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EDHEC-Risk Institute: Research Programmes

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 The centre currently has six research programmes:

Multi-style/multi-class Allocation
The research carried out focuses on the benefits, risks and integration methods of the alternative class in asset allocation. From that perspective, Edhec is making a significant contribution to the research conducted in the area of multi-style/multi-class portfolio construction.

Performance and style analysis

The scientific goal of the research is to adapt the portfolio performance and style analysis models and methods to tactical allocation. The results of the research carried out by EDHEC thereby allow portfolio alphas to be measured not only for stock picking but also for style timing.

Indices and benchmarking

Edhec carries out analyses of the quality of indices and the criteria for choosing indices for institutional investors. Edhec also proposes an original proprietary style index construction methodology for both the traditional and alternative universes. These indices are intended to be a response to the critiques relating to the lack of representativity of the style indices that are available on the market. Edhec was the first to launch composite hedge fund strategy indices as early as 2003.

Best execution and operational performance
Development of a complete framework for measuring transaction costs: EBEX (Estimated Best Execution); development of the existing framework for specific situations (constrained orders, listed derivatives, etc.); risk-adjusted performance measurement of execution strategies; analysis of market impact and opportunity costs on listed derivatives order books; impact of explicit and implicit transaction costs on portfolio performances; and the impact of market fragmentation resulting from MiFID on the quality of execution in European listed securities markets.

Asset Allocation and derivative instruments
This research programme focuses on the usefulness of employing derivative instruments in the area of portfolio construction, whether it involves implementing active portfolio allocation or replicating indices. "Passive" replication of "active" hedge fund indices through portfolios of derivative instruments is a key area in the research carried out by EDHEC.

ALM and Asset Management
This programme concentrates on the application of recent research in the area of asset-liability management for pension plans and insurance companies. The research centre is working on the idea that improving asset management techniques and particularly strategic allocation techniques has a positive impact on the performance of Asset-Liability Management programmes. The programme includes research on the benefits of alternative investments, such as hedge funds, in long-term portfolio management. Particular attention is given to the institutional context of ALM and notably the integration of the impact of the IFRS standards and the Solvency II directive project.

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