Insights from the 11th EDHEC European ETF and Smart Beta and Factor Investing Survey
EDHEC-Risk Institute conducted its 11th survey of European investment professionals about the usage and perceptions of ETFs and smart beta and factor investing, as part of the Amundi research chair at EDHEC-Risk Institute on “ETF, Indexing and Smart Beta Investment Strategies”. The aim of this study is to analyse current European investor practices and perceptions on ETF and smart beta and factor investing strategies, as well as future plans in these domains. By comparing our results to those of our previous surveys, conducted for over a decade, we aim to shed some light on trends within the ETF market and within the smart beta and factor investing strategy offer. More...

"EDHEC-Risk Institute Partners with Coursera to Offer a Specialisation on Data Science for Investment Management" - an interview with Lionel Martellini, John Mulvey, Gideon Ozik and Vijay Vaidyanathan
EDHEC-Risk Institute has teamed up with the world's biggest online course provider, Coursera, to offer a specialisation in Data Science for Investment Management. In this month's interview, Lionel Martellini – Director of EDHEC-Risk, John Mulvey – Professor of Operations Research and Financial Engineering, ORFE Department, Princeton University, and EDHEC-Risk research associates Gideon Ozik – Founder, Managing Partner of MKT MediaStats and Vijay Vaidyanathan – CEO of Optimal Asset Management, discuss the new partnership with Coursera, unveil the list of massive open online courses (MOOCs) that will be covered and provide further details on the training process. They also reflect on the reasons behind their decision to join the e-learning adventure and share their objectives and initiatives for the future. More...

Maximising the Volatility Return: A Risk-Based Strategy for Homogeneous Groups of Assets, with Daniel Mantilla
The long-term performance of any portfolio can be decomposed as the sum of the weighted average long-term return of its assets plus the volatility return of the portfolio. Hence, maximising the volatility return of portfolios of assets with similar characteristics, such as factor portfolios, yields an important increase in performance and risk-adjusted return relative to market-cap weighted factor portfolios. We derive the closed-form solution of the strategy as well as properties that relate it to other risk-based weighting rules, such as minimum variance and risk parity. More...

Are You Rich Enough for A (Single) Family Office, with Bernd Scherer
Are you rich enough for a family office? Focusing purely on the financial economics of a family office, we derive the minimum assets under management compatible with the family office‘s investment management skills and costs versus the family benchmark alternative as well as its risk aversion. We find that rules of thumb like "the minimum size for a family office is 100 million" can be grossly misleading. Our analysis is equally applicable to deciding on the threshold size for in-house asset management. More...

Bond Portfolio Optimization in the Presence of Duration Constraints, with Frank Fabozzi, Lionel Martellini and Vincent Milhau
In this article, the authors address two key challenges that are specific to bond portfolio optimization, namely, the presence of duration constraints and the presence of no-arbitrage restrictions on risk parameter estimates, for which no equivalent exists in the equity universe. In an application to sovereign bonds in the eurozone, they find that the use of portfolio optimization techniques based on robust estimators for risk parameters generates an improvement in investor welfare compared with the use of ad hoc bond benchmarks such as equally weighted or cap-weighted portfolios. More...

Recent Advancements in Robust Optimization for Investment Management, with Frank Fabozzi
Robust optimization has become a widely implemented approach in investment management for incorporating uncertainty into financial models. The focus in this paper is on recent advancements to categorize robust optimization models into asset allocation at the asset class level and portfolio selection at the individual asset level, and it further separates robust portfolio selection approaches specific to each asset class. This organization provides a clear overview on how robust optimization is extensively implemented in investment management. More...

Another Look at the Ho–Lee Bond Option Pricing Model, with Frank Fabozzi
The Ho–Lee model, the first arbitrage-free model, starts with the observed term structure and sets up a binomial structure that determines how it can evolve over time so that there are no riskless arbitrage profit opportunities embedded in the current or any possible future yield curves. But the original formulation of the Ho–Lee model has the unfortunate property that it is possible for interest rates to go negative or to grow without bound over time, neither of which is acceptable. In this article, the authors present a modified Ho–Lee specification that eliminates the problem by allowing the binomial probabilities to change over time while still maintaining the no-arbitrage restriction. More...

Bond Pricing and Yield Curve Modeling: A Structural Approach, with Riccardo Rebonato
In this book, the author provides the theoretical foundations (no-arbitrage, convexity, expectations, risk premia) needed for the affine modeling of the government bond markets. He presents and critically discusses the wealth of empirical findings that have appeared in the literature of the last decade, and introduces the 'structural' models that are used by central banks, institutional investors, sovereign wealth funds, academics, and advanced practitioners to model the yield curve, to answer policy questions, to estimate the magnitude of the risk premium, to gauge market expectations, and to assess investment opportunities. Rebonato weaves precise theory with up-to-date empirical evidence to build, with the minimum mathematical sophistication required for the task, a critical understanding of what drives the government bond market. More...

"Ageing population: goal-based investing and its application to the retirement problem" - with Professor Lionel Martellini. He gave a keynote speech on the subject of flexicure retirement solutions at the Amundi World Investment Forum in Paris on 29 June, 2018, and examined the following issues: The problem: Looming Pension Crisis / The Landscape: Retirement Products / The Solution: Flexicure Retirement Solutions.

"The Pensions Crisis and Flexicure Retirement Solution". Academic research calls for more innovation and the launch of novel forms of retirement investment solutions, which can be regarded as “flexicure” retirement solutions since they combine the security of annuity products (which lack flexibility) and the flexibility of target date fund products (which lack security).

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Riccardo Rebonato presented his latest research on fixed-income smart beta at the 14th Quantitative Finance Conference last week
Riccardo Rebonato, Professor of Finance, EDHEC Business School and Member, EDHEC-Risk Institute, was invited to conduct a session on the theme "Value and Other Rewarded Factors for Smart Beta in Fixed-Income" in Nice, on 27 September, 2018. More...

New session announced for the seminar on Harvesting Risk Premia in Equity and Bond Markets on 12-14 November, 2018 on Yale campus
Participants will learn how to use current models and empirical evidence about global capital markets to construct asset portfolios based on the principles of factor investing, with a particular focus on equity and bond markets. More...

Raman Uppal appointed as new chairman of the Society for Financial Studies (SFS) Council
Raman Uppal, Professor of Finance at EDHEC Business School and Member of EDHEC-Risk Institute, has been appointed as new chairman of the Society for Financial Studies (SFS) Council, succeeding Adlai Fisher, Professor of Finance, Sauder School of Business, University of British Columbia. More...

Advances in Asset Allocation Seminar - Blended Learning Programme, London, 19 March 2019

Harvesting Risk Premia in Equity and Bond Markets Seminar, Yale SOM, 12-14 November 2018

Four-University Rotating FinTech Conference: Advances in Financial Technologies and Applications to Investment Solutions for Individuals, Paris, France, 2 April 2019

EDHEC-Risk Institute has been cited widely in the business and industry press. A selection of articles may be found below.

• "Target date funds risk missing the mark for retirees", Financial Times (27/09/2018)

• "Traditional Assets in ETFs Rise", Benefits and Pensions Monitor (25/09/2018)

• "Tekort aan vastrentende smart-beta ETF‘s", IEX Profs (24/09/2018)

• "EDHEC-Risk's annual European ETF and Smart Beta Survey results show growing demand for new developments in existing Smart Beta offerings", exchangetradedfunds.com (20/09/2018)

• "EDHEC-Risk‘s European ETF survey reveals growing demand for smart beta", etfexpress (20/09/2018)

• "A New Retirement Bond", Financial Advisor Magazine (04/09/2018)

• "Portfolio construction and ETFs", FT Adviser (15/08/2018)

• "Das war das Amundi Forum 2018", Fonds Professionell (02/07/2018)

• "EDHEC-Risk Institute : No Respite for Fixed-Income Investors", Finanzen.ch (28/06/2018)

• "EDHEC ranked in the world‘s top 3 business schools for Finance by the Financial Times", Fenews.co.uk (27/06/2018)