IPE EDHEC-Risk Institute Research Insights
At the beginning of 2011, EDHEC-Risk Institute and Investment & Pensions Europe (IPE) established a partnership to produce a special editorial supplement to provide IPE readers with academic insights that genuinely contribute to improving institutional investment practices.
The list of past issues may be consulted below.
• Spring 2017
Key research results presented in the latest issue of the EDHEC Research Insights supplement to IPE include an analysis of the framework used by large financial institutions to determine initial margin and variation margin payments when trading non-cleared over-the-counter derivatives, a presentation of our study on smart beta replication costs, the introduction of a new ERI Scientific Beta approach with the objective of maximising exposure to the long-term rewarded equity factors in a "top-down" framework in a robust and well-diversified manner, and the results of the first in-depth survey of institutional investors’ perceptions and expectations of infrastructure investment.
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• Autumn 2016
This latest Scientific Beta special issue of the Research Insights supplement in partnership with Investment & Pensions Europe (IPE) examines a number of topics in the area of smart beta investing. Articles discuss the benefits of combining various factor strategies, the reconciliation of environmental and financial objectives using low carbon indices, the benefits of multi-smart factor indices for emerging markets, defensive solutions and indices, the live performance of Scientific Beta's multi-beta multi-strategy indices, and the current offerings in the world of multi-factor indices.
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• Spring 2016
This supplement is an EDHEC-Risk Days Special that ties in with the flagship conference presented by EDHEC-Risk Institute in March 2016. Among the key research results presented in this issue, we compare different approaches to the design of factor indices in the equity space, notably concentrated indices and more diversified indices, we sum up the results of the most recent EDHEC European ETF Survey, we 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, and we also analyse the characteristics of cash flows in private infrastructure firms and find that infrastructure firms exhibit a truly unique business model compared to public and private firms.
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• Autumn 2015
This Scientific Beta special issue of the Research Insights supplement in partnership with Investment & Pensions Europe (IPE) examines a number of topics on the theme of smart beta. Among the key research results presented in this issue are the merits of diversified as opposed to concentrated factor indices, smart beta solutions through allocation between existing smart factor indices, and the robustness of the first generations of smart beta indices on the basis of live track records.
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• Spring 2015
The EDHEC-Risk Days special issue of the Research Insights supplement in partnership with Investment & Pensions Europe (IPE), that ties in with the flagship conference presented by EDHEC-Risk Institute in March 2015, features, among others, articles on the economic rationale behind the various "factors" in the equity space, the fallacy that all smart beta strategies are the same, the latest EDHEC European ETF Survey, the results of a survey on alternative equity beta investing, and the usefulness of a company’s reported geographic segmentation data in performance reporting.
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• Autumn 2014
The latest "Scientific Beta" special issue of the Research Insights supplement to IPE again presents research that has been developed by ERI Scientific Beta to help investors understand and invest in advanced beta equity strategies. In this issue, we examine the topics of risk allocation with smart factor indices, and the investability, robustness and performance of smart beta strategies.
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• Summer 2014
The latest issue of the Research Insights supplement to IPE reports on the results of a survey of European institutional investors on their perceptions and expectations with respect to the governance and transparency of indices. An additional survey presents the results of a comprehensive survey of European ETF investors, analysing the current practices and perceptions among ETF users in Europe and shedding light on trends within the European ETF market. Further articles present a major review of the academic literature on high frequency trading, and focus on equity factor investing, the link between idiosyncratic volatility and returns in commodity futures markets, and the improvement of traditional risk parity strategies.
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• Spring 2014
The latest Scientific Beta special issue of the Research Insights supplement to IPE first seeks to provide an effective response to the traditional criticism of cap-weighted indices through smart factor risk allocation. It also discusses smart factor indices, presenting an analysis using US long-term track records and looking at their performance in other developed economies and in the global developed stock universe. The supplement then analyses the potential benefit of combining factor tilts, and examines the extreme risk of cap-weighted and smart beta indices. Finally, it looks at factor investing in the equity space.
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• Winter 2014
This supplement again addresses what we consider to be the key topics of importance for institutional investors today. This time, we look at the treatment of bond investment within the framework of the Solvency II Directive, the benefits of including corporate bonds in investors’ portfolios, the appropriate discount rate that should be used to value pension liabilities, a review of the regulatory developments related to indexing with particular emphasis on the issue of transparency, the local volatility factor in the Asian market index returns, and finally non-bank lending and the question of long-term funding for the real economy.
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• Autumn 2013
This ‘Scientific Beta’ special issue presents research that has been developed by ERI Scientific Beta, an EDHEC-Risk Institute entity that aims to help investors understand and invest in advanced beta equity strategies, notably looking at smart beta diversification indices, the risks of smart beta indices, smart beta allocation, and the conditional performance and robustness of smart beta strategies.
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• Summer 2013
This issue introduces a wide range of results from the ongoing research programmes at EDHEC-Risk Institute that we consider to be of particular interest to institutional investors, with articles on topics ranging from equity and fixed-income allocation to infrastructure and hedge funds.
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• Spring 2013
The latest issue of Research Insights was published concurrently with the EDHEC-Risk Days Europe conference in London, which was held on 26–27 March, 2013, and some of the articles address topics presented at EDHEC-Risk’s flagship European conference, such as the question of non-financial risks within the European fund management industry, creating efficient benchmarks for infrastructure equity investing, the benchmarking of "smart beta", or alternative equity index, strategies, and choosing the risk exposures of alternative equity indices.
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• Winter 2013
This Research Insights issue devotes a large proportion of its content to Asian-based and Asia-relevant research in order to mark the second staging of the EDHEC-Risk Days Asia 2013 conference, that will be held on 15-16 May 2013 in Singapore. In 2012, the Institute exported its conference concept to Asia in order to provide Asia-based finance professionals with easier access to state-of-the-art research in investment and risk management and to establish a dialogue around research results with particular relevance to investors and institutions in Asia. The inaugural conference attracted over 800 participants including end-investors, traditional and alternative investment managers, wealth managers, investment bankers, and policy-makers.
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• Autumn 2012
The present supplement features several articles drawn from the research that was presented at the inaugural EDHEC-Princeton Institutional Money Management Conference that was held on 27 April 2012, at the Princeton Club in New York with the aim of providing participants with the latest academic insights related to new frontiers in institutional money management. This issue also features the results of several recent research projects at EDHEC-Risk Institute.
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• Summer 2012
This issue introduces some of the research results presented at the EDHEC-Risk Days Europe conference held at The Brewery in London from 27–29 March. It focuses on five subjects of particular current importance for European institutional investors in individual research produced with the support of a number of EDHEC-Risk Institute's research chair partners in order to propose optimal solutions to the primary issues facing the European financial industry today.
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• Spring 2012
In the past few years the advisability of including commodities in institutional investors' portfolios and the supposed role of speculative activity in the volatility of commodity prices have been widely discussed within the industry, not least as a response to EDHEC-Risk Institute's research on these topics. In view of the importance of commodities investment, a considerable portion of the Spring 2012 issue is devoted to commodities investing, from both the research and practitioner perspectives.
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• Autumn 2011:
This edition is a special issue to celebrate the 10th anniversary of EDHEC-Risk Institute. Since it was founded in 2001, the institute has endeavoured to remain faithful to its “research for business” approach, by providing research that is both academically excellent and relevant and useful for the industry. This supplement looks at the industry-sponsored research that has been developed at EDHEC-Risk Institute over the past ten years.
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• Summer 2011
This issue addresses one of the key questions in modern finance from both an academic and practitioner perspective: are investors rewarded for investing in high-risk stocks by enjoying higher expected returns? It also discusses what is probably the single most important subject to come out of the financial crisis: risk management. The supplement also looks at the difference between a reference index and a custom benchmark, explaining how this distinction leads to different approaches to passive investment, and introduces the EDHEC-Risk Indices & Benchmarks’ efficient relative return benchmark approach. Other articles examine the advantages and shortcomings of minimum variance portfolios and how the shortcomings can be addressed, and look at the question of optimal hedge fund allocation. Finally, an analysis of dynamic core-satellite strategies with exposure to value and momentum strategies is provided.
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• Spring 2011
In this issue, EDHEC-Risk’s researchers look at two of the key challenges facing institutional investors today: selecting the right benchmark for passive investment and holding a portfolio that provides an optimal risk-return tradeoff. Additional articles address the optimal design of debt programmes for corporates and the optimal dynamic asset allocation for sovereign assets given different drivers of economic risks as well as varying levels of debt. Finally, the supplement reports the results of separate European surveys of institutional investors on exchange-traded funds and indices, both equity and fixed-income.
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• Winter 2010/11
This first issue of the IPE EDHEC-Risk Institute Research Insights was produced on the occasion of the EDHEC-Risk Institutional Days 2010 which were held in Monaco on 8-9 December, 2010 as a complement to the Global Institutional Investment Conference with the aim of providing research-based solutions to some of the key challenges facing institutional investors today. One of the most prominent of these challenges is to find an appropriate benchmark for institutional investments. Another key question is whether currently available bond indices are optimal for investors. Further research focuses on the biases that prevent many pension funds from managing their assets optimally following a survey of European pension funds, advisers, regulators, and fund managers, and the impact of pension fund allocation decisions on the wealth of shareholders, bondholders and pensioners. The supplement also examines whether private wealth managers will adopt institutional investors’ risk management techniques in the light of the results of a survey on the subject, and looks at the optimal asset allocation for sovereign wealth funds.
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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.
