Publications | EDHEC Climate Institute

January 2021

Covid-19 and Smart-Beta

Authors investigate the role of sectors on the performance of smart-beta products during the COVID-19 crisis. Cross…

November 2020

“Flexicure” Retirement Solutions: A Part of the Answer to the Pension Crisis?

Individuals preparing for retirement are currently left with an unsatisfactory choice between security with no…

September 2020

The EDHEC European ETF, Smart Beta and Factor Investing Survey 2020

The latest edition of the&nbsp;EDHEC European ETF, Smart Beta and Factor Investing Survey&nbsp;was conducted as…

July 2020

The Seasons of the True Size Anomaly

This paper employs a robust portfolio sorting procedure to factor size characteristics into returns. The US size anomaly…

July 2020

Risk Optimizations on Basis Portfolios: The Role of Sorting

This paper investigates the mean-variance and diversification properties of risk-based strategies performed on style or…

April 2020

Research Topics from Across the Commodity Markets

In this working paper, the author concisely summarizes five research papers on (1) metals hedging; (2) energy policy; (3…

March 2020

Climate Change and Credit Risk

Authors investigate the relationship between exposure to climate change and firm credit risk. They show that the…

March 2020

Predicting and Decomposing the Risk of Data-Driven Portfolios

Sophisticated algorithmic techniques are complementing human judgement across the fund industry. Whatever the type of…

March 2020

Factor Investing in Liability-Driven and Goal-Based Investment Solutions

A new approach known as factor investing has recently emerged in investment practice, which recommends that allocation…

January 2020

Commodity Trading Strategies: Examples, Mistakes, and Famous Debacles

This paper provides a reasonably comprehensive tour of the always dynamic and frequently opaque commodity markets,…

September 2019

The EDHEC European ETF, Smart Beta and Factor Investing Survey 2019

EDHEC-Risk Institute conducted its 12th survey of European investment professionals about the usage and perceptions of…

July 2019

A Financially Justifiable and Practically Implementable Approach to Coherent Stress Testing

We present an approach to stress testing that is both practically implementable and solidly rooted in well-established…

June 2019

Factor Investing in Fixed-Income – Defining and Exploiting Value in Sovereign Bond Markets

Value has been recognised as one of the most important factors for equities since the pioneering work by Fama and…

June 2019

Factor Investing in Fixed-Income - Cross-Sectional and Time-Series Momentum in Sovereign Bond Markets

Looking at momentum in fixed-income markets at the security level is very important, because studies that employ …

June 2019

Assets’ Correlation Implications for Portfolio Insurance Strategies Performance

The estimation of the multiplier parameter of portfolio insurance is crucial for this kind of investment strategies…

May 2019

Factor Investing in Sovereign Bond Markets – A Time-Series Perspective

This paper has been produced as part of the "ETF, Indexing and Smart Beta Investment Strategies" Research Chair at EDHEC…

May 2019

Weathering the Storm in Commodity Risk Premia Strategies

A 2018 Financial Times article described how commodity risk premia strategies had caused a “boom in trading volumes on…

December 2018

An Update on Weather Fear Premia Trades

This article reviews a class of trading strategies known as “weather fear premia” trades. The article describes them,…

September 2018

EDHEC European ETF and Smart Beta and Factor Investing Survey 2018

EDHEC-Risk Institute conducted its 11th survey of European investment professionals about the usage and perceptions of…

September 2018

Gamma Trading Skills in Hedge Funds

This paper explores the gamma trading, timing and managerial skills of individual hedge funds across categories. We…

July 2018

Introducing “Flexicure” Goal-Based Investing Retirement Solutions

Individuals need “flexicurity” in retirement solutions, and should not have to choose between security and flexibility.…

June 2018

Applying Goal-Based Investing Principles to the Retirement Problem - Executive Summary

In most developed countries, pension systems are being threatened by rising demographic imbalances as well as lower…

June 2018

Maximising the Volatility Return: A Risk-Based Strategy for Homogeneous Groups of Assets

The long-term performance of any portfolio can be decomposed as the sum of the weighted average long-term return of its…

May 2018

Applying Goal-Based Investing Principles to the Retirement Problem

In most developed countries, pension systems are being threatened by rising demographic imbalances as well as lower…

May 2018

Are You Rich Enough for A (Single) Family Office

Are you rich enough for a family office? Focusing purely on the financial economics of a family office, we derive the…

February 2018

Inferring Petroleum-Complex Fundamentals

This paper will discuss inferring crude-oil-market fundamentals through price-relationship data, largely through the…

February 2018

Construction Rules of Retirement Goal-Based Investing Indices

This document presents the second family of EDHEC-Princeton Retirement Goal-Based Investing Indices. The Retirement Goal…

February 2018

Construction Rules of Retirement Goal Price Indices

This document describes the first family of EDHEC-Princeton Retirement Goal-Based Investing Indices, that is the EDHEC…

February 2018

Smart Beta And Beyond: Maximising The Benefits Of Factor Investing

Factor investing is an investment paradigm under which an investor decides how much to allocate to various factors, as…

February 2018

Smart Equity Investing: Implementing Risk Optimisation Techniques on Strategic Beta Portfolios

We examine the performance of risk-optimisation techniques on equity style portfolios. To form these portfolios, also…

January 2018

Factor-Based Commodity Investing

A multi-factor commodity portfolio combining the high momentum, low basis and high basismomentum commodity factor…

November 2017

EDHEC Survey On Equity Factor Investing

In the past few years, equity factor investing has become increasingly popular among institutional investors and their…

November 2017

Maximising an Equity Portfolio Excess Growth Rate: A New Form of Smart Beta Strategy?

It has been argued that the simple act of resetting portfolio weights back to the original weights can be a source of…

September 2017

The MF Global Debacle: What Were The Red Flags?

September 2017

Predicting Risk Premia for Treasury Bonds: The ERI Risk Premium Monitor

Investors in the Treasury market often observe an upward-sloping yield curve.1 This means that, by assuming ‘duration…

September 2017

The ERI Stress Testing Tool: A Coherent Approach to Stress Testing

Risk management, prudential macro- and micro-regulation, portfolio allocation and, in general, the strategic analysis of…

July 2017

Factoring Characteristics into Returns: A Clinical Approach to Fama-French Portfolio Decomposition

This paper thoroughly analyses competing construction methods for factoring characteristics into returns. We show the…

June 2017

The EDHEC European ETF And Smart Beta Survey 2016

The 10th EDHEC European ETF and Smart Beta Survey is a comprehensive survey of 211 European ETF and smart beta investors…

June 2017

A Note on the Valuation of Asset Management Firms

Market capitalisation relative to assets under management is a metric often used to value asset management firms. The…

May 2017

Mass Customisation versus Mass Production in Retirement Investment Management: Addressing a "Tough Engineering Problem"

Existing financial products marketed as “retirement investment solutions” do not meet the needs of future retirees,…

March 2017

Smart Beta Replication Costs

This paper provides an explicit estimate of the costs applied to a range of smart beta strategies and analyses the…

February 2017

Measuring Volatility Pumping Benefits in Equity Markets

It has been argued that portfolio rebalancing, defined as the simple act of resetting portfolio weights back to their…

January 2017

Commodity Futures Trading Strategies: Trend-Following and Calendar Spreads

This brief article discusses the most common strategies employed by futures traders, namely trend-following and calendar…

January 2017

The Commodity Derivatives Markets from a Broadly Conceptual Perspective

This is a working paper version of a set of articles that was later published in the Spring 2017 Global Commodities…

November 2016

Multi-Dimensional Risk And Performance Analysis For Equity Portfolios

This paper explores a novel approach to address the challenge raised by the standard investment practice of treating…

September 2016

Hedge Fund Styles And Macroeconomic Uncertainty

This paper examines the dynamic trading strategies implemented by hedge fund managers using a Kalman filter of hedge…

August 2016

Investor Perceptions About Smart Beta ETFs

For the third year running, in view of the considerable development in new forms of indices, as well as the increasing…

August 2016

What Do Measures Of Real-Time Corporate Sales Tell Us About Earnings Surprises And Post-Announcement Returns?

We develop real-time proxies of retail corporate sales from multiple sources, including ~50 million mobile devices.…

June 2016

Initial Margin For Non-Centrally Cleared OTC Derivatives: Overview, Modelling And Calibration

This paper provides a detailed overview and analysis of the forthcoming new framework to be used by large financial…

June 2016

Factor Investing And Risk Allocation: From Traditional To Alternative Risk Premia Harvesting

This study extends the analysis of factor investing beyond traditional factors and seeks to investigate what the best…