P&I EDHEC-Risk Research for Institutional Money Management
EDHEC-Risk Institute and Pensions & Investments have established a partnership to produce a special quarterly editorial supplement to provide Pensions & Investments readers with industry-relevant research of the highest academic standards.
The list of past issues may be consulted below.
• August 2017
The August 2017 edition of the Research for Institutional Money Management supplement to P&I is an Infrastructure Benchmarking Special. If first addresses the rise of #fakeInfra and how it has been an obstacle to the development of real infrastructure investment. A further article presents a study of listed infrastructure, showing that any "listed infrastructure" effect was already spanned by a combination of capital market instruments over the past 15 years in Global, U.S. and U.K. markets. It also introduces the results of private-equity and private debt indexes, describes how investors need their private asset managers to adopt better valuation methods, and concludes by detailing EDHECinfra's approach to private equity and debt valuation used to build its infrastructure investment benchmarks.
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• April 2017
The April 2017 edition of the Research for Institutional Money Management supplement to P&I begins by exploring a novel approach to address the challenge raised by the standard investment practice of treating attributes as factors. Other articles provide a broad overview of initiatives to launch new forms of alternative indexes based on the market value of debt, put the search for factors and beta strategies in the context of asset pricing, present the results of our research on smart beta replication costs, and examine the argument that portfolio rebalancing can be a source of additional performance. Further articles introduce a new approach that aims to maximize exposure to the long-term rewarded equity factors in a “top-down” framework in a robust and well-diversified manner and examine the respective merits of the "top-down" and "bottom-up" approaches to multi-factor portfolio construction. Final articles present the results of the first in-depth survey of institutional investors’ perceptions and expectations of infrastructure investment and ask whether focusing on listed infrastructure stocks creates diversification benefits previously unavailable to large investors that are already active in public markets.
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• December 2016
The December 2016 edition of the Research for Institutional Money Management supplement to P&I is a smart factor indexing special issue. It begins by clarifying the conceptual underpinnings and the need for diversification in factor investing. A second article shows that it is possible to reconcile environmental and financial objectives using low carbon indexes. A series of three articles then examine defensive solutions and indexes, looking at the concepts underlying low-risk equity strategies and the distinction between exposure to a defensive strategy and benefiting from the reward to the Low Risk factor, introducing alternative approaches to limiting concentration in minimum- and low-volatility strategies, and presenting solutions which rely on a risk-based allocation model to dynamically allocate to smart factor indexes carrying long-term risk premia, with a view to delivering a dissymmetric defensive profile. A final article looks at the live performance of Scientific Beta Multi-Beta Multi-Strategy indexes.
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• August 2016
The August 2016 edition of the Research for Institutional Money Management supplement to P&I is an infrastructure special produced by the EDHECinfra research centre in Singapore. It begins by presenting the results of the first in-depth survey of institutional investors’ perceptions and expectations of infrastructure investment before looking at whether an asset class of listed infrastructure exists. Further articles find that infrastructure firms exhibit a unique business model in terms of revenue and profit dynamics compared to a large control group of public and private firms, and show that a powerful statistical model of credit risk relying on Debt Service Cover Ratio (DSCR) dynamics can be developed. Finally, it proposes a data collection framework and template that have been designed to correspond to the requirements of the relevant asset pricing and risk models.
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• May 2016
In the May 2016 edition of the P&I EDHEC-Risk Institute Research for Institutional Money Management supplement, several articles on the subject of smart beta look at the issue of combining different smart beta strategies and introduce the Scientific Beta six factor multi-smart factor indices, refute simplistic explanations of smart beta performance, and examine conventional wisdom on the performance drivers of equity smart beta performance. On different topics, further articles examine whether it would make sense for a pension fund to hold a customised equity portfolio engineered to exhibit enhanced liability-hedging properties vs. holding a broad off-the-shelf equity index, analyse whether systematic rules-based strategies based on investible versions of traditional and alternative factors allow for satisfactory in-sample and out-of-sample replication of hedge fund performance, and discuss the need for the investment industry to evolve beyond standard product-based, market-centered approaches and to start providing individuals with meaningful retirement investment solutions.
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• February 2016
The February 2016 edition of the P&I EDHEC-Risk Institute Research for Institutional Money Management supplement is a special issue on smart factor indexing. Articles look at the performance of smart factor indexes that are constructed based on combining a stock selection that targets a factor tilt with a diversified weighting scheme known as Diversified Multi-Strategy, and also at the performance of different approaches to Value factor indexes. Further articles examine whether smart beta strategies are vulnerable to "crowding" and address the question of proprietary equity risk factor definitions and their deviation from the academic consensus on factor definitions. The supplement also contains an article summarizing recent research which develops a general operational framework that can be used by financial advisors to allow individual investors to optimally allocate to categories of risks they face across all life stages and wealth segments so as to achieve personally meaningful financial goals.
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• November 2015
The November 2015 issue of the P&I EDHEC-Risk Institute Research for Institutional Money Management supplement is an infrastructure investing special. A first article argues that a number of characteristics associated with the structuring of capital projects constitute a much more powerful framework to understand, benchmark and predict long-term returns in infrastructure debt or equity. A second article looks at how to collect the relevant information, which requires large-scale cooperation between investors, creditors, academic researchers and the regulators that can help make such reporting part of a new standard approach to long-term investment in infrastructure by institutional players. A further article discusses a dedicated valuation framework for privately-held infrastructure equity investments that takes into account the challenges of valuing privately-held and seldom-traded infrastructure equity investments, while aiming to design a methodology that can be readily applied given the current state of empirical knowledge and, going forward, at a minimum cost in terms of data collection. The supplement also contains a number of articles in the area of smart beta equity investing and ends with an empirical investigation of the profitability of skewness trading in commodity futures markets.
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• August 2015
The August 2015 issue of the P&I EDHEC-Risk Institute Research for Institutional Money Management supplement includes research that looks at the consequences for investors of the development of passive equity investment and "smart beta" indexes, examines the live performance and long-term track records of ERI Scientific Beta indexes, analyses whether the well-known value factor is redundant with the profitability or investment factors, discusses robustness issues, asks what investors can learn from academic research on long-term rewarded equity factors, compares the results of smart factor indexes with several stylized examples of concentrated factor indexes, and finally asks whether factor investing is truly a new welfare-improving investment paradigm or merely another marketing fad.
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• May 2015
The May 2015 issue of the P&I EDHEC-Risk Institute Research for Institutional Money Management supplement contains a number of articles on the topic of smart beta. Other articles analyze the usefulness of a company's reported geographic segmentation data in performance reporting, discuss the creation and implementation of the first robust valuation, risk measurement and data collection framework for private infrastructure project loans, propose the first valuation framework dedicated to privately held infrastructure equity investment, and examine the possibility of measuring the capacity of a fund of hedge fund manager to manage risk efficiently.
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• February 2015
The February 2015 issue of the P&I EDHEC-Risk Institute Research for Institutional Money Management supplement is a “Liability-Driven Investing Special” which first examines, in a series of four articles, the evolution of pension fund investment management from asset management to asset-liability management and risk and asset-liability management, and from liability-driven investing to dynamic liability-driven investing, concluding with a survey of institutional investors who provide insights on current practices in these areas and how those practices compare to those prescribed in the academic literature. It also analyzes the challenge of hedging long-term inflation-linked liabilities under various inflation regimes without inflation-linked instruments, and finally looks at how to construct improved corporate bond benchmarks.
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• November 2014
In the November 2014 issue of the P&I EDHEC-Risk Institute Research for Institutional Money Management supplement, several articles are dedicated to the subject of smart beta, examining smart factor indices, the investability and robustness of smart-beta strategies, and comparing equity factor index offerings from major index providers. In the area of infrastructure, we propose steps needed to create benchmarks for long-term infrastructure investments and discuss how they can be implemented.
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• August 2014
The August 2014 issue of the EDHEC-Risk Institute supplement in Pensions & Investments looks at a number of subjects including the effects of different measures a regulator can use to reduce volatility in financial markets, the state of the art in fixed-income performance attribution analysis, and the link between idiosyncratic volatility and returns in commodity futures markets.
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• May 2014
The May 2014 issue of the EDHEC-Risk Institute supplement in Pensions & Investments looks at the topics of risk allocation, smart beta, factor investing, extreme risk, and the level of diversification of US pension fund portfolios.
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• February 2014
This issue of the EDHEC-Risk Institute supplement in Pensions & Investments looks at infrastructure investment and smart beta, amongst other topics.
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• Fall 2013
The inaugural issue of the EDHEC-Risk Institute supplement in Pensions & Investments looks at the topics of porfolio management, indexes, and defined benefit plans.
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About EDHEC
Operating from campuses in Lille, Nice, Paris, London and Singapore, EDHEC is one of the world’s top 15 business schools. Fully international and directly connected to the business world, EDHEC commands a strong reputation for research excellence and the ability to train entrepreneurs and managers capable of breaking new ground. EDHEC functions as a genuine laboratory of ideas and produces innovative solutions valued by businesses. The School’s teaching is inspired by its research work and a focus on “learning by doing”, all with the aim of equipping people with the skills to succeed in business.
