An efficient harvesting of risk premia in equity markets is a key component in the design of meaningful investment solutions for institutions and individuals.
Since as early as 2006, EDHEC-Risk Institute has produced research on the inefficiency of cap-weighted equity indices supported by Af2i (the French association of institutional investors), BNP Paribas Asset Management and UBS. Following up on this early work, the Institute has developed an active research programme in the construction of, and allocation to, smart equity indices. This programme includes the “ETF, Indexing and Smart Beta Investment Strategies” research chair, in partnership with Amundi, the “Active Allocation to Smart Factor Indices” research chair, in partnership with Rothschild & Cie, as well as the “Maximizing Volatility Pumping Benefits in Equity Markets” research chair, in partnership with Banque de France Gestion.
As part of its policy of transferring know-how to the industry, EDHEC-Risk Institute has set up ERI Scientific Beta. ERI Scientific Beta is an original initiative which aims to favour the adoption of the latest advances in smart beta design and implementation by the whole investment industry. Its academic origin provides the foundation for its strategy: offer, in the best economic conditions possible, the smart beta solutions that are most proven scientifically with full transparency of both the methods and the associated risks.