Featured Homepage Articles #2

‘Fake infra’ threatens real deal

Listed infrastructure is an ill-defined asset class that is often sold with false promises, threatening to discourage institutional players from genuine long-term investment in capital projects.
ANALYSIS

CalPERS mulls leverage

The board of the United States’ largest pension fund calls in the experts as it considers applying leverage in its portfolio, part of efforts to improve a 68 per cent liability-funding ratio.
Featured Homepage Articles #2

First benchmarks for infrastructure

The first-ever benchmarks for private infrastructure equity and debt investments have been provided by EDHEC Infrastructure, which is releasing hundreds of new indices to end confusing packaging.
Featured Homepage Articles #2

Asset owners’ next battle

Asset owners are winning the argument to lower private equity manager fees; their next battle will be about the valuation of private assets.
Featured Homepage Articles #2

Assessing smart beta strategies

Analysing smart beta performance and risks is not monkey business. For a better understanding of smart beta strategies it is crucial to analyse their construction.
Featured Homepage Articles #2

Optimal factor index design?

EDHEC-Risk Institute suggests that investors should be wary when implementing factor tilts to ensure diversification still reigns.
OPINION

Beyond backtests: considering the robustness of smart beta

Systematic equity investment strategies – so-called smart beta strategies – are usually marketed on the basis of outperformance. However, it is important to recognise that performance analysis is typically conducted on backtests that apply the smart beta methodology to historical stock returns. Concerning actual investment decisions, a relevant question, therefore, is how robust the outperformance... Read more »
OPINION

Capturing true geographic exposures in risk reporting

New research by EDHEC-Risk Institute questions the usefulness of analysing geographic equities exposures based on the stock’s place of listing, incorporation or headquarters. Head of applied research, Felix Goltz, suggests that in a globalised marketplace, a more meaningful analysis of geographic risk exposures, and performance attribution, comes from looking at geographic segmentation data including total sales... Read more »
OPINION

How to hedge long-term inflation-linked liabilities without inflation-linked instruments

Given the capacity constraints on local inflation-linked bond markets, what are other options for hedging long-term inflation-linked liabilities? This is a question Ontario Teachers’ Pension Plan has been deliberating on as it supports an academic chair at EDHEC-Risk Institute with a focus on analysing the design of novel forms of liability-hedging portfolios that do not... Read more »
RESEARCH

Benchmarking infrastructure a step closer

The first valuation and risk measurement model created for unlisted infrastructure debt has been developed, with the release of a paper showing the valuation of illiquid infrastructure project debt, taking into account its illiquidity and the absence of market price feedback, can be done using advanced, state-of-the-art structural credit risk modelling. The paper by EDHEC-Risk... Read more »
OPINION

Risk parity – the benefits of a conditional approach

Risk parity is a meaningful and robust approach for building well-diversified portfolios, but it relies on historical volatility estimates, which penalises upside risk as well as downside risk and leads to a massive overweighting of bonds versus equities, even in a low yield environment. The authors from EDHEC Risk-Institute build the case for an alternative... Read more »
OPINION

Evolution in risk reporting for sophisticated institutional investors

Risk reporting is increasingly regarded by sophisticated investors as an important ingredient in their decision-making process, authors from EDHEC argue that  the effective number of (uncorrelated) bets could be a useful risk indicator to be added to risk reports for equity and policy portfolios. Risk reporting is increasingly regarded by sophisticated investors as an important... Read more »