Publications | EDHEC Climate Institute

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

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…

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…

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

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

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

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…

March 2015

Introducing A Comprehensive Investment Framework For Goals-Based Wealth Management

Any investment process should start with a thorough understanding of the investor problem. Individual investors do not…

February 2015

Where Experience Matters: Asset Allocation and Asset Pricing with Opaque and Illiquid Assets

Alternative assets, such as private equity, hedge funds, and real assets, are illiquid and opaque, and thus pose a…

December 2014

Crude Oil Futures Markets: Are the Benefits of "Roll Yield" Real?

This paper examines whether roll yield is still a useful concept in evaluating crude oil futures markets. This is a…

December 2014

Equity Portfolios with Improved Liability-Hedging Benefits

This paper extends the LDI paradigm by assessing whether LDI solutions can be enhanced by the design of…

November 2014

Practical Commodity Futures Trading Principles

The following Q&amp;A is updated and excerpted from the Practitioner’s Corner in The Journal of Alternative…

September 2014

How Much Construction Risk do Sponsors Take in Project Finance?

Using new data, this paper shows that construction risk in infrastructure project finance is well-managed and that…

August 2014

The Impact Of Risk Controls And Strategy-Specific Risk Diversification On Extreme Risk

To overcome the deficiencies of cap-weighted indices, smart beta strategies have been proposed. They employ weighting…

July 2014

Unlisted Infrastructure Debt Valuation & Performance Measurement: Theoretical Framework and Data Collection Requirements

Building on advanced and robust credit risk modelling and private debt valuation techniques, this paper focuses on…

July 2014

Superannuation V2.0: Towards The Next Generation Of Pension Funds In Australia

This paper discusses potential improvements to the design of retirement products in the Superannuation system, including…

July 2014

Dynamic Allocation Strategies for Absolute and Relative Loss Control

The maximum drawdown control strategy dynamically allocates wealth between cash and a risky portfolio, keeping losses…

July 2014

Risk Allocation, Factor Investing And Smart Beta: Reconciling Innovations In Equity Portfolio Construction

This publication argues that current smart beta investment approaches only provide a partial answer to the main…

July 2014

Catastrophe Bonds: An Important New Financial Instrument

This paper describes key features of catastrophe bonds or CAT bonds. CAT bonds are issued by a reinsurer for…

July 2014

Tail Risk Of Smart Beta Portfolios: An Extreme Value Theory Approach

This paper studies the in-sample extreme risk of smart beta portfolios using the GARCH-EVT model. To validate the in…

July 2014

A Predictive System with Heteroscedastic Expected Returns and Economic Constraints

We propose a variation of a predictive system that incorporates two (additional) economically motivated assumptions…

July 2014

Should A Skeptical Portfolio Insurer Use An Optimal Or A Risk-Based Multiplier?

Following recent evidence of out-of-sample stock market return predictability, the authors aim to evaluate whether the…