|
|
|
In a nutshell, the decumulation problem is defined as the challenge involved in efficiently turning wealth into income, which stands in direct contrast with the accumulation problem, which is instead about efficiently turning income into wealth. As Bill Sharpe eloquently put it, the decumulation problem is indeed a hard and nasty problem, but its importance is so overwhelming that this cannot be used as an excuse for inertia. We do believe that dedicating our time, energy, enthusiasm and resources to this question would be a most effective way to live up to the core ambition of EDHEC Business School, which is summarised in the motto "make an impact!". |
| More... |
|
|
|
|
|
|
The past 10 or so years have seen a sea change in the degree of engagement of the financial and investment communities with climate change. There have been innovative ideas to finance the (massive) investment required to build renewable sources of energy to scale or establish carbon sequestration and negative-emission technologies. There has also been a strong commitment by many asset managers to disinvest from carbon-emitting sectors, and to invest in green industries, thereby shifting, it is hoped, the relative cost of capital. Some major sovereign investment funds have taken resolute steps in this direction as well. And, with more and more insistence, investors have begun to ask the existential question of whether it is indeed possible to do well while doing good. All of these steps are encouraging. The focus, however, has so far mainly shifted from finance to the abatement of climate change. Another, equally important, dimension should be considered: what will the impact be of climate change, and of the seriousness of our abatement effort, on asset prices? How will investors fare under different scenarios of climate change abatement and climate outcomes? |
| More... |
Interview |
|
|
|
In this month's interview, we speak to Béatrice Guedj, Head of Research & Innovation at Swiss Life Asset Managers France, about the EDHEC-Risk Institute publication "Benefits of Open Architecture and Multi-Management in Real Estate Markets—Evidence from French Non-listed Investment Trusts" produced as part of the Swiss Life research chair, which shows that modern investment management techniques can create value for SCPI investors. We also touch upon the forthcoming research on the replication of real estate indices and future development in the real estate investment sector.
|
| More... |
|
|
|
|
|
|
This study reviews the risk and return characteristics of Sociétés Civiles de Placement Immobilier (SCPIs), a form of French non-listed real estate fund, to assess whether modern investment management techniques can be applied to this growing universe of investment vehicles. We find that the commercial SCPI market offers a significant amount of dispersion in risk and return, and portfolios of SCPIs exhibit a substantially lower level of volatility than the "average SCPI". We also find several attributes to have explanatory power with respect to such differences in risk and performance. Both results suggest that value can be added by selection and allocation decisions, which could form the basis of a welfare-enhancing open architecture multi-management approach to investment in SCPIs. |
| More... |
|
|
|
This study demonstrates that implementation choices regarding how ESG constraints are incorporated in the context of sovereign bond portfolio construction have a material impact on this opportunity cost. In particular, we find that higher environmental scores for developed countries and higher social scores for emerging countries are associated with lower costs of borrowing for issuers and consequently with lower yields for investors. We also confirm that negative screening leads to more diversified portfolios and lower levels of tracking error, while positive screening leads to higher levels of improvement of ESG scores, at the cost of an increase in absolute and relative risk budgets.
|
| More... |
|
|
|
The authors present a straightforward extension valid in the current negative-rate regime of the "universal relationship" uncovered in De Guillaume, Rebonato, and Pogudin (2013) between the level of rates and their volatility. They also provide an explanation of the origin of this relationship by showing the existence of two sharply distinct regimes for the volatility of real rates as a function of real rate levels, and by linking periods of high inflation with periods of high real rates. Finally, they provide evidence that the "volatility of volatility" also displays a "universal" behaviour, with a significant linear dependence on the level of rates (and of the volatility itself). |
| More... |
|
|
Publications by ERI Associate Researchers |
|
|
|
The promise of robo-advisory firms is to provide low cost access to diversified portfolios built in accordance with the academic literature on normative portfolio choice. The authors investigate the latter claim. How much normative advice does robo-advice contain? For this purpose, they web-scrape portfolio recommendations for 151,200 investor types (input combinations from an online questionnaire) for one of the largest US robo-advisors. Results show that the type of investment goal and the length of time horizon are dominating inputs with significant influence on recommended equity allocations. Merton type hedging demands play no role at all. |
| More... |
|
|
|
MiFID II forces banks and wealth managers to ask clients for their investment knowledge and experience. The implied regulatory view is that less experience should result in less risk taking. While this is neither shared in theoretical nor in empirical finance, it becomes a source of legal risk for asset managers and banks. How do banks react? What are the welfare implications? So far, this question was impossible to answer. The relevant data have not been available as they are not shared by banks. The authors circumvent this problem by using publicly-available portfolio recommendations from robo-advisory firms. |
| More... |
|
|
|
|
|
 |
|
Lionel Martellini, Professor of Finance at EDHEC Business School and Director of EDHEC-Risk Institute, shares with us his insights on the integration of carbon footprint constraints into investment strategies. He starts with his definition of carbon footprint. He then emphasises why it is important to measure the carbon footprint. He discusses what scopes 1, 2 and 3 of carbon emissions are and concludes by describing the specificities of financial companies..
|
|
 |
|
Vincent Milhau, Research Director with EDHEC-Risk, was invited by the CFA Society Orlando to take part in the 44th episode of their award-winning "Investors First Podcast" to discuss the past, present & future of goals-based investing. In a 45-min conversation, Vincent Milhau, Steve Curley (CFA Society Orlando, Eaton Vance WaterOak Advisors), and Sebastien Gault, CFA (Bank of America Private Bank) discuss a variety of topics centred around GBI, with the focus on retirement investing for individuals. |
|
|
|
|
|
Gianfranco Gianfrate, Professor of Finance, EDHEC Business School, has been invited to discuss what can be done to detect and prevent greenwashing. The panel will address the following issues: What can policymakers do to prevent greenwashing and speed up the transition to net zero? What metrics should ESG measurement be built around to drive positive outcomes at both a financial and social level? What questions do investors need to ask to be confident of the ESG credentials of their investments?
|
| More... |
|
|
|
We spoke to Alejandro Palacios, one in a team of 5 students who has just completed his research within the EDHEC-Risk Lab Elective. Alejandro has centred his research on unobservable factors associated with green characteristics and identified the risk premia associated with these portfolios. We asked him about his experience, his thoughts on green asset management and his vision for his future career.
|
| More... |
|
|
|
EDHEC's Master in Finance was again rated 5th worldwide among more than 50 prestigious institutions covered in the Financial Times 2021 ranking. The EDHEC Master in Finance's international character, its ability to support students in their career progression via the career support service, and its value for money were all recognised as undeniable assets by the Financial Times.
|
| More... |
|
|
|
Using a unique dataset of Sociétés Civiles de Placement Immobilier (SCPIs), the authors provide evidence that the French non-listed real estate investment funds market exhibits a substantial level of dispersion in risk and return characteristics. They also find that portfolios of non-listed real estate investment funds exhibit a substantially lower level of volatility than the average fund in the panel and that 15 SCPIs are enough to capture over 90% of these diversification benefits. |
| More... |
|
|
|
For the 3rd time, first-year students had the opportunity to gain hands-on research experience through the EDHEC-Risk Research Lab Elective Course: Innovations in Investment Management. The course offered them a 2-month placement in the school's renowned research lab and exposed them to different facets of investment management. A fairly unusual learning experience as students are actively involved in producing research outputs as part of the EDHEC-Risk research team. |
| More... |
|
|
|
Press Review |
EDHEC-Risk Institute has been cited widely in the business and industry press. A selection of articles may be found below.
|
|
|
- "Placement : comment bien choisir sa SCPI ?", Les Echos (29/06/2021)
- "EDHEC-Risk Institute: New Study Shows That 10 SCPIs Are Enough To Capture 88% Of The Benefits Of Diversification", Mondovisione (28/06/2021)
- "Verisk Maplecroft data informs EDHEC study into impact of ESG factors on sovereign bonds", Verisk (17/06/2021)
- "Managing ESG risks in sovereign bond portfolios", ETF Stream (09/06/2021)
- "New horizons: Carbon pricing", The Drawdown (09/06/2021)
- "Climate-conscious firms urged to 'think twice' on cryptocurrencies", Ignites Europe (08/06/2021)
- "Diversification and Insurance: Which Should Come First?", Retirement Income Journal (08/06/2021)
- "Q&A: Understanding carbon pricing", ESG Clarity Intelligence (06/05/2021)
- "ESG outperformance narrative 'is flawed', new research shows", Financial Times (06/05/2021)
- "Standards under pressure as sustainability-linked borrowing explodes", International Financing Review (16/04/2021)
- "EDHEC and EURECOM Sign Strategic Alliance", International Financing Review (10/04/2021)
|
|
|
|
|
|
|
EDHEC-Risk Institute
|
393 Promenade des Anglais, BP 3116, 06202 Nice Cedex 3, France |
Privacy Policy | Update | Unsubscribe
|
Copyright © 2021 EDHEC-Risk Institute, All Rights Reserved. |
|
|
|
|
