Supplements

EDHEC RESEARCH INSIGHTS

A Supplement to P&I

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Spring 2018

 

EDHEC RESEARCH INSIGHTS

A Supplement to IPE

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March 2018

 

Investment Management Review Special Edition

A Supplement to IMR

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Autumn 2017

 

Research for institutionnal Money Management

A Supplement to PENSIONS & INVESTMENTS

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Avril 2017

 

EDHEC RESEARCH INSIGHTS

INVESTMENT & PENSIONS EUROPE

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Spring 2017

 

Research for Institutional Money Management

A Supplement to PENSIONS & INVESTMENTS

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May 2016

 

EDHEC RESEARCH INSIGHTS SPRING 2016 EDHEC-RISK DAYS SPECIAL

INVESTMENT & PENSIONS EUROPE

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Spring 2016

 

EDHEC RESEARCH INSIGHTS SPRING 2016 INVESTMENT & PENSIONS EUROPE EDHEC-RISK DAYS SPECIAL

A Supplement to AsianInvestor
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March 2016

 

RESEARCH FOR INSTITUTIONAL MONEY MANAGEMENT

A Supplement to PENSIONS & INVESTMENTS

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August 2015

 

 

> IPE Past Issues

> AsianInvestor Past Issues 

Industry Analysis

Industry Analysis   A Portfolio Perspective on the Multitude of Firm Characteristics Victor DeMiguel Alberto Martin-Utrera Francisco J. Nogales Raman Uppal  


Industry Analysis   Retirement Goal-Based Investing Kevin GironLionel Martellini The need for new retirement solutions


Industry Analysis   Multi-Asset Products and Solutions Vincent Milhau  


Industry Analysis Goal-Based Investing and its Application to the Retirement Problem Lionel Martellini Vincent Milhau John Mulvey


In this month’s interview, Laurent Trottier, Global Head of ETF, Indexing & Smart Beta Management, Amundi, comments on the growth of Factor Investing in an institutional context. He tells us about the demand for Smart Beta strategies in equity and also bond markets, and shares his views on the main challenges for asset managers involved in Smart Beta and Factor Investing.    


  Smart Beta and Beyond: Maximising the Benefits of Factor Investing Lionel Martellini Vincent Milhau   Full publication, supported by Amundi ETF, Indexing and Smart Beta, is available here.  


  EDHEC-Risk on Factor Investing for a More Efficient Harvesting of Risk Premia Across and Within Asset Classes Lionel Martellini


Individual Investment Solutions And Other Research - IMR Special Edition Autumn 2017 Arjuna Sittampalam


In this month’s interview, Jean-Louis Laurens, French Asset Management Association (AFG) international ambassador, discusses the recent launch of a partnership at EDHEC-Risk Institute supported by AFG on risk management as a source of performance, as well as the main challenges and perspectives for the French asset management industry and for AFG for the future.  


In the April 2017 issue of the Research for Institutional Money Management supplement to Pensions & Investments, the first article explores a novel approach to address the challenge raised by the standard investment practice of treating attributes as factors, with respect to how to perform a consistent risk and performance analysis for equity portfolios across multiple dimensions that incorporate micro attributes. Our study suggests a meaningful new dynamic approach, which consists of treating attributes of stocks as instrumental variables to estimate betas with respect to risk factors for explaining notably the cross-section of expected returns.


In this article, the problems with equity factor methodologies used by some providers, when they depart from academically accepted practices, are analysed. These include the same provider using different definitions of the value factor at various times. Excessively concentrated bets without adequate diversification are also identified. 


The concepts of factor investing and smart beta are much less developed in bonds compared to equites. In the identification of factors, various difficulties arise. Existing bond indices have serious deficiencies which are partly related to factor exposures being unstable. A broad overview of current first generation smart beta approaches also highlights various weaknesses.


Academic research has come up with a remarkable result of considerable interest to pension funds, using liability-driven approaches. Modern Portfolio Theory advocates that pension plans should invest in two portfolios, a liability-hedging portfolio consisting of fixed income securities and a performanceseeking portfolio exposed to riskier assets. However, the finding is that selecting certain types of equity in the risky portfolio can not only enhance the liability hedging benefits, but can also increase the overall performance. Alternatively, a higher allocation to equities becomes possible with commensurate extra performance with the same liability hedging benefits.


Predicting Risk Premia for Treasury Bonds: The ERI Risk Premium Monitor by Riccardo Rebonato, professor of Finance, EDHEC Business School Investors in the Treasury market often observe an upward-sloping yield curve. This means that, by assuming ‘duration risk’, they can very often invest at a higher yield than their funding cost. Yet, if the steepness of the yield curve purely reflected expectations of future rising rates, no money could on average be made from this strategy. This prompts the obvious question: When does the steepness of the yield curve simply reflect expectations of rising rates, and when does it embed a substantial risk premium?