Publications | EDHEC Climate Institute

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Research Programme

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569 result(s)

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…

June 2016

Timing Indicators for Structural Positions in Crude Oil Futures Contracts

This article will argue that it is plausible that there are two fundamental metrics that could be useful for deciding…

June 2016

Swing Oil Production and the Role of Credit: A Synthesis of Best-in-Class Research Views

In order to understand swing production and the role of credit, this working paper will briefly cover five topics. This…

June 2016

Ten Misconceptions about Smart Beta: Analysing common claims on performance drivers, investability issues and strategy design choices

That a new investment approach be debated should not be surprising. Such debate should be expected to further the…

June 2016

A Primer on the Tax Framework of Offshore and Onshore Hedge Funds

This paper reviews the legal and operational structures typically used by hedge funds, their managers, sponsors and…

June 2016

A Collection of Articles on the Commodity Futures Markets, Spanning the Agricultural, Metals, and Energy Sectors

This collection of four articles covers issues that are relevant to the agricultural, metals, and energy markets: The…

June 2016

Commodity Risk Management

This article discusses the practical issues involved in applying a disciplined risk management methodology to commodity…

June 2016

Insights into the Frequently Opaque, and Always Dynamic, Commodity Markets

This collection of four separate digest articles provides answers to the following questions: When has OPEC spare…

May 2016

Portfolio Choice with Model Misspecification: A Foundation for Alpha and Beta Portfolios

In this paper, our objective is to provide a rigorous foundation for alpha and beta portfolio strategies. In particular,…

May 2016

Market Efficiency And Hedge Fund Trading Strategies

This paper investigates the role that hedge funds, a proxy for sophisticated investors, play in the price discovery…

April 2016

Frictional Diversification Costs: Evidence from a Panel of Fund of Hedge Fund Holdings

Using FoFs’ holdings data, the authors analyse the diversification choices of fund of hedge fund managers.…

March 2016

The EDHEC European ETF Survey 2015

The EDHEC European ETF Survey 2015, which surveyed 180 European ETF investors about their usage and perceptions of ETFs,…

February 2016

Term Structure Analysis Of Option Implied Volatility In The Brazilian Market Using A Continuous-Time GARCH Model

This paper aims at predicting the volatility term structure of a given asset. The model is based on the GARCH modelling…

February 2016

What Investment Robots Need To Know – Evidence from Panel Survey Data

Automated asset management offerings, so called investment robots (or robo-advisors), assign risky portfolios to…

January 2016

Mass Customization Versus Mass Production - How An Industrial Revolution Is About To Take Place In Investment Management And Why It Involves A Shift From Investment Products To Investment Solutions

While mass production has happened a long time ago in investment management through the introduction of mutual funds and…

January 2016

Does Household Finance Matter? Small Financial Errors with Large Social Costs

Households with familiarity bias tilt their portfolios towards a few risky assets. Consequently, household portfolios…

January 2016

How to Calibrate Risk Appetite, Tolerance and Limits: The Issues at Stake for Capital Allocation, ERM and Business Performance

The Solvency II prudential framework which comes into to effect in January 2016, is likely to trigger profound changes…

December 2015

On the Correct Evaluation of Cost of Capital for Project Valuation

This paper fills a very important gap in the literature with a straightforward methodology that generalises the classic…

December 2015

Long-Short Commodity Investing: A Review of the Literature

This article reviews recent academic studies that analyse the performance of long-short strategies in commodity futures…

November 2015

Is Smart Beta Just Monkey Business? An Analysis Of Factor Exposures, Upside-Down Strategies And Rebalancing Effects

“Monkey portfolio” proponents argue that all smart beta strategies generate positive value and small-cap exposure, which…

November 2015

Skewness Strategies in Commodity Futures Markets

Investors are known to display a preference for equities with positive skews (or lottery-like payoffs) and an aversion…

November 2015

Structural Position-Taking in Crude Oil Futures Contracts

Should an investor enter into long-term positions in oil futures contracts? In answering this question, this paper will…

November 2015

When Has OPEC Spare Capacity Mattered for Oil Prices?

Oil prices usually “feed off multiple influences”, as noted in Büyüksahin (2011). There are various influences on oil…

October 2015

What are the Sources of Return for CTAs and Commodity Indices? A Brief Survey of Relevant Research

This survey paper will discuss the (potential) structural sources of return for both CTAs and commodity indices based on…

October 2015

The Limitations Of Factor Investing: Impact Of The Volkswagen Scandal On Concentrated Versus Diversified Factor Indices

Volkswagen has been caught up in one of the most notorious scandals in corporate history by installing cheat software to…

October 2015

Commodities as Lotteries: Skewness and the Returns of Commodity Futures

This article studies the relation between skewness and subsequent returns in commodity futures markets. Systematically…

September 2015

Stock Market Dispersion, the Business Cycle and Expected Factor Returns

This paper provides evidence using data from the G7 countries suggesting that return dispersion may serve as an economic…

August 2015

Factor Investing: A Welfare-Improving New Investment Paradigm or Yet Another Marketing Fad?

This paper examines the relative efficiency of standard forms of practical implementation of the factor investing…

July 2015

Commodity Risks and the Cross-Section of Equity Returns

The article examines whether commodity risk is priced in the cross-section of global equity returns. We employ a long…

July 2015

Commodity Markets, Long-Run Predictability and Intertemporal Pricing

This paper shows that backwardation versus contango factor-mimicking portfolios exhibit in-sample and out-of-sample…

July 2015

Active Allocation To Smart Factor Indices

This paper provides a formal empirical analysis of the benefits of strategic and tactical allocation to multiple equity…

May 2015

The Valuation of Privately-Held Infrastructure Equity Investments: Theoretical Framework and Data Collection Requirements

This paper proposes a valuation framework for privately-held and very illiquid assets such as equity stakes in…

April 2015

Investor Interest In And Requirements For Smart Beta ETFs

Exchange-traded funds (ETFs) are perhaps one of the greatest financial innovations of recent years. Unlike conventional…

March 2015

The EDHEC European ETF Survey 2014

EDHEC Risk Institute conducted its 8th survey of European investment professionals about the usage and perceptions of…

March 2015

Alternative Equity Beta Investing: A Survey

Alternative equity beta investing has attracted increased attention within the industry recently. Though products in…

March 2015

Accounting For Geographic Exposure In Performance And Risk Reporting For Equity Portfolios

A standard practice in reporting geographic exposure of equity portfolios is to report breakdown of portfolio…