Press

Press review
Press releases

2024

“New mandatory climate disclosure laws critical for investors to navigate the climate transition" – Adviser Voice (22/10/2024)

"(...)"The new mandatory corporate climate reporting laws being introduced by the Australian government are a key step towards improving transparency and capital allocation in financial markets, in a context where investors have much to lose from climate change,” said Daniel Aguet, Deputy CEO and Index Director of Scientific Beta.

“Investors are right to be very concerned by the impact of climate risk on equity valuations. Analysis conducted for Scientific Beta-EDHEC Research Chair indicates that over 40% of global equity value is at risk if decarbonisation efforts do not accelerate, with losses exceeding 50% when climate tipping points are factored in. Prompt and robust action by regulators and companies is needed to keep losses below 10%,” Mr Aguet said.(...)

(...) Mr Aguet said ASIC is right to stress the importance of improved corporate climate disclosures that the new laws bring. “Communicating standardised and publicly available raw data straight from the source is far more useful for investors than opaque, proprietary scores on ESG ratings from data vendors. Indeed, research from Scientific Beta has shown that ESG scores diverge significantly from one provider to another, and are largely unreliable,” Mr Aguet said."

“Unmanaged Climate Risks Undercut AI’s Investment Thesis" – Forbes (15/10/2024)

"(...)Addressing the risks of a potential climate change-induced crash of the economy on AI’s customer base is now a business imperative for the nation’s largest companies and their investors.

How much attention to the risks of a climate-related crash is warranted? At a minimum, investors must be attuned to emerging climate science and its implications. According to an October 2024 analysis from the EDHEC Risk Climate Impact Institute, global equity valuations could drop as much as 40% if emissions reductions do not accelerate. This projection does not factor in tipping points, such as the collapse of the West Antarctic glacier and the thawing of methane-rich Arctic permafrost, that if reached would further destabilize the economy. (...)"

“Engagement actionnarial : la gestion d’actifs en quête de preuves" – Option Finance (25/09/2024)

"(...) « L’affirmation selon laquelle les preuves scientifiques favorisent de manière décisive l’engagement actionnarial par rapport à l’allocation du capital en tant que manière, pour les investisseurs, d’avoir un impact, ne peut être soutenue par un examen impartial des preuves théoriques et empiriques », tranche Frédéric Ducoulombier, directeur de l’Edhec-Risk Climate Impact Institute, qui reconnaît que ce déficit de preuves est en partie dû à une absence de données de qualité sur les engagements. (...)

(...) L’initiative britannique ne laisse pas indifférent les autorités d’Europe continentale. Dans un rapport publié cet été, l’ESMA s’est ainsi dite en faveur de la mise en place, au niveau européen, d’un code de bonnes pratiques qui s’appliquerait, sur la base du volontariat, aux gestionnaires d’actifs et aux investisseurs institutionnels, mais aussi aux fournisseurs d’indices. « Une réglementation sur l’engagement devrait au minimum exiger une transparence ex ante des acteurs sur leurs objectifs, leurs politiques et les moyens alloués, mais aussi, ex post, sur les résultats constatés, commente Frédéric Ducoulombier, à l’Edhec-Risk Climate Impact Institute. La publicité et la standardisation de ces informations permettraient de clarifier ce que les acteurs entendent par engagement et son impact, afin à terme de mieux tester les liens de cause à effet. » (...)"

“« Générations 2050 » : Emmanuel Métais nous explique le nouveau plan stratégique de l’Edhec" – HEADway Advisory (10/09/2024)

"(...)Emmanuel Métais : L’axe finance fait toujours partie des grandes priorités de l’EDHEC et nous travaillons au déploiement d’une finance dite climatique avec nos centres de recherche. Le lancement de notre centre de recherche « for Net Positive Business » doit maintenant contribuer à la transformation radicale des entreprises, pour les accompagner dans la transition vers de nouveaux modèles dits « net positive », qui permettent de créer un impact positif sur l’économie et la société et pas simplement de réduire les externalités négatives. (...)

(...)Nous avons retenu l’horizon de 2050 car c’est un cap ambitieux et optimiste pour l’humanité où l’ONU a appelé les nations à atteindre la neutralité carbone, à respecter la biodiversité et à faire de l’éducation un bien commun. 2050 car c’est également l’année où nous recevrons les élèves qui naitront au cours de ce plan stratégique. 2050 c’est loin et près à la fois. Il y a 25 ans c’était l’an 2000 ! (...)

(...) Nous investissons 40 millions d’euros sur quatre ans dans la finance et en particulier la finance climatique. Concrètement, notre centre de recherche dédié met ses travaux au service des investisseurs pour leur permettre de mieux prendre en compte les enjeux climatiques dans leurs politiques d’investissement. (...)".

“Productores de carne de cerdo se enfrentan a rebajas de calificación por riesgos climáticos" – Bloomberg Línea (30/08/2024)

"Fitch Ratings descubrió que uno de cada cinco emisores corporativos calificados podría estar expuesto a riesgos de rebaja de calificación para 2035. (...)

(...) Mientras tanto, las valoraciones de la renta variables mundial se enfrentan a pérdidas potenciales de hasta el 40% si las tasas de reducción de emisiones continúan en los niveles actuales, según afirmó el mes pasado el Instituto de Impacto Climático EDHEC-Risk en un documento."

“40% of global equity at risk from current pace of decarbonization, study says" – Pensions&Investments (30/08/2024)

"If the current rate of decarbonization persists the downward correction in global equity valuation could be as severe as 40%, according to a paper published by French academic think tank EDHEC Risk Climate Impact Institute.

EDHEC also noted that this number was a result of a relatively conservative modelling approach. However, if a “more robust” debcarbonization approach were to be taken worldwide, there could instead be only a 5-10% downward correction in global equity valuation. (...)"

“EDHEC-Studie zu Auswirkungen von Klimarisiken auf Aktienbewertungen" – Institutional Money (30/08/2024)

" Um Themen wie diese wissenschaftlich zu durchleuchten, haben die EDHEC Business School und Scientific Beta gemeinsam den Forschungslehrstuhl „Upgrading Climate Scenarios for Investment Management“ am EDHEC-Risk Climate Impact Institute gestiftet. Jetzt gibt es erste Ergebnisse. (...)

(...) Die erste Studie dieses Lehrstuhls mit dem Titel „How Does Climate Risk Affect Global Equity Valuations? A Novel Approach“ befasst sich mit den wichtigsten Einschränkungen der derzeitigen klimabewussten Bewertungsansätze, um neue Erkenntnisse zu gewinnen. Sie zeigt, dass die Auswirkungen des Klimarisikos auf die Bewertung globaler Aktien erheblich sein können, insbesondere in Szenarien mit begrenzten Klimaschutzmaßnahmen. (...)"

“Pork Producers Face Downgrades as Climate Risks Rise, Fitch Says" – Bloomberg BNN (30/08/2024)

" (...) Both S&P Global Ratings and Moody’s Ratings have made similar warnings on climate-linked bond downgrade risks in recent years, though these typically haven’t translated into action impacting the more-than $140 trillion market.

Fitch “does not expect to take immediate rating action as a result of our revised climate vulnerability estimates,” the agency said in its statement.

Meanwhile, global equity valuations face potential losses of as much as 40% if emissions abatement rates continue at current levels, the EDHEC-Risk Climate Impact Institute said in a paper last month."

“Veille Environnement et Développement Durable du 29 août 2024" – RSE Datanews (28/08/2024)

" Des politiques climatiques " agressives " sont nécessaires pour préserver la valeur des actions ( Edhec-Risk Climate Impact Institute)

(...) Dans une nouvelle étude publiée dans le courant de l'été, le centre de recherche Edhec-Risk Climate Impact Institute a établi qu'en l'absence de politiques de décarbonation promptes et ambitieuses, plus de 40 % de la valeur des actions mondiales serait menacée. Les pertes pourraient même dépasser les 50 % si des points de basculement sont atteints, précise l'étude. En revanche, en cas d'actions de décarbonation " rapides " et " vigoureuses ", les pertes pourraient se limiter à moins de 10%. Pour arriver à ces conclusions, l'étude a mis en œuvre une approche probabiliste prenant en compte les incertitudes climatiques et économiques, et a mené une analyse conjointe des coûts de transition et des risques physiques. " Cette étude discrédite l'idée selon laquelle la valeur des actifs financiers serait immune aux changements climatiques et met en évidence le besoin d'une action climatique forte ", a indiqué Frédéric Ducoulombier, le directeur de l'Institut dans un communiqué.(...)"

“How Should Companies Measure Carbon Risk Exposure?" – The Fashion Law (28/08/2024)

"When it comes to slashing carbon emissions and related risk, the onus is often placed on individuals to address their carbon footprint. But companies have a major role to play. In fact, the biggest corporations have accounted for more than two thirds of global emissions since(...)"

“Political Klimawandel: Schweiz hat bisher Glück im Unglück – diese Folgen drohen noch" – Watson (28/08/2024)

" (...)Der Klimawandel galt lange Zeit auch für die Börsen als Non-Event. So rechnete einer der weltweit grössten Fondsmanager stolz vor, auch eine Erderwärmung um 5 Grad bis 2080 bringe ihn nicht ins Schwitzen. Sein Aktienportfolio werde bloss um gerade einmal 4 Prozent an Wert verlieren.

Das Narrativ von den cool bleibenden Aktien wurde kürzlich als «lachhaft» bezeichnet in einer Studie der EDHEC Wirtschaftshochschule in London. Angeführt von Riccardo Rebonato, Physiker und früher Topmanager bei der Investmentfirma Pimco, kritisieren die Forscher frühere Schätzungen.(...)

(...)Tue man das nicht und berücksichtige die Klimakosten korrekt, sei mit gewaltigen Folgen für die Börsen zu rechnen. Wenn die CO2-Emissionen nicht stärker eingeschränkt würden als bisher, könne es eine Korrektur der globalen Aktienbewertungen um bis zu 40 Prozent geben – und das sei sehr vorsichtig gerechnet, mit konservativen Annahmen. Wenn es jedoch gelingt, die Erwärmung auf 2 Grad zu begrenzen, würden es nur 5 bis 10 Prozent sein.

Diese Verluste werden sich laut Rebonato voraussichtlich nicht nach einzelnen dramatischen Katastrophen einstellen. Es werde schleichend geschehen und verteilt über viele Jahre, in denen die Wirtschaft allmählich weniger produktiv wird und die Unternehmen enttäuschende Ergebnisse abliefern. Einen Ausbruch aus dieser Misere werde es nicht geben, die Verluste seien von Dauer. Rebonato kommentierte seine Studie darum so: «Es könnte eine verlorene Klima-Generation bei den Aktien geben.»"

“Es ist ein Sommer der Katastrophen, dennoch hat die Schweiz noch Glück – aus einem bestimmten Grund" – Luzerner Zeitung (26/08/2024)

" "Es ist paradox: Der Klimawandel gilt als existenzielle Bedrohung, doch Studien zeigen bislang nur kleine Shäden was stimmt denn nun? (...)"

“Political stagnation on climate risk means markets are doin’ it for themselves" – Finadium (15/08/2024)

" (...)Recent research from the EDHEC-Risk Climate Impact Institution shows how valuation techniques using probabilistic modelling can estimate the effect on global equity values from climate and economic uncertainties, financial contingencies, transition costs and physical risks.

Among its findings, researchers found that “prompt and robust abatement action is needed to keep losses below 10%. Conversely, over 40% of global equity value is at risk if decarbonisation efforts do not accelerate, with losses exceeding 50% when climate tipping points are factored in.”

The analysis took a top-down approach looking at equity as an asset class, without sector or geography segmentation, and weighed how future cash flows might evolve with discounting.

“Discounted cash flow models (often) have a single discount factor at a certain point in time, irrespective of whether at that point in time the economy is booming or the economy is in the doldrums, and different interest rates apply to these situations,” said Riccardo Rebonato, scientific director of EDHEC-Risk Climate Impact Institute and a researcher for the report. (...)"

“Green bond, lo schema europeo sfida i titoli verdi tradizionali" – Il Sole 24 Ore (15/08/2024)

" (...) Icma è quindi l’attuale standard di mercato. C’è però una new entry europea. Da anni infatti Bruxelles sta lavorando alla normativa su un green bond Ue. Il risultato di tale lavoro è il regolamento 2023/2631 che introduce appunto l’European green bond (Eugb) e che sarà applicabile dal 21 dicembre di quest’anno. (...)

(...) A fronte dei costi per gli emittenti, c’è poi il parere degli investitori. Si sentono più tutelati? Cosa preferiscono? È un po’ presto per dare un’indicazione. Però possono essere d’aiuto i risultati di uno studio sui green bond messo a punto da quattro professori: Marco Ghitti (Università di Padova), Gianfranco Gianfrate e Marco Spinelli (Edhec) e Florencio Lopez-de-Silanes (Nber). Nella ricerca pubblicata su “The British Account Review”, sono state analizzate 3mila obbligazioni verdi emesse da aziende (non da Stati). È stato scoperto che alle imprese conviene finanziarsi con le obbligazioni verdi perché sul mercato c’è ancora il greenium.(...)"

“Taking the Pareto Principle to the energy transition" – Infrastructure Investor (07/08/2024)

"More is needed to preserve equity value in the face of climate change, according to new EDHEC-Risk Climate Impact Institution research. to keep losses below 10 percent will require prompt and robust abatement action while over 40 percent of global equity value is at risk if decarbonisation efforts do not accelerate. One for the beach, perhaps. If it's not too hot."

“Is climate change a ticking time bomb for investors?" – The Irish Times (30/07/2024)

"Climate change could be terrible for stock prices. That’s according to How Does Climate Risk Affect Global Equity Valuations?’, a new study by the EDHEC-Risk Climate Impact Institute. It estimates that if global warming is capped at 2 degrees, stock prices could decline less than 10 per cent. However, if close to no... (...)"

“Les risques climatiques pourraient dévaluer les actions mondiales de 40% selon une analyse de l’EDHEC" – Capital Insight (30/07/2024)

"Un rapport de l'Institut EDHEC-Risk Climate Impact offre une analyse exhaustive des effets du risque climatique sur les évaluations boursières mondiales. Ce document révèle les conséquences potentiellement dévastatrices des coûts de transition et des dommages physiques causés par le changement climatique sur la valorisation des actions, en utilisant une méthodologie novatrice et rigoureuse. (...)"

“40% of global equity value at risk from climate inaction: study" – Delano (29/07/2024)

"(...) Without urgent climate action, global equity values face severe risks, with potential losses exceeding 50% due to climate tipping points, according to findings from the Edhec-Risk Climate Impact Institute. The study, conducted by Edhec, a business school and risk and investment management research centre, extended traditional valuation techniques to evaluate the impact of climate and economic uncertainties, financial contingencies, transition costs and physical risks on global equity values.(...)

(...) Ricardo Rebonato, scientific director of the institute, emphasised that the results, based on conservative assumptions, underscore the importance of uncertainty and state-dependent discounting in climate-aware equity valuation. He pointed out that the approach demonstrated the feasibility and advantages of integrating climate risks into financial analysis and expressed the intention to develop further theoretically robust and practically implementable tools for climate-aware investment management."

“L’inaction climatique menace 40% de la valeur des actions mondiales" – Paperjam (29/07/2024)

"(...) Dans un communiqué de presse publié le 18 juillet, les chercheurs de l’Edhec ont présenté leurs principales conclusions, soulignant que l’impact du risque climatique sur la valeur des actions mondiales est particulièrement prononcé dans les scénarios où l’action en faveur du climat est limitée. Ils estiment que plus de 40% de la valeur des actions mondiales est menacée si les efforts de décarbonisation ne s’accélèrent pas, avec des pertes potentielles dépassant 50% lorsque les points de basculement climatiques sont pris en compte. À l’inverse, des mesures de réduction rapides et énergiques pourraient limiter les pertes à moins de 10%. (...)

(...) Frédéric Ducoulombier, directeur de l’Edhec-Risk Climate Impact Institute, a indiqué que l’équipe de recherche, dirigée par Ricardo Rebonato, avait amélioré les principaux modèles d’évaluation intégrée afin d’intégrer les progrès de la science climatique et de les rendre applicables aux contextes financiers. En modélisant l’incertitude significative des aspects physiques et économiques du changement climatique et en la reliant à l’évaluation des capitaux propres, l’étude réfute l’idée que les actifs financiers pourraient être immunisés contre les effets du climat et souligne la nécessité d’une action climatique décisive.(...)"

“El próximo cisne negro del mercado será el cambio climático" – Bloomberg Línea (28/07/2024)

"(...) De acuerdo con un nuevo estudio de Instituto de Impacto Climático EDHEC-Risk, de no hacerse más detener el calentamiento global provocado per las emisiones de gases de efecto invernadero, las valoraciones de las acciones globales se verán afectadas en un 40%. (...)

(...) Un aspecto clave a tener en cuenta aquí es que no se tratará de pérdidas puntuales, advirtió en un seminario web el autor principal Riccardo Rebonato, profesor de finanzas de la Escuela de Negocios EDHEC de Londres y ex ejecutivo de Pimco. (...)

(...) El estudio de EDHEC pronostica pérdidas bursátiles mucho mayores que la mayoría de los demás estudios, señaló Rebonato. Esto se debe en parte a que esos otros estudios se centraron en los costos de la transición de la economía global a la energía renovable en lugar de en los estragos mucho mayores que el cambio climático causará al crecimiento. (...)

(...) Muchos investigadores ignoran el daño climático con la teoría de que, como se trata de un fenómeno muy lejano, el mercado lo descontará considerablemente. Pero el estudio de EDHEC sostiene, de manera convincente, que los inversores valorarán cada vez más el dinero a medida que la economía se debilite.(...)"

“Global equity valuations are ‘not immune’ to climate risk" – Portfolio Adviser future (25/07/2024)

"(...) The study – How Does Climate Risk Affect Global Equity Valuations? A Novel Approach – debunks the notion that the value of global equities is immune to climate changes. (...)

(...) The study found there are two key contributors to changes in equity evaluations. First, the uncertainty of climate and economic outcomes, and second, the dependence on discounting.(...)

(...) Frédéric Ducoulombier, director of EDHEC-Risk Climate Impact Institute, said: “The research team led by Professor Rebonato has upgraded mainstream integrated assessment models to incorporate the progress of climate science and make them fit for financial applications. (...)

(...) Professor Ricardo Rebonato, scientific director of EDHEC-Risk Climate Impact Institute, added: “These results underline the importance of uncertainty and state-dependent discounting for climate-aware equity valuation. (...)""

“Aggressive climate policies needed to preserve global equity values: EDHEC-Risk Climate Institution" – Institutional Asset Manager (24/07/2024)

"A study from the EDHEC-Risk Climate Institution claims “aggressive climate policies are needed if global equity values are to be preserved”.

Frédéric Ducoulombier, Director of the Institute, says companies and investors have underestimated the impact of climate change on their businesses and portfolios, basing calculations on inconsistent and unreliable analysis. (...)

(...) Professor Riccardo Rebonato, Scientific Director of EDHEC-Risk Climate Impact Institute and leader of the research team, says: “We have concluded that current valuations are most consistent with two market beliefs: either that very strong and effective abatement action will be undertaken, and climate change will therefore be brought under control; or that climate change, even if poorly abated, will have a negligible effect on economic output and consumption.” (...)

(...) EDHEC has developed an alternative means of assessing climate risk on global equity valuations which Rebonato says upgrades mainstream integrated assessment models to incorporate the progress of climate science and make them fit for financial applications. (...)”

“Aggressive Climate Policies Needed to Preserve Global Equity Values, Warns New Study" – TMI (24/07/2024)

"In a new study, How Does Climate Risk Affect Global Equity Valuations? A Novel Approach, EDHEC-Risk Climate Impact Institute addresses key limitations of current climate-aware valuation approaches to produce novel insights.

The paper, conducted within the research chair established by EDHEC Business School and Scientific Beta, reveals that the impact of climate risk on global equity valuation can be significant, especially in scenarios with limited climate action. (...)

(...) Frédéric Ducoulombier, Director of EDHEC-Risk Climate Impact Institute states “The research team led by Professor Rebonato has upgraded mainstream integrated assessment models to incorporate the progress of climate science and make them fit for financial applications. By modelling the considerable uncertainty in the physical and economical dimensions of climate change and linking it to top-down equity valuation, this study debunks the notion that the value of financial assets may be immune to climate changes and provides additional support for bold climate action.”

Professor Ricardo Rebonato, Scientific Director of EDHEC-Risk Climate Impact Institute adds “These results–obtained with mild assumptions–underline the importance of uncertainty and state-dependent discounting for climate-aware equity valuation. Our approach shows that it is possible and fruitful to integrate climate risks into financial analysis and we will be working further to develop theoretically solid and practically implementable tools for climate-aware investment management."”

“Aggressive decarbonisation key to preventing stock market write-offs" – Net Zero Investor (23/07/2024)

"(...) New research from the EDHEC-Risk Climate Impact Institute finds gaps in valuation techniques that investors rely on. Adapting a new methodology, the research team led by the institute’s scientific director Riccardo Rebonato, reports that the impact of climate risk on equity valuations could be more significant than what previous estimates suggest. (...)

(...) Rebonato and his team contend that transition risks tend to be the focus of most valuation methods. A consequence, they argue, of transition risks being “front-loaded”. (...)

(...)The team’s approach to modelling climate risk is a probabilistic one – where economic changes attributed to climate change are not assumed to carry a given degree of certainty.

One of the key takeaways for investors, the paper concludes, is that uncertainty surrounds all climate-risk estimates and any subsequent asset valuations. Most prevalent approaches to modelling climate risk have one caveat according to Rebonato’s team:

“Whatever one’s view about the returns to be expected from an asset class, our uncertainty about this view radically changes the optimal allocation”.

In other words, there’s a lot riding on how ‘climate aware’ valuation techniques are: “These results–obtained with mild assumptions–underline the importance of uncertainty and state dependent discounting for climate-aware equity valuation”, Rebonato concludes"

“'40% of global equity value at risk unless decarbonisation efforts accelerate'" – Environmental Finance (19/07/2024)

"Climate risk poses ‘significant’ impact on global equity valuations, the EDHEC-Risk Climate Impact Institute has claimed, as it calls on ‘aggressive’ climate policies to preserve valuations.

In its study – How does climate risk affect global equity valuations? A novel approach – EDHEC found that over 40% of global equity value is at risk unless decarbonisation efforts accelerate, and losses could exceed 50% if climate tipping points are breached. (...)

(...) “By modelling the considerable uncertainty in the physical and economical dimensions of climate change and linking it to top-down equity valuation, this study debunks the notion that the value of financial assets may be immune to climate changes and provides additional support for bold climate action,” said Frédéric Ducoulombier, director of the London and Nice-based EDHEC-Risk Climate Impact Institute."

“The Market’s Next Black Swan Is Climate Change" – Bloomberg (19/07/2024)

" (...) Failing to do more to slow the planetary heating caused by greenhouse-gas emissions will gouge 40% from global equity valuations, estimates a new study by the EDHEC-Risk Climate Impact Institute. Accounting for climate-change-accelerating “tipping points” such as Amazon-rainforest dieback or a Big Burp of gas from melting permafrost, the market losses rise to 50%. On the other hand, if the world gets its act together and limits warming to 2 degrees Celsius above preindustrial averages, then the hit to stock prices will be just 5% to 10%.

A key thing to note here is that these won’t be one-time losses, lead author Riccardo Rebonato, a finance professor at EDHEC Business School in London and former Pimco executive, warned in a webinar. There will be no reversion to the mean. More likely is a long journey through the wilderness like Japan’s Lost Decades. (...)

(...) The EDHEC paper forecasts much bigger stock-market losses than most other studies do, Rebonato noted. That’s partly because those other studies focused on the costs of transitioning the global economy to renewable energy rather than the far greater havoc climate change will inflict on growth.

Rebonato’s study, which takes both transition and damage into account, is more consistent with the recent National Bureau of Economic Research paper estimating a 12% blow to global GDP for every 1C of warming. And the Potsdam Institute for Climate Impact Research recently warned a 19% drop in global incomes by 2050 is already baked in, even if we cut emissions aggressively starting today. It estimated $38 trillion in losses every year as a result of a chaotic climate. (...)

(...) The EDHEC study is another reminder that the $215 trillion (and rising) estimated price tag to avoid the worst global heating will eventually pale in comparison to the cost of not bothering. And as big and fuzzy as these estimates may seem, Rebonato considers them conservative. For one thing, his model assumes global central banks will always cut interest rates when economic growth is bad. As we all know, low interest rates make line go up. But pandemics, droughts and other global disruptions also raise inflation and public debt. That limits just how market-friendly central banks can be.

One other key finding of the EDHEC study is that these damage estimates aren’t close to being priced into markets yet. Many analysts have searched for a climate risk premium over the years and found only traces. To some extent, that makes sense: We can only guess at the damage at this point. And maybe markets optimistically assume we’ll avoid the worst. But we could also be like those people failing to save for retirement, sleepwalking toward a day when our failure to imagine the future leaves us with no future at all."

“Climate-related global equity losses could “exceed 50%”, say academics" – Funds Europe (18/07/2024)

"Over 40% of global equity value is at risk unless decarbonisation efforts accelerate, according to academic research.

Losses could exceed 50% with “near climate tipping points”, according to research from the Edhec Risk Climate Impact Institute. (...)

(...) The team modelled the “considerable uncertainty” in the physical and economical dimensions of climate change and linked it to top-down equity valuation.

Frederic Ducoulombier, a director at Edhec, said the study “debunks the notion that the value of financial assets may be immune to climate changes and provides additional support for bold climate action”.

Professor Ricardo Rebonato, who led the research team, said: “These results – obtained with mild assumptions – underline the importance of uncertainty and state-dependent discounting for climate-aware equity valuation. Our approach shows that it is possible and fruitful to integrate climate risks into financial analysis and we will be working further to develop theoretically solid and practically implementable tools for climate-aware investment management.” (...)

(...) Edhec’s research is called ‘How does climate risk affect global equity valuations? A novel approach’."

“Fact-Checking Vrai Faux: La valeur des actifs est insensible au changement climatique" – L'Agegi (18/07/2024)

"FAUX. Selon la dernière étude de l’Edhec Risk Climate Impact Institute, des combinaisons très plausibles de politiques et de résultats physiques peuvent avoir un impact important sur l'évaluation des actions ; et le risque de perte est beaucoup plus important que le risque d'augmentation - plus de 40 % de la valeur des actions mondiales est menacée si les efforts de décarbonation ne s'accélèrent pas et les pertes pourraient dépasser 50 % si les points de basculement cl imat iques sont proches."

“Quels problèmes posent les scénarios climatiques, et comment les résoudre ?" – Science & Vie (17/07/2024)

"Article issu de The Conversation, écrit par Riccardo Rebonato, Professor of finance and scientific director (EDHEC-Risk Climate Impact Institute), EDHEC Business School.

Face aux incertitudes qui entourent le changement climatique, les décideurs politiques comme les investisseurs ont besoin de savoir ce qui peut arriver et avec quel niveau de probabilité. Malheureusement, les scénarios actuels ne répondent qu’à la première question, et encore, partiellement. Les recherches menées par l’Edhec Risk Climate Impact Institute tentent d’apporter des réponses approximatives mais « exploitables » à la deuxième question. (...)

(...) Néanmoins, malgré ses points forts, l’approche SSP-RCP n’est pas parfaite et ne répond pas aux besoins de tous les utilisateurs de scénarios. Deux décennies après son introduction, l’approche SSP-RCP montre des signes de vieillissement. (...)

(...) Comment remédier à ces lacunes ? Tout d’abord, nous pouvons simplifier le problème en reconnaissant que l’intensité carbone, l’intensité énergétique et le taux de croissance démographique sont tous liés à la richesse d’une région : les pays riches ont tendance à avoir une fécondité plus faible, à utiliser plus de services que de biens (ce qui réduit leur empreinte carbone) et à utiliser moins d’émissions pour produire une unité d’énergie. (...)"

“ESG round-up: Most German corporate giants to report on climate under EU rules, survey finds" – Responsible Investor (16/07/2024)

“ (...) Academic think-tank the EDHEC-Risk Climate Impact Institute has found that a lack of government action on climate would wipe out global equity valuations by 40 percent, using a novel climate scenario analysis framework. The findings contrast with current climate scenario practices which have been criticised for suggesting that financial "portfolios would only be marginally impacted, even in high-temperature scenarios that pose existential challenges to our societies". Unlike conventional scenarios which look at the impact of a handful of pre-selected variables, the EDHEC-Risk analysis captures the impacts of a wider range of possible economic and climate outcomes. (...)"

“Quels problèmes posent les scénarios climatiques, et comment les résoudre ?" – The Conversation (16/07/2024)

"Face aux incertitudes qui entourent le changement climatique, les décideurs politiques comme les investisseurs ont besoin de savoir ce qui peut arriver et avec quel niveau de probabilité. Malheureusement, les scénarios actuels ne répondent qu’à la première question, et encore, partiellement. Les recherches menées par l’Edhec Risk Climate Impact Institute tentent d’apporter des réponses approximatives mais « exploitables » à la deuxième question. (...)

"Un partenariat aux Etats-Unis bouscule la notation ESG européenne" – La correspondance économique (15/07/2024)

"Le 1er juillet, l'agence de notation américaine Moody's annonçait abandonner son activité de notation ESG (les critères environnementaux, sociaux et de gouvernance pour apprécier les performances et risques extra-financiers d'une entreprise) pour nouer un "partenariat stratégique" avec le fournisseur d'indice MSCI. (...)

(...) La nouvelle, symbolique, affecte plusieurs pans de la finance durable et en premier lieu la notation européenne, puisque la décision de Moody's acte la fin d'une activité acquise en rachetant le français Vigeo en 2019. (...)

(...) Cinq ans plus tard, cette séparation porte un coup aux principes européens de notation affichés par Vigeo, en particulier celui de la double matérialité, alliant les dimensions financières et d'impact. A l'instar de l'ensemble du secteur financier anglo-saxon, MSCI propose au contraire une offre "résolument dirigée vers la matérialité financière" et "centrée sur les investisseurs", souligne M. Frédéric DUCOULOMBIER, directeur du centre de recherche EDHEC-Risk Climate Impact Institut et ancien directeur du département ESG du fournisseur d'indices Scientific Beta, aujourd'hui propriété de la Bourse de Singapore (SGX). "Alors que l'Europe résiste aux assauts géopolitiques et aux groupes de pression liés aux industries les plus écocides en préservant la double matérialité dans sa réglementation, la disparition du pionnier de la matérialité d'impact peut inquiéter", affirme-t-il, plaidant pour une réaffirmation des obligations réglementaires imposées aux acteurs financiers. (...)

(...) "Les marchés créés par les obligations réglementaires européennes profitent à des entreprises extra-européennes et avec cet accord entre Moody's et MSCI, un nombre significatif d'analystes sur zone ont perdu leur emploi, commente M. DUCOULOMBIER. Espérons que les nouveaux fournisseurs qui se sont développés autour de niches y verront une opportunité de développer une gamme plus large de produits ; mais entrer en concurrence directe avec un oligopole qui se renforce à l'occasion de cette opération, n'est pas forcément un chemin stratégique qui fait sens." (...)"

"Corporate debt could become more attractive than equity under climate scenarios" – IPE (15/07/2024)

"Analysis by France’s EDHEC Business School has concluded that, under a business-as-usual scenario – where only incremental policy interventions are made to manage the impacts of climate change – equity losses could surpass 50%. (...)

(...) The paper – How does climate risk affect global equity valuations? A novel approach – uses a series of ‘probabilistic’ scenarios, plotting different potential trajectories for climate policy and emissions.

“It combines physical climate risks with the cost of the climate transition, to establish possible impacts on equity valuations,” explained Ricardo Rebonato, scientific director of EDHEC’s Climate Impact Institute and lead author of the report. (...)

(...) Speaking to IPE, Rebonato said the findings had implications for investors’ asset allocation decisions.

“It suggests we are entering a scenario in which there will be a hit exactly to the junior part of the capital structure. And as the downside begins to outweigh the upside, the more senior part of the capital structure becomes increasingly attractive, meaning corporate debt.”

Rebonato added that investors should ensure the bottom-up analysis they often use to help understand the potential impact of climate change on different sectors stacks up against top-down analysis. (...)."

“Take Five: Growing Pains" – ESG Investor (12/07/2024)

" (...) Whether they are actively engaged with carbon-intensive firms or not, many asset owners have struggled to alight on scenario analysis frameworks that offer realistic and reliable readings of climate change’s impact on the value of their equity portfolios. Faced with the many uncertainties involved in bringing high-level impacts down to the asset level, approaches built on traditional finance sector methodologies and assumptions have frequently underwhelmed investors by seemingly underplaying the financial impacts and existential risks that temperature rises pose to society. A paper from Riccardo Rebonato, Scientific Director of the EDHEC-Risk Climate Impact Institute, may provide a more credible – if sobering – alternative. Rebonato employs a fully probabilistic approach to address the uncertainties arising from the physical and economic impacts of climate change – also integrating economic output, transaction costs and physical damages, and incorporating state-dependent discounting. The outputs may cast a shadow, with global equity valuations potentially crashing by 40% if abatement remains at historic rates – even in the absence of tipping points. But at least the EDHEC approach delivers on investors’ desire to bring together the financial and the physical. (...)"

“Aggressive climate policies needed to preserve equity values" – Actuarial Post (11/07/2024)

"New EDHEC-Risk Climate Impact Institution research extends valuation techniques to estimate the effect on global equity values of climate and economic uncertainties, financial contingencies, transition costs and physical risks.

In a new study, EDHEC-Risk Climate Impact Institute addresses key limitations of current climate-aware valuation approaches to produce novel insights. The paper, conducted within the research chair established by EDHEC Business School and Scientific Beta, reveals that the impact of climate risk on global equity valuation can be significant, especially in scenarios with limited climate action.

Frédéric Ducoulombier, Director of EDHEC-Risk Climate Impact Institute states: "The research team led by Professor Rebonato has upgraded mainstream integrated assessment models to incorporate the progress of climate science and make them fit for financial applications. By modelling the considerable uncertainty in the physical and economical dimensions of climate change and linking it to top-down equity valuation, this study debunks the notion that the value of financial assets may be immune to climate changes and provides additional support for bold climate action."

Professor Ricardo Rebonato, Scientific Director of EDHEC-Risk Climate Impact Institute, adds: "These results - obtained with mild assumptions - underline the importance of uncertainty and state-dependent discounting for climate-aware equity valuation. Our approach shows that it is possible and fruitful to integrate climate risks into financial analysis and we will be working further to develop theoretically solid and practically implementable tools for climate-aware investment management.""

“Aggressive Climate Policies Needed To Preserve Global Equity Values, Warns New Study: EDHEC-Risk Climate Impact Institution Research" – Mondovisione (10/07/2024)

"New EDHEC-Risk Climate Impact Institution research: Extends valuation techniques to estimate the effect on global equity values of climate and economic uncertainties, financial contingencies, transition costs and physical risks.

“Aggressive Climate Action Needed to Preserve Stocks' Value, Paper Says" – U.S.News (10/07/2024)

"Decision makers should pursue aggressive policies to bring climate change under control if they want to avoid losses in the value of global stocks that could top 50%, think-tank EDHEC-Risk Climate Impact warned in a 74-page paper published on Wednesday.(...)

(...) "Current valuations are most consistent with two market beliefs: either that very strong and effective abatement action will be undertaken, and climate change will therefore be brought under control; or that climate change, even if poorly abated, will have a negligible effect on economic output and consumption. Since neither assumption should be considered a very likely scenario, we have argued that there is ample potential for equity revaluation", read the report by a research team led by professor Riccardo Rebonato."

“Le risque climatique pourrait réduire de plus de 50 % la valeur des actions mondiales" – Investing.com (10/07/2024)

"Une étude récente du groupe de réflexion EDHEC-Risk Climate Impact indique que les valeurs boursières mondiales pourraient subir de graves pertes si des mesures énergiques ne sont pas prises pour lutter contre le changement climatique. Le rapport de 74 pages, publié mercredi, souligne les risques financiers potentiels associés au changement climatique, notamment les dommages physiques et les coûts de transition qui pourraient avoir une incidence importante sur la valeur des actions. (...)

(...) Le professeur Riccardo Rebonato, qui a dirigé l'équipe de recherche, a déclaré : "Les évaluations actuelles sont très cohérentes avec deux croyances du marché : soit que des mesures de réduction très fortes et efficaces seront prises, et que le changement climatique sera donc maîtrisé ; soit que le changement climatique, même s'il est mal maîtrisé, aura un effet négligeable sur la production économique et la consommation. Comme aucune de ces hypothèses ne doit être considérée comme très probable, nous avons soutenu qu'il existe un large potentiel de réévaluation des capitaux propres"."

“Climate Policies Could Save Global Stocks From Massive Losses" – Finimize (10/07/2024)

"A new report from EDHEC-Risk Climate Impact warns that without strong climate action, global equities could lose over 50% in value.

The latest findings from EDHEC-Risk Climate Impact stress the urgent need for aggressive climate policies to prevent a massive devaluation in global stocks. The report projects that failure to address climate change effectively could result in losses exceeding 50%, especially near climate tipping points. On the other hand, prompt and robust climate initiatives can limit such losses to below 10%. The report highlights how both physical climate damage and transition costs significantly impact stock values, offering crucial insights for investors and regulators. Moreover, it warns that financial stability could be threatened if systemically important institutions incur substantial losses in climate-sensitive assets. (...)"

“Une action climatique agressive est nécessaire pour préserver la valeur des actions, selon un document" – Zonebourse (10/07/2024)

"Les décideurs devraient mettre en œuvre des politiques agressives pour maîtriser le changement climatique s'ils veulent éviter des pertes de valeur des actions mondiales qui pourraient atteindre 50 %, a averti le groupe de réflexion EDHEC-Risk Climate Impact dans un document de 74 pages publié mercredi.(...)

(...) "Les valorisations actuelles sont plus cohérentes avec deux croyances du marché : soit que des mesures de réduction très fortes et efficaces seront prises, et que le changement climatique sera donc maîtrisé ; soit que le changement climatique, même s'il est mal maîtrisé, aura un effet négligeable sur la production économique et la consommation. Étant donné qu'aucune de ces hypothèses ne doit être considérée comme très probable, nous avons soutenu qu'il existe un large potentiel de réévaluation des capitaux propres", peut-on lire dans le rapport d'une équipe de recherche dirigée par le professeur Riccardo Rebonato.""

“Le partenariat entre MSCI et Moody’s porte un nouveau coup à la notation ESG européenne" – Option Finance (05/07/2024)

"L’agence de rating américaine va progressivement abandonner son activité de notation ESG, celle-là même qu’elle avait acquise en rachetant le français Vigeo en 2019. Une décision qui devrait avoir d’importantes répercussions sur les investisseurs responsables. (...)

(...) Les appels d'offres devraient ainsi se multiplier dans les mois qui viennent. Une aubaine pour les quelques gros acteurs anglo-saxons restants, comme ISS ESG (issu du rachat de l'allemand Oekom), Sustainalytics (acquis par Morningstar) ou bien sûr MSCI pour avoir accès à l'intégralité de son offre. Les rares acteurs purement européens, au premier rang desquels EthiFinance, risquent d'avoir plus de mal à en profiter, faute d'un périmètre d'émetteurs couverts suffisant. Au final, ce partenariat est « une mauvaise nouvelle pour la concurrence et l'innovation dans la prestation de ces services et ce sera au détriment des investisseurs », déplore Frédéric Ducoulombier, directeur de l'Edhec-Risk Climate Impact Institute dans un post sur LinkedIn. Des voix commencent à s'élever pour que la direction générale de la concurrence de la Commission européenne mette son nez dans l'opération. Et dans ce gâchis européen.""

“Stakeholders wary of market consolidation as Moody's closes ESG ratings business" – Responsible Investor (03/07/2024)

“Moody's impending exit from the ESG ratings space could accelerate consolidation within the ESG ratings sector, put upward pressure on prices, and leave a gap in the market, according to users. (...)

(...) Frédéric Ducoulombier, founding director at EDHEC-Risk Climate Impact Institute, noted that historically the Vigeo Eiris offering "was aligned to 'socially responsible investing' and has therefore always focused on what is known today as double materiality".

"This is sad for a company that has made a distinctive contribution to values-based investing", he added.

Ducoulombier had been a user of Moody's data while serving as a director at index provider Scientific Beta.

He noted that Moody's had been more "receptive to feedback on data and models and were focused on improving their quality" compared to other providers.

"However, the bigger issue now is that there are very few providers remaining that are not linked to index provision and other value-added activities. Anti-competitive practices are rife in the business and supervision of competition authorities is ineffective." (...)"

“La finance durable fait-elle vraiment fuir les pétroliers européens ?" – Option Finance (20/06/2024)

"(...) L'impact de ces politiques d'investissement sur la capacité de financement des entreprises du secteur pétrolier est difficile à mesurer précisément, étant donné la multiplicité des facteurs en jeu. D'autant que sur le marché secondaire, lorsqu'un investisseur vend son action, un autre l'achète, ce qui limite la pression à la baisse sur le cours du titre. Néanmoins, la recherche académique tend à valider l'hypothèse d'un impact. "Les travaux théoriques font le lien explicite entre le développement de l'investissement verts d'un côté et l'évolution du coût du capital et/ou de l'activité des industries polluantes de l'autre, et les résultats empiriques sont cohérents avec les prédictions des modèles" note Frédéric Ducoulombier, directeur de Climate Impact Institute. L'effet ne serait toutefois pas mécanique et semble dépendre de l'état d'esprit général de la population. "Une étude récente indique qu'une plus grande conscience environnementale au niveau d'un pays se traduit par une pénalisation plus marquée des entreprises à fortes émissions cotées en Bourse, c'est-à-dire par une baisse plus importante du multiple de capitalisation (PER)", poursuit Frédéric Ducoulombier. (...)

(...) l'autorité européenne des marchés financiers, l'ESMA, s'apprête à imposer aux fonds dont le nom comprend les mots "environnement", "durable" ou encore "impact" d'exclure les énergies fossiles. (...) selon Morningstar, 1 600 fonds ainsi présentés comme ESG seraient amenés soit à changer de nom, soit à désinvestir du pétrole et du gaz. (...)"

“The problems with climate scenarios, and how to fix them" – The Conversation (19/06/2024)

"Faced with the uncertainties surrounding climate change, policymakers and investors need to know what can happen and how likely these outcomes may be. Unfortunately, current scenarios answer only the first question – and at that, only partially. Research carried out at the EDHEC Risk Climate Institute tries to provide approximate but “actionable” answers to the second. (...)

(...) Despite its strengths, the SSP-RCP approach isn’t perfect, nor does it adequately fulfills the need of all scenario users. Indeed, two decades after their introduction, the SSP-RCP approach is showing signs of ageing.(...)

(...) How can these shortcomings be fixed? An attractive strategy can be sketched along the following lines. First, we can simplify the problem by recognizing that carbon intensity, energy intensity and the rate of demographic growth are all linked to how rich a region is: richer countries tend to have lower fertility; to use more services than goods (lowering their carbon footprint); and to use fewer emissions to generate one unit of energy. (...)"

“Quatre ans après la vente de Scientific Bêta, l’Edhec présente un plan d’investissement de 270 millions d'ici 2028" – Aef info (18/06/2024)

" (...) Le 13 juin 2024, Emmanuel Métais, DG de l’Edhec, a présenté le plan à 2028, baptisé cette fois "Générations 2050". (...)

(...) Ce nouveau plan prévoit d’investir 270 M€ sur la période 2024-2028 (contre 230 dans le plan précédent), notamment dans l’embauche de 100 professeurs et chercheurs supplémentaires "pour atteindre une communauté académique de 270 membres", ainsi que de 100 personnels non-académiques. Sur ces 270 millions, 112 sont en outre dédiés au développement des campus. "Générations 2050 traduit une radicalisation de notre posture dans l’action", assure son DG, qui dévoile les trois priorités du plan : "repenser les modèles d’entreprise au service du bien commun", "former les étudiants à transformer" et "accélérer le déploiement de la finance du climat". (...)

(...) L’Edhec entend donc mettre la force de ses chercheurs à profit pour "massifier" ces entreprises, via la création de start-up "net positives" dès le départ ou via la transition des firmes existantes, en "dépassant le concept de RSE". (...)

(...) L’Edhec va consacrer 40 millions d’euros à son centre de recherche en finance "Edhec-Risk Climate Impact Institute", ainsi qu’au lancement d’une "Climate Finance School", pour que "tous les étudiants soient formés au bon usage de la finance". (...)

(...) Enfin, le 3e axe stratégique est d’ordre pédagogique et académique : il s’agit pour l’école de management de "former à transformer", (...)"

“With A Forward-Looking Strategic Plan, France’s EDHEC Cements Focus On Climate & Sustainability" – Poets & Quants (14/06/2024)

" (...)The new plan outlines the school’s actions through 2028 with an eye to the year 2050 – a milestone for both the planet and EDHEC itself. 2050 is the target year set by many governments, scientists, and organizations to reach net-zero carbon emissions or risk grave climate consequences. 2050 is also the year that babies born in the next four years will come to and graduate from EDHEC.

Generations 2050 is built around three pillars: Promoting net positive business practices, empowering students to drive transformation, and advancing climate finance. (...)

(...) The plan pledges €21 million over the next four years to enhance its sustainable entrepreneurship initiatives and establish a Centre for Net Positive Business led by Professor René Rohrbeck.

The center will first focus on decarbonizing the construction sector — which accounts for almost 26% of greenhouse emissions — and improving access to nutritious food for people around the globe. (...)

(...) EDHEC is also doubling down on its previous commitment to climate finance in the new plan, investing €41 million to the topic. It will create a Climate Finance School, incorporate climate finance into core courses of all degree programs, and recruit new professors and researchers along with experts from industry, regulators, and nonprofits.(...)"

“Il green bond certificato conviene: investitori pronti a pagare un premio extra" – Il Sole 24 Ore (13/06/2024)

" (...)Conviene a un’azienda finanziarsi con un green bond? La risposta è sì perché c’è il greenium. Quest’ultimo non è altro che il prezzo più alto che gli investitori sono disposti a pagare per un’obbligazione verde rispetto a quelle tradizionali. Differenza di prezzo che può oscillare tra i 4,5 e 5 punti base a condizione, però, che vi sia la second party opinion ovvero la validazione di una società terza indipendente. Tutto ciò emerge da uno studio realizzato da quattro professori universitari che hanno analizzato 3mila green bond. I prof in questione sono Marco Ghitti (Università di Padova), Gianfranco Gianfrate e Marco Spinelli (Edhec) e Florencio Lopez-de-Silanes (Nber). (...)

(...) Nello studio pubblicato da “The British Account Review”, i quattro professori si sono focalizzati sul settore dei bond emessi dalle aziende e non dagli Stati, analizzando in particolare le second party opinion; le certificazioni di terze parti indipendenti assegnano una specie di rating verde agli strumenti obbligazionari in funzione dell’utilizzo dei soldi raccolti sul mercato. Meno della metà delle obbligazioni analizzate (1.262) aveva la validazione del consulente: sulla base dei progetti green finanziati, i prof hanno distinto i rating in verde scuro, medio e chiaro. Ebbene, dalla rilevazione effettuata, i green bond con i giudizi verde scuro e medio quotano a premio rispetto ai bond tradizionali. La media del cosiddetto greenium in questi casi è appunto di 4,75 punti base.(...)

(...) Infine, è da evidenziare che, secondo lo studio, i green bond piacciono molto agli investitori che hanno aderito ai 6 principi Pri dell’Onu, i principi di investimento responsabile: sono 3900 i sottoscrittori dei Pri e gestiscono circa 120 trilioni di dollari. (...)"

“Webinar Announcement: Analyzing Climate Risk Effects On Global Equity Valuations" – Rebellion Research (01/06/2024)

" Date: Tuesday, July 2nd, 2024
Time: 8pm SGT | 2pm CEST | 1pm BST | 8am EST

The webinar will delve into the inadequacies of traditional discounted cash flow models, which often overlook state dependence by using a uniform discount rate for all cash flows at a specific time. This approach falls short when valuing securities sensitive to climate risk, as demonstrated by the latest research from the EDHEC-Risk Climate Impact Institute.

Utilizing an advanced integrated climate-economics model, the research captures the uncertainties of the climate system, the effects of physical damages, and the impact of different discount rates under various emissions abatement policies. This comprehensive model provides a nuanced understanding of how climate risk can influence global equity valuations.(...)"

“Establecer una definición de greenwashing" – ClimateTech.es (06/05/2024)

"(...)Un obstáculo para definir el lavado verde – greenwashing – es que la mayoría de los informes de desempeño ambiental son voluntarios y no están auditados. El profesor Gianfrate espera que sean necesarias dos décadas o más de resistencia, lobby y compromiso antes de que se pueda implementar adecuadamente un sistema adecuado de presentación de informes con sanciones y castigos.

Curiosamente, los mercados financieros parecen no darse cuenta del greenwashing (4). Las empresas que exageran sus credenciales medioambientales tienden a tener valoraciones más bajas, ya que los inversores prestan más atención a las multas pagadas por violar las regulaciones que a las reclamaciones en un sitio web. “Creo que la clave para definir el lavado verde es comparar lo que está en la superficie con lo que está sucediendo en el terreno. Si una empresa que dice ser ecológica paga muchas multas por emisiones, eso es un lavado de cara verde”.

El profesor Gianfrate cree que el avance hacia la cuantificación del impacto ambiental durante la próxima década conducirá a un cambio fundamental. “Una vez que esas cifras pueden simplemente sumarse al flujo de caja y a los informes de una empresa, la necesidad de finanzas sostenibles – y de un lavado verde – desaparece. Cuando las empresas tienen que pagar por todos sus recursos y externalidades, todos pueden verlo. A las empresas les resultará mucho más fácil mentir”."

““Death by a thousand cuts” - why climate risk isn’t priced in" – Net Zero Investor (03/05/2024)

"Riccardo Rebonato, professor at EDHEC Business School doesn't believe climate change will trigger a Minsky moment, he explains why investors should still be wary of current valuations

(...) Investors who wish to model for climate change already have different scenarios at hand, what is different about the Climate Scenario Analysis EDHEC is providing? (...)

(...)What we are trying to do is to associate an approximate probability to these different scenarios so that investors can make a call about what is an unlikely scenario and what is a clear and present danger. When it comes to making investment decisions, this is fundamentally important and it’s missing.(...)

(...) Could this trigger a sudden market correction?

(...) Lots of people ask me: is there going to be a Minsky Moment? I don’t think so. It is difficult to conceive a particular event like Lehman Brothers that could trigger it. What is more likely to happen is that over time, actual earnings, actual cashflows disappoint. It is going to be death by a thousand cuts. This more likely to be a headwind for equities in the years and years to come. The unexpected impact of climate change will erode profitability. Most likely, this will be a serious of not catastrophic, but continuously negative surprises. While that may look tame, it is insidious. When you have a big shock like Covid, you get a massive fall of equities but then a rebound. Here, there is no mechanism for a rebound. (...)"

“Opponents of mandatory Scope 3 reporting are ‘confusing the symptom for the cause’" – Sustainable Views - FT (19/04/2024)

"(...)Opponents of mandatory Scope 3 emissions reporting, who say that it is “unfeasible” or “too costly”, are “confusing the symptoms for the cause”, says a report by France-based academic think-tank the EDHEC-Risk Climate Impact Institute. (...)

(...) Yet opposition is moving the needle in the wrong direction, suggests the report. In March 2024, the US Securities and Exchange Commission removed “value chain greenhouse gas emissions” from the country’s first mandatory climate-related disclosure, “despite near unanimous investor support for their inclusion”, says the EDHEC-Risk Climate Impact Institute. (...)

(...)The EDHEC-Risk Climate Impact Institute argues that accounting for value chain emissions is “crucial” to understand the full extent of an organisation’s climate impact and to help them “[navigate] the complexities of transition risks and opportunities."(...)"

“A powerful tool for businesses" – Euro Day (08/04/2024)

"The role of business in the global effort to combat climate change is becoming increasingly essential. And for good reason: since the start of the industrial revolution, more than two thirds of global emissions have been produced by large companies.

In this context, companies face the risk of changes in government policies aimed at reducing emissions. To deal with these complex changes, a tool has emerged (following the Kyoto Protocol signed in 1997 which laid the foundations for carbon pricing): the internal carbon price (ICP), also known as the price fictitious carbon. Our research, carried out within the EDHEC-Risk Climate Impact Institute, focuses on the application of internal carbon pricing, the modeling of the pricing method and its precise use in the private sector. (...)

(...)The internal carbon price is therefore not only essential to optimize the decision-making process of companies, but it also helps to improve communication with their investors. As carbon risks can have a significant impact on the company’s cash flow, it makes financial sense to incorporate this “carbon price” into the company’s valuation.(...)"

“Le prix interne du carbone : un outil puissant pour les entreprises" – The Conversation (08/04/2024)

"(...)avant toute chose, les entreprises doivent évaluer leurs émissions directes et indirectes de carbone, qu’elles proviennent de leurs propres sources, de leur consommation d’énergie, des opérations de leur chaîne d’approvisionnement ou de la gestion des déchets. Par « émissions directes » on désigne celles qui résultent de sources détenues ou contrôlées par l’entreprise, comme les émissions produites lors de la combustion dans les chaudières d’une entreprise ou de son parc automobile. Les émissions indirectes proviennent de la consommation d’énergie achetée par l’entreprise, comme l’électricité, la chaleur ou le froid. Enfin, d’autres émissions indirectes sont issues de la chaîne d’approvisionnement, lors du transport des matériaux ou de l’élimination des déchets. (...)

(...)Le prix interne du carbone est donc non seulement essentiel pour optimiser le processus de prise de décision des entreprises, mais il contribue également à améliorer la communication avec leurs investisseurs. Comme les risques liés au carbone peuvent avoir un impact significatif sur les flux de trésorerie de l’entreprise, il est financièrement judicieux d’intégrer ce « prix du carbone » dans l’évaluation de l’entreprise.(...)"

“Research for Institutional Money Management" – Pensions&Investments (01/04/2024)

"In this EDHEC-Risk Climate Impact Institute issue of Research for Institutional Money Management, we present groundbreaking research extending climate scenario analysis.

The current framework, designed to inform public policy, cannot properly serve the needs of investors: alternative scenarios are presented without probabilities and fail to convey the uncertainty in climate outcomes.

Our lead article demonstrates how to create probability distributions of climate outcomes, helping investors appreciate the degree of uncertainty they face and determine which potential realizations should command greater attention.

Building on these advances, two related articles highlight underappreciated risks that investors need to be aware of. In the wake of the SEC's decision to mandate climate disclosures, another two articles examine the relevance, limitations, and risks associated with disclosures of internal carbon prices and value chain emissions.

A final contribution, supported by Amundi, explores how weather events influence mutual fund managers' investment decisions."

“Scope 3 : Les données actuelles sont “inadaptées” à la construction de portefeuille" – L'Agegi (29/03/2024)

"(...)La nébuleuse autour du scope 3 tarde à s’éclaircir. Dans un nouveau rapport publié ce 28 mars, l’EDHEC-Risk Climate Impact Institute dresse un état des lieux à 360° sur la prise en compte des émissions de gaz à effet de serre de scope 3, qui concernent toute la chaîne de valeur d’une entreprise. Malgré une importante hausse de ces publications volontaires, l'étude constate que les rapports “restent trop souvent un exercice de greenwashing, sont incomplets et ciblent peu les sources matérielles”. Cela, alors que ces données restent encore “naïvement” utilisées par les gérants d’actifs. Un manque de précaution que relevait en juin dernier l’Autorité des Marchés Financiers (AMF) après un contrôle SPOT relatif aux données extra-financières.(...)

(...) “Les normes de déclaration actuelles ne sont pas conçues pour permettre des comparaisons entre entreprises et les données déclarées restent inadaptées à certaines utilisations recherchées par les investisseurs”, alerte le rapport. Une vigilance que les professionnels de l’investissement doivent également porter sur les modèles d’émissions de scope 3 conçus par les fournisseurs tiers, qui présentent encore des résultats “très divergents”. De fait, des valeurs identiques ont été identifiées pour seulement 68 % des entreprises ayant déclaré leurs émissions de scope 3, selon une comparaison entre deux référentiels majeurs. (...)"

“France’s EDHEC Business School Launches An Online MBA" – Poets & Quants (20/03/2024)

" EDHEC Business School in France announced this week (March 18) the launch of a new MBA, 100% online. It will have two intakes per year, the first beginning this fall with another in spring. Each will enroll about 20 students.(...)

(...)For its online MBA, EDHEC is creating a series of “digital learning expeditions,” says Menvielle. These are modeled after the in-person company visits of a traditional MBA experience, but created so students can take virtual tours from their homes or offices. EDHEC is working with journalists to design company specific narrative arcs and filming sites with several cameras to show different angles mimicking a walk through a campus. (...)

(...) The program is working with several EDHEC research centers to create up-to-date content on immediate business challenges. For example, The EDHEC Risk Climate Impact Institute will craft lessons on green finance in creating a more sustainable economy. EDHEC Criminal Risks Management Chair will cover the mechanics of the black market and topics like human trafficking, money laundering, and cybercrime. And, the Foresight Innovation & Transformation Chair will help participants develop a long-term economic vision that considers AI advances and innovative new business models. (...)"

“Best Sustainable Finance/ ESG Courses & Certifications (2024)" – Bankers By Day (15/03/2024)

" (...)These courses and certifications have been designed to teach the principles and concepts of sustainable finance and ESG Investing and help you become a leader in the field.(...)

(...) 6. Climate Change and Sustainable Investing Specialization from EDHEC

EDHEC is a premier European business school offering industry leading programs and courses. (...)

(...)The core aim of this course is to demystify the relationship between climate change and economy/ Finance. The financial world has a key role to play in solving this crisis, along with scientific, engineering and economic efforts. The courses in module each focus on one of these areas and cover them all one-by-one. (...)"

“Crisi Esg, negli Stati Uniti c’è chi vuol fare diventare reato l’investimento green" – Il Sole 24 Ore (10/03/2024)

" (...)«Se Donald Trump vincerà la corsa alla presidenza degli Stati Uniti penso che potrebbe fare un passo deciso nel divieto a investire in modalità Esg – afferma Gianfranco Gianfrate, docente di finanza all’Edhec Business School in Francia –. Alcune grandi società di asset management hanno annusato l’aria e hanno deciso di riposizionarsi». Si spiega così la fuga dalle alleanze contro il climate change di alcuni grandi gruppi finanziari. Decisioni che hanno mandato in frantumi, in particolare, la Net Zero Insurance Alliance, passata da 30 a 11 componenti.La stessa ClimateAction100+ sta perdendo pezzi. Non sembra, per ora, mostrare segni di crisi la Nzba, l’alleanza per il Net-Zero creata dagli istituti bancari. (...)

(...) «A mio avviso c’è un peccato originale nei criteri Esg – aggiunge Gianfrate – . I tre elementi E, S e G sono stati messi insieme forzatamente a tavolino da Unpri (la rete internazionale di istituzioni finanziarie, supportata dall’Onu, per gli investimento responsabile, ndr). Risultato? Analisti impreparati e fondi di investimento che fanno box-ticking. Non si può essere esperti allo stesso tempo, per esempio, dei codici di corporate governance, di misurazioni dei diversi gas serra e delle problematiche del lavoro minorile nei Paesi emergenti. Un errore fatto sicuramente in buona fede ma che ha avuto effetti importanti nel settore finanziario». (...)"

“SEC approves long-awaited climate disclosure rule" – IPE (07/03/2024)

"The Securities and Exchange Commission (SEC) approved major new rules on climate disclosure yesterday, but experts say they won’t be enough to satisfy investor demand for sustainability information. (...)

(...) Under the new rules – and in alignment with the widely-used Taskforce on Climate-related Financial Disclosures (TCFD) – companies will be required to explain how they address climate risk in their governance and strategy decisions. (...)

(...) Frédéric Ducoulombier, founding director of the Climate Impact Institute at EDHEC Business School in France, agreed that “this is better than no rule”, but said that “investors will need to continue to advocate for and demand more comprehensive disclosures than mandated by law”.

The SEC is expected to face legal challenges as it tries to finalise the rules. According to Reuters, 10 Republican-led states have already filed a lawsuit against the regulator, just hours after the vote took place yesterday.

On the other side of the debate, non-profit groups have suggested they will sue because the rules are not ambitious enough.

“Challenge is inevitable and should be expected early,” said Ducoulombier."

“SEC adopts landmark – but weakened – climate disclosure rules" – Sustainable Views (07/03/2024)

“ (...) Corporates urgently need to get their own houses in order – to determine and then begin reducing the emissions they have direct control over,” Ofir Eyal, director at consultancy Marakon, said in statement. “It’s been a case of willing procrastination for too many businesses, which have used the complexity involved in calculating Scope 3 emissions as an excuse for delaying the development of a meaningful strategy to reduce their direct emissions.

“Introducing Scope 3 disclosure requirements now risks firms turning a blind eye on their own immediate impact in favour of casting their eye further down the value chain, which ultimately won’t speed up the transition,” he added.

“Scope 3 is challenging to estimate. It generates numbers that are somewhat imprecise,” Edhec-Risk Climate Impact Institute director Frédéric Ducoulombier told Sustainable Views. “The company is compelled to disclose numbers which won’t be so precise and could have it exposed to liability [and] litigation.

“The Scope 3 protocol was not meant to produce data for investors; it was meant to help companies define their value chain emissions inventories and identify the hotspots, and start cutting the emissions by taking action,” he added. " (...)

“SEC adopts landmark - but weakened - climate disclosure rules" – The Banker (07/03/2024)

"The US Securities and Exchange Commission has voted to adopt the country’s first federal requirements for public companies to disclose information on their climate-related risks and greenhouse gas emissions.

But after nearly two years of intense lobbying by industry, as well as threats of litigation from the same interests and Republican politicians, the SEC has adopted final climate disclosure rules that are significantly weaker than those proposed by the commission in March 2022 and those being implemented in Europe and California.

In the most consequential concession to industry, the SEC eliminated Scope 3 emissions disclosure in the final rules. (...)

(...)“Scope 3 is challenging to estimate. It generates numbers that are somewhat imprecise,” Edhec-Risk Climate Impact Institute director Frédéric Ducoulombier said. “The company is compelled to disclose numbers which won’t be so precise and could have it exposed to liability [and] litigation.’

“Revolutionary Research Offers Probabilistic Tools for Climate Scenario Analysis in Finance" – Rebellion Research (05/03/2024)

" A groundbreaking White Paper titled “Climate Scenario Analysis and Stress Testing for Investors: A Probabilistic Approach,” authored by Professor Rebonato and his team, has introduced an innovative method for augmenting climate scenarios with probabilistic information. This approach is set to revolutionize how financial professionals assess and manage climate-related risks.(...)

" (...)The research team employs two innovative approaches. The first recovers relationships between economic, demographic, and technological variables as implied by IPCC models. The second approach utilizes empirical analysis to identify strong correlations among these factors. These methods enable the researchers to connect carbon-tax trajectories with emissions and temperature changes, or inversely, to link emission abatement schedules with carbon taxes, providing insights into their feasibility and likelihood.(...)"

“Viewpoint: The SEC should not diverge on Scope 3 " – IPE (01/03/2024)

" (...) Investor advocacy for value-chain emissions (Scope 3) reporting and its possible incorporation within a US Securities and Exchange Commission (SEC) climate-disclosure rule have sparked fierce resistance from fossil-fuel interests. (...)

" (...) Critics argue that the proposed SEC rule is unworkable or too expensive; that data and estimation methods produce inaccurate estimates of limited meaning or value; and that it would burden out-of-scope entities in the value chain. While this is coloured by partisan spectacles, there are potential limitations of which companies, investors and regulators should be aware. (...)

" (...)Investors are right to request value-chain emissions, but need to recognise current limitations and ensure data are used in a manner that is fit for purpose. Since Scope 3 emissions dwarf Scope 1 and 2 combined, steering portfolio construction by total emissions, as mandated by the EU Benchmark Regulation, cannot reliably redirect capital flows toward sustainable activities. (...)"

“Einfluss von Klimawandel-Nachrichten auf Aktienportfolios " – Absolut Research (26/02/2024)

"Jean-Michel Maeso und Dominic O’Kane vom EDHEC-Risk Climate Impact Institute haben in einem Research Paper den Einfluss von (unerwarteten) klimawandelbezogenen News auf die Performance von Aktienportfolios untersucht. Mit neun verschiedenen Language-Modellen und fünf englischsprachigen Zeitungen, darunter Financial Times and New York Times, konstruieren die Autoren je einen Climate News Index (CNI) sowie einen über alle Quellen aggregierten Index. (...)

" (...)Diese Ergebnisse deuten darauf hin, dass der Klimanachrichten-Faktor, der auf einem aggregierten Index hochwertiger Zeitungen basiert, die Renditen des Portfolios mit hoher CO2-Intensität und somit auch für die Renditen des Low-Minus-High-Portfolios erklären kann. Es impliziert, dass unerwartete Klimanachrichten für High Carbon Assets negativ sind, weil die Unternehmen durch Nachrichten über den Klimawandel ggf. mehr zu verlieren haben als kohlenstoffarme Anlagen zu gewinnen.(...)"

“Uni Ulm glänzt mit Top-Forschung in den Aktuarwissenschaften - Daykin Prize 2023 für Prof. An Chen & Dr. Fangyuan Zhan" – Informationsdienst Wissenschaft (21/02/2024)

" (...)„Wir freuen uns sehr über diese Auszeichnung. Sie macht unsere wissenschaftliche Arbeit weltweit noch sichtbarer und zeigt auch, dass die Universität Ulm zu den Top-Standorten auf dem Gebiet der Aktuarwissenschaften gehört“, so Professorin An Chen, die an der Universität Ulm das Institut für Versicherungswissenschaften leitet. Die international renommierte Wissenschaftlerin forscht zu versicherungswirtschaftlichen Fragen mit dem Schwerpunkt Altersvorsorge. Besonders im Fokus: Lebensversicherungen und Pensionssysteme. Dr. Fangyuan Zhang kam über das Double Degree Programm „Master of Finance“ von der renommierten chinesischen Fudan Universität an die Universität Ulm und schloss hier 2022 ihre Promotion ab. Seit 2023 forscht sie als Senior Research Engineer am EDHEC Risk Climate Impact Institute in Nizza, Frankreich.(...)"

“Viewpoint: Investor climate scenarios need to be probability-aware" – IPE (09/02/2024)

" Riccardo Rebonato argues that climate scenarios need to come with probabilities if they are to be useful for investors.

The question of what impact climate change will have on investors’ portfolios is becoming increasingly difficult to avoid and the need for scenario analysis is becoming more and more acutely felt. Climate scenarios, however, are more complex than the traditional macrofinancial scenarios with which financial practitioners are well familiar.(...)

(...)Probabilistic information can be estimated from a variety of sources, ranging from economists’ surveys to technological and fiscal constraints on which abatement paths are doable. Of course, these probabilities will never attain the other-worldly precision claimed by measures of market risk such as VaR, but should flag to investors the economic outcomes they should worry about, the ones that are unlikely but still plausible, and the ones that belong to the meteorite-hitting-the-Earth category. (...)

(...)Probabilities, escorted out of the scenario house through the main door, therefore reappear via the back door. This is why a probability-centred approach is also particularly well-suited to dealing with reverse stress testing."

“Q&A: ‘Climate change scenarios are not created with investors in mind’" – ESG Clarity (01/02/2024)

" (...) The Institute’s research looking at Dynamic Integrated Climate-Economy (DICE) models concluded they have been inappropriately used for scenario analysis. As a result Professor Rebonato and his team are developing a solution that attaches approximate probabilities to climate scenarios in an effort to reflect the uncertainty of making investment decisions based on climate change. (...)

(...) What impact are you hoping [your models] could have on risk modelling, company valuations, etc.?

To arrive all the way down to the company level is a long path. The first port of call is asking what impact this will have on the economy as a whole. If you think about it, share price is the discounted sum of all the dividends, with ‘dividends’ being what the economy has produced, divided up between the providers of capital. So, the next step is to see at the aggregate level, if I were to hold the market portfolio – let’s say MSCI World – how is this valuation impacted by climate change? Going down to this sectoral level is the second step. (...)"

“Investors' scenario testing not recognising full climate risk, warns academic" – Environmental Finance (23/01/2024)

"(...) The scenarios most investors are using were ultimately created for the purpose of policymakers, but not for the use of investors to assist with decision-making, warned Riccardo Rebonato, scientific director of the Risk Climate Impact Institute at the EDHEC Business School in Nice. (...)

(...) Rebanato is currently involved in the development of a climate risk scenario, specifically for investors. This aims to better calculate and outline the probability of risks occurring, so investors can further understand the uncertainty associated with risks in their portfolio. (...)"

“Aktienmarkt unterschätzt Klimarisiken" – Absolut Research (23/01/2024)

" Riccardo Rebonato vom EDHEC-Risk Climate Impact Institute untersucht in einem Research Paper, ob Klimarisiken hinreichend in Aktienkursen eskomptiert sind und welche Risiken bei mangelhafter Einpreisung bestehen. Die Ergebnisse bisheriger Studien, ob die Risiken des Klimawandelns in Aktienkursen berücksichtigt werden, sind uneindeutig und wenig robust. Es scheint, dass Asset-Preise, wenn überhaupt, nur in geringem Maße von Klima-Informationen beeinflusst werden. (...)"

“Why Investors Need Climate Change Probabilities Not ‘Certainties’" – TMI (22/01/2024)

" (...) Investors need to know what is a reasonable central estimate, and what is the spread of possible outcomes. The two potential issues here that must be reiterated are a lack of communication of the degree of uncertainty, and the ‘low-balling’ effect on risk stemming from the inappropriate use of an outdated model.

The solution for investors starts with robust due diligence on the sources of information, advises Rebonato. “Asset managers should already be engaged with this topic; it’s their job. But other investors, such as pension fund trustees or corporate treasurers, will probably need advice. They should make sure that their consultants not only have experience in straightforward financial matters but can also match that expertise in climate-change related issues, otherwise the risk is that their adviser is simply improvising on their guidance.”

The purpose of Rebonato’s work at the EDHEC Risk Institute is to try to create “an investor-friendly balanced picture” that takes into the account the latest scientific, financial and economic knowledge, and determines where gaps in that understanding exist. (...)”.

“L’Af2i récompense un travail de recherche sur le non coté " – L'Agefi (08/01/2024)

" "L’Association française des investisseurs institutionnels a remis son prix Académique 2023. (...)

(...)Les 16 articles publiés en 2022 portant sur des thèmes d’investissement ont été analysés par le jury de la Commission Recherche de l’Af2i, présidée par Jean-François Boulier, qui a retenu les trois plus marquants :

1. «Integrating Private Equity in a Liquid Multi-Asset Portfolio» de Roger Aliaga-Diaz, Giulio Renzi Ricci, Brennan O’Connor et Harshdeep Ahluwalia

2. «Climate Output at Risk» de Riccardo Rebonato, Dherminder Kainth et Lionel Melin

3. «Net zero investing for multi-asset portfolios seeking to satisfy Paris aligned benchmark requirements with climate Alpha signals» de Philip Hodges, He Ren, Katharina Schwaiger et Andrew Ang

Les membres actifs et partenaires de l’Af2i ont été invités à choisir celui qui avait leur préférence, notamment à partir de synthèses de ces articles rédigées par certains des membres de la Commission Recherche de l’Af2i.”.

2023

“EDHEC-Risk Climate Institute Challenges Overly Optimistic Climate Projections In Pension Fund Reports" – Rebellion Research (19/12/2023)

"A recent position paper from EDHEC-Risk Climate Impact Institute has raised significant concerns about the misleading nature of climate-risk advice given to pension funds, particularly those under the UK Local Government Pension Scheme (LGPS). The paper, titled “Portfolio Losses from Climate Damages: A Guide for Long-Term Investors,” authored by Professor Riccardo Rebonato, Scientific Director at the institute, critically examines the advice provided to pension trustees and its implications. (...)

(...) Echoing EDHEC-Risk Climate Impact Institute’s broader scientific stance, Professor Rebonato recommends attaching approximate probabilities to different climate scenarios. This approach aims to provide a more realistic and nuanced perspective on the potential impacts of climate change on pension fund portfolios. (...)”.

“Emmanuel Métais : «A l'Edhec, nous avons diminué le nombre d'admissions sur titre»" – Le Figaro (04/12/2023)

"LE FIGARO ÉTUDIANT.- Quel bilan tirez-vous de l'année 2022-2023 ?

Emmanuel MÉTAIS.- Encore une année bien remplie ! Nous avons créé notre centre de recherche en finance climatique. Il va accueillir de nombreux chercheurs qui proposeront des outils afin que la finance ait un impact positif sur le climat. Ce centre sera actif dans tous nos programmes, en particulier dans notre master conjoint avec l'école des Mines ParisTech.

Au classement Sigem, entre l'Edhec et l'EM Lyon, les étudiants de prépa sont plus nombreux à préférer la première. Quels sont vos points forts ?

(...) D'abord, nous sommes porteurs d'une vraie innovation dans le domaine de la finance climatique. Nous proposons également des programmes uniques, comme le Gett (Global Economic Transformation & Technology) qui permet d'étudier six mois à Paris, six mois en Corée et 1 an à Berkeley aux États-Unis afin d'obtenir un diplôme des trois établissements. (...)”.

“Pension funds to get tougher on ESG mandates" – Investment News New Zealand (03/12/2023)

"The EDHEC Climate Risk Institute report found consultants routinely underestimate the financial impact of climate change even at extreme temperature rises with a “puzzling degree of accuracy”. If the investment consultancy sector has been soft on climate in exact measures down to the “hundredth of percentage point”, doom-centric forecasts at the other end of the scale are equally unreliable for financial modelling, the paper says. Instead, pension funds (and other asset allocators) would be better-served by “a clear description of the huge degree of uncertainty surrounding the impact of climate change on asset returns. (...)

(...) The ’Portfolio Losses from Climate Damages: A Guide for Long-Term Investors’ was authored by Riccardo Rebonato, who doubles as EDHEC finance professor and scientific director at the group’s Climate Impact Institute”.

“Institute denounces “misleading” climate advice to pension funds" – The Actuary (29/11/2023)

"An EDHEC-Risk Climate Impact Institute position paper, Portfolio Losses from Climate Damages, has warned that markets and investors are underestimating potential climate damages. It pointed to reporting by UK Local Government Pension Scheme authorities on their governance and management of climate risks. Drawing on investment consultants’ advice, reports have included simulations of climate impacts on investments that suggest portfolios would be marginally impacted – even in high temperatures. The paper, written by the institute’s scientific director Riccardo Rebonato, argued that pension trustees have been “poorly served” by consultants, meaning their estimates of portfolio losses due to climate change are “implausibly tame”.

“Uncertainty must ‘take centre stage’ in climate scenario advice to trustees" – IPE (27/11/2023)

"In a new position paper, Riccardo Rebonato, who is scientific director of EDHEC-Risk Climate Impact Institute, said EDHEC agreed that pension fund trustees have been poorly served by their consultants and that the models that have been used underestimate climate risk. However, he said that the models (DICE-like Integrated Assessment Models) should not be jettisoned as they can be modified to handle scenario analysis (for which they were not designed) and that it is incorrect to posit that there is an economist consensus on the severity of climate damages. At the same time, Rebonato, who is also professor of finance at EDHEC Business School, said that the degree of uncertainty about climate outcomes was “the single most important piece of information that pension trustees should be given” and yet it was exactly what was “more conspicuous for its absence in the consultants’ reports”."

“Pension funds given misleading climate-risk advice" – Financial Newswire (24/11/2023)

"Professor Riccardo Rebonato, scientific director of the EDHEC-Risk Climate Impact Institute, has said that pension trustees had been poorly served by their consultants and the estimates of likely portfolio losses due to climate change in their authorities’ reports were ‘implausibly tame’. His research further exposed the failure to communicate the huge uncertainty in damage estimates as the most glaring flaw of the advice received by trustees and denounced the non-sensical precision with which some of these estimates were presented. Professor Rebonato warned that not only pension consultants but also financial markets appeared to be sleepwalking into the climate crisis, noting: “Financial markets might be pricing in overly optimistic climate scenarios, indicating a potential repricing risk that trustees should be aware of,” he said."

“Andere Klimaszenarien für Finanzmärkte" – Absolut Research (22/11/2023)

" Sustainable Finance als Oberbegriff für die Finanzierung nachhaltiger Technologien und die ökologisch-soziale Transformation der Realwirtschaft hat sich ebenfalls einen festen Platz auf der Agenda erobert. Leider ist es auch komplexer und vielschichtiger geworden und es scheint, dass vor lauter Regulationsanforderungen die realen Aktivitäten kaum nachziehen können. So entsteht vielfach der Eindruck, dass die konkrete Wirkung der als nachhaltig bezeichneten Investments nicht wirklich den proklamierten Anforderungen entspricht."

“Misleading nature of climate risk advice to pension funds" – Actuarial Post (22/11/2023)

"In a newly released position paper, "Portfolio Losses from Climate Damages: A Guide for Long-Term Investors," Professor Riccardo Rebonato, Scientific Director of the EDHEC-Risk Climate Impact Institute, discusses the (de)merits of the advice addressed to pension trustees and engages with critics who assert that pensions are being put at risk by the flawed research and groupthink of climate economists. His research concludes that pension trustees have indeed been poorly served by their consultants. He also concurs with critics' views that the estimates of likely portfolio losses due to climate change in the authorities' reports are implausibly tame. However, Professor Rebonato's research offers a different and more nuanced perspective about how these conclusions have been reached and the use of integrated climate economics models."

“Stratégie climat : les institutionnels vont plus loin" – Option Finance (20/11/2023)

"Les premières mesures prises par les investisseurs institutionnels pour décarboner leurs portefeuilles commencent à porter leurs fruits. Mais pour tenir leurs promesses de neutralité à horizon 2050, ils doivent désormais approfondir et systématiser leurs approches. Ils cherchent, souvent collectivement, les bons outils pour faire basculer leurs portefeuilles vers des stratégies alignées sur l’Accord de Paris."

“Avis de tempête pour la finance durable" – Le Temps (20/11/2023)

"Le 1er janvier prochain, le secteur financier suisse devra être prêt à mettre en place les directives de l’Association suisse des banquiers (ASB) et de l’association représentant la gestion d’actifs en Suisse, l’AMAS, concernant la finance durable. Ces directives ont pour objectifs de limiter l’écoblanchiment (ou greenwashing) et de prendre en compte l’appétence de leurs clients concernant la durabilité de leurs investissements."

“Decarbonising passive funds costs next to nothing – research" – Risk.Net (17/11/2023)

"How far could investing in a low-carbon benchmark crimp returns? Not much. That’s according to a new paper by two Amundi quants, who find that tilting benchmarks such as the S&P 500 away from ‘dirty’ stocks in favour of less-polluting companies has a negligible impact on annual returns. The paper aims to address what one of the report’s co-authors, Hamza Bahaji, calls a key question among passive investors about sustainable investing: “What is the expected cost of decarbonisation?”."

“EDHEC Launches €40 Million Investment Fund To Support Startups With Impact" – Poets & Quants (14/11/2023)

"EDHEC just took an oversized step toward that goal. This month, it announced a new €40 million investment fund for socially and environmentally responsible startups. GENERATIONS Powered by EDHEC will be co-managed by Ring Capital, a private equity firm dedicated to supporting companies that have positive impact in their communities and the world, and will focus on seed and pre-seed startups."

“CSRD - Malgré un fort vent de face, les normes ESG européennes ont été validées par les eurodéputés" – Option Finance (19/10/2023)

"Sa charge, plutôt violente, contre le projet européen a vivement fait réagir certains experts en comptabilité environnementale et en finance durable. Ces derniers pointent ainsi le rôle que peuvent jouer les parties prenantes non financières dans la mise en évidence d'un problème extra-financier et donc l'importance de ne pas passer sous silence des enjeux qui n'intéressent pas encore les marchés. « Une question ESG peut devenir si rapidement matérielle d'un point de vue financier qu'elle peut causer la faillite d'une entreprise qui la traitait comme sans danger pour elle », met en garde Frédéric Ducoulombier, directeur de l'EDHEC Risk Impact Institute. La plaidoirie d'Emmanuel Faber n'a finalement pas fait dévier les eurodéputés du cap fixé par la CSRD. Dans la « guerre des normes » bien réelle qui sévit, l'Europe a gagné une manche. Mais le débat est loin d'être clos : il faudra attendre les premiers reportings des entreprises pour voir si des données d'impact environnemental ou social sans incidence sur les résultats financiers émergent véritablement."

“Normes européennes : "Les attaques d’Emmanuel Faber sont de faible qualité"" – L'Express (23/10/2023)

"L’ex-patron de Danone a fustigé dans une tribune l’approche européenne en matière de comptabilité extra-financière. Chercheur à l’Edhec, Frédéric Ducoulombier réfute ses arguments.

Il y a quelques jours, l’ancien patron de Danone, Emmanuel Faber, signait dans les colonnes du Monde une tribune à charge contre le modèle porté par l’Europe. Président de l’organisme privé ISSB, il défend un modèle de simple matérialité financière, moins contraignant et donc plus séduisant aux yeux des entreprises. Cette semaine, le texte européen a fait face à une autre fronde, celle d’une motion de rejet présentée par des eurodéputés. Le Parlement européen a voté majoritairement contre, mercredi 18 octobre.

Face à ces coups de boutoir, de nombreuses voix appellent à la résistance, notamment parmi les investisseurs. Pour L’Express, Frédéric Ducoulombier, directeur du centre de recherche EDHEC-Risk Climate Impact Institute, démonte un à un les arguments des moins-disants.

L’Express : En quoi la vision d’Emmanuel Faber, président de l’ISSB, et celle des Européens, tenants de la double matérialité, s’opposent-elles ?

Frédéric Ducoulombier : Emmanuel Faber s’inscrit dans la perspective d’une matérialité financière, concept comptable qui veut qu’une information doit être publiée si elle est susceptible d’influencer les décisions financières des investisseurs et des créanciers actuels, ou potentiels. Ce qui n’implique pas nécessairement de négliger les facteurs environnementaux ou sociaux. La double matérialité ajoute la prise en compte des besoins d’une multiplicité de parties prenantes pouvant être affectées par les activités de l’entreprise, quel que soit leur impact financier pour l’entreprise. C’est l’approche retenue en Europe au travers des ESRS, les normes européennes d’information en matière de durabilité. Celles-ci exigent la transparence des risques et opportunités financières, comme dans le cadre ISSB, mais aussi la transparence des impacts environnementaux et sociaux."

“Viewpoint: A response to ISSB’s Faber’s ‘triple illusion’ criticism of double materiality" – Investment & Pensions Europe - IPE (13/10/2023)

"In an op-ed published by French reference newspaper Le Monde* earlier this week, Emmanuel Faber, chair of the IFRS Foundation’s International Sustainability Standards Board (ISSB), represents that the double-materiality approach to sustainability reporting is a simplistic concept whose popularity derives from a “triple illusion”.

His offensive takes place as the first set of European Sustainability Reporting Standards (ESRS), which have double materiality at their heart, are under scrutiny by the European Commission’s co-legislators prior to definitive adoption. Materiality is a key principle of corporate reporting, but its definition has evolved over time. What is now the traditional view of materiality in accounting is defined in relation to the financial decisions of providers of capital; Faber explicitly identifies with this so-called financial materiality perspective. This perspective need not disregard environmental or social factors, but considers that the only sustainabilityrelated information that requires reporting is that which has financial materiality.

The double materiality view also considers the needs of a multiplicity of stakeholders that are or may be impacted by the activities of the reporting entity, and calls for the disclosure of the entity’s material impacts on people and the environment irrespective of financial materiality."

“EDHEC’s Ricardo Rebonato On Climate Change For Investors, Policymakers & Regulators" – Rebellion Research (10/10/2023)

"Riccardo Rebonato dives deep into the challenges posed by climate change, especially for investors, policymakers, and regulators. The uniqueness of the current climate crisis stems from its unprecedented nature, and the lack of historical data, which often is the backbone for most financial and risk assessment models.

The Uncharted Territory of Climate Scenario Analysis: In the realm of financial stress testing, a century’s worth of data allows for a certain level of predictive accuracy. This luxury doesn’t extend to climate scenario analysis, which grapples with limited data and inconsistent models connecting temperature rises to economic repercussions. The necessity to assign probable outcomes to various climate events poses further challenges.

Comparing Macrofinancial and Climate Scenarios: Rebonato draws a distinction between macrofinancial systems, which operate under the assumption of being fundamentally stationary, and the dynamic and adaptive nature of climate impacts on societies. The interconnectedness and cyclical impacts between human responses and the environment amplify the complexity of the issue."

“Hydrogen key to energy transition, but challenges remain" – IPE Real Assets (18/09/2023)

"Hydrogen is a versatile tool for decarbonising the energy system, but its role will vary depending on a country’s existing infrastructure, Arnold said, countries with well-developed gas and oil infrastructure, such as the Netherlands and the UK, are in a good position to deploy hydrogen for a variety of uses. Countries with less developed infrastructure may need to focus on more specific applications, such as synthetic fuels or the chemical industry.

”The growth of the hydrogen market will depend on whether it is supply-driven or demand-driven.” Blue hydrogen, which is produced from natural gas using carbon capture and storage, is a relatively early and high-volume source of hydrogen. However, it is not possible to produce blue hydrogen everywhere in the world, he added".

“More meaningful corporate sustainability reporting required" – The Banker (12/09/2023)

"Corporate reporting on sustainability matters is grossly inadequate. Despite clarifications by global accounting and auditing bodies, discussion and quantification of financially material sustainability risks and opportunities remain largely absent from statutory financial reporting. And, owing to the lack of legally binding standards pertaining to non-financial reporting, companies selectively disclose information in sustainability reports to weave self-serving narratives that too often bear little relation to their actual impacts.

Stakeholders and any other parties that rely on these statements — from providers of conscious or not-so-conscious capital to non-governmental organisations promoting environmental or human rights protection — lament the lack of relevant and reliable data to support their investment and/or engagement activities. The realisation that climate change could present financial risks to the economy, and that sustainability considerations were becoming an integral part of investment management, has steered the activity of regulators and standard-setters towards enhancing climate and other sustainability disclosures by and for investors".

“What Is The Best Master’s For Sustainability?" – Rebellion Research (07/09/2023)

"Climate change stands as one of the most pressing challenges of our time, a reality that demands collective action across disciplines and sectors. Amidst this backdrop, the prestigious EDHEC Business School has launched a transformative educational program focused on Climate Change and Sustainable Investing. The initiative, already with a remarkable enrollment of over 10,000 learners, not only epitomizes the influential role of education in fostering sustainable practices but also highlights the crucial contribution of finance in combating climate change. The Climate Change and Sustainable Investing program by EDHEC stands as a testament to the power of education in fostering sustainable practices. With its impressive enrollment and comprehensive curriculum, the program is empowering a new generation to take meaningful action against climate change. Given the program’s prestigious affiliation and its capacity to meld diverse sectors like finance and climate science, it is uniquely positioned to make a significant impact in the quest for a more sustainable and equitable world".

“More meaningful corporate sustainability reporting required in business decisions" – Sustainable Views (22/08/2023)

“Investors Balk at EU’s Greenwashing Blind Spot: ESG Regulation" – Bloomberg (16/08/2023)

"Corporate finance departments and auditors have only recently begun to consider how to weigh ESG risks, said Frederic Ducoulombier, director of the EDHEC-Risk Climate Impact Institute. That makes full disclosure critical, he said. The 50,000 companies that will eventually have to report under CSRD “are not used to the exercise,” Ducoulombier said. “The accounting and auditing profession also needs to radically scale up. Sustainability assurance is still in infancy and has abetted sustainability washing".

“Analysis: Europe’s sustainability standards: glass half full or empty?" – Asia Asset Management (09/08/2023)

"In its comments on the regulations to the European Commission in early July, the EDHEC-Risk Climate Impact Institute also criticised them for not observing the same standards as other European sustainability reporting regulations. It urged the regulators to “require all climate-related disclosures from all reporting entities”, and if materiality is an issue, at least require entities to declare why they deemed some issues material or not".

“EDHEC-Risk concerned about availability and quality of ESRS disclosures" – Investment & Pensions Europe (04/08/2023)

"EDHEC-Risk Climate Impact Institute has welcomed the preservation of the double materiality principle and broad coverage of ESG issues but has, however, expressed concerns about the availability and quality of disclosures, following the recent announcement regarding the European Commission’s adoption of the European Sustainability Reporting Standards (ESRS).

(...) Frédéric Ducoulombier, director at the institute, said: “As a research centre specialised on climate issues, we regret that the Delegated Acts fails to make climate-related disclosures mandatory but welcome the Commission’s last-minute adjustment requiring the disclosure of a detailed explanation when a reporting entity concludes that climate change is not material.".

“Professor Riccardo Rebonato: “A significant risk re-pricing may be overdue" – Portfolio Institutional (24/07/2023)

"The scientific director of the EDHEC-Risk Climate Impact Institute and a professor of finance, tells Andrew Holt about why he is encouraged by efforts to address climate change, but says institutional investors should move from ‘canned scenarios’ and raises issues about carbon removal".

“L’Edhec mise sur le développement durable et la finance climatique" – HEADway Advisory (11/07/2023)

"La sustainability, le développement durable et inclusif, est au cœur de la stratégie de l’Edhec. « Nous voulons devenir l’un des leaders, sinon le leader, de la finance climatique avec un centre de recherche maintenant bien implanté à Nice et Londres. Les marchés se sont un peu endormis et ne mesurent pas encore très bien les impacts financiers du changement climatique », établit encore Emmanuel Métais dont le centre de recherche sur les infrastructures intègre également ces dimensions. Un centre qui se développe avec la vente d’indices qui permettent de mieux calibrer les investissements et gérer les impacts environnementaux".

“New ISSB standards: Appeasement or a new era of accountability?" – Net Zero Investor (29/06/2023)

"The ISSB’s approach focuses solely on single materiality, or how sustainable factors relate to the financial value of a business, as Frédéric Ducoulombier, director at the EDHEC-Risk Climate Impact Institute explains: “We remain solidly in the realm of single materiality - the progress achieved is thus in the standardisation of the metrics".

“Emmanuel Metais (Edhec) : "La génération d'aujourd'hui veut changer le monde, à nous de les préparer à cela"" – France Info (16/06/2023)

C'est quoi, la finance durable? La finance, c'est des milliers de milliards de dollars qui sont investis tout autour du monde. Et ce qu'on veut c'est que ces milliers de milliards de dollars soit orientés de manière à lutter contre le changement climatique. A l'Edhec, c'est un centre de recherche : 20 millions d'euros qu'on va dépenser sur les cinq prochaines années pour avoir des chercheurs sur nos campus de Nice, de Londres et de Singapour, qui vont essayer de bien comprendre d'une part, l'influence du changement climatique sur la finance et, d'autre part, comment la finance peut avoir un impact positif sur le changement".

“We need new tools to predict climate risks" – Financial Times (10/06/2023)

"Assigning probabilities to the socio-economic narratives is very difficult. But if we are interested in their climate consequences, these narratives ultimately translate into paths for economic growth, emissions and technological development." (...) We know less about these factors than we would like. But we do have some information about economic growth; on how technological barriers limit the speed with which we can cut emissions; about the fastest rates of decarbonisation observed to date; or the link between investment in abatement technology and technological progress (what economists call “learning by doing”). From this knowledge, imperfect though it is, we can build analytical tools that both keep track of uncertainties and make good use of the information that we do have (...).

(...) A better understanding of the likelihood of the full range of possible outcomes, and of what we should really worry about, could change this picture for the better".

“The IMF’s Turn to Lead on Climate" – Project Syndicate (31/05/2023)

“While the International Monetary Fund has made great strides on climate change in a short time, emerging markets and developing economies need resources to invest in resilience more urgently than ever. There are four ways the IMF can help them shift to a low-carbon pathway and finance adaptation measures before it’s too late.

Emerging markets and developing economies (EMDEs) are feeling the financial squeeze. Two-thirds of low-income countries are already in or at high risk of debt distress, Russia’s war in Ukraine is compounding financial shocks with high food and energy prices, and the rising cost of capital is leaving governments with little, if any, fiscal space"

“EDHEC : « nous avons repensé nos programmes pour former nos étudiants aux enjeux environnementaux »" – Le Parisien (25/05/2023)

“ Qu’il s’agisse de notre master ou de nos MScs, nos étudiants en finance bénéficient de l’expertise de plus de 50 enseignants-chercheurs et des travaux de pointe que nous conduisons au sein de l’EDHEC-Risk Climate, notre centre de recherche dédié à la finance climatique, ou encore au sein d’EDHECinfra, qui émet des recommandations en matière d’infrastructures durables.(...)

(...) Si je regarde l’Edhec, nous avons repensé nos programmes pour former nos étudiants aux enjeux environnementaux à travers nos cours de marketing, de management, de droit ou encore de finance. Nous avons fondé en 2022 un centre de recherche dédié à la finance durable « EDHEC-Risk Climate », doté de 20 M€, et créée, en 2021, un programme pédagogique destiné à enseigner les limites planétaires à nos 700 primo-entrants. Plus largement, notre Msc Creative Business & Social Innovation, fondé sur une combinaison unique d’enseignements dans les domaines de l’innovation sociale et de la culture, encourage les jeunes à faire converger carrière et impact sociétal. (...)"

“Climate regulation and financial risk: The challenge of policy uncertainty" – News rnd (25/05/2023)

“(...) Finance must become a major lever for the environmental transition. Our programs are designed with this in mind and are based on a virtuous triptych: academic excellence, hybridization of knowledge and professional approach. Whether it's our master's degree or our MScs, our finance students benefit from the expertise of more than 50 teacher-researchers and the cutting-edge work we carry out at EDHEC-Risk Climate, our research centre dedicated to climate finance, or at EDHECinfra, which issues recommendations on sustainable infrastructure. (...)

(...) If I look at EDHEC, we have redesigned our programs to train our students in environmental issues through our marketing, management, law and finance courses. In 2022, we founded a €20 million research centre dedicated to sustainable finance "EDHEC-Risk Climate" and in 2021 created an educational programme to teach planetary boundaries to our 700 first-time entrants. More broadly, our MSc Creative Business & Social Innovation, based on a unique combination of teachings in the fields of social innovation and culture, encourages young people to converge career and societal impact.(...)"

“Climate regulation and financial risk: The challenge of policy uncertainty" – VoxEU (10/05/2023)

“Climate risk has become a major concern for financial institutions and financial markets. Yet, climate policy is still in its infancy and contributes to increased uncertainty. For example, the lack of a sufficiently high carbon price and the variety of definitions for green activities lower the value of existing and new capital, and complicate risk management. This column argues that it would be welfare-enhancing if policy changes were to follow a predictable longer-term path. Accordingly, the authors suggest a role for financial regulation in the transition."

“Finance durable : "Il est absolument indispensable de relier un scénario climatique à une probabilité d’occurrence" (EDHEC-Risk Climate)" – RSE Datanews (11/04/2023)

“S'ils sont devenus ces dernières années un outil incontournable pour les investisseurs, les scénarios climats restent encore (très) loin d'être optimaux. Le point avec Riccardo Rebonato, Directeur scientifique d' EDHEC-Risk Climate et spécialiste du sujet.

Banques, assureurs, banques centrales, superviseurs. Pour les acteurs financiers qui s'enquièrent de savoir à quoi pourrait ressembler l'avenir climatique afin de mieux s'y préparer, les scénarios climat sont devenus absolument essentiels. Ce sont notamment sur eux que repose la conduite de stress-tests climatiques, ces fameux tests de résilience du secteur financier menés entre autres ces derniers mois par la Banque Centrale Européenne et l'Autorité Européenne des Assurances et des Pensions Professionnelles (EIOPA)."

“Irene Monasterolo, Directrice de l’Edhec Risk Climate Impact Institute Programme" – L'Actuariel (28/03/2023)

“Lauréate du prix Jeunes chercheurs en finance verte de la Banque de France de 2022, Irene Monasterolo invite à revoir le cadre de l’action des institutions financières mondiales pour inclure le risque climatique dans les stratégies d’investissement."

“EDHEC Dean Emmanuel Métais Wants Grads To Lead On Climate & Impact" – Poets & Quants (08/02/2023)

“My first goal was really to put in place what I just mentioned: To have an impact for future generations, to launch this mindset, and to start deeply transforming the school in order to reach this goal. So basically, this meant three big transformations: First, EDHEC is quite well known for our research in asset management. I really want us now to be known worldwide for climate finance, so finance for good. We have launched a research center (EDHEC-Risk Climate Impact Institute) on which we have dedicated €20 million, to develop tools and good research for integrating climate change in finance."

“NGFS Climate Scenarios 'weakened by lack of investment data" – Responsible Investor (06/02/2023)

“Scenarios used by global central banks to assess climate readiness are hampered by a lack of investment and financial data, according to a paper published by Banco de Espana. (...) The research was authored by climate finance academic Irene Monasterolo, BdE senior adviser Maria Neto, and Bloomberg head of climate products, Edo Schets."

“EU's Ecolabel needs a rethink?" – ETF Stream (24/01/2023)

“The European Securities and Markets Authority (ESMA) has produced useful work quantifying the proposed extension of the voluntary EU Ecolabel to retail financial products. Only 16 out of some 3,000 sustainability-orientated UCITS equity funds – i.e. funds reporting under the Sustainable Financial Disclosures Regulation (SFDR) Article 8 and 9 – are estimated to meet three main quantitative criteria set forth in the latest report from the European Commission."

“Viewpoint: And if we trusted the market to improve ESG information?" – Investment & Pensions Europe - IPE (20/01/2023)

“It is high time that the market fulfilled its role in the area of ESG information and it is urgent for the #regulator to stop making false promises on the “greening” of portfolios and to allow investors to do their work of environmental impact evaluation"

“Climate finance: what is reasonable to expect from MDBs?" – The Banker (16/01/2023)

“Irene Monasterolo of EDHEC Business School, and Stefano Battiston of the University of Zurich and Ca’ Foscari University of Venice, share a few thoughts on climate financing and risk, and the roles that multilateral development banks (MDBs), governments and the private sector should play in this space."

2022

“Irene Monasterolo : « Il devient urgent que la finance internationale fasse sa révolution »" – Le Monde (18/11/2022)

“L’économiste Irene Monasterolo appelle, dans une tribune au « Monde », à changer radicalement le cadre théorique de l’action des institutions financières mondiales pour inclure le risque climatique dans les stratégies d’investissement (...) Pourquoi le financement pour l’atténuation et l’adaptation reste-t-il insuffisant, notamment dans les pays émergents et en voie de développement ? Cela s’explique par l’incertitude autour des politiques climatiques et par l’incohérence des signaux adressés aux marchés. Aucune intervention financière, qu’elle soit publique ou privée, ne peut répondre au changement climatique en l’absence de politiques économiques et énergétiques crédibles. La crédibilité des politiques est la clé de l’engagement des parties ; elle rend autoréalisatrices les attentes des investisseurs et leurs évaluations des risques, ce qui est essentiel pour réorienter les capitaux vers l’atténuation et l’adaptation."

“Climate finance: what is reasonable to expect from MDBs?" – Sustainable Views FT (10/11/2022)

“MDBs are a crucial actor but in order to fully deliver on their role for theclimate, they need to revise the way they think and act on climate finance. They need a 'theoryof change'. This means in particular to recognise that climate risks are forward-looking and thatin transition scenarios the risk of carbon-intensive projects is higher than for low-carbon ones.This should be reflected into the climate financial risk assessment of projects. Many MDBs havenot yet internalised this idea."

“Irene Monasterolo : COP27: Development banks must do more on climate" – Le Monde (09/11/2022)

“Banks don't just have resources for loans or grants at their disposal," said Irene Monasterolo, an economist specializing in climate finance at Edhec."

“EDHEC announces creation of major research centre in climate finance" – India Education Diary (04/08/2022)

“Following the “Research for Business” approach that sets EDHEC apart from its competitors, this new research centre will leverage finance research to contribute to the positive transformation of the global economy and society. Over the next five years, an impressive 20 million euros will be invested in ERCII. Under the leadership of Frédéric Ducoulombier and with a staff of 25 experts and researchers, the centre will assist investors in the transition to a low-carbon economy by helping them understand and manage the financial implications of climate change."

“Shades of green: Do they matter?" – ESG Clarity Intelligence (10/05/2022)

“Professor Gianfranco Gianfrate of the EDHEC Business School looks at how proceeds are used from light to dark green bonds"

“The IMF Needs to Mitigate Climate Transition Risk" – Project Syndicate (11/04/2022)

“The potential of countries' climate policies to damage other countries' economies has not received as much attention as it deserves. Without proper international coordination, well-intended measures in major economies could further widen the income and welfare gap between rich and poor countries."

“TOP 10 PYTHON MACHINE LEARNING COURSES TO TAKE UP IN 2022" – Analytics Insights (25/03/2022)

“Python and Machine Learning for Asset Management- Coursera - Offered by EDHEC Business School This course will enable you to master machine-learning approaches in the area of investment management. It has been designed by two thought leaders in their field, Lionel Martellini from EDHEC-Risk Institute and John Mulvey from Princeton University. Starting from the basics, they will help you build practical skills to understand data science so you can make the best portfolio decisions."

“Corporate Values Do Have a Market Price" – Washington Post (16/02/2022)

“The impact on market values is echoed in the second study, by the EDHEC Business School’s Risk Institute, albeit related to greenwashing rather than actual ESG violations. EDHEC analyzed the performance of the 500 largest U.S. companies between 2012 and 2017, comparing Newsweek Sustainability Rankings with ESG scores produced by London Stock Exchange Group Plc’s Refinitiv unit.(1) The researchers proposed that the former scores are “more reliable and accurate” than the latter, arguing that any widening of the gap in favor of the ESG valuation compared with the NWS count was evidence of greenwashing."

“Orpea’s high scores show inadequacies of ESG framework, research firm says" – Marketwatch (07/02/2022)

“Orpea as recently as September highlighted upgrades from three firms: ISS ESG, Vigeo Eiris and Sustainalytics. Analysts at Scientific Beta, a research venture of the Singapore Exchange and the EDHEC Risk Institute, said the “unreliable nature of these inputs not only limits their usefulness but can at worst have negative impacts on the achievement of real-world ESG goals sought by investors.”"

“Best Sustainable Finance/ ESG Courses (2022)" – Bankers By Day (28/01/2022)

“Climate Change and Sustainable Investing Specialization from EDHEC - Why take this course? EDHEC is a premier European business school offering industry leading programs and courses. They have several online course offerings that we have reviewed on BankersByDay and this one on sustainable investment is equally impressive and worth adding to your CV. The core aim of this course is to demystify the relationship between climate change and economy/ Finance. The financial world has a key role to play in solving this crisis, along with scientific, engineering and economic efforts. The courses in module each focus on one of these areas and cover them all one-by-one. First up is the science and engineering of climate change so lay the groundwork of the problem. Economics and policies are up next with a deep dive into the main approaches used by economists and governments to help reduce emissions. The best solutions are ones that are self-perpetuating and that is what economists hope to create. And you will learn about the all the key ideas in this sphere. Financing and investing constitute the latter half of this specialisation with dozens of hours spent on various topics. This includes household, government and corporate investment, investor-led decarbonization of business processes, issuance of green securities, central bank efforts and other such tools. You will also learn about the methods used to identify, measure and reward financial investments that help tackle climate change."

2021

“Is Basel Faulty? Bank Regulation Is Still Built on Shaky Foundations – Macroprudential Matters (17/12/2021)

“In the wake of the 2008-2009 financial crisis, financial institutions in general, and banks in particular, have faced a heightened regulatory scrutiny, a more muscular and intrusive style of supervision, and substantially more onerous capital and liquidity requirements."

“‘Retirement Bonds’ could increase income, lower risk: EDHEC – Retirement Income Journal (16/12/2021)

“Why climate mitigation scenarios should factor in transition risk – Principles for Responsible Investment PRI (08/12/2021)

“Within sustainable finance, institutional investors face increasing demands to assess their exposure to climate risk. Climate mitigation models that factor in investor expectations are a key component of that. Climate change is recognised today by financial supervisors as a source of financial risk for institutional investors."

“Are investors being misled by grand green claims, attached to pricy financial products? – The Globe and Mail (26/11/2021)

“As ever in the world of environmental, social and governance standards, it’s not hard to find opposing evidence to the UBS findings. The EDHEC Business School’s Risk Institute, for example, argued last month that institutional ownership has little effect in curbing greenhouse gas emissions by companies. The EDHEC study used carbon-intensity data on more than 7,000 companies between 2007 and 2018, examining the relationship between their carbon footprints and their ownership by fund managers with combined assets of more than $70 trillion who participated in the 2018 United Nations’ Principles for Responsible Investments survey."

"Turning Green Into Gold Takes a Leap of Faith – Washington Post (24/11/2021)

"Turning Green Into Gold Takes a Leap of Faith– Bloomberg (24/11/2021)

"Active ownership as a tool of greenwashing – Global Investor Group (22/11/2021)

“When asset managers are criticized for the vast greenwashing happening in financial markets (EDHEC, 2021), the answer is often that greenwashing is only an issue for passive investments, while active strategies – particularly active ownership – can fix all these problems. Investors preoccupied with climate change can be “active owners” and influence the carbon footprint of investee companies by voting at shareholder meetings on climate-related issues and by actively engaging with executives and board members. We study to what extent institutional investors’ ownership affected corporate carbon emissions in 68 countries for the period from 2007 to 2018 and find that institutional investment on average does not appear to lead to any tangible carbon footprint reduction."

"Stay or sell? The $110tn investment industry gets tougher on climate – Financial Times (09/11/2021)

“This is backed up by research. A study by academics at Edhec Business School found that while institutional investors claim they are actively engaging with companies on climate issues, this is not followed by an actual decrease in the carbon footprint of those businesses. “[Investors] are unlikely to play a major role in the low carbon transition unless their active ownership becomes more effective,” the authors wrote. "

"Financial risk assessment and management in times of compounding climate and pandemic shocks" – Brookings (22/10/2021)

“Despite all the noise, the engagement efforts of asset managers had no effect on greenhouse gas emissions over the past decade. That’s one damning finding in research by Gianfranco Gianfrate, professor of finance at Edhec-Risk Institute, who has described greenwashing in the investment industry as a “weapon of mass destruction”. “Major [investment firms] are claiming to integrate sustainability into their stewardship and fund management”, said Gianfrate, “but they distract [end] investors, pretending they are doing what they are not doing.” Engagement is one of the industry buzzwords the professor focusses on. “All top asset managers are doing some greenwashing," he said. "[They] want the largest possible universe of securities to invest in, so don’t like to divest but ‘engage’. Engagement is a perfect tool for procrastination.”"

"Greenwashing by major polluters and investors inflicting "mass destruction" – Investors Chronicle (04/10/2021)

"Climate ETFs do little to decarbonise the economy, report finds – ETF Stream (22/09/2021)

“Climate change-related ETFs overstate their virtues while doing little to incentivise emissions reduction in the global economy, according to research conducted by EDHEC-Risk Institute. While examining ETFs tracking “low carbon”, “Paris-aligned” and “climate change” indices from commercial providers such as MSCI, S&P Dow Jones Indices and FTSE Russell, the report, titled Doing Good or Feeling Good? Detecting Greenwashing in Climate Investing, found green-labelled products were allocating more heavily to companies with deteriorating climate performance than those with a key role in decarbonising the economy. Looking at methodologies of different climate ETFs, the research said climate scores represent “at most” 12% of the determinants of constituent weightings within these products’ baskets. Meanwhile, market capitalisation “overwhelms” all other considerations, making up an estimated 88% of the factors that dictate stock weights with these ETFs."

"Placements immobiliers : pourquoi il faut, plus que jamais, diversifier ses SCPI – Le Monde - Argent (11/09/2021)

“Une récente étude du centre de recherche EdhecRisk Institute et de la société de gestion Swiss Life AM, réalisée sur un échantillon de 53 SCPI représentatives du marché entre 2003 et 2019, démontre les bienfaits de l'exercice. Si ce nombre n'est pas inaccessible, il reste élevé étant donné les montants minimums de souscription requis. Pour un épargnant avec un budget de quelques milliers d'euros, cet objectif sera difficile à atteindre. « Les effets de la diversification se font ressentir très vite dès lors qu'on ajoute un produit supplémentaire à son portefeuille », rassure toutefois Shahyar Safaee, chercheur au sein de l'EdhecRisk Institute et coauteur de l'étude."

"Les investissements responsables sont-ils plus risqués ? – Le Parisien (21/06/2021)

“Dans une enquête réalisée durant le premier semestre 2020 auprès d’investisseurs professionnels par l’Edhec Risk Institute, centre de recherche en gestion d’actifs et en management, la majorité des répondants* estime d’ailleurs que l’intégration des critères environnementaux, sociaux et de gouvernance permettrait de réduire « l’exposition au risque de long terme »."

"Managing ESG risks in sovereign bond portfolios – ETF Stream (09/06/2021)

“Having an impact? Lionel Martellini, professor of finance at EDHEC Business School, analyses the effect of incorporating ESG factors within the sovereign bond segment of portfolios.In a recent paper (Martellini and Vallée, 20211), we explore the impact of ESG factors on the risk and return of sovereign bonds from an investor perspective, in particular investigating how to measure and manage EGS risks in sovereign bond portfolios and their implications for sovereign bond portfolio strategies."

ETF Stream

"Q&A: Understanding carbon pricing – ESG Clarity (06/05/2021)

“An increasing number of companies are looking at internal carbon pricing for risk management as well as supporting climate policy. But what is it and how does it work? Professor Gianfranco Gianfrate, professor of finance at EDHEC Business School, answers ESG Clarity Intelligence‘s questions. How does internal carbon pricing work? An increasing number of global companies are adopting internal carbon pricing—also referred to as “shadow carbon pricing”— to make key decisions about their daily operations and long-term business models. Pricing carbon internally is a voluntary method for companies that allows them to measure the opportunity cost of emitting GHG emissions and to internalise the impacts of those emissions, even when all or part of their operations are not subject to external carbon regulations. Carbon pricing is a source of both risk and opportunities for companies. Scenario-planning techniques and rigorous analysis of climate policy risks can provide executives with an overall view of how their business might evolve under different carbon pricing regimes. Developing this sophisticated information can enable managers to more effectively engage with regulators and policy-makers, investors, customers, and suppliers. They can identify investments and strategies that are robust to alternative future climate policy scenarios and those that can establish a stronger competitive position in the company’s markets."

"ESG outperformance narrative ‘is flawed’, new research shows – Financial Times (03/05/2021)

“ However, fresh analysis by Scientific Beta, a “smart beta” index provider linked to the Edhec Research Institute, a French academic think-tank, disputes the claims that ESG funds have tended to outperform the wider market, or, in industry jargon, generate “alpha”. Most ESG investing is little more than a marketing trick. The message is not ‘ignore ESG’ but rather ‘do not buy the narrative of ESG outperformance’ Sony Kapoor, Nordic Institute for Finance, Technology and Sustainability “There is no ESG alpha,” said Felix Goltz, research director at Scientific Beta and co-author of the as yet unpublished paper, “Honey, I Shrunk the ESG Alpha”. “The claims of positive alpha in popular industry publications are not valid because the analysis underlying these claims is flawed,” with analytical errors “enabling the documenting of outperformance where in reality there is none”, he added. Scientific Beta analysed 24 ESG strategies that have been shown to outperform in other academic papers. It did find evidence that ESG funds have tended to outperform, with ESG leaders typically beating ESG laggards by almost 3 percentage points a year. "

"L’ESG ne profite pas à l’obligataire souverain comme aux actions ” – L'Agefi (20/04/2021)

“Les emprunts d’État intégrants les critères durables sont moins performantes pour les investisseurs mais plus économiques pour leurs émetteurs, selon l’EDHEC-Risk Institute. Les actions affichant les meilleurs scores environnementaux, sociaux et de gouvernance (ESG) enregistrent les meilleurs rendements sur le long terme par rapport aux actions non-durables. Ce qui n’est pas le cas des obligations souveraines. Dans une étude parue la semaine dernière, l’EDHEC-Risk Institute observe en effet que l’incorporation de critères ESG implique un coût d’opportunité par rapport à ce qui serait obtenu à partir d’un placement traditionnel optimal non-durable."

"Europe’s most SFDR-friendly asset managers” – Ignites Europe (29/03/2021)

“Gianfranco Gianfrate, a professor of finance at business school Edhec, says partial or delayed disclosure is “greenwashing”. “Asset managers are suddenly overwhelmed with a flurry of sustainability-related voluntary and discretional reporting requests and [so] missing the first SFDR cut of March 10 is excusable to a certain extent. “However, partial or delayed ESG disclosure is definitely a form of greenwashing.””

"Greenwashing in finance: Europe’s push to police ESG investing” – Financial Times (10/03/2021)

“Demographics are moving in favour of this revolution,” says Gianfranco Gianfrate, professor of finance at Edhec Business School in France. “The younger generations are really into sustainability and the environment and this translates into the products they are buying,” he says. “Covid amplified this interest.”

"EDHEC Business School Launches MSc In Climate Change & Sustainable Finance” – Business Because (01/02/2021)

“There are lots of opinions on climate change, but it's extremely useful that we look at hard facts and scientific evidence to come up with informed decisions,” explains Lionel Martellini, professor of finance and director of EDHEC’s Risk Institute. There are two central questions at the heart of the program: first, understanding the impact of investment decisions on climate change; secondly, understanding the impact of climate change on investment decisions.

“In a few years, no investment professional will be able to claim that they are making informed investment decisions without this awareness of climate change impact,” Lionel explains. “Even those portfolios that aren't angled towards clean energy transition will be impacted by climate change.” He also stresses that investment will begin to reflect a leaning towards responsible management and leadership. “I don't think it will be possible to be a meaningful financial professional in a few years time if you don't understand how non-financial indicators impact the financial performance of the firm.”
Copyright Business Because

"The inflation dragon is threatening a comeback” – Treasury Today (28/01/2021)

"Nobody is looking at inflation. I believe that everybody should be looking at nothing else,” says Riccardo Rebonato, Professor of Finance at EDHEC Business School and EDHEC-Risk Institute. “The world was obsessed by inflation in the 1970s-1980s, and completely forgot about it in the new century.” The unprecedented build-up in liquidity due to government spending and debt issuance to fight the economic impact of the pandemic will soon see economies take off and prices rise as the vaccines return life to normal. The scale of central banks’ response to coronavirus, combined with a huge fiscal stimulus like Biden’s proposed US$1.9trn COVID-19 relief bill, is going into the pockets of firms and people, rather than just the banking system. The ten-year US “break-even” rate — a proxy for investors’ inflation expectations over the next decade — is starting to rise. It has climbed from below 1.6% in September to about 1.9%, the highest since May 2019 and just below the Fed’s average inflation target of 2%. In the eurozone, inflation expectations are still well below the ECB’s target of just below 2%.”
Copyright Treasury Today

"Book Review: Advances in Retirement Investing” – Enterprising Investor - CFA Institute (21/01/2021)

"This is an essential source for cohesive retirement investment strategies based on the accumulation and decumulation of wealth, viewed as a continuum. It compares and contrasts its strategies with those of traditional investments used for retirement, such as target date funds, balanced mutual funds, and annuities. It suggests the launch of new forms of retirement investment solutions that better serve the goal of generating replacement income than do existing products with a retirement label.”
Copyright Enterprising Investor - CFA Institute

2020

"Les critères ESG suscitent un intérêt grandissant chez les investisseurs” – La Tribune (14/12/2020)

"Dans une enquête réalisée par l’Edhec, la majorité des répondants estime que l’intégration des critères environnement, social et gouvernance permet de réduire l’exposition au risque de long terme. Depuis 2006, l'EDHEC-Risk Institute réalise annuellement une enquête en Europe portant notamment sur l'utilisation des ETFs, les fonds qui reproduisent l'évolution d'un indice boursier et qui se négocient en bourse comme un titre ordinaire.”
Copyright La Tribune

"Indexing, Climate Impact and Beyond” – Portfolio Institutional (08/12/2020)

"Absolutely, and increasingly so. In a survey conducted by EDHEC-Risk as part of Amundi’s research chair, almost 60% of respondents highlighted the environment as the most important dimension of ESG. And, more specifically, almost a third of respondents were looking for ETF providers to deliver more climate solutions.”
Copyright Portfolio Institutional

"How European investors consider introducing ESG with ETFs and in factor investing” – ETF Stream (15/11/2020)

"Véronique Le Sourd, senior research engineer at EDHEC-Risk Institute,analyses the latest trends from across the ESG ETF space following the release of the firm’s survey annual factor investing survey.”
Copyright ETF Stream

"Half of EDHEC-Risk Alternative Indexes positive in September” – HedgeWeek (05/11/2020)

"Half of the EDHEC-Rosk Alternative Indexes achieved positive performances in September, with Short Selling ending the month as the best performing strategy (1.39 per cent), followed by Merger Arbitrage (0.83 per cent) and Fixed-Income Arbitrage (0.79 per cent).”
Copyright HedgeWeek

"Dealing with Distortions: Risk in the Covid Era” – Treasury Management International (23/10/2020)

"Investors and risk managers are staring into the abyss. Unable to use past asset pricing models to predict the immediate future they are, says Professor Riccardo Rebonato of EDHEC Business School, hamstrung by a toxic combination of politics, the current global crisis and asymmetry of risk. This, he says, is the time they should look for ‘the best-looking horse in the soap factory’ to help them at least stay in the race.”
Copyright Treasury Management International

"SRI/ESG at the expense of smart beta” – Born2Invest (15/10/2020)

"Nearly 40% of all investments in European sustainable and socially responsible funds go through ETFs, with which institutional investors are satisfied. According to the latest statistics from the ETFGI consulting firm, globally listed smart beta ETFs in the equity category suffered a net outflow of $2.2 billion in July. This brings net inflows to only 10.36% in the first seven months of the year. EDHEC’s latest survey of the European exchange-traded fund (ETF) market confirmed the special and increasingly central place occupied by socially responsible investments (SRI) based on ESG criteria. Conducted as part of the EDHEC-Risk Institute research chair in partnership with asset manager Amundi, the survey revealed that nearly one in two European professionals (49%) now invest in sustainable SRI-ESG funds. Only 17% did so in 2011 and less than 20% five years ago. An even more significant proportion (55%) specifically use ETFs to gain exposure to sustainable investments. The survey (EDHEC European ETF, Smart Beta & Factor Investing Survey 2020), published last week, was conducted via an online questionnaire with 191 institutional investors such as European asset management companies, pension funds, and asset managers, 16% of which are based in Switzerland. Their assets under management amount to more than 10 billion euros for at least 35% of them. Véronique Le Sourd, Senior Research Engineer at the EDHEC-Risk Institute and co-author of the survey, emphasizes that the rapid development of ETFs is not only due to their degree of use but also to the intensity with which they are used to invest in SRI-ESG strategies.”
Copyright Born2Invest

"EDHEC-Risk ETF survey focuses on ESG” – ETF Express (05/10/2020)

"The EDHEC-Risk Institute has announced the results of the 13th EDHEC European ETF, Smart Beta and Factor Investing Survey, a comprehensive survey of 191 European ETF and smart beta investors, conducted as part of its Amundi research chair on “ETF, Indexing and Smart Beta Investment Strategies”. This survey, conducted since 2006, aims to provide insights into European investors’ perceptions, practices and future plans in the domain of ETFs and Smart Beta. The 2020 edition presents a new focus on SRI/ESG investing.”
Copyright ETF Express

"Avoiding ‘sin stocks’ is no longer enough for ESG ETFs” – Financial Times (01/10/2020)

"Positive screening was the preferred approach for 45 per cent of investment professionals surveyed by Edhec Risk Institute in a report published on Thursday. That compares with just 30 per cent who preferred thematic approaches — restricting investment choices to companies that score highly on gender diversity, or to those producing green energy for example — and 25 per cent who said they would opt for the simple exclusion, or negative screening, approach.

Lionel Martellini, professor of finance at Edhec Business School, said he was not surprised to learn that investors were ditching the pure negative screening approach. Not only can deliberately choosing companies that have good socially responsible credentials have the potential to improve the ethical appeal of the ETF, but it also reduces tracking error, he said. Tracking error occurs when the performance of the ETF diverges from the benchmark it is supposed to be tracking. “With best-in-class you try to keep the same exposure as your benchmark,” he explained.”
Copyright Financial Times

"Which areas do investors want to see further ETF product development?” – ETF Stream (01/10/2020)

"ESG and low carbon ETFs were cited as the top two areas where investors would like to see further product development, according to the latest EDHEC-Risk Institute survey. The survey, which interviewed 191 European ETF and smart beta investors in partnership with Amundi, found 43.2% of respondents cited further product development in the ESG ETF space, a 12.7 percentage point increase from 2019. Meanwhile, 30.8% of investors cited low carbon ETFs as another area, an 8 percentage point increase and second on the list having been just tenth in 2019.”
Copyright ETF Stream

"Principal Director of Investment Strategy at PGGM appointed as new chairman of EDHEC-Risk Institute’s international advisory board” – Institutional Asset Manager (15/09/2020)

"EDHEC-Risk Institute has appointed Jaap van Dam as chairman of its international advisory board. Van Dam is the Principal Director of Investment Strategy at PGGM in the Netherlands. PGGM is a leading Dutch pension administrator with roots in the healthcare and social work sectors. It manages about EUR268 billion (USD329 billion) in pension assets for more than 2.5 million Dutch participants. PGGM provides services in pension fund management, comprehensive asset management, management support, and policy advice to various pension funds.”
Copyright Institutional Asset Manager

"EDHEC and MINES launch Sustainable Finance degree” – Global Education Times (19/08/2020)

"Lionel Martellini, Director of the EDHEC-Risk Institute and Professor of Finance at EDHEC Business School, similarly expressed his anticipation at the benefits that this new double degree will provide to the international landscape of climate change finance.”
Copyright Global Education Times

"Strategic Plan For A Sustainable Business School” – Poets & Quants (10/08/2020)

"For 20 years, EDHEC has focused on research that strongly impacts both the academic and business worlds while generating a virtuous economic circle for the school. In 2021, our triple-accredited, top-ranked MBA programme will be celebrating the 60th graduating class. We created the EDHEC-Risk Institute then its spin-off Scientific Beta, achieving global reach in finance. In January, we sold Scientific Beta for USD200m. That windfall will be used to foster our commitment to sustainable projects which are the core of our strategic plan. Thus, to address society’s and the economy’s most persistent issues, EDHEC will create a cross-discipline research center devoted to Sustainable Finance and launch an investment fund called EDHEC Ventures for Future Generations: we will partner beside startups with projects promising positive social impact related to climate change and the ecological transition.”
Copyright Poets & Quants

"Why a top quant wants to be wrong about markets?” – Risk.net (24/07/2020)

"Riccardo Rebonato has spent a career trying to make sense of markets. Today, he’s finding they make little sense at all. “It completely baffles me how we can have equity prices that are similar to the prices in December, when the word Covid was unknown,” says Rebonato, a finance professor at Edhec and former chief quant at Pimco. “Everything points to massively lower prices,” he says. Current stock market valuations fly in the face of asset-pricing theory, in which Rebonato is a leading”
Copyright Risk.net

"Defining and exploiting value in US Treasury bonds” – ETF Stream (18/06/2020)

"EDHEC’s Riccardo Rebonato, Jean-Michel Maeso and Lionel Martellini propose a definition of value in Treasury bonds that allows for statistically significant and economically relevant predictions of cross-sectional excess returns.”
Copyright ETF Stream

"CPD: Factor investing – an introduction” – AdviserVoice (16/06/2020)

"Motivations to use smart beta and factor strategies: A 2019 survey[15] of European investment professionals, conducted by EDHEC Risk Institute, found the most important motivation behind the adoption of smart beta and factor investing strategies is to improve performance. On a scale from 0 (no motivation) to 5 (strong motivation), respondents gave an average score of 3.76 to ‘Improve performance’. ‘Manage risk’, which is in second position among key motivations (score of 3.25), is also an important element of choice when it comes to smart beta and factor investing strategies (see Figure 4)."
Copyright AdviserVoice

"ICMA principles to help sustainable bond push” – Reuters’ Refinitiv International Financing Review (12/06/2020)

"The fact that issuers set and monitor their own targets on sustainable debt is also controversial."If you leave economic actors to self-regulate you will end up protecting insiders and the status quo," said Gianfranco Gianfrate, the sustainable finance lead expert at the EDHEC risk institute in Paris."
Copyright Reuters’ Refinitiv International Financing Review

"Les hedge funds lorgnent la dette des entreprises en faillite ou en grande difficulté” – Les Echos (11/06/2020)

"En 2009 , ces fonds avaient gagné plus de 35%% . Sur le long terme , les actifs décotés constituent la deuxième stratégie la plus performante. Depuis 2001 , elle gagne en moyenne 7 ,25 %% chaque année derrière les émergents ( + 7 ,40 %%) , d ' après les indices de ' Edhec Risk Institute.”
Copyright Les Echos

"Green Pioneers” – Investors Chornicle (04/06/2020)

"Fiscal policy fatigue isn’t just a UK problem. Worldwide, rising deficits undermine plans to cut carbon emissions. While acknowledging the risk, EDHEC-Risk Institute finance professor Riccardo Rebonato is philosophical, arguing that getting Covid-19 under control is a prerequisite for progress towards economic sustainability. “Let’s not forget that all non-Covid-related research (including climate change research) is currently on hold. Therefore, also from the perspective of fighting climate change, the best strategy is to get back on course as quickly as possible.”
Copyright Investors Chornicle

"Jobs bonanza in stewardship and sustainable investing teams” – Financial Times (08/03/2020)

"Gianfranco Gianfrate, a professor of finance at Edhec Business School, said corporate governance and sustainable work used to be viewed as dull with the roles often filled by those deemed less skilful by bosses. However, asset managers were now recruiting people with specialist skills and knowledge, he said. “There has been a change in the quality of people in the stewardship teams.”
Copyright Financial Times

"EDHEC-Risk Introduces A Comprehensive Investment Framework Blending Liability-Driven Investing and Factor Investing” – MondoVisione (05/03/2020)

"To explain what role factors can play in liability-driven investing is the purpose of a new EDHEC-Risk Institute publication entitled “Factor Investing in LiabilityDriven and GoalBased Investment Solutions”, conducted as part of the “ETF, Indexing and Smart Beta Investment Strategies” research chair supported by Amundi. Specifically, the authors analyse the benefits of a factor investing approach at three stages: 1. The construction of a performance-seeking portfolio that efficiently harvests factor risk premia across and within asset classes; 2. The construction of a liability-hedging portfolio that replicates as closely as possible factor exposures driving changes in the present value of liabilities; 3. The joint measurement and management of common factor exposures in performance-seeking and liability-hedging portfolios so as to improve the interaction between the two building blocks."
Copyright MondoVisione

"FED FACES LOW INFLATION OR LOW GROWTH” – Benefits and Pensions Monitor (27/02/2020)

"When monetary economists predict a future nominal ‘short rate’ as low as 2.5 per cent, they must either believe that the Fed will not be able to prevent a collapse in inflation (which can only be associated with difficult economic conditions) or that the real rate of growth will be extremely low; or both, says Riccardo Rebonato, professor of finance at the EDHEC Business School and the factor investing fixed income lead expert at the EDHEC-Risk Institute. However, this is a far cry from what the equity valuations seem to imply at the moment which means either the economists or the S&P500 must be wrong. With such a dramatic fall in expectations, one could be forgiven for expecting that risk premia should have widened, he says."
Copyright Benefits and Pensions Monitor

"Fuzzy data stalls ESG alpha hunt” – Risk.net (20/02/2020)

"Quants have found that raters’ different ways of refining the raw data they gather adds further to the confusion. Leading providers concur on only about half the companies they rate according to data from State Street Global Advisors. Some score companies by picking out the best and worst performers overall. Others pick out the best and worst by industry. “You can come up with an oil “ company that has a huge carbon footprint but good sustainability ratings,” says Gianfrate. Some raters score missed reporting ” fields as neutral, others penalise them.“No serious scholar at this point in time will say we have enough “ consistent evidence on whether ESG investing can relate to superior performance,” says Gianfranco Gianfrate, a professor of ” finance at Edhec Business School."
Copyright Risk.net

"How machine learning will reshape the future of investment management” – Forbes India (11/02/2020)

"Investment management is justified as an industry only to the extent that it can demonstrate a capacity to add value through the design of dedicated investor-centric investment solutions, as opposed to one-size-fits-all manager-centric investment products. After several decades of relative inertia, the much needed move towards investment solutions has been greatly facilitated by a true industrial revolution taking place in investment management, triggered by profound paradigm changes with the emergence of novel approaches such as factor investing, liability-driven and goal-based investing, as well as sustainable investing. Data science is expected to play an increasing role in these transformations. This trend poses a critical challenge to global academic institutions: educating a new breed of young professionals and equipping them with the right skills to address the situation, and who could seize the fast-developing new job opportunities in this field. Continuous education gives the opportunity to meet with new challenges of this ever-changing world, especially in the investment industry."
Copyright Forbes India

"EDHEC-RISK COLLABORATES ON RETIREMENT SOLUTIONS” – Benefits and Pensions Monitor (07/02/2020)

"Building upon fundamental research on risk allocation and goal-based wealth management conducted in recent years, EDHEC-Risk Institute is collaborating with the Bank of America to develop new research on goal-based investing for the construction of retirement investment solutions for individuals. The aim of the research is to develop a holistic goal-based investing framework for analyzing optimal retirement investment decisions for individuals in the transition or de-accumulation phase of their investment life cycle by using a broad range of investment product categories including stocks, bonds, and annuity-related products."
Copyright Benefits and Pensions Monitor

"More needs to be done to address the post-retirement challenges” – Kiwi Investor Blog (27/01/2020)

"The foundations of the investment knowledge for the Post-Retirement Investment solution as outlined above have regularly been posted on Kiwi Investor Blog. For those wanting more information, see the following links: A key foundation knowledge is Liability Driven Investing (LDI): More on Liability Driven Investing (LDI) for beginners. LDI is used by insurance companies and Defined Contribution Fund to manage their investments to match future cashflows/Income requirements. There needs to be a greater focus on generating Income in retirement during the accumulation phases: What Matters for Retirement is Income not the Value of Accumulated Wealth. Goal-Based Investing (GBI) is the wealth management application of LDI. The EDHEC Risk Institute GBI framework is amongst the most comprehensive and practical available. I try to do it justice in this Post: A More Robust Retirement Income Solution. EDHEC also advocate the concept of flexicurity. Flexicurity is the concept that individuals need both security and flexibility when approaching retirement investment decisions: Flexicurity in Retirement Income Solutions – making finance useful again. This Post: Evolution within the Wealth Management Industry, the death of the Policy Portfolio, builds on the concepts above and notes a paradigm shift within the industry to address the Post Retirement challenges. EDHEC provide a framework for the Mass-Customisation of the Retirement investment solution, which is very powerful."
Copyright Kiwi Investor

"SGX invests 186m euros for 93% stake in index firm Scientific Beta” – Business Times Singapore(24/01/2020)

Scientific Beta is established by EDHEC-Risk Institute (ERI Asia), an affiliate of EDHEC Business School. It is an independent index provider specialising in smart beta strategies, and boasts of having more than 60 asset owners and asset managers using Scientific Beta’s indices to track or benchmark their smart beta investments.”
Copyright Business Times Singapore

"IFAs are ‘decades behind’ portfolio climate risk” – CityWire (23/01/2020)

Nice-based Lionel Martellini, director at the EDHEC Risk Institute in France, says these risks pose significant threats to portfolio performance. But ignoring them also risks putting off a younger generation of potential clients who care about the environment. ‘This concern will grow, and retail investors will increasingly focus on climate investing,’ he says. ‘It’s important to anticipate that change. It will come up fast – in fact, we are already seeing the trend among younger investors. Addressing climate-related risk in portfolios is important for every adviser – even ones who don’t care about it personally.”
Copyright CityWire

"Ces nouveaux acteurs qui bousculent l'oligopole” – Les Echos (21/01/2020)

Le développement du smart beta (indices intelligents) et de l'ESG offre ainsi de nouvelles opportunités, puisqu'ils nécessitent de créer de nouveaux indices surmesure pour chaque stratégie. Le nombre d'indices boursiers a ainsi explosé, au point où l'on compte depuis quelques années davantage d'indices boursiers que de sociétés cotées en Bourses. Parmi les nouveaux acteurs, des universités se sont lancées, comme le CRSP de l'université de Chicago ou l'EDHEC Risk Institute de l'école de commerce parisienne.”
Copyright Les Echos

"Focus intensifies on KPIs for brown companies” – Reuters’ Refinitiv International Financing Review (17/01/2020)

""There is a convenient industry creating KPIs that is allowing a lot of greenwashing," said Gianfranco Gianfrate, professor of finance and sustainable finance lead expert at EDHEC risk institute in Paris. The Loan Market Association has already published sustainability-linked loan principles, but highly-rated companies "self-arrange" their own loans in the private loan market, and some have been able to set unchallenging targets with relationship banks. One company even described its own KPIs as "laughable" as they included targets around renewable energy use, recycling and promoting online products that were already part of its business and strategy. Weak KPIs help firms to avoid change by simply pledging to meet existing targets. Education technology company Pearson had one KPI linked to its commitment to extend its vocational educational reach internationally on a US$1.19bn SLL last March. “Companies will always pick KPIs that show they're a world leader, even if they're polluting a lot," Gianfrate said.”
Copyright Reuters’ Refinitiv International Financing Review

"The business school for the financial industry” – The European (08/01/2020)

"EDHEC Business School has become a key academic institution for the financial industry, a premier academic centre for applied financial research recognised worldwide. Since the creation of the EDHEC-Risk Institute (ERI) in 2001 – a research centre dedicated to asset and risk management – the school has developed academic or industrial partnerships with large and prestigious financial institutions and innovative educational initiatives for individual and institutional investors. ERI has also created two new international entities. EDHEC Infrastructure, supported by Singapore’s monetary authorities, conducts research on the financing and management of infrastructure investments. Scientific Beta designs alternative indices to traditional market for the world’s largest pension funds and sovereign wealth funds. The combination of academic excellence, whether for research or teaching, and the “EDHEC for Business” model are the main reasons behind the success of EDHEC’s PhD and Master’s in finance programmes.”
Copyright The European

"ETF Insight: Consistent ESG data needed for sustainable investing to avoid greenwashing issues” – ETF Stream (06/01/2020)

"According to Gianfranco Gianfrate, Professor of Finance at EDHEC Business School, there are around 200 providers of ESG data scores. (...) “Because there are so many data providers [with such varying scores],” Gianfrate said at ETF Stream’s ESG Investors Forum event, “investors are able to find one that rates the sustainability of a company even the others do not. It is like having no ESG ratings at all.”
Copyright ETF Stream

2019

"Los cursos en línea más populares de 2019 según Class Central” – IBL News .es (31/12/2019)

"Escuela de Negocios EDHEC Python y Machine Learning para la gestión de activos a través de Coursera”
Copyright IBL News .es

"Les hedge funds surfent sur l'envolée mondiale des marchés” – Les Echos (27/12/2019)

"Parmi eux, Kynikos le fonds de James Chanos a réussi la prouesse de gagner plus de 20 % sur les 10 premiers mois de l'année alors que Wall Street vole de record en record pénalisant les vendeurs à découvert qui perdent 7,2 % selon l'indice Edhec Risk Institute. Il a parié sur la chute de Grubhub, une entreprise américaine de livraison de repas dont l'action a cédé 36 %.”
Copyright Les Echos

"EDHEC-Risk Institute and FirstRand launch research chair” – Money Marketing (19/12/2019)

"EDHEC-Risk Institute and FirstRand Limited (FirstRand or the group) are partnering for the first time to launch a three-year research chair entitled “Designing and Implementing Welfare-Improving Investment Solutions for Institutions and Individuals” to expand the scientific literature on investor welfare-enhancing methodologies for portfolio construction in a goals-based investing framework. Year 1 will focus on a detailed analysis of the interplay between diversification and insurance, with the aim of determining whether it is possible to achieve an improvement in investor welfare by creating a diversified portfolio of insured assets, as opposed to insuring a portfolio of diversified assets.”
Copyright Money Marketing

"PGGM’s van Dam sees inflated expectations of sustainable finance” – Investment & Pensions Europe - IPE (19/12/2019)

"Speaking at an Edhec climate finance conference in Paris this week, Jaap van Dam said: ”Sometimes it feels that the whole of society is looking at the financial sector to solve the climate change problem.” I think that’s a much overrated thing,” he said. “Climate change is actually produced in the real world, so it’s about capital owners, it’s about capital investments, it’s about consumers, and I think the government has a very large role to play.””
Copyright IPE

"EDHEC-Risk Institute ETF Survey Reports Ethical, Fixed Income Smart Beta in Demand” – Traders Magazine (26/11/2019)

"EDHEC-Risk Institute has announced the results of the 12th EDHEC European ETF, Smart Beta and Factor Investing Survey[1], conducted as part of its Amundi research chair on “ETF, Indexing and Smart Beta Investment Strategies”. This survey, conducted since 2006, aims to provide insights into European investors’ perceptions, practices and future plans in the domain of ETFs and Smart Beta.”
Copyright Traders Magazine

"10 conseils pour doper son épargne” – Challenges (28/11/2019)

"La SCPI, enfin, permet de se diversifier tout en ayant un bon rendement annuel : plus de 4,5 % en moyenne, selon l'indice EDHEC-IEIF, avec des pointes au-delà de 7 % pour des SCPI de Corum. Seul bémol, ces produits souffrent de frais de souscription élevés (9 à 12 %) et d'être très investis sur les bureaux, le plus volatil des marchés immobiliers.”
Copyright Challenges

“Optimiser votre exposition aux obligations grâce aux ETF – L'Agefi (28/11/2019)

"Dans un marché des ETF en forte croissance, les produits obligataires rencontrent un incroyable succès, avec plus de 400 ETF exposés à cette classe d'actifs disponibles sur le marché européen1. Selon la dernière édition de l'enquête publiée cette année par l'EDHEC, près de 70 % des investisseurs recourent aux ETF dans le cadre de leur allocation obligataire. La collecte du marché européen des ETF montre aussi que la depuis début de l'année2.”
Copyright L'Agefi

“Review – Big Call: ESG Investors Forum” – ETF Stream (22/11/2019)

"Finishing off the event with a keynote was EDHEC’s Gianfranco Gianfrate who explained “the good”, “the bad” and “the ugly” within green investing. Gianfrate raised the issue of how there are too many ESG data providers scoring companies that are providing misleading results. For example, one company which was scored highly by data provider MSCI was scored poorly by FTSE and therefore the company could represent itself as sustainable.”
Copyright ETF Stream

“Immobilier: les Français continuent à se ruer sur la pierre papier” – Le Figaro.fr (22/11/2019)

"Au vu des rendements servis, les épargnants ont de quoi être séduits: 4,35% en 2018 et sans doute un peu plus en 2019. Au 30 septembre, les SCPI ont rapporté 4,5% par an en moyenne selon l’indice de prix Edhec IEIF Immobilier d’entreprise France. «Dans un contexte de taux bas, les épargnants ont trouvé dans les SCPI un produit d’épargne au rapport rendement risque attractif qui offre une alternative aux fonds euros dont les performances se compriment depuis plusieurs années» estime Véronique Donnadieu, déléguée générale de l’ASPIM.”
Copyright Le Figaro.fr

“Poor returns underline smart beta’s structural problems” – Financial Times (04/11/2019)

"Lionel Martellini, a professor at the Edhec Business School in France, says: “The performance we’ve seen for the last few years is disappointing but it’s not surprising. If we look at history, it’s not unusual for the performance of factors to turn negative.”
Copyright Financial Times

“Smart beta investors see corporate bonds as next growth area” – ETF Stream (14/10/2019)

"The type of diversification already achieved in equity ETFs is yet to be seen in fixed-income. “There is still a gap,” according to Lionel Martellini, Professor of Finance at EDHEC Business School. “This investment will develop in the near future, as soon as the offer matures and better matches investors’ needs.”
Copyright ETF Stream

“What happened to passive investing? ETFs and the return of active” – ETF Stream (14/10/2019)

"However, over the past three years the two approaches have gradually become more balanced, and for the first time this year, the use of ETFs for tactical allocation is actually greater than their role for long term positions (53% and 51% respectively) (see Exhibit 1).”
Copyright ETF Stream

“Retraites: le nouveau PER est arrivé, plus simple et… compliqué” – Challenges (14/10/2019)

"« La volonté du gouvernement est d’orienter l’épargne-retraite vers l’économie productive et en même temps vers des produits plus risqués, mais plus rentables, et d’aligner ainsi les intérêts des entreprises et des épargnants », explique Lionel Martellini, professeur de finance à l’EDHEC"
Copyright Challenges

“The EDHEC-Risk’s Annual European ETF And Smart Beta Survey Show Growing Demand For SRI/Ethical ETFs” – Hedge Think (11/10/2019)

"EDHEC-Risk Institute has announced the results of the 12th EDHEC European ETF, Smart Beta and Factor Investing Survey, conducted as part of its Amundi research chair on “ETF, Indexing and Smart Beta Investment Strategies”. This survey, conducted since 2006, aims to provide insights into European investors’ perceptions, practices and future plans in the domain of ETFs and Smart Beta. Here’s a selection of key findings in response to three key questions: 1. How do investors select and use ETFs? 2. What are the key objectives driving the use of Smart Beta and Factor Investing Strategies? 3. What are the future developments in ETFs and Smart Beta Products?"
Copyright Hedge Think

“EDHEC teams up with Coursera to launch MOOCs in machine-learning techniques for financial-sector professionals” – FENews.co.uk (09/10/2019)

"That's why EDHEC-Risk Institute, recognised globally for its financial-sector research, is launching a new digital programme, entitled Investment Management with Python and Machine Learning. “We expect that the use of machine learning techniques, and their application to big new data sets, will profoundly impact all dimensions of the investment management process, including security selection, portfolio construction as well as risk management practices”, says Lionel Martellini"
Copyright FENews.co.uk

“EDHEC’s pointers over fixed income ETF investment” – ETF Stream (09/10/2019)

"That is one of the questions posed by the findings of the recent EDHEC investor survey which suggested that fixed income was a key area where investors are demanding more diversity of products. As Lionel Martellini, professor of finance at EDHEC Business School, says “the more volatile the markets are, the more interesting it is to use low cost instruments for tactical allocation”. Of course, the greater choice afforded by ETFs has increased the more the products diverge from ‘simple’ broad market tracking. “ETFs, which originally replicated broad market indices, are now available in a wide variety of asset classes and market sub-segments and allow portfolio diversification. Investors can easily increase or decrease their portfolio exposure to a specific style, sector, or factor at lower cost with ETFs,” says Martellini"
Copyright ETF Stream

“Kiwi Investor Blog achieves 100 not out” – Kiwi Investor Blog (07/10/2019)

"Before I briefly outline some of the key topics covered to date by Kiwiinvestorblog.com, the “intellectual framework” for the Blog has largely come from EDHEC Risk Institute in relation to Goals-Based investing and how to improve the outcomes of Target Date Funds in providing a more robust investment solution. Likewise, Noble Laureate Professor Robert Merton’s perspective on designing an appropriate retirement system has been influential. Regulators and retirement solution providers should take note of his and EDHEC’s work. Combined, EDHEC and Professor Merton, are helping to make finance useful again. Their analysis into more robust retirement solutions have the potential to deliver real welfare benefits for the many people that face a challenging retirement environment. "
Copyright Kiwi Investor Blog

“Big data, IA : vers un gérant «augmenté» ?” – Option Finance (07/10/2019)

"(...) Lionel Martellini, directeur de l’EDHEC Risk Institute : « En matière de retraite, en France, nous avons besoin de promouvoir deux grands principes de santé financière : contribuer régulièrement et investir sainement. ». (...)"
Copyright Option Finance

“Quelle conomie pour les 320000 Silvers du 06” – Nice/Var/Monaco Matin (07/10/2019)

"Lionel Martellini, directeur de l’EDHEC Risk Institute : « En matière de retraite, en France, nous avons besoin de promouvoir deux grands principes de santé financière : contribuer régulièrement et investir sainement. »."
Copyright Nice Matin

“Growing demand for SRI/Ethical ETFs and significant interest in fixed-income Smart Beta solutions” – MoneyMarketing (26/09/2019)

"Professor Lionel Martellini, Director of EDHEC-Risk Institute, added, “The 2019 edition of the EDHEC European ETF, Smart Beta and Factor Investing Survey conducted as part of the Amundi research chair at EDHEC-Risk Institute on “ETF, Indexing and Smart Beta Investment Strategies” shows a true coming of age in investors’ perception and usage of ETFs, which have become mainstream investment instruments for asset owners and are increasingly used in active market, sector-specific but also factor rotation strategies. There is a substantial appetite for new development in the area of SRI and fixed-income factor investing, where academically grounded product innovation is still needed.
Copyright MoneyMarketing

“Buzz around factor investing in fixed income is growing” – Financial Times (23/09/2019)

"But the buzz around using factor investing within fixed income is growing, especially in Europe. An Edhec-Risk Institute survey found that in Europe, exposure to government bonds rose from 13 per cent to 66 per cent between 2006 and 2019, while corporate bonds increased from 6 per cent to 68 per cent in the same period."
Copyright FTfm

“Investors call on ETF issuers to develop fixed income smart beta products further” – ETF Stream (23/09/2019)

"Fixed income is the key area in smart beta investors want ETF issuers to develop products further, according to the latest EDHEC Risk-Institute’s European ETF and smart beta factor investing survey. The annual report found fixed income smart beta and factor investing strategies was the top priority for the 182 respondents, scoring 3.46 to the question “which type of solutions do you think require further product development by providers?” on a scale from 0 (not required) to 5 (strong priority)."
Copyright ETF Stream

“Smart Beta Bond ETFs May Be Beginning to Attract Attention” – ETF Trends (23/09/2019)

"More investors, though, are beginning to invest in factor-based fixed-income strategies, especially in Europe, David Stevenson reports for the Financial Times. According to an Edhec-Risk Institute survey, Europe institutional investor exposure to government bonds rose from 13% to 66% between 2006 and 2019, while corporate bonds increased from 6% to 68% in the same period. Furthermore, about three-fifths of the institutions surveyed focused on three factors integral to the credit risk market, including carry-to-level of the yield curve, credit, and slope of the yield curve.As more consider a factor-based fixed-income approach, most studies suggest that institutions could utilize these types of bond ETFs as tactical trading tools. Meanwhile, retail investors and advisors may look to smart beta bond ETFs for yield enhancement. Currently, Edhec argued that smart beta bond ETF “usage is limited because the current offer does not correspond to their [institutional investors’]needs in terms of risk factor, and due to a lack of research in the area.”
Copyright ETF Trends

“EDHEC-Risk Institute: The (Many) Problems of an Inverted Yield Curve” – MondoVisione (09/09/2019)

"Riccardo Rebonato, Professor of Finance, EDHEC-Risk Institute, EDHEC Business School is specialist in interest rate risk modelling with applications to bond portfolio management and fixed-income derivatives pricing. He gives you his insights on the inverted yield curve and unveil the latest estimates of the EDHEC Bond Risk Premium Monitor with a comparison of the 10-year term premium estimated by the Cochrane-Piazzesi, the Cieslak-Povala, the Slope &Cycle, and the EDHEC Stochastics Market price of Risk models. The inversion of the US Treasury yield curve is creating headaches in many quarters, not least in the estimate of risk premia. All the best-trusted models (including the slope, the Cochrane-Piazzesi, the Cieslak-Povala – some of these used, or at least quoted, by the Fed) are giving nonsensical answers, estimating risk premia as negative as -5% or more for the 10-year yield. See these model estimates in Fig 1. What is happening? If taken literally, these models would imply future rates at such negative levels to make the German Bunds look like high-yielders."
Copyright MondoVisione

“EDHEC’s Rebonato predicts ‘new dawn’ in fixed income investing” – ETF Stream (22/08/2019)

"Riccardo Rebonato, Professor of Finance at EDHEC Business School, has stressed timing factor exposures in fixed income is far more promising than in equities. Speaking to ETF Stream, PIMCO’s former global head of rates analytics said, although very little academic work had been done around factor investing in fixed income, it was relatively easier to predict corrections of the entire bond market compared to the equity market. "
Copyright ETF Stream

“Investors demonstrate appetite for innovation in fixed income ETFs” – ETF Strateggy (30/07/2019)

"In a bid to capitalise on potential opportunities, Amundi has teamed up with EDHEC-Risk Institute to conduct two new studies investigating the theoretical and practical challenges involved in harvesting risk premia in fixed income markets. Similarly, investors’ expectations that ESG fixed income strategies are poised to thrive are starting to be borne out in the numbers."
Copyright ETF Strateggy

“Smart beta funds fail to match hype” – Financial Times (27/07/2019)

"Lionel Martellini, a professor at France’s Edhec Business School, said: “Smart beta is not a free lunch.“A well-diversified exposure to rewarded factors will not always outperform. The promise is instead merely that it will provide superior risk-adjusted performance on average across market conditions in exchange for suffering pain in some market conditions.“
Copyright Financial Times

“The discovery of factors in fixed income” – Enterprising Investor - CFA Institute (19/07/2019)

"In Bond Pricing and Yield Curve Modeling: A Structural Approach, Riccardo Rebonato, professor of finance at the EDHEC Business School and the EDHEC-Risk Institute, combines theory with current empirical evidence to build a robust understanding of what drives the government bond market. The book provides the theoretical foundations (no-arbitrage, convexity, expectations, and affine modeling) for a treatment of government bond markets, presents and discusses the vast amount of empirical findings that have appeared in the finance literature in the past 10 years, and introduces the “structural” models used by central banks, institutional investors, academics, and practitioners to, among other things, model the yield curve, answer policy questions, gauge market expectations, and assess investment opportunities."
Copyright Enterprising Investor - CFA Institute

“The discovery of factors in fixed income” – ETF Stream (15/07/2019)

"(...) "In similar fashion to the dwindling faith in active management within the equity space, managers are now coming to questions whether the same erosion of trust is taking place in the ability of fixed income managers to control interest and credit-risk exposures. Professors Lionel Martellini, Riccardo Rebonato and Jean Michel Maes from the EDHEC business school suggest the steady decrease in interest rates in recent years has led institutional investors to question whether the active skills in this asset class can still work. As a step in this direction, the EDHEC Risk Institute has been able to provide a first detailed, security-level analysis on two factors that explain a large fraction of the differences in the cross-section of bond returns, namely value and momentum, using economically justified proxies for these attributes." (...)"
Copyright ETF Stream

“The quants are back in their billions ” – The Business Times (10/07/2019)

"(...) "If it's less than 30 years, I wouldn't look at it for factors," said Riccardo Rebonato, professor of finance at EDHEC Business School, EDHEC-Risk Institute, and a former global head of rates and FX analytics at Pimco. "Identifying a factor is like detecting the direction of a gentle breeze in the middle of a hurricane. You need a lot of observation to tell. (...)"
Copyright The Business Times

“The New Quant Billions Are Hiding in the Bond Market ” – Bloomberg (09/07/2019)

"(...) Working with data it first sourced from Lehman going back to the late 1980s, Netherlands-based Robeco built up a library of credit resources to construct automated strategies. For some skeptics, it’s barely enough. “If it’s less than 30 years, I wouldn’t look at it for factors,” said Riccardo Rebonato, professor of finance at EDHEC Business School, EDHEC-Risk Institute, and a former global head of rates and FX analytics at Pimco. “Identifying a factor is like detecting the direction of a gentle breeze in the middle of a hurricane. You need a lot of observation to tell.” Certain factors like momentum and value require lots of portfolio churn, a challenging proposition given the trading costs. "(...)
Copyright Bloomberg

“Amundi/EDHEC studies explore fixed income smart beta ” – ETF Strategy (03/07/2019)

"(...) EDHEC-Risk Institute has conducted two new studies, commissioned by ETF issuer Amundi, that investigate the theoretical and practical challenges involved in harvesting risk premia in fixed income markets. The studies focus on two factors that explain a large fraction of differences in the cross-section of bond returns, namely “value” and “momentum”, using economically justified proxies for these attributes."(...)
Copyright ETF Strategy

“+6,99% en un an ” – Pierre Papier (01/07/2019)

"(...) C’est la performance affichée, sur un an glissant, par l’indice EDHEC IEIF Immobilier d’Entreprise France « brut », qui retrace la progression de la valeur des parts et des dividendes distribués par les SCPI les plus actives du marché. Lancé par l’Institut de l’Epargne Immobilière et Foncière (IEIF) et l’EDHEC-Risk Institute, cet indice recouvre de fait environ 90 % de la capitalisation totale des SCPI investies en immobilier d’entreprise, et plus de 95 % des transactions secondaires constatées. Pondéré par les capitalisations des SCPI, il recense à la fois les véhicules à capital fixe et à capital variable, à condition que ces derniers aient enregistré un volume de transactions sur le marché secondaire supérieur à 2 millions d’euros au cours de l’année précédente. Dans sa version « nu », l’indice EDHEC IEIF Immobilier d’Entreprise France retrace donc la progression de la valeur des parts des SCPI les plus actives du marché. Dans sa version « brut », qui intègre les dividendes distribués (supposés réinvestis), il en mesure la performance globale. Publié avec une fréquence mensuelle (le 20 du mois suivant la fin de chaque mois calendaire), sa composition est révisée deux fois par an, en mars et en septembre. Lors de sa dernière révision, il comprenait 47 SCPI affichant une capitalisation globale de 48 Md€ (soit près de 90% de la capitalisation totale des SCPI en mars 2019 -54,3 Md€-)."(...)
Copyright Pierre Papier

“EDHEC-Risk Institute Says Duration-Timing Strategies Can Work” – Value Walk (21/06/2019)

"(...) Riccardo Rebonato, Professor of Finance, EDHEC-Risk Institute, EDHEC Business School is specialist in interest rate risk modelling with applications to bond portfolio management and fixed-income derivatives pricing. He comments on yesterday FOMC & FED’s meeting minutes. The equity markets heaved a sigh of relief after Chairman Powell’s words at the post-FOMC meeting conference, interpreting his remarks as an implicit assurance that (if needed) the policy of the Greenspan / Bernanke / Yellen ‘put’ will be continued under his stewardship. Matters are not quite as straightforward, however, for two important reasons."(...)
Copyright Value Walk

“EDHEC-Risk Institute Says Duration-Timing Strategies Can Work” – Traders Magazine (24/05/2019)

"(...) It is within this context that EDHEC-Risk Institute has launched a dedicated research programme that aims to broaden the concepts of factor-investing in bond markets by i) analysing the risk factors that drive these universes, ii) finding whether they attract compensation or not, and iii) more generally, examining bond return predictability. A new study produced as part of the Amundi research chair on “ETF, Indexing and Smart Beta Investment Strategies” focuses on the two factors that explain a large fraction of differences over time in bond returns, namely the “level” or “slope” of the yield curve."(...)
Copyright Traders Magazine

“The future of retirement is already here” – Cuffe links (22/05/2019)

"(...) Other innovations being considered include retirement-targeted bonds. These instruments – suggested by professors of finance Lionel Martellini, Robert Merton and Arun Muralidhar of the EDHEC Business School in Lille, France – would differ from conventional bonds in that they would not pay coupons and a lump sum at maturity. Instead, they offer a secure income for an agreed term. Investors could acquire bonds to cover their income needs in retirement, probably in the later stages of accumulation, before switching to an annuity for later life."(...)
Copyright Cuffe links

“EDHEC-Risk Institute launches factor investing in bond markets research programme” – ETF Stream (21/05/2019)

"(...) EDHEC-Risk Institute has launched a research programme that aims to broaden the concepts of factor investing in bond markets. This is in response to the substantial research available on factor investing in equity products and the scarcity of research on the existence of risk premia in fixed income. EDHEC analyses the risk factors that drive universes, determine whether they attract compensation and more generally examine bond return predictability."(...)
Copyright ETF Stream

“Index companies to feel the chill of fund managers’ price war” – Financial Times (20/05/2019)

"(...) He says Amundi, which manages €1.5tn, including €112bn in index funds, is considering its options, such as producing benchmarks of its own. Mr Perrier says this includes a collaboration with Edhec, the French business school, to work on fixed-income exchange traded funds that use factor investing.
(...) Other fund managers are looking to non-commercial index providers, such as academic institutions. Edhec-Risk Institute is tied to the eponymous Nice business school and has worked with French managers such as Amundi, as well as international groups including Bank of America Merrill Lynch, to launch indices for fixed income, property funds and retirement products.Lionel Martellini, director of Edhec-Risk Institute, says savings are only one reason for fund managers looking beyond the big providers. “A lot of asset managers that get into self-indexing want to be the sole owner of the relationship with end-investors and want a better handle on developing the underlying strategy.”He warns that index construction is not simple. “Some asset managers slightly underestimated the cost and complexity of running an index business."(...)
Copyright Financial Times

“Factor investing in bonds should focus on two additional factors” – Money Management (17/05/2019)

"(...) EDHEC-Risk Institute aims to widen the concepts of factor-investing in bond markets by encouraging investors to focus on the two factors that help explain fraction of differences over time in bond returns, the ‘level’ or ‘slope’ of the yield curve. According to the institute’s paper, produced as part of the Amundi research chair on “ETF, Indexing and smart beta investment strategies”, it would be possible to build duration-timing strategies that were economically superior to bearing unconditional duration risk."(...)

“The Need for Flexicure Retirement Solutions” – Actuarial Post (07/05/2019)

"(...) In response to these concerns, a number of so-called retirement products have been proposed by insurance companies and asset management firms. Asset management products offer a wide range of investment options, but none of these options really address retirement needs because they neither allow investors to secure a given level of replacement income, nor explicitly intend to do so. This is also true for target date funds, even though they are often used as default options by individuals saving for retirement. In contrast, insurance products, such as annuities and variable annuities, can secure a fixed level of replacement income throughout retirement. However, this security comes at the cost of a severe lack of flexibility, because annuitization is an almost irreversible decision, unless one is willing to bear the costs of high surrender charges, which can amount to several percentage points of the invested capital. This rigidity is a major shortcoming in the presence of life uncertainties such as marriage and children, changing jobs, health issues, changing locations to lower or higher cost cities or countries, decisions about retirement dates, etc."(...)
Copyright Actuarial Post

“Can retirement bonds prevent a pensions crisis?” – MallowStreet (07/05/2019)

"(...) IEconomists from EDHEC Risk Institute have come up with a new idea about financing the years in which we won't or simply can’t work anymore: retirement bonds. But is it a viable solution or just an academic fad? Fears that the world is facing a pensions crisis – with large numbers of people unable to afford to retire or having to rely on the state – have become more widespread in recent years and led to a search for solutions to improve what pure defined contribution can offer"(...)
Copyright MallowStreet

“Private banks must take goals-based tech to heart” – Professional Wealth Management (15/04/2019)

"(...) One recent summit, held under the auspices of the EDHEC Risk Institute, a leading French academic powerhouse, showcased this battle for the soul of the wealth management industry. Academics, private bankers, thought leaders, regulators and innovators gathered to discuss the key question yet to be resolved: what should be the role of technology in client acquisition and servicing, data analysis and portfolio management?"(...)
Copyright Professional Wealth Management

“Fed funds’ projections lower in March” – Money Management (12/04/2019)

"(...) EDHEC-Risk Institute’s professor of finance, Riccardo Rebonato, says there are a few reasons why the latest March projections for the Fed Funds in the year to come, made by the Fed Monetary Committee, were lower than the expectations from December. Rebonato, who is a specialist in interest rate risk modelling with applications to bond portfolio management and fixed-income derivatives pricing, said that market yields reflected expectations but also incorporated a risk premium, which was a compensation for bearing risk."(...)
Copyright Money Management

“Financement de leur retraite : une source d'inquiétudes pour les Français” – Banquesenligne.fr (11/04/2019)

"(...) Face à une certaine méconnaissance des produits d’épargne et à la complexité du système de retraite français, un effort de pédagogie doit être fait. A ce titre, certaines idées fleurissent à l’image du professeur de finance à l’Edhec, Lionel Martellini, qui invite à la création d’une agence publique. Son but : accompagner les Français dans leurs arbitrages."(...)
Copyright Banquesenligne.fr

“Eduquons les Français à la finance !” – Les Echos (30/03/2019)

"(...) LE CERCLE/POINT DE VUE - Les Français préparant leur retraite possèdent beaucoup d'épargne, mais celle-ci est mal orientée. Pour les accompagner dans leurs arbitrages, le professeur à l'Edhec Lionel Martellini préconise la création d'une agence publique."(...)
Copyright Les Echos

“Three things your clients may call you about this week …” – Professional Adviser (24/03/2019)

"(...) As the goalposts continue to move for savers, says EDHEC-Risk Institute director Professor Lionel Martellini, the necessity for future retirees to start planning now only increases. One of the key issues is that public and private pension schemes almost always deliver replacement income that is lower than labour income, he says, adding: "The gap is sometimes severe."(...)
Copyright Professional Adviser

“Pension CRISIS: How would the UK solve a retirement TIME-BOMB?” – Daily Express (23/03/2019)

"(...) As the goalposts continue to move for savers, Professor Lionel Martellini, Director of the EDHEC-Risk Institute, urged future retirees to start planning now for their golden years. Professor Martellini spoke to Express.co.uk about how to avoid a pensions crisis in an economy where individual investors are becoming increasingly responsible for their own saving. One of the key issues, according to Professor Martellini, is that public and private pension schemes almost always deliver replacement income which is lower than labour income. He added: “The gap is sometimes severe. “According to the OECD, an individual with average earnings in the United States can expect to receive merely 49.1 percent of labour income from mandatory pension arrangements when retiring. “The replacement rate falls to 29.0 percent in the United Kingdom. “With the need to supplement public and private retirement benefits via voluntary contributions, individuals are becoming more and more responsible for their own retirement savings and investment decisions.” This global trend poses substantial challenges to individuals, he said, who often lack the expertise required to make such complex financial decisions. (...)
Copyright Daily Express

“L’OBLIGATAIRE tenté par le «smart beta»” – L'Agefi (14/03/2019)

"(...) La parole à ... RICCARDO REBONATO, professeur de finance à l’Edhec-Risk Institute. (...) Sur les obligations d’Etat, comment déterminer un facteur « value » ? La probabilité de défaut est faible pour les pays développés, à moins d’entrer dans des considérations géopolitiques non quantitatives. Globalement, les « vieilles » explications sur les actions ne fonctionnent pas, et il y a encore trop peu d’études académiques concernant l’efficience des facteurs sur les obligations. (...)
Copyright L'Agefi

“What Asset Managers Don’t Want You to Know About Their Factor Funds” – Institutional Investor (05/03/2019)

"(...) "When it comes to smart beta funds, asset managers and index providers are straying far from the well-recognized factors that have decades of academic research supporting them, according to new research from Scientific Beta, a smart beta index provider that’s funded by EDHEC-Risk Institute. Felix Goltz, research director at Scientific Beta and head of applied research at EDHEC-Risk Institute — an investment-focused, academic think tank — said the problem with managers and index providers finding factors that supposedly lead to an investment reward is that third parties have not replicated the results. This can lead to unintended exposures and a misunderstanding around the associated investment risks of those factors." (...)
Copyright Institutional Investo

“Fresh Insights on the Smart Beta Space” – HedgeNordic (04/03/2019)

"(...) Smart beta products aim to outperform traditional market cap-weighted indices by capturing sources of excess returns offered by proven, well-researched factors that stem from behavioral or structural anomalies. A recent survey conducted by EDHEC-Risk Institute among 163 European professional investors shows that the majority agrees that smart beta and factor investing offers significant potential for outperformance. The EDHEC European ETF and Smart Beta and Factor Investing Survey 2018 offers insights into investors’ perceptions on exchange-traded funds (ETFs), smart beta and factor investing products. The survey results suggest that the interest in smart beta and factor investing is mainly attributable to the pursuit of outperformance, as around 73 percent of respondents agree that products in this area present significant potential for beating traditional market indices. In addition, the transparency of these products is an essential attribute of their appeal. (...)”
Copyright HedgeNordic

“Behavioral-finance expert takes top Bernstein Fabozzi/Jacobs Levy award” – Pensions&Investments (01/03/2019)

"(...) In addition to the $2,500 Best Article award, three other articles were recognized as Outstanding Articles: "Proverbial Baskets Are Uncorrelated Risk Factors! A Factor-Based Framework for Measuring and Managing Diversification in Multi-Asset Investment Solutions" by Lionel Martellini and Vincent Milhau (...)”
Copyright Pensions&Investments

“IPR Journals announces the winners of the 20th annual Bernstein Fabozzi/Jacobs Levy Awards” – Global Banking &Finance Review (01/03/2019)

"(...) IPR Journals has also recognized three Outstanding Articles from the 2018 collection. Proverbial Baskets Are Uncorrelated Risk Factors! A Factor-Based Framework for Measuring and Managing Diversification in Multi-Asset Investment Solutions by Lionel Martellini and Vincent Milhau appeared in the special Multi-Asset Strategies issue. The authors suggest using a factor-based framework to more effectively measure and manage (...)”
Copyright Pageant Media

“Fed's low confidence signals recession” – Investors Chronicle (17/01/2019)

"(...) The inverse yield curve for US Treasuries is historically a sign of impending recession and Professor Riccardo Rebonato of the EDHEC Risk Institute argues that, if anything, the market appears to have been a bit too complacent about the risk of recession. The Professor’s Bond Risk Monitor showed very similar risk compensations for two- and five-year yields, which would indicate that US Treasury investors weren’t pricing in rate cuts as quickly as the Federal Reserve expects to have to make them. (...)”
Copyright Global Investor Group

2018

“Amundi’s Perrier eyes next opportunities” – Global Investor Group (18/12/2018)

"(...) Perrier said: “In addition to standard or ready-to use strategies, the Smart Beta and Factor Investing platform leverages the group’s extensive research capabilities to develop fully customised solutions matching specific clients’ needs.” He continued: “Over the past two years, we invested extensively with senior hires in the portfolio management and research teams, as well as in product development and innovation in order to accompany our clients growing interest. In parallel we extended our academic partnership with the EDHEC-Risk Institute, to cover factor investing in bond markets. Amundi manages today €23bn of assets under management (at end September 2018) and our ambition is to become the reference partner of investors in this field.” (...)”
Copyright Global Investor Group

“FIXED INCOME ETFS: Choosing your mood music” – Funds Europe (03/12/2018)

"(...)When it comes to smart beta and factor investing, the ratio is the other way around: equity ETFs predominate. However, the recent EDHEC report found “significant interest” in fixed income smart beta solutions. Lionel Martellini, director at the EDHEC-Risk Institute, believes the fixed income sector is the new frontier in the development of meaningful smart factor investment solutions in the fixed income space, but that more research is needed. One reason is that the first generation of smart beta in fixed income markets was based on a direct transfer of fundamental indexing methodologies originally developed for equities. “The key problem in this approach is that it is unclear why some backward-looking trailing average of some arbitrarily selected variables should contain more useful information than, say, bond ratings, which for all their flaws are based on a much richer information set,” says Martellini. A more meaningful approach, in his view, is to construct investable proxies for rewarded risk fixed income factors such as interest rate and credit risk factors, but also liquidity risk factors, low-risk factors, carry factors, value factors and momentum factors, suitably extended to bond markets. But it ain’t easy. “The calibration of factor investing strategies in bond markets poses a number of specific technical and implementation challenges,” he says. (...)”
Copyright Funds Europe

“Smart beta ETFs begin to impact on active funds” – ETF Express (03/12/2018)

"(...) Academic institution the EDHEC-Risk Institute announced the results of the 11th EDHEC European ETF and Smart Beta and Factor Investing Survey, recently as well. This study is conducted as part of the Amundi research chair at EDHEC-Risk Institute on ‘ETF, Indexing and Smart Beta Investment Strategies’. This survey, conducted since 2006, is designed to provide insights into European investors’ perceptions, practices and future plans in the domain of ETFs and Smart Beta. EDHEC-Risk writes that this year, the survey also included a special focus on Smart Beta product development, considering specific client demand in the fixed income field. (...)”
Copyright ETF Express

“Price battle divides losers from winners” – Financial Times (05/11/2018)

"(...) “There are two groups emerging,” says Lionel Martinelli, professor at Edhec, the French business school, and a close watcher of the smart beta industry. “[Investor assets] are going to the biggest players."(...)”
Copyright Financial Times

“Smart beta moves into mainstream for large investors” – Financial Times (05/11/2018)

"(…) Lionel Martellini, a professor at France’s Edhec Business School, says smart beta is “no longer an exotic, niche strategy” and is now mainstream. According to a recent Edhec survey, nearly half of European institutional investors use factor investing and 28 per cent are considering doing so. Investors are “slowly but surely tapping the waters and getting used to the benefits and potential pitfalls of smart beta”, he says. Factor strategies have built up long track records across a range of market conditions, helping to ease previous investor concerns about the limited backtesting of portfolios.(...)”
Copyright Financial Times

“Global debt pile creates new chances in nascent market” – Financial Times (05/11/2018)

"(…) Though growing in size, the adoption of fixed income smart beta strategies by investors remains at an early stage of development. A survey of 163 European institutional investors published in September by the Edhec-Risk Institute showed that just 17 per cent of the respondents used smart beta for fixed-income investing. About four-fifths of current users commit less than 20 per cent of their total smart beta exposure to fixed-income. Felix Goltz, research director at Edhec-Risk, says investors are concerned that methods developed for the application of smart beta in equity markets may not translate well into fixed income. (...)”
Copyright Financial Times

“Investors call for new products and more innovation in ethical / SRI ETFs” – ETF Strategy (01/11/2018)

"(…) The survey, conducted as part of the Amundi research chair at EDHEC-Risk Institute, looked at the investing habits of 163 European professional and institutional ETF and smart beta investors. According to the results, more than a third (34%) of respondents indicated that they would like to see new developments in ETFs linked to ethical or socially responsible investing (SRI) (also known as Environmental, Social and Governance (ESG)) strategies. (...)”

“Les écoles de commerce se disputent les gloires de la recherche” – Le Monde (28/10/2018)

“(…) « Sous la pression des classements internationaux et d’un modèle imposé par les universités américaines, l’enseignant est devenu chercheur de haut niveau et les écoles de commerce ont essayé de suivre le mouvement », raconte Lionel Martellini, professeur de finance et directeur de l’Edhec Risk Institute, qui s’assigne pour objectif de produire des recherches « utiles socialement ». (...)”
Copyright Le Monde

“Investors hunger for smart beta fixed income: EdHEC” – ETF Stream (24/10/2018)

“(…) French business school, EDHEC undergo an annual study, asking ETF and smart beta investors about the European ETF market, smart beta strategies and factor investing. ETF Stream spoke with Felix Goltz, head of applied research at EDHEC, discussing the school’s latest study and what results they concluded. (...)”
Copyright ETF Stream

“ETF investors bemoan lack of research for fixed income smart-beta strategies” – Investment Week (22/10/2018)

“(…) European ETF investors are "significantly" interested in investing in smart-beta fixed income products but expressed concern about the lack of research in the area, according to a survey conducted by the EDHEC-Risk Institute. The annual report, entitled the EDHEC European ETF and Smart Beta and Factor Investing Survey, found just 17% of the 163 respondents already use smart-beta and factor investing for fixed income. (...)”
Copyright Investment Week

“Swiss Life AM France et EDHEC-Risk créent une chaire de recherche sur le rôle de l'immobilier dans les solutions d'investissement” – Boursier.com (17/10/2018)

“(…) Dirigée par le Professeur Lionel Martellini, Directeur d'EDHEC-Risk Institute et par le Professeur Nikos Tessaromatis, Professeur de finance à l'EDHEC Business School, l'équipe de recherche analysera le rôle de l'investissement immobilier dans les solutions d'investissement. L'objectif est de fournir une analyse exhaustive du rôle des investissements immobiliers cotés et non cotés dans les portefeuilles institutionnels, en mettant l'accent sur leurs contributions non seulement en termes de performance mais aussi de couverture des risques. (...)”
Copyright Boursier.com

“Target-date retirement funds miss the mark” – Money Week (05/10/2018)

“(…) A team of researchers from Princeton University in the US and EDHEC, the French business school, have published a study warning that the bond portfolios that target-date funds use are riskier than widely thought. These portfolios are typically composed of short-term bonds that are exposed to market risks (eg, changes in interest rates) and do not offer the long-term certainty about income that many retirees expect. (...)”
Copyright Money Week

“Target date funds risk missing the mark for retirees” – Financial Times (27/09/2018)

“(…) "Since 2006, the increase of the percentage of respondents using ETFs in traditional asset classes has been spectacular, says the ‘11th EDHEC European ETF and Smart Beta and Factor Investing Survey,’ conducted as part of the Amundi research chair at EDHEC-Risk Institute. (...)”
Copyright Financial Times

“TRADITIONAL ASSETS IN ETFS RISE” – Benefits and Pensions Monitor (25/09/2018)

“Tekort aan vastrentende smart-beta ETF’s” – IEX Profs (24/09/2018)

“(…) "In the world of asset management, the rise of ETFs has passed by few. A survey by the Edhec Risk Institute shows that only 8% of European institutional investors now have no ETFs.. (...)”
Copyright IEX Profs

“EDHEC-Risk’s European ETF survey reveals growing demand for smart beta” – ETFEXPRESS (20/09/2018)

“(…) "EDHEC-Risk writes that this year, the survey also includes a special focus on Smart Beta product development, considering specific client demand in the fixed income field. The survey reveals that since 2006, the increase of the percentage of respondents using ETFs in traditional asset classes has been spectacular: in 2006, 45 per cent of respondents used ETFs to invest in equities, compared with 92 per cent in 2018. (...)”
Copyright ETFEXPRESS

“A New Retirement Bond” – Financial Advisor Magazine (04/09/2018)

“(…) "Martellini and his colleagues coined the phrase “flexicurity” to define the ideal investment solution for retirees. At heart, most retirement investors want security and a guaranteed stream of income, but they also want the flexibility to adjust their investments and their potential income stream over time. For the retirement-focused portfolio, goals like outperforming other investments or reaching a target asset level are more aspirational than essential.(...)”
Copyright Financial Advisor

“Portfolio construction and ETFs” – FT Adviser (15/08/2018)

“(…) "ETFs represent the next stage of the indexing revolution globally, and they are increasingly becoming the vehicle of choice for investors’ index exposure. The EDHEC European ETF Survey 2017 suggests that 71 per cent of European investors use them frequently for achieving broad market exposure.(...)”
Copyright FT Adviser

“Das war das Amundi Forum 2018” – Fonds Professionell (02/07/2018)

“(…) "Das Haus brennt!" Mit dieser aufrüttelnden These eröffnete Lionel Martellini, Finanzprofessor an der Edhec Business School und Direktor des Edhec Risk Institute, sein Referat über notwendige Reformen in Bezug auf die Rentensysteme weltweit. Aufgrund wachsender demografischer Ungleichgewichte sowie einem geringeren Produktivitätswachstum drohe eine regelrechte "Rentenkrise", der es zu begegnen gelte.(...)”
Copyright Fonds Professionell

“EDHEC ranked in the world’s top 3 business schools for Finance by the Financial Times ” – Fenews.co.uk (27/06/2018)

“(…) "The result further confirms EDHEC’s international high-impact strategy on the global finance industry and its status as the go-to academic institution in the field. Scientific Beta, EDHEC-Risk Institute and EDHEC’s cutting-edge finance programmes are perfect illustrations of this strategy in practice.(...)”
Copyright Fenews.co.uk

“Academics come up with replacement for annuities” – FT Adviser (08/06/2018)

“(…) A pair of academics have come up with a new ‘retirement bond’ concept they claim will solve the looming pension crisis. (…) "We think retirement bonds would be extremely helpful in addressing the needs of investors preparing for retirement." (...) The professors are in the process of setting up a pan-European working group to explore the concept, including economics and policy experts. They are also in meetings with politicians in France, where the retirement landscape is currently undergoing reform.(...)”
Copyright FT Adviser

“Disciplined Techniques Needed by Individuals” – Benefits and Pensions Monitor (05/06/2018)

“(…) Individuals need ‘flexicurity’ in retirement solutions and they would benefit from being provided an access to the kind of disciplined liability-driven investing techniques already used by institutional asset owners. Based on this premise, the EDHEC-Risk Institute and Princeton University’s operations research and financial engineering (ORFE) department have created the ‘EDHEC-Princeton Retirement Goal-Based Investing Index. (…)”
Copyright Benefits and Pensions Monitor

“Will Selfies stick? Pension bonds are an ingenious idea for providing retirement income” – The Economist (17/05/2018)

“(…) Lionel Martellini of EDHEC, a French business school, and Robert Merton of the Massachusetts Institute of Technology (a Nobel laureate in economics) have come up with an alternative. Workers would buy government-issued bonds while in employment; these would pay no interest until retirement. Over the next 20 years (the typical life expectancy on retirement) bondholders would receive payments comprising interest plus the return of the capital. These would be linked to inflation, or another measure such as average consumption. (…)”
Copyright The Economist

“Investment Products and Services Launches” – Planadviser (03/05/2018)

“(…) 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 (TDFs). (…)”
Copyright Planadviser

“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

2024

“Aggressive Climate Policies Needed to Preserve Global Equity Values, Warns New Study” 10/07/2024

In a new study, How Does Climate Risk Affect Global Equity Valuations? A Novel Approach, EDHEC-Risk Climate Impact Institute addresses key limitations of current climate-aware valuation approaches to produce novel insights. The paper, conducted within the research chair established by EDHEC Business School and Scientific Beta, reveals that the impact of climate risk on global equity valuation can be significant, especially in scenarios with limited climate action.

Key Findings:

The uncertainty of climate and economic outcomes and the state dependence of discounting are two key and much neglected contributors to changes in equity valuation.
The magnitude of losses depends on the aggressiveness of emission abatement policy; the presence or otherwise of tipping points; on the extent of Central Banks' willingness and ability to lower rates in states of economic distress.
Severe impact on equity valuation can be obtained with very plausible combinations of policies and physical outcomes; and there is considerably more downside than upside risk - over 40% of global equity value is at risk unless decarbonisation efforts accelerate and losses could exceed 50% with near climate tipping points.
Prompt and robust abatement action is needed to keep losses below 10%.

“Scope for Divergence: Debunking Value Chain Emissions Myths and Addressing Scope 3 Challenges” 28/03/2024

EDHEC-Risk Climate Impact Institute today released “Scope for Divergence”, a policy report offering comprehensive insights into accounting for greenhouse gas emissions throughout companies’ value chains – and the challenges this poses to companies and investors.

As a significant majority of the global population supports action against climate change, investors are intent on better understanding the climate change impact and risks of investee companies. Direct and purchased energy emissions (Scope 1 and 2) have historically been the focus of reporting standards. However, indirect emissions that occur throughout companies’ value chains (Scope 3) typically account for the bulk of their carbon footprints.

2023

“Don’t throw the DICE out with the consultants’ advice” 22/11/2023

UK Local Government Pension Scheme authorities have experimented with reporting on their governance and management of climate risks, responding to challenges by non-governmental organisations and anticipating regulatory developments. Drawing on advice provided by investment consultants, their reports have included simulations of the impact of climate-related scenarios on investments suggesting that portfolios would only be marginally impacted, even in high temperature scenarios.

In a newly released position paper, "Portfolio Losses from Climate Damages: A Guide for Long-Term Investors," Professor Riccardo Rebonato, Scientific Director of the EDHEC-Risk Climate Impact Institute, discusses the (de)merits of the advice addressed to pension trustees and engages with critics who assert that pensions are being put at risk by the flawed research and groupthink of climate economists. His research concludes that pension trustees have indeed been poorly served by their consultants. He also concurs with critics’ views that the estimates of likely portfolio losses due to climate change in the authorities’ reports are implausibly tame.

“EDHEC and Scientific Beta establish climate-risk modelling research chair” 05/10/2023

EDHEC-Risk Climate Impact Institute and Scientific Beta are pleased to announce the endowment of a research chair entitled “Upgrading Climate Scenarios for Investment Management”. This new long-term research effort is part of the EDHEC-Scientific Beta Advanced Climate Investing Initiative and aims to address the pressing need for fit-for-purpose tools to integrate climate risks into investment management.

While climate change increasingly becomes a tangible reality, with more frequent and severe extreme weather events, the bulk of damages to nature, people, and economies remains in the future. This makes historical data and traditional statistical estimation methods largely irrelevant to assess and manage climate risks and explains why climate scenario analysis and stress testing have taken central stage in the investor toolbox. In their current state however, they are rather crude what-if tools suited to assisting long-term strategic thinking about uncertainty and spotting fragilities to potential shocks. Considerable work is required to extend and repurpose climate scenarios for risk and investment management purposes. The critical challenge is to embed scenario analysis in a coherent probabilistic framework, enabling finance professionals to compute relevant risk and return metrics.

“New EDHEC-Risk Climate paper applies natural language processing to extract climate change concerns from news” 12/09/2023

Both climate change inaction and climate change action are expected to have an impact on the value of financial assets. It is therefore of interest to investors to quantify their exposure to climate change through the use of a climate beta, just as an exposure to market risk is measured by the traditional market beta. However, measuring the climate beta is difficult because it requires identifying a proxy variable that reflects changes in climate risk.

In a new publication “The Impact of Climate Change News on Low-minus-High Carbon Intensity Portfolios”, produced as part of the Amundi research chair on “Measuring and Managing Climate Risks in Investment Portfolios,” EDHEC-Risk Climate researchers Jean-Michel Maeso and Dominic O’Kane apply the latest natural language processing methods to construct and test such proxies from media articles over some fifteen years.

“EDHEC-Risk Climate Impact Institute comments on final European Sustainability Reporting Standards” 03/08/2023

EDHEC-Risk Climate Impact Institute welcomes preservation of the double materiality principle and broad coverage of Environmental, Social and Governance issues; regrets the European Commission’s decision to dispense with unconditional disclosure of key indicators of corporate sustainability; expresses concerns about the availability and quality of disclosures; and calls for industry efforts to standardise materiality assessments to reduce the cost and enhance the relevance of disclosures.

2021

“New study shows that 10 SCPIs are enough to capture 88% of the benefits of diversification” 28/06/2021

In a new publication “Benefits of Open Architecture and Multi-Management in Real Estate Markets— Evidence from French Nonlisted Investment Trusts”, EDHEC-Risk Institute, in partnership with Swiss Life Asset Managers France, assess whether modern investment management techniques such as fund selection and portfolio allocation can be applied to the SCPI universe and create value for an investor wishing to be exposed to French non-listed commercial real estate.

“New EDHEC-Risk Institute paper explores the impact of ESG factors on risk and return of sovereign bonds” 30/03/2021

In a new publication entitled “Measuring and Managing ESG Risks in Sovereign Bond Portfolios and Implications for Sovereign Debt Investing”, EDHEC-Risk Institute, with the support of Amundi ETF, Indexing & Smart Beta, develops a formal framework for incorporating environmental, social and governance (ESG) criteria into risk management and investment decisions involving sovereign bonds. The main objective is to assess whether it is possible to incorporate ESG constraints through a significant improvement of the portfolio ESG score without a substantial increase in absolute and relative risk budgets, or a substantial decrease in expected performance.

This survey, conducted since 2006, aims to provide insights into European investors’ perceptions, practices and future plans in the domain of ETFs and Smart Beta. The 2020 edition presents a new focus on SRI/ESG investing.

2020

“EDHEC-Risk 2020 survey results show strong motivations for integrating ESG, whether in ETFs, or in smart beta and factor investing strategies” 01/10/2020

EDHEC-Risk Institute has announced the results of the 13th EDHEC European ETF, Smart Beta and Factor Investing Survey, a comprehensive survey of 191 European ETF and smart beta investors, conducted as part of its Amundi research chair on “ETF, Indexing and Smart Beta Investment Strategies”.

“Jaap van Dam, Principal Director of Investment Strategy at PGGM, appointed new chairman of EDHEC-Risk Institute’s international advisory board” 15/09/2020

EDHEC-Risk Institute is pleased to announce the appointment of Jaap van Dam as chairman of its international advisory board. He is the Principal Director of Investment Strategy at PGGM in the Netherlands. PGGM is a leading Dutch pension administrator with roots in the healthcare and social work sectors. It manages about €268 billion ($329 billion) in pension assets for more than 2.5 million Dutch participants. PGGM provides services in pension fund management, comprehensive asset management, management support, and policy advice to various pension funds.

EDHEC-Risk Institute is extremely fortunate to have such an experienced and talented investment professional as the new chair of its board,” said Lionel Martellini, Professor of Finance, EDHEC Business School and Director of EDHEC-Risk Institute. He added, “Jaap van Dam has been a tremendously active board member for almost 10 years, and we look forward to continuing our strong working relationship with him. Jaap will bring a wealth of experience in sustainability, a perfect fit with our Institute’s increased focus on climate change and sustainable finance.”

“EDHEC-Risk Institute welcomes three distinguished new members to its international advisory board” 17/06/2020

EDHEC-Risk Institute is pleased to announce that three 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. The 33 members of the board also advise on the objectives and contents of projects deriving from the expertise of the institute, thereby ensuring that graduate and executive programmes remain at the forefront of developments in the marketplace.

The three new members are as follows:

Mr Noël Amenc, CEO, Scientific Beta, part of SGX group
Mr Kevin Bong, Director of Economics and Investment Strategy, GIC Private Limited
Mr Albert de Wet, Senior Portfolio Manager, FirstRand Group Treasury

“EDHEC joins the Global Research Alliance for Sustainable Finance and Ivestment and reasserts its sustainable finance ambitions” 09/06/2020

EDHEC Business School is joining the Global Research Alliance for Sustainable Finance and Investment (GRASFI), the global network for cutting-edge research on sustainable finance and investment. The partnership underscores EDHEC’s commitment to this area, just a few weeks after presenting its new strategic plan – ‘Impact future generations 2025’ – and unveiling its strong ambitions in the sustainable finance field.

Thanks to the ability to produce and disseminate research work of real international impact, EDHEC has claimed a pivotal status among academic institutions in the financial industry. For the last two years, EDHEC and the EDHEC-Risk Institute (ERI), the specialist research centre for managing financial risks, have placed sustainable finance and climate change at the heart of their priorities, both in research and teaching terms.

Lionel Martellini, Director of the EDHEC-Risk Institute, and Gianfranco Gianfrate are the two professors named EDHEC representatives on the GRASFI Organising Committee.

“EDHEC-Risk introduces a comprehensive investment framework blending liability-driven investing and factor investing” 05/03/2020

Factor investing and liability-driven investing are widely recognised as two major advances in asset-liability management. Interestingly, both paradigms are tightly connected with advances in research on portfolio optimisation and asset pricing. To explain what role factors can play in liability-driven investing is the purpose of a new EDHEC-Risk Institute publication entitled "Factor Investing in Liability-Driven and Goal-Based Investment Solutions", conducted as part of the "ETF, Indexing and Smart Beta Investment Strategies" research chair supported by Amundi. Specifically, the authors analyse the benefits of a factor investing approach at three stages: 1. The construction of a performance-seeking portfolio that efficiently harvests factor risk premia across and within asset classes; 2. The construction of a liability-hedging portfolio that replicates as closely as possible factor exposures driving changes in the present value of liabilities; 3. The joint measurement and management of common factor exposures in performance-seeking and liability-hedging portfolios so as to improve the interaction between the two building blocks.

“EDHEC-Risk Institute aims to advance goal-based wealth management with an application to retirement investing, in collaboration with Bank of America ” 04/02/20

Building upon fundamental research on risk allocation and goal-based wealth management conducted in recent years, EDHEC-Risk Institute announced today that it is collaborating with Bank of America to develop new research on goal-based investing for the construction of retirement investment solutions for individuals. The aim of the research is to develop a holistic goal-based investing framework for analysing optimal retirement investment decisions for individuals in the transition or de-accumulation phase of their investment lifecycle, by using a broad range of investment product categories including stocks, bonds and annuity-related products.

2019

“EDHEC-Risk Institute and FirstRand launch a research chair to design and implement welfare-improving investment solutions for institutions and individuals” 18/12/19

EDHEC-Risk Institute and FirstRand Limited (FirstRand or the group) are partnering for the first time to launch a three-year research chair entitled “Designing and Implementing Welfare-Improving Investment Solutions for Institutions and Individuals” to expand the scientific literature on investor welfare-enhancing methodologies for portfolio construction in a goals-based investing framework. Year 1 will focus on a detailed analysis of the interplay between diversification and insurance, with the aim of determining whether it is possible to achieve an improvement in investor welfare by creating a diversified portfolio of insured assets, as opposed to insuring a portfolio of diversified assets.

“EDHEC teams up with Coursera to launch MOOCs in machine-learning techniques for financial-sector professionals” 30/09/19

EDHEC-Risk Institute, EDHEC Business School’s financial research hub, has teamed up with Coursera, a world leader in online training, to offer a new specialization in machine-learning techniques for financial professionals from September 2019. The online learning platform has 40 million registered users to date.

“The results of EDHEC-Risk’s annual European ETF and Smart Beta Survey show growing demand for SRI/Ethical ETFs and significant interest in fixed-income Smart Beta solutions” 26/09/19

EDHEC-Risk Institute has announced the results of the 12th EDHEC European ETF, Smart Beta and Factor Investing Survey , conducted as part of its Amundi research chair on “ETF, Indexing and Smart Beta Investment Strategies”. This survey, conducted since 2006, aims to provide insights into European investors’ perceptions, practices and future plans in the domain of ETFs and Smart Beta.

“EDHEC-Risk Institute papers present a complete analysis of the two most popular fixed income factors: value and momentum” 26/06/19

A new study produced as part of the Amundi research chair on “ETF, Indexing and Smart Beta Investment Strategies” focuses on the two factors that explain a large fraction of differences over time in bond returns, namely the “level” or “slope” of the yield curve. Using not only yield curve data but also a comprehensive database of individual bond returns in the US over the 1973-2018 sample period, the publication “Factor Investing in Sovereign Bond Markets – A Time-Series Perspective”, explores whether it is possible to identify strategies, which, after transaction costs, generate excess returns by taking relevant signal-based level or slope bets when investing in a real US coupon bonds universe.

“Factor investing in fixed-income: EDHEC-Risk Institute paper shows that it is possible to build duration-timing strategies that are economically superior to bearing unconditional duration risk” 16/05/19

2018

“Swiss Life Asset Managers France and EDHEC-Risk set up a research chair to analyse the role of real estate in investment solutions ” 17/10/18

Swiss Life Asset Managers France and EDHEC-Risk Institute have announced the creation of a research chair at EDHEC-Risk Institute entitled “Real Estate in Modern Investment Solutions.” Led by Professor Lionel Martellini, Director of EDHEC-Risk Institute, and Professor Nikos Tessaromatis, Professor of Finance at EDHEC Business School, the research chair team will analyse the role of real estate in investment solutions. The goal is to provide a comprehensive analysis of the role of listed and unlisted real estate investments in institutional portfolios, with a particular emphasis on how dedicated forms of real estate investments can prove to be key ingredients within the performance and hedging components of welfare-improving forms of investment solutions.

“EDHEC-Risk’s annual European ETF and Smart Beta Survey results show growing demand for new developments in existing Smart Beta offerings” 20/09/18

EDHEC-Risk Institute has announced the results of the 11th EDHEC European ETF and Smart Beta and Factor Investing Survey , conducted as part of the Amundi research chair at EDHEC-Risk Institute on “ETF, Indexing and Smart Beta Investment Strategies”. This survey, conducted since 2006, is aiming to provide insights into European investors’ perceptions, practices and future plans in the domain of ETFs and Smart Beta. This year, the survey also includes a special focus on Smart Beta product development, considering specific client demand in the fixed income field.

“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.

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