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https://risk.edhec.edu/glossary/etf

Equities are a major asset class for institutional and individual investors, who use them in the hope of achieving high returns in the long run, possibly at the cost of substantial downside risk in the short run. Traditionally, equity portfolios have been benchmarked against cap-weighted indices, and active funds have attempted to outperform the market. This landscape has profoundly evolved since the early 2000s with the recognition that cap-weighted indices fail to efficiently capture risk premia available in equities, and with a growing demand for transparent and low-fee investment products. These concerns have favoured the emergence of exchange-traded funds (ETFs) and the development of many alternative equity indices, notably including factor indices and smart beta products. After the rise in passive investing and factor investing, the new frontier in equity investing will be the inclusion of ESG criteria, to meet the demand for products that satisfy social responsibility criteria and/or low-carbon footprint conditions.

EDHEC-Risk Institute has been conducting research in equity investing since 2006, with an annual survey on the practices of European ETF investors and a number of research articles on equity factors and efficient diversification of equity portfolios.

As part of its policy of transferring knowledge to the industry, it set up ERI Scientific Beta in 2013 to favour the adoption of the latest advances in smart beta design and implementation by the whole investment industry. In January 2020, ERI Scientific Beta was acquired by Singapore Exchange (SGX) for EUR186 million.


What Drives Robo-Advice?

2021

Bernd Scherer, Sebastian Lehner


Covid-19 and Smart-Beta

2021

Milot Hasaj, Bernd Scherer


The EDHEC European ETF, Smart Beta and Factor Investing Survey 2020

2020

Veronique Le Sourd, Lionel Martellini


Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models

2018

Michele Leonardo Bianchi, Frank J. Fabozzi, Svetlozar T. Rachev


Sin Stocks Revisited: Resolving the Sin Stock Anomaly

2017

David Blitz, Frank J. Fabozzi


EDHEC Survey On Equity Factor Investing

2017

Noël Amenc, Felix Goltz, Véronique Le Sourd


A flexible approach to estimate the equity premium

2017

Yosef Bonaparte, Frank J. Fabozzi


How fat are the tails of equity market indices?

2017

Stoyan Stoyanov, Lixia Loh, Frank J. Fabozzi


The EDHEC European ETF And Smart Beta Survey 2016

2017

Noël Amenc, Felix Goltz, Véronique Le Sourd


A Note on the Valuation of Asset Management Firms

2017

Juha Joenväärä, Bernd Scherer


Who Are the Value and Growth Investors?

2017

Sebastien Betermier, Laurent E. Calvet, Paolo Sodini


Robust Factor-Based Investing

2017

Jang HoKim, Woo Chang Kim, Frank J. Fabozzi


Smart Beta Replication Costs

2017

Mikheil Esakia, Felix Goltz, Sivagaminathan Sivasubramanian, Jakub Ulahel


Penalizing variances for higher dependency on factors

2017

Jang Ho Kim, Woo Chang Kim, Frank J. Fabozzi, PhD


Measuring Volatility Pumping Benefits in Equity Markets

2017

Jean-Michel Maeso, Lionel Martellini


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


Best Practices in Research for Quantitative Equity Strategies

2016

Joseph A. Cerniglia, Frank J. Fabozzi, Petter N. Kolm


The EDHEC European ETF Survey 2015

2016

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


Portfolio selection with conservative short-selling

2016

Jang HoKim, Woo ChangKim, Frank J.Fabozzi


Riding with the Four Horsemen and the Multivariate Normal Tempered Stable Model

2016

Michele Leonardo Bianchi, Gian Luca Tassinari, Frank J. Fabozzi


Elliptical tempered stable distribution

2016

Hassan A. Fallahgoul, Young S. Kim, Frank J. Fabozzi


Equity style allocation: A nonparametric approach

2016

Mohan Subbiah, Frank J. Fabozzi


Diversified or Concentrated Factor Tilts?

2016

Noel Amenc, Frederic Ducoulombier, Felix Goltz, Ashish Lodh, Sivagaminathan Sivasubramanian


Risk-Based and Factor Investing

2015

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


Stock Market Dispersion, the Business Cycle and Expected Factor Returns

2015

Timotheos Angelidis, Athanasios Sakkas, Nikolaos Tessaromatis


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


Accounting For Geographic Exposure In Performance And Risk Reporting For Equity Portfolios

2015

Noël Amenc, Kumar Gautam, Felix Goltz ,Nicolas Gonzalez, Jan-Philip Schade


In search of Cash-Flow Pricing

2015

Frank J. Fabozzi, K. C. Chen, K. C. Ma, Jessica West


Focusing on the worst state for robust investing

2015

Woo Chang Kim, Jang Ho Kim, John M. Mulvey, Frank J. Fabozzi


Towards Smart Equity Factor Indices: Harvesting Risk Premia Without Taking Unrewarded Risks

2015

Noel Amenc, Felix Goltz, Ashish Lodh, Lionel Martellini


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


Risk Allocation: A New Investment Paradigm?

2014

Noel Amenc, Lionel Martellini


Deciphering robust portfolios

2014

Woo Chang Kim, Jang Ho Kim, Frank J. Fabozzi


Recent Developments in Robust Portfolios with a Worst-Case Approach

2014

Mr Jang Ho Kim, Woo Chang Kim, Frank J. Fabozzi


Recent Trends in Equity Portfolio Construction Analytics

2014

Dessislava A. Pachamanova, Frank J. Fabozzi


Robust portfolios that do not tilt factor exposure

2014

Woo Chang Kim, Min Jeong Kim, Jang Ho Kim, Frank J. Fabozzi


60 Years of portfolio optimization: Practical challenges and current trends

2014

Petter N. Kolm, Reha Tutuncu, Frank J. Fabozzi


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

2014

Victor DeMiguel, Francisco J. Nogales, Raman Uppal


Portfolio selection in the presence of systemic risk

2014

Almira Biglova, Sergio Ortobelli, Frank J. Fabozzi


Analysing Statistical Robustness of Cross-Sectional Volatility

2013

Felix Goltz, Lionel Martellini, Stoyan Stoyanov


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


Portfolio Selection Problems Consistent with a Given Preference Ordering

2013

Sergio Ortobelli Lozza, Haim Shalit, Frank J. Fabozzi


The new issues puzzle: evidence from non-US firms

2013

Turan G. Bali, Nusret Cakici, Frank J. Fabozzi


Market overreaction and underreaction: tests of the directional and magnitude effects

2013

Frank J. Fabozzi, Chun-Yip Fung, Kin Lam, Wing-Keung Wong


Size, value, and momentum in emerging market stock returns

2013

Nusret Cakici, Frank J. Fabozzi, Sinan Tan


Composition of robust equity portfolios

2013

Jang Ho Kim, Woo Chang Kim, Frank J. Fabozzi


What do robust equity portfolio models really do?

2013

Woo Chang Kim, Jang Ho Kim, So Hyoung Ahn, Frank J. Fabozzi


Empirical analysis of ARMA-GARCH models in market risk estimation on high-frequency US data

2013

Beck, A., Young Shin, A.K., Rachev, S., Feindt, M., Fabozzi, F.


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


Stock Return Predictability of Cross-Market Deviations in Option Prices and Credit Default Swap Spreads

2012

Georgios Angelopoulos, Daniel Giamouridis, Georgios Nikolakakis


The EDHEC European ETF Survey 2011

2012

Felix Goltz, Lin Tang


What do Short Sellers Know?

2012

Ekkehart Boehmer, Charles M. Jones, Xiaoyan Zhang


What are the Risks of European ETFs?

2012

Noël Amenc, Frédéric Ducoulombier, Felix Goltz, Lin Tang


Sensitivity of portfolio VaR and CVaR to portfolio return characteristics

2012

Stoyan V. Stoyanov, Svetlozar T. Rachev, Frank J. Fabozzi


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


Keynes Meets Markowitz: The Trade-off Between Familiarity and Diversification

2011

Phelim Boyle, Lorenzo Garlappi, Raman Uppal, Tan Wang


Improved Beta? A Comparison Of Index-Weighting Schemes

2011

Noël Amenc, Felix Goltz, Lionel Martellini, Shuyang Ye


Risk Parity - Rewards Risks and Research Opportunities

2011

Barry Schachter, S. Ramu Thiagarajan


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


A Post-crisis Perspective on Diversification for Risk Management

2011

Noël Amenc, Felix Goltz, Stoyan Stoyanov


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

2011

Felix Goltz, Renata Guobuzaite, Lionel Martellini


Risk Reduction in Style Rotation

2010

Rodrigo Dupleich, Daniel Giamouridis, Chris Montagu


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


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


Index-Exciting CAViaR: A New Empirical Time-Varying Risk Model

2008

Frank J. Fabozzi, Sergio Focardi, Masao Fukushima, Dashan Huang, Zudi Lu, Baimin Yu


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


Low-Cost Momentum Strategies

2008

Xiafei Li, Chris Brooks, Joëlle Miffre


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


Some Insiders Are Indeed Smart Investors

2008

Daniel Giamouridis, Manolis Liodakis, Andrew Moniz


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


Dynamic Portfolio Choice with Parameter Uncertainty and the Economic Value of Analysts’ Recommendations

2005

Jakša Cvitanic, Ali Lazrak, Lionel Martellini, Fernando Zapatero.


Static Mean-Variance Analysis with Uncertain Time Horizon

2005

Lionel Martellini, Branko Uroševic


Using Index Options to Improve the Performance of Dynamic Asset Allocation Strategies

2004

Noël Amenc, Philippe Malaise, Lionel Martellini, Daphné Sfeir


Desperately Seeking Pure Style Indexes

2003

Noël Amenc, Robert Faff, Lionel Martellini


Tactical Style Allocation - A New Form of Market Neutral Strategy

2003

Noël Amenc, Philippe Malaise, Lionel Martellini, Daphne Sfeir


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


Asset Allocation

2002

Noël Amenc, Lionel Martellini


An Integrated Framework for Style Analysis and Performance Measurement

2002

Noël Amenc, Daphne Sfeir, Lionel Martellini


Quantitative Equity Portfolio Management

1998

Noël Amenc, Véronique Le Sourd

FUNDAMENTALS OF INSTITUTIONAL ASSET MANAGEMENT

FUNDAMENTALS OF INSTITUTIONAL ASSET MANAGEMENT

by Frank J. Fabozzi, Francesco A Fabozzi

This book provides the fundamentals of asset management. It takes a practical perspective in describing asset management. Besides the theoretical aspects of investment management, it provides in-depth insights into the actual implementation issues associated with investment strategies. The 19 chapters combine theory and practice based on the experience of the authors in the asset management industry. The book starts off with describing the key activities involved in asset management and the various forms of risk in managing a portfolio. There is then coverage of the different asset classes (common stock, bonds, and alternative assets), collective investment vehicles, financial derivatives, common stock analysis and valuation, bond analytics, equity beta strategies (including smart beta), equity alpha strategies (including quantitative/systematic strategies), bond indexing and active bond portfolio strategies, and multi-asset strategies. The methods of using financial derivatives (equity derivatives, interest rate derivatives, and credit derivatives) in managing the risks of a portfolio are clearly explained and illustrated.

World Scientific - 2020

 

RISK-BASED AND FACTOR INVESTING

RISK-BASED AND FACTOR INVESTING

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

Lionel Martellini from EDHEC-Risk Institute, together with Noël Amenc, Felix Goltz, and Eric Shirbini from ERI Scientific Beta, contributed a chapter to the book entitled, "Designing Multi-Factor Equity Portfolios", which examines the following topics: Designing efficient and investable proxies for risk premia Risk allocation with smart factor indices Absolute return perspective: Absolute risk management without factor risk exposure constraints; Introducing risk-budgeting constraints; Long-term evidence in the USA universe Relative risk perspective: Methodology; Risk contributions and performance; Relative risk allocation using long-term USA factor indices Index design and allocation decisions for multi-factor equity portfolios

ISTE Press - Elsevier - 2015

 

PORTFOLIO THEORY & PERFORMANCE ANALYSIS

PORTFOLIO THEORY AND PERFORMANCE ANALYSIS

by Noël Amenc, Véronique Le Sourd

For many years, asset management was considered to be a marginal activity, but today, it is central to the development of the financial industry throughout the world. Asset management's transition from an "art and craft" to an industry has inevitably called integrated business models into question, favouring specialisation strategies based on cost optimisation and learning curve objectives. This book connects each of these major categories of techniques and practices to the unifying and seminal conceptual developments of modern portfolio theory. .

John Wiley & Sons - 2003

 

PORTFOLIO THEORY & PERFORMANCE ANALYSIS

PORTFOLIO THEORY & PERFORMANCE ANALYSIS

by Noël Amenc, Véronique Le Sourd

In the last ten years, commercial and technical innovations have been increasingly prevalent within the asset management industry. It therefore seems essential to allow both practitioners and researchers to situate these innovations within a clear and consistent conceptual framework. That is the objective fixed by this publication, which establishes a link between the major concerns of managers (evaluating the investment management process, measuring performance and controlling risk) and the results of research into portfolio theory. Notable subjects are the implementation of multifactor and style analysis models for performance and risk measurement. These probably constitute the most significant conceptual advances for the asset management industry since the formalisation of the capital asset pricing model. Finally, a review of criticisms of the models and results from the literature on portfolio performance attribution allow the reader to comprehend, with a sense of perspective, the academic and empirical "evidence" in the area of measurement and persistence of the outperformance of funds and managers.

Economica - 2002

 

QUANTITATIVE EQUITY PORTFOLIO MANAGEMENT

QUANTITATIVE EQUITY PORTFOLIO MANAGEMENT

by Noël Amenc, Véronique Le Sourd

Modern portfolio management theory has put forward quantitative approaches for measuring portfolio risk. Equities constitute a privileged realm of application for this theory. The book describes the main quantitative methods used in managing equity portfolios. Following a presentation of the principal asset pricing models, i.e. DDM, CAPM and APT, the book presents the methods used for the active selection of securities based on these models. It then deals with the different types of index management: pure replication, synthetic replication and tilted index management. Lastly, a major section is dedicated to static and dynamic methods of portfolio insurance. This publication also covers the main categories of active and passive management strategies that correspond to current investor requirements. The extensive bibliography will assist the reader who wishes to pursue the subject further.

Economica - 1998

Scientifi Beta - an EDHEC-Risk Institute Venture

As part of its policy of transferring know-how to the industry, EDHEC-Risk Institute has set up Scientific Beta. 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.

On January 31, 2020, Singapore Exchange (SGX) acquired a majority stake in Scientific Beta. SGX will maintain the strong collaboration with EDHEC Business School, and principles of independent, empirical-based academic research, that have benefited Scientific Beta’s development to date.

As of December 31, 2019, there was USD 59.2bn in assets replicating Scientific Beta indices. 35% of these assets under replication are ESG-compliant. Furthermore, over 3,000 asset owners and asset managers are using our smart beta indices to benchmark or analyse smart beta strategies.  

 

 

 

EDHEC-Risk Efficient Equity Indices

The FTSE EDHEC-Risk Efficient Index Series aims to capture equity market returns with an improved risk/reward efficiency compared to cap-weighted indices. The weighting of the portfolio of constituents achieves the highest possible return-to-risk efficiency by maximising the Sharpe ratio.

Further information is available at:

http://www.ftse.com/products/indices/EDHEC-Risk

 

FTSE EDHEC-Risk ERAFP SRI Index

The FTSE EDHEC-Risk Efficient Eurobloc ERAFP SRI Large Cap Custom Index aims to efficiently capture the performance available within an SRI screened universe of large and mid cap stocks in the Eurobloc. While the SRI screen allows addressing non-financial objectives, the efficient weighting scheme seeks to improve return-to-risk efficiency by improving portfolio diversification. While the screen relies on qualitative information on companies' SRI compliance, the weighting method uses robust estimates of a stock’s risk and return as inputs.

For further information, please contact FTSE.

Amundi AM ETF & Smart BetaEDHEC-Risk Institute has developed an active research programme in the construction of and allocation to smart equity indices. 

This programme has benefited from the continued and historical support of Amundi since 2009 in the context of the “ETF, Indexing and Smart Beta Investment Strategies” research chair.

 

It has also included “Financial Risk Management as a Source of Performance" research chair with the support of The French Asset Management Association (Association Française de la Gestion Financière, AFG) , ”the “Active Allocation to Smart Factor Indices” research chair, in partnership with Rothschild & Cie, the “Maximizing Volatility Pumping Benefits in Equity Markets” research chair, in partnership with Banque de France Gestion and the  Eurex "Benefits of Volatility Derivatives in Equity Portfolio Management" strategic research project will be on optimising access to the equity risk premium while controlling for downside risk.

Since as early as 2006, EDHEC-Risk Institute has produced research on the inefficiency of cap-weighted equity indices supported by Af2i (French association of institutional investors), BNP Paribas Asset Management and UBS