Edhec-Risk Institute NWL
   June 27, 2017

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Editorial

Felix Goltz Insights from the 10th EDHEC European ETF and Smart Beta Survey
EDHEC-Risk Institute conducted its 10th survey of European investment professionals about the usage and perceptions of ETFs, as part of the Amundi research chair at EDHEC-Risk Institute on "ETF, Indexing and Smart Beta Investment Strategies". The aim of this study is to analyse current European investor practices and perceptions on ETF and smart beta strategies. By comparing our results to those of our previous surveys, we aim to shed some light on trends within the ETF market and within the smart beta strategy offer. In the present edition of the survey, we dedicate a large group of questions not only to ETFs that track smart beta indices, but also to their general use of and opinions on smart beta strategies. This survey brings together the main strands of passive investment, namely ETFs – which are standard and very liquid products that track indices – and strategies based on the new forms of indices. More...


Table of Contents

6. News
7. Events

FEATURE

Mass Customisation versus Mass Production in Retirement Investment Management
Existing financial products marketed as "retirement investment solutions" do not meet the needs of future retirees, which involve securing their essential goals expressed in terms of minimum levels of replacement income (focus on safety), while generating a relatively high probability of achieving their aspirational goals expressed in terms of target levels of replacement income (focus on performance). Meaningful solutions should therefore combine safety and performance to meet this dual objective. More...


Industry Analysis

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

Famous Debacles in the Commodity Markets: Case Studies on Amaranth and MF Global
This article covers the trading blowups at the hedge fund, Amaranth, and at the Futures Commission Merchant, MF Global. Although the lessons from the Amaranth blowup can best be understood in terms of market-risk principles, the lessons from the MF Global bankruptcy are best understood in terms of due-diligence principles. More...

Agriculture Becomes Technology – Massive Scope For Investors
A potentially calamitous food shortage could hit the planet in the next few decades with social unrest and instability becoming much more serious. Long- term orientated, socially conscious asset managers can play a major role in averting the potential disaster but the question is whether they have the will. More...


INTERVIEW

Mark Fawcett I see a clear need for solutions to be developed - an interview with Mark Fawcett
In this month's interview, Mark Fawcett, Chief Investment Officer at the UK's National Employment Savings Trust (NEST) and Chairman of EDHEC-Risk Institute's International Advisory Board, discusses the long-term relationship between EDHEC-Risk Institute and NEST, as well as the retirement investing challenges facing European institutional investors. He also informs us about how NEST is contributing to the retirement debate and tells us how EDHEC-Risk Institute’s research can help pension funds to cope with these challenges. More...


Publications

Publication Smart Beta ETFs Smart Beta Replication Costs: This paper provides an explicit estimate of the costs applied to a range of smart beta strategies and analyses the impact of different implementation rules or stock universes. A reasonable expectation from an investor's perspective is that providers should disclose the estimated level of transaction costs generated by their strategies so as to allow for information on net returns. However, providers often fail to make explicit reference to transaction costs and simply report gross returns, leaving it to other market participants to figure out the exact amount of transaction costs. The objective of this paper is to assess transaction costs of smart beta strategies in order to contrast the gross returns of such strategies shown in backtests with estimates of net returns that are actually available to investors when considering transaction costs. More...

Commodities as Lotteries: Skewness and the Returns of Commodity Futures: This article studies the relation between skewness and subsequent returns in commodity futures markets. Systematically buying commodities with low skewness and shorting commodities with high skewness generates a significant excess return of 8% a year, which is not merely a compensation for the risks associated with backwardation and contango. More...

The Commodity Derivatives Markets from a Broadly Conceptual Perspective: This is a working paper version of a set of articles that was later published in the Spring 2017 Global Commodities Applied Research Digest. This collection of articles covers the commodity derivatives markets from a broadly conceptual perspective. More...


IN VIDEO

"Investor perceptions about ETFs & smart beta strategies" - Presentation of the results of the 10th EDHEC European ETF and Smart Beta Survey
Felix Goltz, Head of applied research, EDHEC-Risk Institute
L'AGEFI Day: Indexing, ETF & Smart Beta Summit - 8 June 2017 - London

"Smart Beta in Fixed Income"
Riccardo Rebonato, Professor of Finance, EDHEC Business School & Member, EDHEC-Risk Institute
L'AGEFI Day: Indexing, ETF & Smart Beta Summit - 8 June 2017

video

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News

Master in Finance Worldwide EDHEC Business School’s Master in Finance tops the Financial Times Masters in Finance ranking
This ranking vindicates the high-impact strategy initiated several years ago by the School and which has entailed a disruptive policy in the international research field, executed in close proximity to businesses. Since the creation of the EDHEC-Risk Institute in 2001, the School has become an academic reference within the financial industry. More...

SDA BOCCONI School of Management SDA BOCCONI School of Management is teaming with EDHEC-Risk Institute to offer a Masterclass on New Frontiers in Retirement Investing on October 16, 2017
The masterclass will focus on the technicalities of specific products for retired and senior citizens and will develop a marketing and strategic approach to senior finance and lending. It will also provide participants with an introduction to the modern financial engineering and risk management techniques which will allow a new breed of investment managers to design and implement innovative forms of welfare-improving retirement investment solutions for their clients. More...

Wealth Management Systems for Individual Investors Conference A great success for the inaugural edition of the Wealth Management Systems for Individual Investors Conference with over 120 professionals on the Princeton Campus
This conference is the first-ever joint collaboration between EDHEC-Risk Institute, KAIST (Korea), Princeton (USA), and Tsinghua (China) Universities. The audience, consisting of top executives from investment and wealth management companies, banks, institutional investors, and academics highly appreciated the good balance between academic insights and practical applications. A nice opportunity to interact with experts on financial technologies. More...

PhD ForumChris Firth and Jeroen Jansen, Research Associates at EDHEC-Risk Institute, presented their latest research at the inaugural EDHEC PhD in Finance Forum
EDHEC is very proud of its 37 PhD graduates to date who have gone on to author over 20 publications in top academic journals and leading professional reviews. To broaden the audience of this collection of original contributions, they have created a forum where industry professionals will have first-hand access to new and stimulating research on the functioning of financial markets and how it can be improved. More...


EVENTS

Yale SOM-EDHEC-Risk Harvesting Risk Premia in Equity and Bonds Markets Seminar, New Haven, 11-13 July, 2017

EDHEC-Risk Smart Beta Day Amsterdam 2017, 21 November, 2017 - Netherlands


Press Review

EDHEC-Risk Institute has been cited widely in the business and industry press. A selection of articles may be found below.

  • "More women join financial industry but salaries are not equal", Financial Times (18/06/2017) More...

  • "Smart beta transparency woes remain", FT Adviser (14/06/2017) More...

  • "Smart beta products facing transparency problems, investors say", IPE (14/06/2017) More...

  • "Amundi/EDHEC study reveals significant uptake of smart beta ETFs", ETF Strategy (08/06/2017) More...

  • "How Reverend Bayes Can Help You Manage Your Portfolio?", EDHEC VOX" (06/06/2017) More...

  • "Goals-based strategies valuable for retirees: Research", Financial Standard (02/06/2017) More...

  • "Goal-based investing a shoe in for good retirement planning", Money Management (02/06/2017) More...

  • "Asset Management is going through an industrial revolution", Hedgeweek (17/05/2017) More...

  • "Netting no problem for blockchain, tech firms tell regulators", Risk.net (09/05/2017) More...

  • "Will an Android Replace Your Financial Advisor?", U.S. 1 Newspaper (26/04/2017) More...


Recruitment

EDHEC Business School, one of the leading business schools in Europe, with over 7,000 students, has been developing a centre of excellence in finance for many years. Today, in order to capitalise on the success of its strategy of excellence in finance, EDHEC is seeking a director for the Financial Economics track. More...


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About EDHEC-Risk Institute:

Established in 2001, EDHEC-Risk Institute has become the premier academic centre for industry-relevant financial research. In partnership with large financial institutions, its team of close to 50 permanent professors, engineers, and support staff, and 36 research associates and affiliate professors, implements 6 research programmes and 10 research chairs focusing on asset allocation and risk management and has developed an ambitious portfolio of research and educational initiatives in the domain of investment solutions for institutional and individual investors.

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