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With recent developments in risk factor-based investing, many index providers, and more generally investment product providers, offer strategies that help investors gain exposure to various identified risk factors such as value, momentum and size, amongst others.Download filesTYPE OF DOCUMENT : WORKING PAPER
Hilary Till: This survey paper will discuss the (potential) structural sources of return for both CTAs and commodity indices based on a review of empirical research articles from both academics and practitioners.Download filesTYPE OF DOCUMENT : WORKING PAPER
This study provides evidence using data from the G7 countries suggesting that return dispersion may serve as an economic state variable in that it reliably predicts time-variation in economic activity, market returns, the value and momentum premia and market volatility.Download filesTYPE OF DOCUMENT : WORKING PAPER
Lionel Martellini, Vincent Milhau: This paper examines the relative efficiency of standard forms of practical implementation of the factor investing paradigm based on commonly-used factors in the equity, fixed-income and commodity universes.Download filesTYPE OF DOCUMENT : EDHEC PUBLICATION
Joëlle Miffre, Ana-Maria Fuertes, Adrian Fernandez-Perez:
This paper shows that backwardation versus contango factor-mimicking portfolios exhibit in-sample and out-of-sample predictive power for the first two moments of the distribution of long-run aggregate market returns and for the business cycle.
Frédéric Palomino :
In 2013, the Union of European Football Associations (UEFA) put in place a Financial Fair Play (FFP) regulation, according to which clubs eligible to participate in the Champions League or the Europa League must break-even financially.
Noël Amenc, Saad Badaoui, Felix Goltz, Véronique Le Sourd, Ashish Lodh:
EDHEC-Risk carried out a survey among a representative sample of investment professionals to identify their views and uses of alternative equity beta.
Noël Amenc, Kumar Gautam, Felix Goltz, Nicolas Gonzalez, Jan-Philip Schade:
A standard practice in reporting geographic exposure of equity portfolios is to report breakdown of portfolio constituents by country or region, which are assigned to a stock based on its place of listing, incorporation or headquarters.
Noël Amenc, Felix Goltz, Véronique Le Sourd, Ashish Lodh, Eric Shirbini:
EDHEC Risk Institute conducted its 8th survey of European investment professionals about the usage and perceptions of ETFs at the end of 2014.
Kevin E. Beaubrun-Diant, Tristan-Pierre Maury:
Cette étude revient sur une mesure phare destinée à soutenir les marchés immobiliers lors de la crise de 2009 : le « doublement » du Prêt à Taux Zéro (PTZ).
Adrian Buss, Raman Uppal, Grigory Vilkov:
Alternative assets, such as private equity, hedge funds, and real assets, are illiquid and opaque, and thus pose a challenge to traditional models of asset allocation.
Frédéric Blanc-Brude, Majid Hassan:
This paper, which is drawn from the Meridiam and Campbell Lutyens Research Chair at EDHEC on Infrastructure Equity Investment Management and Benchmarking, proposes a valuation framework for privately-held and very illiquid assets such as equity stakes in infrastructure projects.
Carlos Heitor Campani:
We provide a solution for evaluating non-conventional projects, firstly showing that the well-known modified internal rate of return does not correctly answer what investors want to measure.
This article is based on the author’s lecture, “Oil Futures Prices and OPEC’s Spare Capacity,” which was delivered at the University of Colorado-Denver Business School’s J.P. Morgan Center for Commodities on September 18, 2014 as part of the Center’s Encana Distinguished Lecture Series.
Frédéric Blanc-Brude, Majid Hasan, Omneia R.H. Ismail:
The purpose of the present publication, “Unlisted Infrastructure Debt Valuation & Performance Measurement”, which is drawn from the NATIXIS research chair at EDHEC-Risk Institute on the “Investment and Governance Characteristics of Infrastructure Debt Instruments”, is to design the first academically robust, yet operationally implementable valuation and risk measurement framework for investing in illiquid infrastructure debt.
Maxime Bonelli, Daniel Mantilla-Garcia:
We propose a variation of a predictive system that incorporates two (additional) economically motivated assumptions about the dynamics of expected returns, namely 1) their positivity, and 2) a time-varying volatility correlated with economic regimes.
Maxime Bonelli, Daniel Mantilla-Garcia:
Following recent evidence of out-of-sample stock market return predictability, the authors aim to evaluate whether the potential benefits suggested by asset allocation theory can actually
be captured in the real world using expected return estimates from a predictive system.
Frédéric Blanc-Brude, Frédéric Ducoulombier:
Latest research argues that the Australian superannuation industry could be further strengthened by the development of an industry-led reporting standard and certification scheme.
Noël Amenc, Romain Deguest, Felix Goltz, Ashish Lodh, Lionel Martellini, Eric Shirbini:
This publication argues that current smart beta investment approaches only provide a partial answer to the main shortcomings of capitalisation-weighted (cap-weighted) indices, and develops a new approach to equity investing referred to as smart factor investing.
This paper discusses the need and propose an approach to benchmark long-term investments in infrastructure, where long-term investment simply refers to any unlisted and illiquid asset.
Pierre Courtioux, Vincent Lignon :
On appelle homogamie éducative la tendance qu’ont les individus à se mettre en couple avec des conjoints aux caractéristiques éducatives proches. Dans cet article, nous en proposons une analyse à un niveau fin de diplôme en insistant sur les enjeux de diffusion des dépenses d’investissement d’enseignement supérieur et ses conséquences économiques.
This two-part series is excerpted from a presentation given by the author on February 10th, 2014 at a joint meeting in Chicago of the following two professional organizations: the Professional Risk Managers’ International Association (PRMIA) and the Chartered Alternative Investment Analyst (CAIA) Association.
Lionel Martellini, Vincent Milhau, Andrea Tarelli:
The present publication was produced as part of the “Asset Allocation Solutions” research chair at EDHEC-Risk Institute, in partnership with Lyxor Asset Management.
Serge Darolles, Mathieu Vaissié:
We use the regime switching approach introduced in Pelletier (2006), and adapted by Giamouridis and Vrontos (2007) to the context of hedge fund portfolios, to design a new tactical style allocation factor.
Adrian Fernadez-Perez, Ana-Maria Fuertes, Joëlle Miffre:
This paper proposes a commodity-based specification of the Intertemporal CAPM (ICAPM) that uses state variables grounded on the theories of storage and hedging pressure.
Markus Glaser, Florencio Lopez-de-Silanes, Zacharias Sautner:
This paper reports some of the main results of our paper “Opening the Black Box: InternalCapital Markets and Managerial Power, ”Journal of Finance, LXVIII (4), August 2013.