AsianInvestor EDHEC-Risk Institute Research Insights
In the middle of 2013, EDHEC-Risk Institute and AsianInvestor established a partnership to produce a special quarterly editorial supplement to provide AsianInvestor readers with research-based analysis of some of the most pressing issues facing investment professionals today.
The list of past issues may be consulted below.
• November 2016
This issue of the EDHEC Research Insights supplement to AsianInvestor looks at the topic of smart beta. It first shows that it is possible to reconcile environmental and financial objectives using low carbon indices. It then presents a series of three articles on the subject of defensive solutions and indices that examine the concepts underlying low risk equity strategies and the distinction between exposure to a defensive strategy and benefitting from the reward to the low risk factor, introduce alternative approaches to limiting concentration in minimum and low volatility strategies, and present solutions which rely on a risk-based allocation model to dynamically allocate to smart factor indices carrying long-term risk premia, with a view to delivering a dissymmetric defensive profile. A final article looks at the live performance of Scientific Beta Multi-Beta Multi-Strategy indices.
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• March 2016
This issue of the EDHEC Research Insights supplement to AsianInvestor looks at a variety of topics. It begins by comparing different approaches to the design of factor indices in the equity space and then provides perspective on misconceptions about performance drivers by drawing on conceptual considerations and empirical evidence. Other research examines whether it would make sense for a pension fund to hold a customised equity portfolio engineered to exhibit enhanced liability-hedging properties versus holding a broad off-the-shelf equity index. Further articles analyse whether suitably-designed risk allocation strategies provide a cost-efficient way for investors to obtain attractive exposure to alternative factors, and discuss the need for the investment industry to evolve beyond standard product-based market-centred approaches and to start providing both institutions and individuals with meaningful retirement investment solutions. The last two articles present the first large scale empirical analysis of the characteristics of cash flows in private infrastructure firms from the perspective of equity owners, and on the subject of the cash flow dynamics of private infrastructure project debt, produce new results using a new infrastructure cash flow database.
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• October 2015
This special issue of the EDHEC-Risk Institute supplement to AsianInvestor on smart beta begins by looking at the consequences for investors of the development of passive equity investment and “smart beta” indices. It also examines the live performance of the Efficient Maximum Sharpe Ratio (MSR) indices that EDHEC-Risk Institute has been producing with FTSE since 2009 and compares it both to smart beta indices from other providers and EDHEC-Risk Institute's more recent index offerings within the Scientific Beta framework. Additional articles focus on the link between the well-known value factor on the one hand, and the profitability and investment factors on the other hand, the robustness of the first generations of smart beta indices on the basis of live track records, and what investors can learn from academic research on long-term rewarded equity factors.
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• March 2015
This special issue of the EDHEC-Risk Institute supplement to AsianInvestor on smart beta begins by introducing a new approach to equity investing termed ‘smart factor investing.’ It then turns to risk allocation with smart factor indices, examining a case study with factor exposure constraints. Further articles look at solutions for allocating to smart beta, describe how to ensure that smart beta indices are investable by managing turnover and capacity constraints, and examine their robustness in relative and absolute terms. Finally, the supplement provides a brief overview of equity factor index offerings from major index providers.
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• June 2014
The fourth issue of the EDHEC-Risk Institute supplement to AsianInvestor first shows that a good smart beta index is one which diversifies away the specific risks and manages the exposure to equity risk factors. It then analyses the performance of smart factor indices in other developed economies (at a local level) and in the global developed stock universe. After looking at the performance and implementation benefits of multi smart beta allocation in Asian equity markets, it then examines the importance of the structural shape of crude oil futures curves. Finally, the supplement focuses on the question of alpha and the choice of rate of return in regressions.
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• March 2014
The third issue of the EDHEC-Risk Institute supplement to AsianInvestor first looks at how to constitute a well diversified smart beta index that diversifies away specific risks and manages exposure to equity risk factors. It then explores the long-term performance and risks of selected smart beta strategies in order to examine the consistency of the performance of these strategies over the long run and consequently examines the robustness of their outperformance. The supplement also analyses the diversification of pension fund portfolios and its relationship with subsequent portfolio performance, and finally looks at the extreme risk of Asian stock market indices.
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• October 2013
The second issue of the EDHEC-Risk Institute supplement to AsianInvestor again examines some of the most pressing issues currently facing investment professionals, looking at the need for lifecycle pension products in East Asia, the lifecycle deficits at the macro level, the shortcomings of corporate bond indices, smart beta indices with a focus on the Japanese equity universe, and the risk exposures of minimum-volatility equity index strategies.
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• June 2013
This inaugural issue looks at the shortcomings of Asian indices, the protection of Asian investors against non-financial risks, equity volatility indexing products, alternative equity index strategies, and ways of measuring and managing the specific risks of smart beta investing.
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About EDHEC
Operating from campuses in Lille, Nice, Paris, London and Singapore, EDHEC is one of the world’s top 15 business schools. Fully international and directly connected to the business world, EDHEC commands a strong reputation for research excellence and the ability to train entrepreneurs and managers capable of breaking new ground. EDHEC functions as a genuine laboratory of ideas and produces innovative solutions valued by businesses. The School’s teaching is inspired by its research work and a focus on “learning by doing”, all with the aim of equipping people with the skills to succeed in business.
