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2019

EDHEC teams up with Coursera to launch MOOCs in machine-learning techniques for financial-sector professionals” 30/09/19

EDHEC-Risk Institute, EDHEC Business School’s financial research hub, has teamed up with Coursera, a world leader in online training, to offer a new specialization in machine-learning techniques for financial professionals from September 2019. The online learning platform has 40 million registered users to date.

 

The results of EDHEC-Risk’s annual European ETF and Smart Beta Survey show growing demand for SRI/Ethical ETFs and significant interest in fixed-income Smart Beta solutions” 26/09/19

EDHEC-Risk Institute has announced the results of the 12th EDHEC European ETF, Smart Beta and Factor Investing Survey , conducted as part of its Amundi research chair on “ETF, Indexing and Smart Beta Investment Strategies”. This survey, conducted since 2006, aims to provide insights into European investors’ perceptions, practices and future plans in the domain of ETFs and Smart Beta.

 

EDHEC-Risk Institute papers present a complete analysis of the two most popular fixed income factors: value and momentum” 26/06/19

A new study produced as part of the Amundi research chair on “ETF, Indexing and Smart Beta Investment Strategies” focuses on the two factors that explain a large fraction of differences over time in bond returns, namely the “level” or “slope” of the yield curve. Using not only yield curve data but also a comprehensive database of individual bond returns in the US over the 1973-2018 sample period, the publication “Factor Investing in Sovereign Bond Markets – A Time-Series Perspective”, explores whether it is possible to identify strategies, which, after transaction costs, generate excess returns by taking relevant signal-based level or slope bets when investing in a real US coupon bonds universe.

 

Factor investing in fixed-income: EDHEC-Risk Institute paper shows that it is possible to build duration-timing strategies that are economically superior to bearing unconditional duration risk” 16/05/19

A new study produced as part of the Amundi research chair on “ETF, Indexing and Smart Beta Investment Strategies” focuses on the two factors that explain a large fraction of differences over time in bond returns, namely the “level” or “slope” of the yield curve. Using not only yield curve data but also a comprehensive database of individual bond returns in the US over the 1973-2018 sample period, the publication “Factor Investing in Sovereign Bond Markets – A Time-Series Perspective”, explores whether it is possible to identify strategies, which, after transaction costs, generate excess returns by taking relevant signal-based level or slope bets when investing in a real US coupon bonds universe..

 

2018

Swiss Life Asset Managers France and EDHEC-Risk set up a research chair to analyse the role of real estate in investment solutions ” 17/10/18

Swiss Life Asset Managers France and EDHEC-Risk Institute have announced the creation of a research chair at EDHEC-Risk Institute entitled “Real Estate in Modern Investment Solutions.” Led by Professor Lionel Martellini, Director of EDHEC-Risk Institute, and Professor Nikos Tessaromatis, Professor of Finance at EDHEC Business School, the research chair team will analyse the role of real estate in investment solutions. The goal is to provide a comprehensive analysis of the role of listed and unlisted real estate investments in institutional portfolios, with a particular emphasis on how dedicated forms of real estate investments can prove to be key ingredients within the performance and hedging components of welfare-improving forms of investment solutions.

 

EDHEC-Risk’s annual European ETF and Smart Beta Survey results show growing demand for new developments in existing Smart Beta offerings” 20/09/18

EDHEC-Risk Institute has announced the results of the 11th EDHEC European ETF and Smart Beta and Factor Investing Survey , conducted as part of the Amundi research chair at EDHEC-Risk Institute on “ETF, Indexing and Smart Beta Investment Strategies”. This survey, conducted since 2006, is aiming to provide insights into European investors’ perceptions, practices and future plans in the domain of ETFs and Smart Beta. This year, the survey also includes a special focus on Smart Beta product development, considering specific client demand in the fixed income field.

 

Introducing the EDHEC-Princeton Retirement Goal-Based Investing Index Series – an answer to the retirement problem ” 02/05/18

In a new publication entitled “Applying Goal-Based Investing Principles to the Retirement Problem”, EDHEC-Risk Institute and Professor John Mulvey of the Operations Research & Financial Engineering Department at Princeton University outline the shortcomings of existing retirement products, and lay the academic foundations for a new generation of risk-controlled target date funds. The research efforts towards the design of more meaningful retirement solutions, with the support of Bank of America’s Merrill Lynch Global Wealth Management group, have led to the design of the EDHEC-Princeton Retirement Goal-Based Investing Index Series, available at risk.edhec.edu/indices-investment-solutions.

 

EDHEC-Risk Institute provides an academic framework to maximise the benefits of factor investing for institutional investors” ” 01/02/18

In a new publication entitled “Smart Beta and Beyond: Maximising the Benefits of Factor Investing”, EDHEC-Risk Institute, with the support of Amundi ETF, Indexing & Smart Beta, provides useful pedagogical clarification with respect to the benefits of factor investing in an institutional context. To this end, this paper proposes a “taxonomy” to classify the practically relevant notions of factors and discusses how they connect to various meaningful investment contexts.

 

New EDHEC survey on equity factor investing calls risk techniques into question” 23/01/18

In a new survey conducted among investment professionals between June and September 2017, EDHEC-Risk Institute and ERI Scientific Beta have analysed the interests and motivations for investing in new forms of equity factor strategies. The 114 respondents together have at least USD 2.5 trillion in AUM and span all regions of the world (52% from Europe, 28% from North America and 20% from other parts of the world). In one of the more striking findings in the survey, there is a contradiction between score-based factor design choices and the statistical beta-based risk analysis. Analysis of the extreme risk of factor portfolios is still fairly basic and does not really allow the extreme risks to be appreciated.

 

2017
EDHEC-Risk Institute and AFG launch a digital outreach partnership on financial risk management as a source of performance” 13/09/17

EDHEC-Risk Institute is pleased to announce the launch of a new digital outreach partnership entitled “Financial Risk Management as a Source of Performance” in partnership with The French Asset Management Association (Association Française de la Gestion Financière, AFG). This partnership will aim to emphasise the importance of financial risk management as a main source of added-value in asset management, and to showcase the expertise of French asset managers in this area through a series of digital outreach projects.

 

EDHEC-Risk Institute welcomes five distinguished new members to its international advisory board” 07/09/17

EDHEC-Risk Institute is pleased to announce that five members have joined its international advisory board, which brings together distinguished scholars, representatives of regulatory bodies as well as senior executives from business partners and other leading institutions: Ms Jayne Atkinson, Chief Investment Officer, Unilever UK Pension Fund; Mr Stéphane Monier, Head of Private Client Investments, Lombard Odier; Ms Lisa Shalett, Head of Investment and Portfolio Solutions, Morgan Stanley Wealth Management; Mr Brnic Van Wyk, Head of Asset/Liability Management, Investments Division, QSuper; and Mr Takashi Yamashita, Director, Investment Strategy, Government Pension Investment Fund (GPIF), Japan.

 

Masterclass on New Frontiers in Retirement Investing Milan” 29/08/17

EDHEC Business School is proud to present a new international initiative offered jointly with SDA Bocconi School of Management: the Masterclass on New Frontiers in Retirement Investing. The workshop focuses on the topic of Retirement Investing, drawing on the latest academic research with practical relevance. The two pillars of the financial debate on retirement needs – funding and investments – are deeply analysed by experts from these two leading European Business Schools. The workshop will also include a roundtable discussion where regulators and investment managers will exchange their perspectives on the topic.

 

2016
EDHEC-Risk Institute suggests a new dynamic approach for measuring the market exposures of stock portfolios” 22/11/16

Multi-factor models are standard tools for analysing the performance and the risk of equity portfolios. In addition to analysing the impact of common factors, equity portfolio managers are also interested in analysing the role of stock-specific attributes in explaining differences in risk and performance across assets and portfolios. In a new publication entitled “Multi-Dimensional Risk and Performance Analysis for Equity Portfolios”, EDHEC-Risk Institute 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. This research was conducted with the support of CACEIS as part of EDHEC-Risk Institute’s research chair on “New Frontiers in Risk Assessment and Performance Reporting”.

 

Mark Fawcett appointed new chairman of EDHEC-Risk Institute’s international advisory board” 15/11/16

EDHEC-Risk Institute is pleased to announce the appointment of Mark Fawcett as chairman of its international advisory board. He is Chief Investment Officer of NEST Corporation, the trustee body responsible for running NEST, the National Employment Savings Trust. NEST was set up specifically to support changes that meant UK employers now have to automatically enrol their workers into a workplace pension scheme. Since its creation in 2011 NEST has become one of the largest master trusts in the UK and currently has over 200,000 employers signed up, 3.7 million members and over £1.2 billion assets under management.

2019

EDHEC teams up with Coursera to launch MOOCs in machine-learning techniques for financial-sector professionals” – FENews.co.uk (09/10/2019) 

"(...) "That's why EDHEC-Risk Institute, recognised globally for its financial-sector research, is launching a new digital programme, entitled Investment Management with Python and Machine Learning. “We expect that the use of machine learning techniques, and their application to big new data sets, will profoundly impact all dimensions of the investment management process, including security selection, portfolio construction as well as risk management practices”, says Lionel Martellini," (...)"
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EDHEC’s pointers over fixed income ETF investment” – ETF Stream (09/10/2019) 

"(...) That is one of the questions posed by the findings of the recent EDHEC investor survey which suggested that fixed income was a key area where investors are demanding more diversity of products. As Lionel Martellini, professor of finance at EDHEC Business School, says “the more volatile the markets are, the more interesting it is to use low cost instruments for tactical allocation”. Of course, the greater choice afforded by ETFs has increased the more the products diverge from ‘simple’ broad market tracking. “ETFs, which originally replicated broad market indices, are now available in a wide variety of asset classes and market sub-segments and allow portfolio diversification. Investors can easily increase or decrease their portfolio exposure to a specific style, sector, or factor at lower cost with ETFs,” says Martellini. (...)"
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Kiwi Investor Blog achieves 100 not out” – Kiwi Investor Blog (07/10/2019) 

"(...) "Before I briefly outline some of the key topics covered to date by Kiwiinvestorblog.com, the “intellectual framework” for the Blog has largely come from EDHEC Risk Institute in relation to Goals-Based investing and how to improve the outcomes of Target Date Funds in providing a more robust investment solution. Likewise, Noble Laureate Professor Robert Merton’s perspective on designing an appropriate retirement system has been influential. Regulators and retirement solution providers should take note of his and EDHEC’s work. Combined, EDHEC and Professor Merton, are helping to make finance useful again. Their analysis into more robust retirement solutions have the potential to deliver real welfare benefits for the many people that face a challenging retirement environment." (...)"
Copyright Kiwi Investor Blog

 

Big data, IA : vers un gérant «augmenté» ?” – Option Finance (07/10/2019) 

"(...) Lionel Martellini, directeur de l’EDHEC Risk Institute : « En matière de retraite, en France, nous avons besoin de promouvoir deux grands principes de santé financière : contribuer régulièrement et investir sainement. ». (...)"
Copyright Option Finance

 

Quelle conomie pour les 320000 Silvers du 06” – Nice/Var/Monaco Matin (07/10/2019) 

"(...) Lionel Martellini, directeur de l’EDHEC Risk Institute : « En matière de retraite, en France, nous avons besoin de promouvoir deux grands principes de santé financière : contribuer régulièrement et investir sainement. ». (...)"
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Growing demand for SRI/Ethical ETFs and significant interest in fixed-income Smart Beta solutions” – MoneyMarketing (26/09/2019) 

"(...) Professor Lionel Martellini, Director of EDHEC-Risk Institute, added, “The 2019 edition of the EDHEC European ETF, Smart Beta and Factor Investing Survey conducted as part of the Amundi research chair at EDHEC-Risk Institute on “ETF, Indexing and Smart Beta Investment Strategies” shows a true coming of age in investors’ perception and usage of ETFs, which have become mainstream investment instruments for asset owners and are increasingly used in active market, sector-specific but also factor rotation strategies. There is a substantial appetite for new development in the area of SRI and fixed-income factor investing, where academically grounded product innovation is still needed”. (...)"
Copyright MoneyMarketing

 

Buzz around factor investing in fixed income is growing” – Financial Times (23/09/2019) 

"(...) But the buzz around using factor investing within fixed income is growing, especially in Europe. An Edhec-Risk Institute survey found that in Europe, exposure to government bonds rose from 13 per cent to 66 per cent between 2006 and 2019, while corporate bonds increased from 6 per cent to 68 per cent in the same period. (...)"
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Investors call on ETF issuers to develop fixed income smart beta products further” – ETF Stream (23/09/2019) 

"(...) Fixed income is the key area in smart beta investors want ETF issuers to develop products further, according to the latest EDHEC Risk-Institute’s European ETF and smart beta factor investing survey. The annual report found fixed income smart beta and factor investing strategies was the top priority for the 182 respondents, scoring 3.46 to the question “which type of solutions do you think require further product development by providers?” on a scale from 0 (not required) to 5 (strong priority). (...)"
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Smart Beta Bond ETFs May Be Beginning to Attract Attention” – ETF Trends (23/09/2019) 

"(...) More investors, though, are beginning to invest in factor-based fixed-income strategies, especially in Europe, David Stevenson reports for the Financial Times. According to an Edhec-Risk Institute survey, Europe institutional investor exposure to government bonds rose from 13% to 66% between 2006 and 2019, while corporate bonds increased from 6% to 68% in the same period. Furthermore, about three-fifths of the institutions surveyed focused on three factors integral to the credit risk market, including carry-to-level of the yield curve, credit, and slope of the yield curve.As more consider a factor-based fixed-income approach, most studies suggest that institutions could utilize these types of bond ETFs as tactical trading tools. Meanwhile, retail investors and advisors may look to smart beta bond ETFs for yield enhancement. Currently, Edhec argued that smart beta bond ETF “usage is limited because the current offer does not correspond to their [institutional investors’]needs in terms of risk factor, and due to a lack of research in the area.” (...)"
Copyright ETF Trends

 

EDHEC-Risk Institute: The (Many) Problems of an Inverted Yield Curve” – MondoVisione (09/09/2019) 

"(...) Riccardo Rebonato, Professor of Finance, EDHEC-Risk Institute, EDHEC Business School is specialist in interest rate risk modelling with applications to bond portfolio management and fixed-income derivatives pricing. He gives you his insights on the inverted yield curve and unveil the latest estimates of the EDHEC Bond Risk Premium Monitor with a comparison of the 10-year term premium estimated by the Cochrane-Piazzesi, the Cieslak-Povala, the Slope &Cycle, and the EDHEC Stochastics Market price of Risk models. The inversion of the US Treasury yield curve is creating headaches in many quarters, not least in the estimate of risk premia. All the best-trusted models (including the slope, the Cochrane-Piazzesi, the Cieslak-Povala – some of these used, or at least quoted, by the Fed) are giving nonsensical answers, estimating risk premia as negative as -5% or more for the 10-year yield. See these model estimates in Fig 1. What is happening? If taken literally, these models would imply future rates at such negative levels to make the German Bunds look like high-yielders. (...)"
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EDHEC’s Rebonato predicts ‘new dawn’ in fixed income investing” – ETF Stream (22/08/2019) 

"(...) Riccardo Rebonato, Professor of Finance at EDHEC Business School, has stressed timing factor exposures in fixed income is far more promising than in equities. Speaking to ETF Stream, PIMCO’s former global head of rates analytics said, although very little academic work had been done around factor investing in fixed income, it was relatively easier to predict corrections of the entire bond market compared to the equity market. (...)"
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Investors demonstrate appetite for innovation in fixed income ETFs” – ETF Strateggy (30/07/2019) 

"(...) In a bid to capitalise on potential opportunities, Amundi has teamed up with EDHEC-Risk Institute to conduct two new studies investigating the theoretical and practical challenges involved in harvesting risk premia in fixed income markets. Similarly, investors’ expectations that ESG fixed income strategies are poised to thrive are starting to be borne out in the numbers. (...)"
Copyright ETF Strateggy

 

Smart beta funds fail to match hype” – Financial Times (27/07/2019) 

"(...) Lionel Martellini, a professor at France’s Edhec Business School, said: “Smart beta is not a free lunch.“A well-diversified exposure to rewarded factors will not always outperform. The promise is instead merely that it will provide superior risk-adjusted performance on average across market conditions in exchange for suffering pain in some market conditions.“(...)"
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The discovery of factors in fixed income” – Enterprising Investor - CFA Institute (19/07/2019) 

"(...) In Bond Pricing and Yield Curve Modeling: A Structural Approach, Riccardo Rebonato, professor of finance at the EDHEC Business School and the EDHEC-Risk Institute, combines theory with current empirical evidence to build a robust understanding of what drives the government bond market. The book provides the theoretical foundations (no-arbitrage, convexity, expectations, and affine modeling) for a treatment of government bond markets, presents and discusses the vast amount of empirical findings that have appeared in the finance literature in the past 10 years, and introduces the “structural” models used by central banks, institutional investors, academics, and practitioners to, among other things, model the yield curve, answer policy questions, gauge market expectations, and assess investment opportunities. (...)"
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The discovery of factors in fixed income” – ETF Stream (15/07/2019) 

"(...) "In similar fashion to the dwindling faith in active management within the equity space, managers are now coming to questions whether the same erosion of trust is taking place in the ability of fixed income managers to control interest and credit-risk exposures. Professors Lionel Martellini, Riccardo Rebonato and Jean Michel Maes from the EDHEC business school suggest the steady decrease in interest rates in recent years has led institutional investors to question whether the active skills in this asset class can still work. As a step in this direction, the EDHEC Risk Institute has been able to provide a first detailed, security-level analysis on two factors that explain a large fraction of the differences in the cross-section of bond returns, namely value and momentum, using economically justified proxies for these attributes." (...)"
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The quants are back in their billions ” – The Business Times (10/07/2019) 

"(...) "If it's less than 30 years, I wouldn't look at it for factors," said Riccardo Rebonato, professor of finance at EDHEC Business School, EDHEC-Risk Institute, and a former global head of rates and FX analytics at Pimco. "Identifying a factor is like detecting the direction of a gentle breeze in the middle of a hurricane. You need a lot of observation to tell. (...)"
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The New Quant Billions Are Hiding in the Bond Market ” – Bloomberg (09/07/2019) 

"(...) Working with data it first sourced from Lehman going back to the late 1980s, Netherlands-based Robeco built up a library of credit resources to construct automated strategies. For some skeptics, it’s barely enough. “If it’s less than 30 years, I wouldn’t look at it for factors,” said Riccardo Rebonato, professor of finance at EDHEC Business School, EDHEC-Risk Institute, and a former global head of rates and FX analytics at Pimco. “Identifying a factor is like detecting the direction of a gentle breeze in the middle of a hurricane. You need a lot of observation to tell.” Certain factors like momentum and value require lots of portfolio churn, a challenging proposition given the trading costs. "(...)
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Amundi/EDHEC studies explore fixed income smart beta ” – ETF Strategy (03/07/2019) 

"(...) EDHEC-Risk Institute has conducted two new studies, commissioned by ETF issuer Amundi, that investigate the theoretical and practical challenges involved in harvesting risk premia in fixed income markets. The studies focus on two factors that explain a large fraction of differences in the cross-section of bond returns, namely “value” and “momentum”, using economically justified proxies for these attributes."(...)
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+6,99% en un an ” – Pierre Papier (01/07/2019) 

"(...) C’est la performance affichée, sur un an glissant, par l’indice EDHEC IEIF Immobilier d’Entreprise France « brut », qui retrace la progression de la valeur des parts et des dividendes distribués par les SCPI les plus actives du marché. Lancé par l’Institut de l’Epargne Immobilière et Foncière (IEIF) et l’EDHEC-Risk Institute, cet indice recouvre de fait environ 90 % de la capitalisation totale des SCPI investies en immobilier d’entreprise, et plus de 95 % des transactions secondaires constatées. Pondéré par les capitalisations des SCPI, il recense à la fois les véhicules à capital fixe et à capital variable, à condition que ces derniers aient enregistré un volume de transactions sur le marché secondaire supérieur à 2 millions d’euros au cours de l’année précédente. Dans sa version « nu », l’indice EDHEC IEIF Immobilier d’Entreprise France retrace donc la progression de la valeur des parts des SCPI les plus actives du marché. Dans sa version « brut », qui intègre les dividendes distribués (supposés réinvestis), il en mesure la performance globale. Publié avec une fréquence mensuelle (le 20 du mois suivant la fin de chaque mois calendaire), sa composition est révisée deux fois par an, en mars et en septembre. Lors de sa dernière révision, il comprenait 47 SCPI affichant une capitalisation globale de 48 Md€ (soit près de 90% de la capitalisation totale des SCPI en mars 2019 -54,3 Md€-)."(...)
Copyright Pierre Papier

 

EDHEC-Risk Institute Says Duration-Timing Strategies Can Work” – Value Walk (21/06/2019) 

"(...) Riccardo Rebonato, Professor of Finance, EDHEC-Risk Institute, EDHEC Business School is specialist in interest rate risk modelling with applications to bond portfolio management and fixed-income derivatives pricing. He comments on yesterday FOMC & FED’s meeting minutes. The equity markets heaved a sigh of relief after Chairman Powell’s words at the post-FOMC meeting conference, interpreting his remarks as an implicit assurance that (if needed) the policy of the Greenspan / Bernanke / Yellen ‘put’ will be continued under his stewardship. Matters are not quite as straightforward, however, for two important reasons."(...)
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EDHEC-Risk Institute Says Duration-Timing Strategies Can Work” – Traders Magazine (24/05/2019) 

"(...) It is within this context that EDHEC-Risk Institute has launched a dedicated research programme that aims to broaden the concepts of factor-investing in bond markets by i) analysing the risk factors that drive these universes, ii) finding whether they attract compensation or not, and iii) more generally, examining bond return predictability. A new study produced as part of the Amundi research chair on “ETF, Indexing and Smart Beta Investment Strategies” focuses on the two factors that explain a large fraction of differences over time in bond returns, namely the “level” or “slope” of the yield curve."(...)
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The future of retirement is already here” – Cuffe links (22/05/2019) 

"(...) Other innovations being considered include retirement-targeted bonds. These instruments – suggested by professors of finance Lionel Martellini, Robert Merton and Arun Muralidhar of the EDHEC Business School in Lille, France – would differ from conventional bonds in that they would not pay coupons and a lump sum at maturity. Instead, they offer a secure income for an agreed term. Investors could acquire bonds to cover their income needs in retirement, probably in the later stages of accumulation, before switching to an annuity for later life."(...)
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EDHEC-Risk Institute launches factor investing in bond markets research programme” – ETF Stream (21/05/2019) 

"(...) EDHEC-Risk Institute has launched a research programme that aims to broaden the concepts of factor investing in bond markets. This is in response to the substantial research available on factor investing in equity products and the scarcity of research on the existence of risk premia in fixed income. EDHEC analyses the risk factors that drive universes, determine whether they attract compensation and more generally examine bond return predictability."(...)
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Index companies to feel the chill of fund managers’ price war” – Financial Times (20/05/2019) 

"(...) He says Amundi, which manages €1.5tn, including €112bn in index funds, is considering its options, such as producing benchmarks of its own. Mr Perrier says this includes a collaboration with Edhec, the French business school, to work on fixed-income exchange traded funds that use factor investing.
(...) Other fund managers are looking to non-commercial index providers, such as academic institutions. Edhec-Risk Institute is tied to the eponymous Nice business school and has worked with French managers such as Amundi, as well as international groups including Bank of America Merrill Lynch, to launch indices for fixed income, property funds and retirement products.Lionel Martellini, director of Edhec-Risk Institute, says savings are only one reason for fund managers looking beyond the big providers. “A lot of asset managers that get into self-indexing want to be the sole owner of the relationship with end-investors and want a better handle on developing the underlying strategy.”He warns that index construction is not simple. “Some asset managers slightly underestimated the cost and complexity of running an index business."(...)
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Factor investing in bonds should focus on two additional factors” – Money Management (17/05/2019) 

"(...) EDHEC-Risk Institute aims to widen the concepts of factor-investing in bond markets by encouraging investors to focus on the two factors that help explain fraction of differences over time in bond returns, the ‘level’ or ‘slope’ of the yield curve. According to the institute’s paper, produced as part of the Amundi research chair on “ETF, Indexing and smart beta investment strategies”, it would be possible to build duration-timing strategies that were economically superior to bearing unconditional duration risk."(...)

 

The Need for Flexicure Retirement Solutions” – Actuarial Post (07/05/2019) 

"(...) In response to these concerns, a number of so-called retirement products have been proposed by insurance companies and asset management firms. Asset management products offer a wide range of investment options, but none of these options really address retirement needs because they neither allow investors to secure a given level of replacement income, nor explicitly intend to do so. This is also true for target date funds, even though they are often used as default options by individuals saving for retirement. In contrast, insurance products, such as annuities and variable annuities, can secure a fixed level of replacement income throughout retirement. However, this security comes at the cost of a severe lack of flexibility, because annuitization is an almost irreversible decision, unless one is willing to bear the costs of high surrender charges, which can amount to several percentage points of the invested capital. This rigidity is a major shortcoming in the presence of life uncertainties such as marriage and children, changing jobs, health issues, changing locations to lower or higher cost cities or countries, decisions about retirement dates, etc."(...)
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Can retirement bonds prevent a pensions crisis?” – MallowStreet (07/05/2019) 

"(...) IEconomists from EDHEC Risk Institute have come up with a new idea about financing the years in which we won't or simply can’t work anymore: retirement bonds. But is it a viable solution or just an academic fad? Fears that the world is facing a pensions crisis – with large numbers of people unable to afford to retire or having to rely on the state – have become more widespread in recent years and led to a search for solutions to improve what pure defined contribution can offer"(...)
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Private banks must take goals-based tech to heart” – Professional Wealth Management (15/04/2019) 

"(...) One recent summit, held under the auspices of the EDHEC Risk Institute, a leading French academic powerhouse, showcased this battle for the soul of the wealth management industry. Academics, private bankers, thought leaders, regulators and innovators gathered to discuss the key question yet to be resolved: what should be the role of technology in client acquisition and servicing, data analysis and portfolio management?"(...)
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Fed funds’ projections lower in March” – Money Management (12/04/2019) 

"(...) EDHEC-Risk Institute’s professor of finance, Riccardo Rebonato, says there are a few reasons why the latest March projections for the Fed Funds in the year to come, made by the Fed Monetary Committee, were lower than the expectations from December. Rebonato, who is a specialist in interest rate risk modelling with applications to bond portfolio management and fixed-income derivatives pricing, said that market yields reflected expectations but also incorporated a risk premium, which was a compensation for bearing risk."(...)
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Financement de leur retraite : une source d'inquiétudes pour les Français” – Banquesenligne.fr (11/04/2019) 

"(...) Face à une certaine méconnaissance des produits d’épargne et à la complexité du système de retraite français, un effort de pédagogie doit être fait. A ce titre, certaines idées fleurissent à l’image du professeur de finance à l’Edhec, Lionel Martellini, qui invite à la création d’une agence publique. Son but : accompagner les Français dans leurs arbitrages."(...)
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Eduquons les Français à la finance !” – Les Echos (30/03/2019) 

"(...) LE CERCLE/POINT DE VUE - Les Français préparant leur retraite possèdent beaucoup d'épargne, mais celle-ci est mal orientée. Pour les accompagner dans leurs arbitrages, le professeur à l'Edhec Lionel Martellini préconise la création d'une agence publique."(...)
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Three things your clients may call you about this week …” – Professional Adviser (24/03/2019) 

"(...) As the goalposts continue to move for savers, says EDHEC-Risk Institute director Professor Lionel Martellini, the necessity for future retirees to start planning now only increases. One of the key issues is that public and private pension schemes almost always deliver replacement income that is lower than labour income, he says, adding: "The gap is sometimes severe."(...)
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Pension CRISIS: How would the UK solve a retirement TIME-BOMB?” – Daily Express (23/03/2019) 

"(...) As the goalposts continue to move for savers, Professor Lionel Martellini, Director of the EDHEC-Risk Institute, urged future retirees to start planning now for their golden years. Professor Martellini spoke to Express.co.uk about how to avoid a pensions crisis in an economy where individual investors are becoming increasingly responsible for their own saving. One of the key issues, according to Professor Martellini, is that public and private pension schemes almost always deliver replacement income which is lower than labour income. He added: “The gap is sometimes severe. “According to the OECD, an individual with average earnings in the United States can expect to receive merely 49.1 percent of labour income from mandatory pension arrangements when retiring. “The replacement rate falls to 29.0 percent in the United Kingdom. “With the need to supplement public and private retirement benefits via voluntary contributions, individuals are becoming more and more responsible for their own retirement savings and investment decisions.” This global trend poses substantial challenges to individuals, he said, who often lack the expertise required to make such complex financial decisions. (...)
Copyright Daily Express

 

L’OBLIGATAIRE tenté par le «smart beta»” – L'Agefi (14/03/2019) 

"(...) La parole à ... RICCARDO REBONATO, professeur de finance à l’Edhec-Risk Institute. (...) Sur les obligations d’Etat, comment déterminer un facteur « value » ? La probabilité de défaut est faible pour les pays développés, à moins d’entrer dans des considérations géopolitiques non quantitatives. Globalement, les « vieilles » explications sur les actions ne fonctionnent pas, et il y a encore trop peu d’études académiques concernant l’efficience des facteurs sur les obligations. (...)
Copyright L'Agefi

 

What Asset Managers Don’t Want You to Know About Their Factor Funds” – Institutional Investor (05/03/2019) 

"(...) "When it comes to smart beta funds, asset managers and index providers are straying far from the well-recognized factors that have decades of academic research supporting them, according to new research from Scientific Beta, a smart beta index provider that’s funded by EDHEC-Risk Institute. Felix Goltz, research director at Scientific Beta and head of applied research at EDHEC-Risk Institute — an investment-focused, academic think tank — said the problem with managers and index providers finding factors that supposedly lead to an investment reward is that third parties have not replicated the results. This can lead to unintended exposures and a misunderstanding around the associated investment risks of those factors." (...)
Copyright Institutional Investo

 

Fresh Insights on the Smart Beta Space” – HedgeNordic (04/03/2019) 

"(...) Smart beta products aim to outperform traditional market cap-weighted indices by capturing sources of excess returns offered by proven, well-researched factors that stem from behavioral or structural anomalies. A recent survey conducted by EDHEC-Risk Institute among 163 European professional investors shows that the majority agrees that smart beta and factor investing offers significant potential for outperformance. The EDHEC European ETF and Smart Beta and Factor Investing Survey 2018 offers insights into investors’ perceptions on exchange-traded funds (ETFs), smart beta and factor investing products. The survey results suggest that the interest in smart beta and factor investing is mainly attributable to the pursuit of outperformance, as around 73 percent of respondents agree that products in this area present significant potential for beating traditional market indices. In addition, the transparency of these products is an essential attribute of their appeal. (...)”
Copyright HedgeNordic

 

Behavioral-finance expert takes top Bernstein Fabozzi/Jacobs Levy award” – Pensions&Investments (01/03/2019) 

"(...) In addition to the $2,500 Best Article award, three other articles were recognized as Outstanding Articles: "Proverbial Baskets Are Uncorrelated Risk Factors! A Factor-Based Framework for Measuring and Managing Diversification in Multi-Asset Investment Solutions" by Lionel Martellini and Vincent Milhau (...)”
Copyright Pensions&Investments

 

IPR Journals announces the winners of the 20th annual Bernstein Fabozzi/Jacobs Levy Awards” – Global Banking &Finance Review (01/03/2019) 

"(...) IPR Journals has also recognized three Outstanding Articles from the 2018 collection. Proverbial Baskets Are Uncorrelated Risk Factors! A Factor-Based Framework for Measuring and Managing Diversification in Multi-Asset Investment Solutions by Lionel Martellini and Vincent Milhau appeared in the special Multi-Asset Strategies issue. The authors suggest using a factor-based framework to more effectively measure and manage (...)”
Copyright Pageant Media

 

Fed's low confidence signals recession” – Investors Chronicle (17/01/2019) 

"(...) The inverse yield curve for US Treasuries is historically a sign of impending recession and Professor Riccardo Rebonato of the EDHEC Risk Institute argues that, if anything, the market appears to have been a bit too complacent about the risk of recession. The Professor’s Bond Risk Monitor showed very similar risk compensations for two- and five-year yields, which would indicate that US Treasury investors weren’t pricing in rate cuts as quickly as the Federal Reserve expects to have to make them. (...)”
Copyright Global Investor Group

 

2018

 

Amundi’s Perrier eyes next opportunities” – Global Investor Group (18/12/2018) 

"(...) Perrier said: “In addition to standard or ready-to use strategies, the Smart Beta and Factor Investing platform leverages the group’s extensive research capabilities to develop fully customised solutions matching specific clients’ needs.” He continued: “Over the past two years, we invested extensively with senior hires in the portfolio management and research teams, as well as in product development and innovation in order to accompany our clients growing interest. In parallel we extended our academic partnership with the EDHEC-Risk Institute, to cover factor investing in bond markets. Amundi manages today €23bn of assets under management (at end September 2018) and our ambition is to become the reference partner of investors in this field.” (...)”
Copyright Global Investor Group

 

FIXED INCOME ETFS: Choosing your mood music” – Funds Europe (03/12/2018) 

"(...)When it comes to smart beta and factor investing, the ratio is the other way around: equity ETFs predominate. However, the recent EDHEC report found “significant interest” in fixed income smart beta solutions. Lionel Martellini, director at the EDHEC-Risk Institute, believes the fixed income sector is the new frontier in the development of meaningful smart factor investment solutions in the fixed income space, but that more research is needed. One reason is that the first generation of smart beta in fixed income markets was based on a direct transfer of fundamental indexing methodologies originally developed for equities. “The key problem in this approach is that it is unclear why some backward-looking trailing average of some arbitrarily selected variables should contain more useful information than, say, bond ratings, which for all their flaws are based on a much richer information set,” says Martellini. A more meaningful approach, in his view, is to construct investable proxies for rewarded risk fixed income factors such as interest rate and credit risk factors, but also liquidity risk factors, low-risk factors, carry factors, value factors and momentum factors, suitably extended to bond markets. But it ain’t easy. “The calibration of factor investing strategies in bond markets poses a number of specific technical and implementation challenges,” he says. (...)”
Copyright Funds Europe

 

Smart beta ETFs begin to impact on active funds” – ETF Express (03/12/2018) 

"(...) Academic institution the EDHEC-Risk Institute announced the results of the 11th EDHEC European ETF and Smart Beta and Factor Investing Survey, recently as well. This study is conducted as part of the Amundi research chair at EDHEC-Risk Institute on ‘ETF, Indexing and Smart Beta Investment Strategies’. This survey, conducted since 2006, is designed to provide insights into European investors’ perceptions, practices and future plans in the domain of ETFs and Smart Beta. EDHEC-Risk writes that this year, the survey also included a special focus on Smart Beta product development, considering specific client demand in the fixed income field. (...)”
Copyright ETF Express

 

Price battle divides losers from winners” – Financial Times (05/11/2018) 

"(...) “There are two groups emerging,” says Lionel Martinelli, professor at Edhec, the French business school, and a close watcher of the smart beta industry. “[Investor assets] are going to the biggest players."(...)”
Copyright Financial Times

 

Smart beta moves into mainstream for large investors” – Financial Times (05/11/2018) 

"(…) Lionel Martellini, a professor at France’s Edhec Business School, says smart beta is “no longer an exotic, niche strategy” and is now mainstream. According to a recent Edhec survey, nearly half of European institutional investors use factor investing and 28 per cent are considering doing so. Investors are “slowly but surely tapping the waters and getting used to the benefits and potential pitfalls of smart beta”, he says. Factor strategies have built up long track records across a range of market conditions, helping to ease previous investor concerns about the limited backtesting of portfolios.(...)”
Copyright Financial Times

 

Global debt pile creates new chances in nascent market” – Financial Times (05/11/2018) 

"(…) Though growing in size, the adoption of fixed income smart beta strategies by investors remains at an early stage of development. A survey of 163 European institutional investors published in September by the Edhec-Risk Institute showed that just 17 per cent of the respondents used smart beta for fixed-income investing. About four-fifths of current users commit less than 20 per cent of their total smart beta exposure to fixed-income. Felix Goltz, research director at Edhec-Risk, says investors are concerned that methods developed for the application of smart beta in equity markets may not translate well into fixed income. (...)”
Copyright Financial Times

 

Investors call for new products and more innovation in ethical / SRI ETFs” – ETF Strategy (01/11/2018) 

"(…) The survey, conducted as part of the Amundi research chair at EDHEC-Risk Institute, looked at the investing habits of 163 European professional and institutional ETF and smart beta investors. According to the results, more than a third (34%) of respondents indicated that they would like to see new developments in ETFs linked to ethical or socially responsible investing (SRI) (also known as Environmental, Social and Governance (ESG)) strategies. (...)”

 

Les écoles de commerce se disputent les gloires de la recherche” – Le Monde (28/10/2018) 

“(…) « Sous la pression des classements internationaux et d’un modèle imposé par les universités américaines, l’enseignant est devenu chercheur de haut niveau et les écoles de commerce ont essayé de suivre le mouvement », raconte Lionel Martellini, professeur de finance et directeur de l’Edhec Risk Institute, qui s’assigne pour objectif de produire des recherches « utiles socialement ». (...)”
Copyright Le Monde

 

Investors hunger for smart beta fixed income: EdHEC” – ETF Stream (24/10/2018) 

“(…) French business school, EDHEC undergo an annual study, asking ETF and smart beta investors about the European ETF market, smart beta strategies and factor investing. ETF Stream spoke with Felix Goltz, head of applied research at EDHEC, discussing the school’s latest study and what results they concluded. (...)”
Copyright ETF Stream

 

ETF investors bemoan lack of research for fixed income smart-beta strategies” – Investment Week (22/10/2018) 

“(…) European ETF investors are "significantly" interested in investing in smart-beta fixed income products but expressed concern about the lack of research in the area, according to a survey conducted by the EDHEC-Risk Institute. The annual report, entitled the EDHEC European ETF and Smart Beta and Factor Investing Survey, found just 17% of the 163 respondents already use smart-beta and factor investing for fixed income. (...)”
Copyright Investment Week

 

Swiss Life AM France et EDHEC-Risk créent une chaire de recherche sur le rôle de l'immobilier dans les solutions d'investissement” – Boursier.com (17/10/2018) 

“(…) Dirigée par le Professeur Lionel Martellini, Directeur d'EDHEC-Risk Institute et par le Professeur Nikos Tessaromatis, Professeur de finance à l'EDHEC Business School, l'équipe de recherche analysera le rôle de l'investissement immobilier dans les solutions d'investissement. L'objectif est de fournir une analyse exhaustive du rôle des investissements immobiliers cotés et non cotés dans les portefeuilles institutionnels, en mettant l'accent sur leurs contributions non seulement en termes de performance mais aussi de couverture des risques. (...)”
Copyright Boursier.com

 

Target-date retirement funds miss the mark” – Money Week (05/10/2018) 

“(…) A team of researchers from Princeton University in the US and EDHEC, the French business school, have published a study warning that the bond portfolios that target-date funds use are riskier than widely thought. These portfolios are typically composed of short-term bonds that are exposed to market risks (eg, changes in interest rates) and do not offer the long-term certainty about income that many retirees expect. (...)”
Copyright Money Week

 

Target date funds risk missing the mark for retirees” – Financial Times (27/09/2018) 

“(…) "Since 2006, the increase of the percentage of respondents using ETFs in traditional asset classes has been spectacular, says the ‘11th EDHEC European ETF and Smart Beta and Factor Investing Survey,’ conducted as part of the Amundi research chair at EDHEC-Risk Institute. (...)”
Copyright Financial Times

 

TRADITIONAL ASSETS IN ETFS RISE” – Benefits and Pensions Monitor (25/09/2018) 

“(…) "Since 2006, the increase of the percentage of respondents using ETFs in traditional asset classes has been spectacular, says the ‘11th EDHEC European ETF and Smart Beta and Factor Investing Survey,’ conducted as part of the Amundi research chair at EDHEC-Risk. (...)”
Copyright Benefits and Pensions Monitor

 

Tekort aan vastrentende smart-beta ETF’s” – IEX Profs (24/09/2018) 

“(…) "In the world of asset management, the rise of ETFs has passed by few. A survey by the Edhec Risk Institute shows that only 8% of European institutional investors now have no ETFs.. (...)”
Copyright IEX Profs

 

EDHEC-Risk’s European ETF survey reveals growing demand for smart beta” – ETFEXPRESS (20/09/2018) 

“(…) "EDHEC-Risk writes that this year, the survey also includes a special focus on Smart Beta product development, considering specific client demand in the fixed income field. The survey reveals that since 2006, the increase of the percentage of respondents using ETFs in traditional asset classes has been spectacular: in 2006, 45 per cent of respondents used ETFs to invest in equities, compared with 92 per cent in 2018. (...)”
Copyright ETFEXPRESS

 

A New Retirement Bond” – Financial Advisor Magazine (04/09/2018) 

“(…) "Martellini and his colleagues coined the phrase “flexicurity” to define the ideal investment solution for retirees. At heart, most retirement investors want security and a guaranteed stream of income, but they also want the flexibility to adjust their investments and their potential income stream over time. For the retirement-focused portfolio, goals like outperforming other investments or reaching a target asset level are more aspirational than essential.(...)”
Copyright Financial Advisor

 

Portfolio construction and ETFs” – FT Adviser (15/08/2018) 

“(…) "ETFs represent the next stage of the indexing revolution globally, and they are increasingly becoming the vehicle of choice for investors’ index exposure. The EDHEC European ETF Survey 2017 suggests that 71 per cent of European investors use them frequently for achieving broad market exposure.(...)”
Copyright FT Adviser

 

Das war das Amundi Forum 2018” – Fonds Professionell (02/07/2018) 

“(…) "Das Haus brennt!" Mit dieser aufrüttelnden These eröffnete Lionel Martellini, Finanzprofessor an der Edhec Business School und Direktor des Edhec Risk Institute, sein Referat über notwendige Reformen in Bezug auf die Rentensysteme weltweit. Aufgrund wachsender demografischer Ungleichgewichte sowie einem geringeren Produktivitätswachstum drohe eine regelrechte "Rentenkrise", der es zu begegnen gelte.(...)”
Copyright Fonds Professionell

 

EDHEC ranked in the world’s top 3 business schools for Finance by the Financial Times ” – Fenews.co.uk (27/06/2018) 

“(…) "The result further confirms EDHEC’s international high-impact strategy on the global finance industry and its status as the go-to academic institution in the field. Scientific Beta, EDHEC-Risk Institute and EDHEC’s cutting-edge finance programmes are perfect illustrations of this strategy in practice.(...)”
Copyright Fenews.co.uk

 

Academics come up with replacement for annuities” – FT Adviser (08/06/2018) 

“(…) A pair of academics have come up with a new ‘retirement bond’ concept they claim will solve the looming pension crisis. (…) "We think retirement bonds would be extremely helpful in addressing the needs of investors preparing for retirement." (...) The professors are in the process of setting up a pan-European working group to explore the concept, including economics and policy experts. They are also in meetings with politicians in France, where the retirement landscape is currently undergoing reform.(...)”
Copyright FT Adviser

 

Disciplined Techniques Needed by Individuals” – Benefits and Pensions Monitor (05/06/2018) 

“(…) Individuals need ‘flexicurity’ in retirement solutions and they would benefit from being provided an access to the kind of disciplined liability-driven investing techniques already used by institutional asset owners. Based on this premise, the EDHEC-Risk Institute and Princeton University’s operations research and financial engineering (ORFE) department have created the ‘EDHEC-Princeton Retirement Goal-Based Investing Index. (…)”
Copyright Benefits and Pensions Monitor

 

Will Selfies stick? Pension bonds are an ingenious idea for providing retirement income” – The Economist (17/05/2018) 

“(…) Lionel Martellini of EDHEC, a French business school, and Robert Merton of the Massachusetts Institute of Technology (a Nobel laureate in economics) have come up with an alternative. Workers would buy government-issued bonds while in employment; these would pay no interest until retirement. Over the next 20 years (the typical life expectancy on retirement) bondholders would receive payments comprising interest plus the return of the capital. These would be linked to inflation, or another measure such as average consumption. (…)”
Copyright The Economist

 

Investment Products and Services Launches” – Planadviser (03/05/2018) 

“(…) In a new publication entitled “Applying Goal-Based Investing Principles to the Retirement Problem”, EDHEC-Risk Institute and Professor John Mulvey of the Operations Research & Financial Engineering Department at Princeton University outline the shortcomings of existing retirement products, and lay the academic foundations for a new generation of risk-controlled target-date funds (TDFs). (…)”
Copyright Planadviser

 

How investment can help deal with the pension crisis” – FT Adviser (01/05/2018) 

“(…) Goal-based investment principles grounded on solid academic foundations can actually be used to design retirement investment strategies that meet the needs of individual investors preparing for retirement. It is time to launch a wake-up call before it is too late. Professor Lionel Martellini is a director of Edhec's Risk Institute. (…)”
Copyright FT Adviser

 

French B-School goes global, focus on entrepreneurship” – Education Times (27/04/2018) 

“(…) The research results and products by EDHEC Risk Institute, Scientific Beta and EDHECinfra in financial risk management has been used by world’s leading financial institutes,” says Christophe. (…)”
Copyright Education Times

 

How EDHEC Business School of France became the world’s best in Finance” – Financial Express (16/04/2018) 

“(…) A prominent among these is the EDHEC-Risk Institute. Set up in 2001 and led by Martellini Lionel, Amenc Noël and others, it has become the premier academic centre for industry-relevant financial research.(…)”
Copyright Financial Express

 

Robo advisor emerges as a poverty-stricken alternative” – Chosun (13/04/2018) 

 

Pour la création "d'obligations retraite"” – Le Monde (07/04/2018) 

“(…) Trois professeurs de finance, Lionel Martellini, Robert C. Merton et Arun S. Muralidhar, suggèrent, dans une tribune au « Monde », l'émission d'obligations dont l'échéance et la durée correspondraient aux âges de départ et d'espérance de vie à la retraite.(…)”
Copyright Le Monde

 

Letter From Brussels: Default guarantee option dominates debate on PEPP” – IPE (02/04/2018) 

“(…) Lionel Martellini, director of EDHEC-Risk Institute in Nice, notes that state pension systems are weakening in most EU countries. Funded systems, as in the UK, are in deficit, while pay-as-you-go schemes, as in France, are being undermined by the severe decrease in the ratio of workers to retirees. Yet he cautions against a debate that focuses only on the merits of guarantees versus life-cycle options when neither provides for income in retirement. Replacement income, not absolute wealth, should be the focus, he stresses.(…)”
Copyright IPE

 

KAIST holds 'Robo Advisor' latest trends conference with overseas major universities” – Chosun (02/04/2018) 

 

Study warns against ignoring factors’ procyclicality” – Risk.net (29/03/2018) 

“(…) Some types of popular multi-factor investment strategies could fare worse in an economic downturn than investors expect, according to a study from Edhec-Risk Institute.(…)”
Copyright Risk.net

 

How private and public finance can help us to fight climate change” – World economic Forum (20/03/2018) 

“(…) Awareness of climate risk is also generating demand for portfolio stress-testing, with UniCredit SpA, Allianz and the Industrial and Commercial Bank of China all producing scenario analyses. New and innovative approaches to stress-testing include ‘Bayesian network modelling’ – led by Riccardo Rebonato, Professor of Finance at EDHEC Business School – which offers a logically consistent yet intuitive way to deal with uncertain events.(…)”
Copyright World economic Forum

 

L’innovation et la recherche au cœur de la gestion factorielle” – Option Finance (19/03/2018) 

“(…) Nous avons commencé par répondre aux besoins des investisseurs pour des expositions aux six grands facteurs, les plus recherchés, en lançant des ETF monofactoriels utilisés comme des briques d’allocation. Nous avons ensuite développé avec notre partenaire EDHEC Risk des approches indicielles multifactorielles que nous gérons sous forme de fonds ouverts ou de mandats dédiés. Nous avons plus récemment lancé des fonds multifactoriels, en gestion active où la combinaison des facteurs est gérée de manière dynamique selon un modèle propriétaire. Nous disposons donc aujourd’hui d’une offre globale en gestion passive et active pour répondre à des enjeux variés.(…)”
Copyright Option Finance

 

Quants warn over flaws in machine learning predictions” – Risk.net (12/03/2018) 

“(…) Another key issue pointed out by the opposition in the debate was that excessive reliance on algorithms could end up influencing market prices in a potentially dangerous way. Riccardo Rebonato, professor of finance at EDHEC Business School, described a feedback effect called reflexivity whereby automated machine learning algorithms could potentially move prices as they try to learn from price data and implement new trading strategies at high frequencies. So the algorithm ends up moving the very prices it was meant to analyse and learn from.(…)”
Copyright Risk.net

 

USS strike: global pensions crisis is now shaking ivory towers” – Times Higher Education (26/02/2018) 

 

The Man Who Outsmarted Casinos – and then Wall Street” – Advisor Perspectives (12/02/2018) 

 

What is the source of revenue for CTA and Commodity Index” – sohu (05/02/2018) 

 

Investors should take into account risk factors” – Money Management (04/02/2018) 

 

Unsophisticated Techniques of Equity Factor Investing Still Prevail” – AllAboutAlpha (01/02/2018) 

 

EDHEC-Risk Institute Provides An Academic Framework To Maximise The Benefits Of Factor Investing For Institutional Investors” – Mondovisione (01/02/2018) 

 

Trump’s national security strategy is a welcome shift away from ‘war on terror’ policies” – South China Morning Post (01/02/2018) 

 

Equity factor investing undergoes further examination” – Financial Standard (29/01/2018) 

“(…) Investment professionals believe there is a need to better control the risks associated with dynamic equity factor investing, according to latest EDHEC-Risk Institute and ERI Scientific Beta research. Between June and September 2017, more than 110 global investment professionals were surveyed on the interests and motivations for investing in new forms of equity factor strategies.(…)”
Copyright Financial Standard

 

Equity factor investing calls risk techniques into question” – Money Management (23/01/2018) 

“(…) Investors, surveyed by EDHEC- Risk Institute and ERI Scientific Beta, have revealed that there is a contradiction between score-based factor design choices and the statistical beta-based risk analysis. The analysis of the extreme risk of factor portfolios additionally proved to be still ‘fairly basic’ and therefore it did not allow the extreme risks to be appreciated.(…)”
Copyright Money Management

 

New EDHEC Survey On Equity Factor Investing Calls Risk Techniques Into Question” – EIN News (23/01/2018) 

“(…) In a new survey conducted among investment professionals between June and September 2017, EDHEC-Risk Institute and ERI Scientific Beta have analysed the interests and motivations for investing in new forms of equity factor strategies.(…)”
Copyright EIN News

 

New EDHEC Survey On Equity Factor Investing Calls Risk Techniques Into Question” – Mondovisione (23/01/2018) 

“(…) Professor Lionel Martellini, Director of EDHEC-Risk Institute, said, “We hope that the EDHEC Survey on Equity Factor Investing will enable investment professionals to learn and understand the interests and motivations for investing in these new forms of equity factor strategies. We see from the survey that investors, and especially asset owners, are ultimately aware of the difficulties and the technical progress to be achieved to master dynamic factor allocation. It is EDHEC-Risk’s ambition to keep on producing applied academic research on the subject so as to enhance our collective understanding of the benefits and limits of dynamic approaches to factor investing.”(…)”
Copyright Mondovisione

 

2017

Why bitcoin may be the new gold for savvy investors” – South China Morning Post (12/12/2017) 

 

UPDATE: The surprising reason it might be OK to give in to greed and fear” – Morningstar (02/12/2017) 

 

Alternative beta: Rational enthusiasm” – IPE (27/11/2017) 

 

EDITORIAL: Used and useful” – Funds Europe (16/11/2017) 

 

How We Run Our Money: FRR” – IPE (01/11/2017) 

 

La gestion d’actifs l’aube d’une revolution” – L'Agefi Actifs (13/10/2017) 

 

Volatility fears push investors into factor strategies” – Institutional Investor (02/10/2017) 

 

Why investors — and advisers — need to question myths about their performance” – MarketWatch (28/09/2017) 

“(…) The advice investors get from financial advisers is heavily burdened by mythology. That mythology includes many unproven, and unprovable, claims, among them that such strategies as portfolio rebalancing, harvesting tax losses, and dollar-cost averaging can appreciably increase wealth accumulation without risk.Economist and mathematician Michael Edesess is chief investment strategist of Compendium Finance, adviser to mobile financial planning software company Plynty, adjunct associate professor at the Hong Kong University of Science and Technology, and a research associate of the Edhec-Risk Institute. (…)”
Copyright MarketWatch.

 

Ethical investment is booming. But what is it?” – The Economist (21/09/2017) 

“(…) However, a second paper published this year (“Sin Stocks Revisited”, by David Blitz of Robeco Asset Management and Frank Fabozzi of EDHEC Business School) contests these results. It argues that added risk factors such as low reinvestment rates mean that there is no evidence that sin stocks provide a premium for reputation risk. (…)” “(…) However, a second paper published this year (“Sin Stocks Revisited”, by David Blitz of Robeco Asset Management and Frank Fabozzi of EDHEC Business School) contests these results. It argues that added risk factors such as low reinvestment rates mean that there is no evidence that sin stocks provide a premium for reputation risk. (…)”
Copyright The Economist Newspaper Limited 2017.

 

Investors Can Be Ethical and Still Beat the Market, Study Says” – Bloomberg (11/09/2017) 

“(…) Ethical fund managers don’t have to be envious of the market-beating returns of so-called sin stocks. They should be able to match them without dabbling in vice, according to a study in the Fall edition of the Journal of Portfolio Management. The study debunks the popular theory that shares in the alcohol, tobacco, gaming, and weapons industries outperform because investors shun them, enabling those with fewer moral scruples to earn a “reputation risk premium.” In fact any outperformance is a factor of the profitability of companies in the “sin” industries and the extent of their investments, the authors found. Investors can emulate those returns by looking for similar qualities in more straight-laced business sectors, they said. “There is nothing mysterious about the performance of sin stocks,” authors David Blitz, Robeco Asset Management’s head of quantitative equity research, and Frank Fabozzi, professor in finance at EDHEC Business School in Nice, concluded. “It is exactly what one would expect based on their exposure to factors that are included in current asset-pricing models.” (…)”
Copyright Bloomberg L.P.

 

EDHEC-Risk Institute welcomes 5 distinguished new members to its international advisory board” – Financial Investigator (7/09/2017) 

“(…) EDHEC-Risk Institute is pleased to announce that five members have joined its international advisory board, which brings together distinguished scholars, representatives of regulatory bodies as well as senior executives from business partners and other leading institutions. The role of the international advisory board is to validate the relevance and goals of the research programme proposals presented by the institute’s management and to evaluate research outcomes with respect to their potential impact on industry practices. (…)”
Copyright Financial Investigator Publishers

 

People moves” – IPE (7/09/2017) 

“(…) EDHEC-Risk Institute – Three pension fund executives have joined the institute’s international advisory board: Jayne Atkinson, chief investment officer of Unilever UK Pension Fund, Takashi Yamashita, director, investment strategy at Japan’s Government Pension Investment Fund, and Brnic Van Wyk, head of asset/liability management in the investments division of Australian superannuation fund, QSuper. Stéphane Monier, head of private client investments at Lombard Odier, and Lisa Shalett, head of investment and portfolio solutions at Morgan Stanley Wealth Management, also joined the 37-strong advisory board. It is chaired by Mark Fawcett, CIO of the trustee body running the UK master trust NEST. (…)”
Copyright IPE International Publishers Limited

 

Financial research institute adds five members to advisory board” – Investment Europe (7/09/2017) 

“(…) Nice-headquartered financial research EDHEC-Risk Institute has appointed five members to its international advisory board. The 37-member strong board has welcomed Jayne Atkinson, chief investment officer of Unilever UK Pension Fund, Stéphane Monier, head of Private Client Investments at Lombard Odier, Lisa Shalett, head of Investment and Portfolio Solutions at Morgan Stanley Wealth Management, Brnic Van Wyk, head of Asset/Liability Management, Investments Division at QSuper and Takashi Yamashita, director, investment Strategy at the Japanese Government Pension Investment Fund (GPIF). The board aims to validate the relevance and goals of the research programme proposals presented by the EDHEC-Risk Institute as well as to assess research outcomes and their potential impact on the financial industry practices. (…)”
Open Door Media Publishing Ltd

 

2016
Asia warms up to new ETF offerings” – The Asset (29/12/2016) 

“(…) Technology has enabled the development and commoditization of factor investing, or smart beta. But choosing the right strategy is also fraught with perils, as products are often marketed on the basis of simulated past performance. A result of factor-mining or model-mining, their performance may not materialize after the product is launched. “You need to rely on empirical evidence and multiple studies showing that factors have outperformed in the past,” says Frederic Ducoulombier, founding director at EDHEC Risk Institute-Asia. While selecting the right factors, investors need to look for economic rationale justifying the model. “[They need to] make sure that there’s a good story.” (…)”
Copyright Asset Publishing and Research Limited

 

Third edition of Yale SOM-EDHEC-Risk Certificate in Risk and Investment Management to commence January 2017” – HedgeWeek (08/12/2016) 

“(…) The third edition of the Yale School of Management (SOM)-EDHEC-Risk Institute Executive Seminar series will be commencing in January 2017. A series of seminars focused on Advanced Risk and Investment Management, with a program designed by Lionel Martellini, Professor of Finance, EDHEC Business School and Director of EDHEC-Risk Institute and Will Goetzmann, Edwin J Beinecke Professor of Finance and Management Studies, Director of the International Center for Finance, Yale School of Management, will be held in New Haven and London. (…)”
Copyright GFM Limited

 

Press Contacts

Reporters wishing to speak to our corporate communications team should contact:

Maud Gauchon
Marketing & Communication Manager - Partner Relations

maud.gauchon@edhec-risk.com

EDHEC-Risk Institute
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Tel. (dir) +33 (0)4 93 18 78 87             
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