Presentation of the Partner

About Amundi

Amundi is Europe’s largest asset manager by assets under management and ranks in the top 10¹ globally. It manages more than 1.46 trillion² euros of assets across six main investment hubs³. Amundi offers its clients in Europe, Asia-Pacific, the Middle-East and the Americas a wealth of market expertise and a full range of capabilities across the active, passive and real assets investment universes. Headquartered in Paris, and listed since November 2015, Amundi is the 1st asset manager in Europe by market capitalization⁴

Leveraging the benefits of its increased scope and size, Amundi has the ability to offer new and enhanced services and tools to its clients. Thanks to its unique research capabilities and the skills of close to 4,500 team members and market experts based in 37 countries, Amundi provides retail, institutional and corporate clients with innovative investment strategies and solutions tailored to their needs, targeted outcomes and risk profiles.

Amundi. Confidence must be earned.

Go to amundi.com for more information or to find an Amundi office near you.

1- Source IPE “Top 400 asset managers” published in June 2018 and based on AUM as of end December 2017
2- Amundi figures as of June 30, 2018
3- Investment hubs: Boston, Dublin, London, Milan, Paris and Tokyo
4- Based on market capitalization as of June 30, 2018

About Amundi ETF, Indexing and Smart Beta¹

With more than €96 billion in assets under management, Amundi ETF, Indexing and Smart Beta is one of Amundi’s strategic business areas and is a key growth driver for the Group.

Amundi ETF, Indexing and Smart Beta business line provides investors - whether institutionals or distributors - with robust, flexible and cost-efficient solutions, leveraging Amundi Group’s scale and deep resources.

With over 30 years of benchmark construction and replication expertise covering over 100 indices, Amundi is a trusted name in ETF & Index management among the world’s largest institutions. The team also manages over €20 billion in Smart Beta & Factor Investing, covering solutions based on both efficient risk management and factor investing. These solutions are available into passive (indexbased or ETF) and active management.

Thanks to the support of the whole Amundi Group, Amundi ETF, Indexing & Smart Beta business line helps meet the asset allocation needs of investors, while continuously innovating to design products that help clients meet the new challenges. The business line benefits from the long-standing ESG knowledge of one of the biggest non-financial analyst teams in Europe, as well as the wide quantitative research resources of the Group to customize portfolios according to investors’ constraints.

1- All figures and data are provided by Amundi ETF, Indexing & Smart Beta at end June 2018

 

Presentation of the Partnership

Objectives

The Amundi “ETF, Indexing and Smart Beta Investment Strategies” research chair The chair analyses the developments in the use of exchange-traded funds (ETFs) as part of the asset allocation process and looks at advanced forms of risk budgeting within the framework of a core-satellite approach. It also conducts research which aims at presenting a comprehensive analysis of the theoretical, empirical and practical challenges related to factor investing in the fixed-income space, with a focus on facilitating the emergence of more efficient approaches to bond risk premia harvesting.

[Press release announcing the creation of the research chair (30/03/09)]

 

Research Outputs:

The EDHEC European ETF and Smart Beta and Factor Investing Survey 2018

September 2018
Felix Goltz, Véronique Le Sourd
The EDHEC European ETF and Smart Beta and Factor Investing Survey 2018 gathered information from 163 European investment professionals concerning their practices, perceptions, and future plans. This survey, conducted since 2006, is aiming to provide insights into European investors’ perceptions, practices and future plans in the domain of ETFs and Smart Beta. This year, the survey also includes a special focus on Smart Beta product development, considering specific client demand in the fixed income field. Results show growing demand for new developments in existing Smart Beta offerings.

[Press release announcing the publication of the research: 20/09/18]

Smart Beta and Beyond: Maximising the Benefits of Factor Investing
February 2018
Lionel Martellini, Vincent Milhau
Factor investing is an investment paradigm under which an investor decides how much to allocate to various factors, as opposed to various securities or asset classes. Its popularity has been growing since the turn of the millennium, especially after the recognition in 2008 that multiple asset classes can experience severe losses at the same time despite their apparent differences. The term “factor”, however, is used with many different meanings depending on the context and the targeted application. The main goal of this paper is to provide clarification with respect to the various possible definitions of factors that are relevant in investment practice. This paper also develops a framework for allocating to factors in two main contexts, namely allocation decisions at the asset class level, and benchmarking decisions within a given class. For each of these applications, we examine the three most important questions raised by the adoption of a factor investing approach: (i) why think in terms of factors? (ii) what factors should be chosen? and (iii) how do we allocate between them?

[Press release announcing the publication of the research: 01/02/18]

The EDHEC European ETF and Smart Beta Survey 2016 
May 2017
Noël Amenc, Felix Goltz, Véronique Le Sourd
The EDHEC European ETF and Smart Beta Survey 2016 gathered information from 211 European investment professionals concerning their practices, perceptions, and future plans. Analysis of responses to the survey allowed light to be shed on several important questions regarding investor perceptions on ETFs and smart beta strategies. In particular, fresh insight was gained into the drivers of product adoption by investors and into the challenges investors are faced with when making decisions on implementing passive investing and smart beta strategies.

[Press release announcing the publication of the research: 08/06/17]

Smart Beta Replication Costs
February 2017
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. 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 often fail to make explicit reference to transaction costs and simply report gross returns, leaving it to other market participants to figure out the exact amount of transaction costs. The objective of this paper 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.

[Press release announcing the publication of the research: 16/03/17]

Investor Perceptions about Smart Beta ETFs
August 2016
Noël Amenc, Felix Goltz, Véronique Le Sourd
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 EDHEC European ETF Survey 2015 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.

[Press release announcing the publication of the research: 29/09/16]

The EDHEC European ETF Survey 2015
February 2016
Noël Amenc, Felix Goltz, Véronique Le Sourd, Ashish Lodh, Sivagaminathan Sivasubramanian 
The EDHEC European ETF Survey 2015, which surveyed 180 European ETF investors about their usage and perceptions of ETFs, sheds new light on drivers of investor demand for ETFs and evaluation challenges for investors. EDHEC-Risk Institute has conducted a regular ETF survey since 2006, thus providing a detailed account of the perceptions and practices of European investors in ETFs and trends over the past decade.

[Press release announcing the publication of the research: 16/03/16]

Investor Interest in and Requirements for Smart Beta ETFs
April 2015
Felix Goltz, Véronique Le Sourd
Alternative equity beta investing has received increasing attention in the industry recently. Though products in this segment currently represent only a fraction of overall assets, there has been tremendous growth in terms of both assets under management and new product development. In a survey of investment professionals, EDHEC-Risk Institute solicited the specific views of European ETF investors on “smart beta” exchange-traded funds (ETFs).

[Press release announcing the publication of the research: 23/06/15]