Written on 08 April 2020.
In order to advance the frontiers of knowledge and foster industry innovation, EDHEC-Risk Institute implements eight research programmes focusing on interrelated aspects of investment solutions to advance the frontiers of knowledge and foster industry innovation.
In addition to making important public contributions to the advancement of financial research and the improvement of industry practices, EDHEC-Risk Institute also employs its expertise to conduct proprietary research for clients and develop innovative products with business partners, thus providing them with an edge over competition.
The chair analyses the developments in the use of exchange-traded funds (ETFs) as part of the asset allocation process and looks at advanced forms of risk budgeting within the framework of a core-satellite approach. It also conducts research which aim at measuring and managing ESG risks in sovereign bond portfolios and implications for sovereign debt investing. Previously, EDHEC-Risk introduced a comprehensive investment framework blending liability-driven investing and factor investing and conducted research which aimed at presenting a comprehensive analysis of the theoretical, empirical and practical challenges related to factor investing in the fixed-income space, with a focus on facilitating the emergence of more efficient approaches to bond risk premia harvesting.
Amundi has continuously supported EDHEC-Risk Institute over the past years, convinced by the quality of their state-ofthe-art academic contribution, including in the Smart Beta field where innovation remains very intense. The excellence of the literature produced within the “ETF and Passive Investment Strategies” research chair is of great help to investors and the industry as a whole, while enabling us to better accompany our clients in their asset allocation, with added value solutions.
Valérie Baudson, Member of the Executive Committee, Amundi, CEO, CPR AM and Head of ETF, Indexing & Smart Beta
Building upon fundamental research related to risk allocation and goals-based wealth management conducted in prior years, EDHEC-Risk Institute is collaborating with Bank of America to develop new research on goals-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 investing 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 as well as annuity-related products.
This research is fundamental to delivering a client-centric, goals-based approach to investing. We expect to use the insights to explore more effective and efficient ways of providing retirement related advice and guidance to our clients.
Anil Suri, head of Asset Allocation and Investment Analytics for the Chief Investment Office of Merrill and Bank of America Private Bank
Article in Benefits and Pensions Monitor "EDHEC-Risk Collaborates on Retirement Solutions" announcing the launch, 7 February 2020.
Designing and Implementing Welfare-Improving Investment Solutions for Institutions and Individuals, in partnership with FirstRand
The aim of the chair is to expand the scientific literature on investor welfare-enhancing methodologies for portfolio construction in a goals-based investing framework. The chair will focus on a detailed analysis of the interplay between diversification and insurance, with the purpose 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.
To partner with a leading, global think tank on this topic could be a game changer for the industry. FirstRand’s strategy is completely focused on delivering better outcomes for our clients and this research will definitely identify how we can most effectively service their needs.
Albert de Wet, FirstRand Group Treasury
Article in Money Marketing "EDHEC-Risk Institute and FirstRand launch research chair" announcing the launch, 19 December 2019.
Cross-Sectional and Time-Series Estimates of Risk Premia in Bond Markets, sponsored by Pimco
The purpose of this chair is to conduct research work in the areas of cross-sectional and time-series analysis of risk premia in fixed-income markets. More specifically, the topics will cover the broad areas of estimation of volatility risk premia embedded in interest rate derivatives products, relative valuation of volatility products such as swaptions and other interest rate and foreign exchange derivatives instruments, as well as affine term-structure modelling under both the physical and risk neutral measures, with special attention devoted to topics such as the estimation of risk premia, the effects of very low interest rates on the extraction of expectations and risk premia, and the value of convexity.
The aim of this research chair 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 retirement solutions. An important part of this research effort will be dedicated to assessing the theoretical, empirical and practical challenges related to factor investing in real estate markets, with the ambition to facilitate the emergence of more efficient approaches to real estate risk premia harvesting.
As part of the research chair, we also expect to examine how dedicated forms of real estate investments can be used as part of goal hedging portfolios within improved retirement solutions, based on their ability to generate inflation-linked replacement income cash flows. We shall also analyse how insurance products can be integrated with real estate investments to provide a comprehensive retirement solution for all stages of retirement.
EDHEC-Risk Institute is at the forefront of the factors investing techniques and is ahead of the game in research on illiquid assets as proved by its initiative in hedge fund, infrastructure and property indices. We have known the team, in particular Lionel Martellini, since many years and we are delighted of the partnership.
Béatrice Guedj, Head of Research and Innovation at Swiss Life REIM (France)
Article in Mondovisione "Swiss Life Asset Managers France And EDHEC-Risk Set Up A Research Chair To Analyse The Role Of Real Estate In Investment Solutions" announcing the launch of the 3-year research chair, 17 October 2018.
An EDHEC-Risk Institute research chair therefore enables its sponsor to support high quality, independent research that will be made public; this is an ideal way to demonstrate the organisation’s interest and commitment to important field valued by the idustry.