Analysis
Risk and Asset Management Research
Research for Institutional Money Management - P&I Supplement April 2017
In the April 2017 issue of the Research for Institutional Money Management supplement to Pensions & Investments, the first article 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. Our study suggests a meaningful new dynamic approach, which consists of 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...
Commodities
Famous Debacles in the Commodity Markets: Case Studies on Amaranth and MF Global
This article covers the trading blowups at the hedge fund, Amaranth, and at the Futures Commission Merchant, MF Global. Although the lessons from the Amaranth blowup can best be understood in terms of market-risk principles, the lessons from the MF Global bankruptcy are best understood in terms of due-diligence principles.  More...
EDHEC-Risk News
Education
EDHEC Business School’s Master in Finance tops the Financial Times Masters in Finance ranking, published June 19.
This result underscores EDHEC’s international excellence in finance. After gaining 7 places in 3 years, EDHEC is now ranked as the top business school for finance worldwide by the Financial Times. This ranking vindicates the high-impact strategy initiated several years ago by the School and which has entailed a disruptive policy in the international research field, executed in close proximity to businesses. Since the creation of the EDHEC-Risk Institute in 2001, the School has become an academic reference within the financial industry.  More...
EDHEC-Risk Publications
Indexes and Benchmarking
Smart Beta Replication Costs
Mikheil Esakia, Felix Goltz, Sivagaminathan Sivasubramanian, Jakub Ulahel This paper provides an explicit estimate of the costs applied to a range of smart beta strategies and analyses the impact of different implementation rules or stock universes. The objective is to assess transaction costs of smart beta strategies in order to contrast the gross returns of such strategies shown in backtests with estimates of net returns that are actually available to investors when considering transaction costs. More...
 
Interviews
   I see a clear need for solutions to be developed - an interview with Mark Fawcett  
   
  In this month's interview, Mark Fawcett, Chief Investment Officer at the UK's National Employment Savings Trust (NEST) and Chairman of EDHEC-Risk Institute's International Advisory Board, discusses the long-term relationship between EDHEC-Risk Institute and NEST, as well as the retirement investing challenges facing European institutional investors. He also informs us about how NEST is contributing to the retirement debate and tells us how EDHEC-Risk Institute’s research can help pension funds to cope with these challenges. More...  
Features 
 
Mass Customisation versus Mass Production in Retirement Investment Management
Existing financial products marketed as “retirement investment solutions” do not meet the needs of future retirees, which involve securing their essential goals expressed in terms of minimum levels of replacement income (focus on safety), while generating a relatively high probability of achieving their aspirational goals expressed in terms of target levels of replacement income (focus on performance). Meaningful solutions should therefore combine safety and performance to meet this dual objective. 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...
Agriculture Becomes Technology – Massive Scope For Investors
A potentially calamitous food shortage could hit the planet in the next few decades with social unrest and instability becoming much more serious. Long- term orientated, socially conscious asset managers can play a major role in averting the potential disaster but the question is whether they have the will.  More...
EDHEC-Risk News
FinTech
A great success for the inaugural edition of the Wealth Management Systems for Individual Investors Conference with over 120 professionals on the Princeton Campus
The Wealth Management Systems for Individual Investors Conference, which took place on April 26 on Princeton campus, was a great success with over 120 people in attendance from the US, Europe, South Africa & Australasia. This inaugural conference is the first-ever joint collaboration between EDHEC-Risk Institute, KAIST (Korea), Princeton (USA), and Tsinghua (China) Universities.  More...
Academic Research
Chris Firth and Jeroen Jansen, Research Associates at EDHEC-Risk Institute, presented their latest research at the inaugural EDHEC PhD in Finance Forum 2017
 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...
Retirement Investing
SDA BOCCONI School of Management is teaming with EDHEC-Risk Institute to offer a Masterclass on New Frontiers in Retirement Investing on October 16, 2017
The masterclass will focus on the technicalities of specific products for retired and senior citizens and will develop a marketing and strategic approach to senior finance and lending. It will also provide participants with an introduction to the modern financial engineering and risk management techniques which will allow a new breed of investment managers to design and implement innovative forms of welfare-improving retirement investment solutions for their clients.  More...
EDHEC-Risk Publications
Commodities
Commodities as Lotteries: Skewness and the Returns of Commodity Futures
Adrian Fernández-Pérez, Bart Frijns, Ana-Maria Fuertes, Joëlle Miffre This article studies the relation between skewness and subsequent returns in commodity futures markets. Systematically buying commodities with low skewness and shorting commodities with high skewness generates a significant excess return of 8% a year, which is not merely a compensation for the risks associated with backwardation and contango. Skewness is also found to explain the cross-section of commodity futures returns beyond exposures to the backwardation and contango risk factors previously identified. More...
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
Crude Oil Futures Markets: Are the Benefits of “Roll Yield” Real?
Hilary Till This paper examines whether roll yield is still a useful concept in evaluating crude oil futures markets. This is a timely question because of (a) scepticism on the benefits of roll yield; and (b) the dramatic drop in oil prices had led investors to question whether crude-oil-futures positions deserve a role in a diversified investment portfolio.  More...
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...

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