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.


The EDHEC European ETF And Smart Beta Survey 2016

2017

Noël Amenc, Felix Goltz, Véronique Le Sourd


Smart Beta Replication Costs

2017

Mikheil Esakia, Felix Goltz, Sivagaminathan Sivasubramanian, Jakub Ulahel


Measuring Volatility Pumping Benefits in Equity Markets

2017

Jean-Michel Maeso, Lionel Martellini


EDHEC Survey On Equity Factor Investing

2017

Noël Amenc, Felix Goltz, Véronique Le Sourd


Multi-Dimensional Risk And Performance Analysis For Equity Portfolios

2016

Kevin Giron, Lionel Martellini, Vincent Milhau


Investor Perceptions About Smart Beta ETFs

2016

Noël Amenc, Felix Goltz, Véronique Le Sourd


The EDHEC European ETF Survey 2015

2016

Noël Amenc, Felix Goltz, Véronique Le Sourd, Ashish Lodh, Sivagaminathan Sivasubramanian


Active Allocation To Smart Factor Indices

2015

Noel Amenc, Guillaume Coqueret, Lionel Martellini


Investor Interest In And Requirements For Smart Beta ETFs

2015

Felix Goltz, Veronique Le Sourd


The EDHEC European ETF Survey 2014

2015

Noël Amenc, Frédéric Ducoulombier, Felix Goltz, Véronique Le Sourd, Ashish Lodh, Eric Shirbini


Alternative Equity Beta Investing: A Survey

2015

Noel Amenc, Saad Badaoui, Felix Goltz, Véronique Le Sourd, Ashish Lodh


Risk Allocation, Factor Investing And Smart Beta: Reconciling Innovations In Equity Portfolio Construction

2014

Noel Amenc,Romain Deguest, Felix Goltz, Ashish Lodh, Lionel Martellini Eric Shirbini


Equal or Value Weighting? Implications for Asset-Pricing Tests

2014

Yuliya Plyakha, Raman Uppal, Grigory Vilkov


Global Style Portfolios Based on Country Indices

2014

Timotheos Angelidis, Nikolaos Tessaromatis


The EDHEC European ETF Survey 2013

2014

Frédéric Ducoulombier, Felix Goltz, Véronique Le Sourd, Ashish Lodh


The Local Volatility Factor For Asian Stock Markets

2013

Lixia Loh, LionelMartellini, Stoyan Stoyanov


Stock Return Serial Dependence and Out-of-Sample Portfolio Performance

2013

Victor DeMiguel, Francisco J. Nogales, Raman Uppal


Smart Beta 2.0

2013

Noel Amenc, Felix Goltz, Nikhil Shah


Short interest, returns, and fundamentals

2013

Ferhat Akbas, Ekkehart Boehmer, Bilal Erturk, Sorin Sorescu


The Relevance of Country- and Sector-specific Model-free Volatility Indicators

2013

Lixia Loh, Lionel Martellini, Stoyan Stoyanov


The EDHEC European ETF Survey 2012

2013

Noël Amenc, Felix Goltz, Nicolas Gonzalez, Nikhil Shah, Eric Shirbini, Nikolaos Tessaromatis


Assessing the Quality of Asian Stock Market Indices

2013

Narasimhan Padmanaban, Masayoshi Mukai, Lin Tang, Véronique Le Sourd


EDHEC-Risk North American Index Survey 2011

2012

Noel Amenc ,Felix Goltz, Lin Tang, Vijay Vaidyanathan


Revisiting Mutual Fund Performance Evaluation

2012

Timotheos Angelidis, Daniel Giamouridis, Nikolaos Tessaromatis


Revisiting Core-Satellite Investing - A Dynamic Model of Relative Risk Management

2012

Noël Amenc, Philippe Malaise, Lionel Martellini


EDHEC-Risk Asian Index Survey 2011

2012

Noel Amenc, Felix Goltz, Masayoshi Mukai, Padmanaban Narasimhan , Lin Tang


The EDHEC European ETF Survey 2011

2012

Felix Goltz, Lin Tang


What are the Risks of European ETFs?

2012

Noël Amenc, Frédéric Ducoulombier, Felix Goltz, Lin Tang


Competition in Portfolio Management: Theory and Experiment

2011

Elena Asparouhova, Peter Bossaerts, Jernej Copic, Brad Cornell, Jaksa Cvitanic, Debrah Meloso


EDHEC-Risk European Index Survey 2011

2011

Noel Amenc, PhD, Felix Goltz,Lin Tang


Improved Beta? A Comparison Of Index-Weighting Schemes

2011

Noël Amenc, Felix Goltz, Lionel Martellini, Shuyang Ye


Idiosyncratic Risk and the Pricing of Poorly-Diversified Portfolios

2011

Chris Brooks, Xiafei Li, Joëlle Miffre


Idiosyncratic Risk and the Cross-Section of Stock Returns

2011

Rene Garcia, Daniel Mantilla-Garcia, Lionel Martellini


Improving Portfolio Selection Using Option-Implied Volatility and Skewness

2011

Victor DeMiguel, Yuliya Plyakha, Raman Uppal, Grigory Vilkov


How to Construct Fundamental Risk Factors?

2011

Georges Hübner, Marie Lambert


The Alpha of a Market Timer

2011

Georges Hübner


Introducing a New Form of Volatility Index: The Cross-Sectional Volatility Index

2011

Felix Goltz, Renata Guobuzaite, Lionel Martellini


The EDHEC European ETF Survey 2010

2010

Felix Goltz, Adina Grigoriu, Lin Tang


Short Selling and the Price Discovery Process

2010

Ekkehart Boehmer, Julie Wu


The Time-Varying Liquidity Risk of Value and Growth Stocks

2010

Ferhat Akbas, Ekkehart Boehmer, Egemen Genc, Ralitsa Petkova


Efficient Indexation: An Alternative To Cap-Weighted Indices

2010

Noël Amenc, Felix Goltz, Lionel Martellini, Patrice Retkowsky


EDHEC-Risk European ETF Survey 2010

2010

Felix Goltz, Adina Grigoriu, Lin Tang


Shackling Short Sellers: The 2008 Shorting Ban

2009

Ekkehart Boehmer, Charles M. Jones, Xiaoyan Zhang


The EDHEC European ETF Survey 2009

2009

Noël Amenc, Felix Goltz, Adina Grigoriu, David Schröder


Socially Responsible Investment Performance in France

2008

Noël Amenc, Véronique Le Sourd


EDHEC European ETF Survey 2008

2008

Noël Amenc, Felix Goltz, Adina Grigoriu, Véronique Le Sourd, Lionel Martellini


The Performance of Fundamentally Weighted Indices

2008

Noël Amenc, Felix Goltz, Véronique Le Sourd


The Value Premium and Time-Varying Volatility

2008

Xiafei Li, Chris Brooks, Joëlle Miffre


Fundamental Differences? Comparing Alternative Index Weighting Mechanisms

2008

Noël Amenc, Felix Goltz, Véronique Le Sourd


Momentum Profits and Non-Normality Risks

2007

Ana-Maria Fuertes, Joëlle Miffre and Wooi-Hou Tan


Momentum Profits and Time-Varying Unsystematic Risk

2006

Xiafei Li, Joëlle Miffre and Chris Brooks


Absolute returns in wealth management: implementing risk controlled strategies

2006

Francois-Serge Lhabitant, Denis Mirlesse, Michel Chardon


The EDHEC European ETF Survey 2006

2006

Noël Amenc, Jean-René Giraud, Felix Goltz, Véronique Le Sourd, Lionel Martellini, Xiaoyan Ma


The Generalised Treynor Ratio

2003

Georges Hübner


Improving the Market Model: The 4-State Model Alternative

2003

Octave Jokung, Jean-Christophe Meyfredi


Four-State Model vs. Market Model: Part I

2002

Octave Jokung, Jean-Christophe Meyfredi