Publicly traded since November 2015, Amundi is the largest European Asset Manager in terms of AUM(*), with over 1,000 billion euros worldwide. Headquartered in Paris, France, Amundi has seven investment hubs located in the world’s key financial centres, and offers a combination of research depth and market experience that has earned the confidence of its clients.
Amundi is the trusted partner of 100 million retail clients, 1,000 institutional clients and 1,000 distributors in more than 30 countries, and designs innovative, high-performing products and services for these types of clients tailored specifically to their needs and risk profile.
Go to amundi.com for more information or to find an Amundi office near you.
Amundi figures as of 31 December 2016. (*) No.1 European asset manager based on global assets under management (AUM) and the main headquarters being based in Continental Europe – Source IPE “Top 400 asset managers” published in June 2016 and based on AUM as at December 2015.
About Amundi ETF, Indexing & Smart Beta
The Amundi ETF, Indexing and Smart Beta business line is one of Amundi group’s strategic business areas and totalizes 64bn € AuM.¹
Built on strong commitments on cost efficiency, innovation and transparency, the Amundi ETF platform is the 5th largest ETF provider in Europe² with 100 ETFs and more than 450 listings across Europe.
On Indexing and Smart Beta, innovation and customization are at the core of the client-oriented approach. The objective is to provide investors with robust, flexible and highly cost efficient solutions, leveraging on Amundi pricing power and extensive resources, including first class research capabilities in SRI and Factor investing.
1- Source: Amundi ETF, Indexing & Smart Beta as of 31/12/2016
2- Source: Deutsche Bank European Monthly ETF market review, December 2016
The Amundi “ETF, Indexing and Smart Beta Investment Strategies” research chair will involve three years of academic research into ETFs (exchange-traded funds) and the use of ETFs as part of a core-satellite approach to asset management. The work will be overseen by a joint Amundi ETF, Indexing & Smart Beta/EDHEC-Risk Institute advisory board.
The team of researchers at EDHEC-Risk Institute, under the leadership of centre director Lionel Martellini, will examine advanced forms of risk budgeting in a dynamic core-satellite approach and the use of these techniques by investors and asset managers.
Smart Beta and Beyond: Maximising the Benefits of Factor Investing
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?
The EDHEC European ETF and Smart Beta Survey 2016
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.
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. 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.
Investor Perceptions about Smart Beta ETFs
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.
The EDHEC European ETF Survey 2015
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.
Investor Interest in and Requirements for Smart Beta ETFs
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).