Press Room

Review – Big Call: ESG Investors Forum"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 See more Immobilier: les Français continuent à se ruer sur la pierre papier"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 See more Poor returns underline smart beta’s structural problems"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 See more Smart beta investors see corporate bonds as next growth area"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 See more What happened to passive investing? ETFs and the return of active"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 See more Retraites: le nouveau PER est arrivé, plus simple et… compliqué"« 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 See more The EDHEC-Risk’s Annual European ETF And Smart Beta Survey Show Growing Demand For SRI/Ethical ETFs"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 See more EDHEC teams up with Coursera to launch MOOCs in machine-learning techniques for financial-sector professionals"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 See more EDHEC’s pointers over fixed income ETF investment"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. See more Kiwi Investor Blog achieves 100 not out"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. See more Big data, IA : vers un gérant «augmenté» ?"(...) 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 See more Quelle conomie pour les 320000 Silvers du 06"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 See more Growing demand for SRI/Ethical ETFs and significant interest in fixed-income Smart Beta solutions"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 See more Buzz around factor investing in fixed income is growing"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 See more Investors call on ETF issuers to develop fixed income smart beta products further"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 See more Smart Beta Bond ETFs May Be Beginning to Attract Attention"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. See more EDHEC-Risk Institute: The (Many) Problems of an Inverted Yield Curve"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. See more EDHEC’s Rebonato predicts ‘new dawn’ in fixed income investing"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 See more Investors demonstrate appetite for innovation in fixed income ETFs"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 See more Smart beta funds fail to match hype"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 See more The discovery of factors in fixed income"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. See more The discovery of factors in fixed income"(...) "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. See more The quants are back in their billions"(...) "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 See more Amundi/EDHEC studies explore fixed income smart beta"(...) 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 See more +6,99% en un an"(...) 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. See more EDHEC-Risk Institute Says Duration-Timing Strategies Can Work"(...) 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 See more EDHEC-Risk Institute Says Duration-Timing Strategies Can Work"(...) 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 See more The future of retirement is already here"(...) 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 See more EDHEC-Risk Institute launches factor investing in bond markets research programme"(...) 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 See more Index companies to feel the chill of fund managers’ price war"(...) 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. See more Factor investing in bonds should focus on two additional factors"(...) 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."(...) See more The Need for Flexicure Retirement Solutions"(...) 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. See more Can retirement bonds prevent a pensions crisis?"(...) 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 See more Private banks must take goals-based tech to heart"(...) 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 See more Fed funds’ projections lower in March"(...) 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 See more Financement de leur retraite : une source d'inquiétudes pour les Français"(...) 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 See more Eduquons les Français à la finance !"(...) 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 See more Three things your clients may call you about this week …"(...) 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 See more Pension CRISIS: How would the UK solve a retirement TIME-BOMB?"(...) 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. See more L’OBLIGATAIRE tenté par le «smart beta»"(...) 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 See more What Asset Managers Don’t Want You to Know About Their Factor Funds"(...) "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 See more Fresh Insights on the Smart Beta Space"(...) 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. See more Behavioral-finance expert takes top Bernstein Fabozzi/Jacobs Levy award"(...) 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 See more IPR Journals announces the winners of the 20th annual Bernstein Fabozzi/Jacobs Levy Awards"(...) 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 See more Fed's low confidence signals recession"(...) 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 See more Amundi’s Perrier eyes next opportunities"(...) 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 See more FIXED INCOME ETFS: Choosing your mood music"(...)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. See more Smart beta ETFs begin to impact on active funds"(...) 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 See more Global debt pile creates new chances in nascent market"(…) 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 See more Price battle divides losers from winners"(...) “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 See more