2018

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.

2018

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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