EDHEC-Risk Institute Partner News

EDHEC-Risk Institute 

Partner News 

N E W S L E T T E R 

Issue nº 5 - April 2011 

In this issue: 

1. Editorial ......................................................................................................................................................................................................1 

2. Research Chairs .....................................................................................................................................................................................2 

3. EDHEC-Risk Institute in the Press....................................................................................................................................................4 

4. Appointments ..........................................................................................................................................................................................8 

5. First Quarter Activity Highlights...................................................................................................................................................9 

6. Events ........................................................................................................................................................................................................11 

Contact Us ...................................................................................................................................................................................................14 

1. Editorial 

The latest edition of the EDHEC-Risk Alternative 

Investment Days took place earlier this month in 

London. In spite of the success of the event, which 

gathered together more than 300 industry players 

from all over Europe and beyond, coming to London 

to discuss the Institute’s latest research results 

in the alternative investment field, EDHEC-Risk 

Institute has decided not to organise the seventh 

edition of the conference in 2012. Instead, the 

Institute will be merging its two annual conferences, 

the EDHEC-Risk Institutional Days and the EDHEC- 

Risk Alternative Investment Days into a unique threeday 

event in Europe, the EDHEC-Risk Days Europe 

(London, March 2012). 

Following the opening of new offices and new 

horizons for the Institute, 2012 will also see the first 

editions of conferences held in North America and 

Asia during the summer. 

Along with the internationalisation of its conferences, 

EDHEC-Risk Institute will also be increasing the 

number of seminars organised in North America, 

both the traditional executive seminars that strongly 

contributed to the reputation of EDHEC-Risk 

Institute such as the “Advances in Asset Allocation 

Seminar”, but also new seminars such as “New 

Forms of Passive Equity Investing”, the objective of 

which is to increase understanding of the limits 

Vania Schleef, Business Relationship Manager, EDHEC-Risk Institute 

and benefits of traditional and alternative equity 

benchmarks. 

This newsletter will provide you with more detailed 

information about our different forthcoming 

activities, including the new research projects that 

the Institute is planning to launch. 

We wish you a pleasant read. 

EDHEC-Risk Institute Partner News - Issue nº 5 - April 2011 - 1

2. Research Chairs 

Currently eleven research chairs, associated with 

EDHEC-Risk’s six research programmes exploring 

interrelated aspects of asset allocation and risk 

management, are managed by EDHEC-Risk Institute. 

The research chairs involve close partnerships 

with their financial sponsors and a commitment 

from EDHEC-Risk to publishing related articles in 

international academic journals as well as to releasing 

the research results to the investment management 

profession through wide distribution of practitioneroriented 

publications and presentations at industry 

conferences. A selection of news concerning individual 

research chairs may be found below. 

Current Research Chair News 

New research chair on Solvency II Benchmarks 

endowed by Russell Investments 

EDHEC-Risk Institute will be conducting research 

with the support of Russell Investments in order 

to design new benchmarks for European insurance 

companies that are representative of a dynamic 

allocation strategy between bonds and equities. The 

aim of the initiative is to enable all small- or mediumsized 

European insurance companies which do not 

have a full internal risk mitigation model to be able 

to avail of an objective academic reference in order to 

manage the risk of their equity investments. 

First year research project for Ontario Teachers’ 

Pension Plan research chair underway 

Work has started on the first year research project 

of the Ontario Teachers’ Pension Plan “Advanced 

Investment Solutions for Liability Hedging for 

Inflation Risk“ research chair, under the supervision 

of Bernd Scherer, Professor of finance at EDHEC 

Business School and member of EDHEC-Risk Institute. 

With $96.4 billion in net assets at December 31, 

2009, the Ontario Teachers’ Pension Plan is the 

largest single-profession pension plan in Canada. 

An independent organisation, it invests the pension 

fund’s assets and administers the pensions of 289,000 

active and retired teachers in Ontario. 

The theme of the first year research project is “Real 

Assets for Liability Relative Investors”. Industry wide 

pension funds all over the world tend to have made 

generous inflation indexed pension promises in the 

past. Given that real assets are often conjectured to 

offer a reduction in riskiness relative to a purchasing 

power metric, there is strong interest in the liability 

hedging properties of real assets. The conventional 

wisdom is that pension funds with real liabilities need 

to invest in assets that are positively correlated 

with inflation. As always, the conventional wisdom 

is incomplete. Pension funds with real liabilities 

need also to watch out for assets that are positively 

correlated with changes in real yields. 

The first year research will investigate the role of real 

assets for investors with real liabilities. While inflation 

and real rate sensitivities are both important and 

subject to the study, the ultimate question is whether 

real assets can help investors with real liabilities to 

improve the efficiency of their portfolios. The research 

will develop the necessary tools to investigate the role 

of real assets for pension funds with real liabilities. 

Latest findings from the Deutsche Bank and 

CACEIS research chairs reported recently in the 

Financial Times 

• Deutsche Bank “Asset-Liability Management 

Techniques for Sovereign Wealth Fund 

Management“ research chair 

In an article entitled “Sovereign wealth funds make 

presence felt” published in the FTfm on February 

21, Lionel Martellini, Scientific Director, and Vincent 

Milhau, Senior Research Engineer, at EDHEC-Risk 

Institute, discuss the results of recent research 

conducted by EDHEC-Risk Institute as part of 

the Deutsche Bank “Asset-Liability Management 

Techniques for Sovereign Wealth Fund Management” 

research chair, which suggest that it is desirable to 

analyse the optimal investment policy of a sovereign 

wealth fund in an asset-liability management 

framework. 

The paper on which the article is based, “Asset- 

Liability Management Decisions for Sovereign 

Wealth Funds”, proposes a formal analysis of the 

optimal investment policy and risk management 

practices of sovereign wealth funds, which can be 

regarded as the extension to sovereign wealth funds 

of the liability-driven investing paradigm recently 

developed in the pension fund industry. This analysis 

has important potential implications in terms of 

the emergence of genuinely dedicated ALM and risk 

management solutions for sovereign wealth funds. 


The full FTfm article may be consulted here. 

CACEIS “Risk and Regulation in the European 

Fund Management Industry” research chair 

The FTfm edition of March 28 reports the latest 

findings of the CACEIS “Risk and Regulation in the 

European Fund Management Industry” research chair 

in an article authored by Samuel Sender, applied 

research manager at EDHEC-Risk Institute. The article 

discusses the recent research conducted to examine 

how non-financial risks and failures have impacted 

the regulatory agenda in Europe and traced the 

management of liquidity, counterparty, compliance, 

misinformation, and other non-financial risks in 

the fund industry. This research gave rise to a paper 

entitled, “The European Fund Management Industry 

Needs a Better Grasp of Non-Financial Risks”. 

The full FTfm article may be consulted here. 

A number of seminars to take place throughout 

Europe in April and May to present the latest 

results of the Ortec Finance, Rothschild & Cie, and 

AXA Investment Managers research chairs: 

• Exclusive presentation of the results of an EDHEC- 

Risk survey of European private wealth management 

practices organised in London with Ortec Finance 

As part of the Ortec Finance research chair on “Private 

Asset-Liability Management”, an exclusive seminar 

jointly organised by Ortec Finance and EDHEC- 

Risk Institute took place in London on April 20. The 

presentation, entitled “The Evolution of Value-Added 

in Private Wealth Management and the Asset-Liability 

Management Approach”, conducted by Felix Goltz, 

Head of Applied Research and Noël Amenc, Director, 

at EDHEC-Risk Institute, presented the results of the 

EDHEC-Risk European Private Wealth Management 

Survey and provided a unique opportunity to discuss 

the challenges in private wealth management and 

take a detailed look at the landscape of private wealth 

management in Europe. 

At the event, Ronald Janssen, Managing Director 

Private Wealth Management at Ortec Finance also 

presented the Private ALM solutions developed by his 

company for different client segments ranging from 

retail to private banks. 

• Special presentations to be held in Paris and London 

in May as part of the Rothschild & Cie research 

chair on “The Case for Inflation-Linked Corporate 

Bonds: Issuers’ and Investors’ Perspectives“ 

At a special presentation entitled “How to Improve 

Corporate Debt Programmes with Inflation Linked 

Corporate Bonds” organised in Paris on 3 May and in 

London on 4 May, Lionel Martellini, Scientific Director 

at EDHEC-Risk Institute, will detail the recent EDHEC- 

Risk Institute research in this field and examine the 

following topics: 

- On the relevance of debt management 

- A simplified approach to debt management decisions 

- Introducing inflation-linked bonds 

- Numerical estimates of debt management benefits 

- Reconciling the needs of issuers and investors 

The main contribution of this research is to provide 

a joint quantitative analysis of capital-structure 

decisions and debt structure decisions within a 

standard continuous-time model in the presence of 

interest-rate and inflation risks. The principal findings 

are that debt management has an impact on capital 

structure and that an optimal debt structure can 

facilitate substantial increases in firm value. The 

research finds that a number of corporations would 

benefit from issuing inflation-linked bonds, bonds 

usually associated with sovereign states. 

• Exclusive seminar on accounting and sponsor 

risks in corporate pension plans organised in 

London, Paris and Amsterdam in May as part of 

the AXA Investment Managers “Regulation and 

Institutional Investment“ research chair 

At the seminar entitled, “The Elephant in the Room: 

Accounting and Sponsor Risks in Corporate Pension 

Plans”, Samuel Sender, Applied Research Manager 

at EDHEC-Risk Institute, will present a major study 

conducted by EDHEC-Risk Institute analysing how 

pension funds and sponsors manage the main risks 

they face and how institutional constraints influence 

the investment strategy of sponsors and pension 

funds. 

Erwan Boscher, Head of Pension Solutions at AXA 

Investment Managers will also be making a presentation 

at the event on the topic of “Practical Insights into 

Pension Fund Regulation and Consequences for 

Investors”. 


The seminars will take place on 16 May in Paris, 17 

May in Amsterdam and 18 May in London. 

Other Research Project News 

EDHEC-Risk Institute receives new support for 

three major research projects in Asia 

CME Group, Eurex and Société Générale Corporate 

& Investment Banking have signed partnership 

agreements with EDHEC Risk Institute–Asia and joined 

Amundi ETF, AXA Investment Managers, Deutsche 

Bank, and the Monetary Authority of Singapore 

in their support of EDHEC-Risk Institute’s newly 

established Asian platform. 

Chicago-based CME Group is sponsoring a research 

project entitled “Exploring the Commodity Futures 

Risk Premium: Implications for Asset Allocation and 

Regulation”. The research will build on previous work 

by Professor Joëlle Miffre which showed that a longshort 

dynamic approach based on the positions of 

hedgers and speculators and taking into account 

backwardation and contango was particularly apt at 

capturing the hedging pressure-based commodity 

futures risk premium. The project will explore the 

conditional correlations between the commodity risk 

premium and the returns of traditional assets over the 

long term to examine the diversification and extremerisk 

hedging potential of commodity futures as an 

asset class. It will also look at the possible influence 

of long-short speculators and long-only index traders 

on commodity markets to bring research-based facts 

to the current debate on the link between commodity 

market “financialisation” and price formation. 

The Institute will be conducting new research looking 

at “The Benefits of Volatility Derivatives in Equity 

Portfolio Management” with the support of Frankfurtbased 

Eurex. The research project’s emphasis will be 

on optimising access to the equity risk premium while 

controlling for downside risk. It will be co-managed 

by Professor Stoyan Stoyanov, Head of Research 

at EDHEC Risk Institute–Asia and Professor Lionel 

Martellini, Scientific Director of EDHEC-Risk Institute. 

that documented the relevance of structured 

products in institutional investment, the study will 

develop a framework for the comparative analysis of 

various forms of allocation to equities, including new 

structured forms of investment management, from 

an institutional asset allocation and risk management 

standpoint. The project will be led by Professor 

Stoyanov. 

3. EDHEC-Risk Institute 

in the Press 

A selection of recent articles from the international 

business and specialised press featuring EDHEC-Risk 

Institute’s research may be found below. 

Risk management: 

• IPE (January 2011) 

Beta-zero fees 

“(…) Bernd Scherer tells Martin Steward that asset 

managers should take a good look at – and possibly 

hedge – the market risk embedded in their fees. How 

might that change the relationship with clients? (...) 

Many asset management companies went bust thanks 

to the financial crisis. No wonder many more are 

now taking a closer look at their key business risks. 

“Sometimes it takes a catalyst to create awareness – 

and P&L is an excellent teacher,” says Bernd Scherer, 

professor of finance at the EDHEC Business School and 

former Morgan Stanley managing director. Scherer’s 

attention is particularly focused on the pure market 

exposure risk that asset managers run via the assetbased 

fees that generate the bulk of their revenues. 

He feels this is massively overlooked by the industry, 

which assumes that its key risks are operational. But 

if an asset manager charges fees as a percentage of 

assets under management, and if those assets fall in 

line with the market, it stands to reason that revenues 

will fall in line with the market. (…)” 

Copyright IPE 

Société Générale Corporate & Investment 

Banking is supporting research into “Structured 

Equity Investment Strategies for Long-Term Asian 

Investors”. Building on earlier work by the Institute 


Private equity: 

• Financial Times (17/01/2011) 

Big buy-out firms poor performers 

“(...) The world’s largest private equity groups deliver 

the worst returns for investors, according to analysis 

of 7,500 investments over the past 40 years. The 

research, conducted by the EDHEC-Risk Institute, 

an arm of France’s EDHEC Business School, found 

firms that hold a large number of investments 

simultaneously “underperform substantially”. The 

study, Giants at the Gate, also found returns from 

private equity investment in emerging markets are 

significantly below those in developed markets, 

potentially undermining the industry’s ongoing push 

into the fast-growing Asian markets. The report’s key 

finding was that “the scale of private equity firms is 

a significant and consistent driver of returns. Small 

investments outperform large.” EDHEC ranked the 

data in terms of the number of investments held 

simultaneously, a proxy for the size of a private 

equity firm. (...) EDHEC concluded, as private equity 

firms become bigger, communication becomes 

difficult and senior managers have less time for each 

portfolio company. “It is possible that the quality of 

the communication and the attention provided to [a 

given] investment may be lower, ultimately leading to 

poorer performance,” it said. (...)“ 

Copyright Financial Times Fund Management 

Regulation: 

(investor protection) objectives were talked about for 

(Ucits), but regulators haven’t put their words into 

action,” he says. “(Current) regulations have huge 

holes in their safety nets.” In the study, available in 

our research archive, EDHEC says making risks clearer 

to investors would force managers into becoming 

more accountable. Mr Sender says the current 

reporting requirements under the Ucits regime are 

not sufficient to keep investors well informed. (...)” 

Copyright Ignites Europe 


Insurers gear up for new charges 

“(...) New regulations governing the European insurance 

industry could lead to a wave of selling of corporate 

bonds and equities, commentators believe. (...) The 

Solvency II directive, which sets new requirements on 

capital adequacy and risk management for insurers, 

aims to change investment behaviour by imposing 

varying capital charges on assets. Equities will need 

to be backed by reserves of 30-40 per cent, while 

European sovereign debt is deemed risk free. (...) 

Samuel Sender of the EDHEC-Risk Institute added: 

“Corporate bonds will not be used really to hedge 

liabilities. If you are holding corporate bonds you are 

taking an extra risk.” (...) Mr Sender added: “Insurance 

companies invest in low risk hedge funds to diversify. 

If you have a higher capital charge, regulation almost 

prevents you from doing that. You will have a shift 

away from less risky investments.” (...)” 


• Ignites Europe (19/01/2011) 

Ucits framework riddled with danger: study 

“(...) The Ucits regime is riddled with dangerous holes 

that pose a safety risk to investors, says the author 

of a new study on the European fund industry. Ucits 

funds have become increasingly sophisticated over 

the past few years, and that fact has slipped the 

attention of EU policymakers, warns Samuel Sender, 

applied research manager at EDHEC-Risk Institute. The 

emergence of counterparty, liquidity and sub-custody 

risks have not been followed up with adequate rules 

to protect investors, Mr Sender believes. “A lot of 


Action needed to shield investors from Ucits risk 

Article by Samuel Sender, applied research manager at 


“(...) Non-financial risks have been increasing since 

Ucits investment funds were first set up, but European 

authorities and investment professionals failed to 

study the impact of these risks when they facilitated 

the evolution of the funds. In recent research 

conducted by EDHEC-Risk Institute as part of the “Risk 

and Regulation in the European Fund Management 

Industry” research chair in partnership with Caceis, 


we looked at how non-financial risks and failures 

have impacted the regulatory agenda in Europe and 

traced the management of liquidity, counterparty, 

compliance, misinformation, and other non-financial 

risks in the fund industry. There are several reasons 

for the increase in non-financial risks in investment 

funds. One is the growing sophistication of the 

transactions and financial instruments involved. A 

second is the attempt to obtain returns above the 

risk-free rate from non-traditional assets (ie not 

stocks and bonds). A third is regulatory developments 

such as the eligible assets directive and the 

possibilities for leverage in sophisticated Ucits. (...)“ 


Sovereign wealth funds: 

worth $4,000bn – or slightly more than twice the 

estimated size of the hedge fund industry. Post-crisis 

estimates suggest the total will rise to $7,000bn by 

the end of the decade. This rapid growth of sovereign 

wealth funds and its implications poses a series of 

challenges for the international financial markets, and 

also for sovereign states. In particular, an outstanding 

challenge is to improve our understanding of optimal 

investment policy and risk management practices for 

sovereign wealth funds. Recent academic research 

conducted by EDHEC-Risk Institute in co-operation 

with Deutsche Bank suggests it is desirable to analyse 

the optimal investment policy of a sovereign wealth 

fund in an asset-liability management framework. (...)“ 


Hedge fund indices: 

• IPE Asia (03/02/2011) 

You need three different portfolios 

Article by Professor Lionel Martellini, scientific 

director of the EDHEC-Risk Institute, and Dr Vincent 

Milhau, research engineer 

“(…) An SWF’s investment strategy should include three 

building blocks. (The proportion of assets allocated to 

each of the portfolios will vary dynamically depending 

on each country’s changing circumstances.) Firstly 

there should be a performance-seeking portfolio (PSP). 

Typically this will invest heavily in equities. Secondly, 

SWFs should have an endowment-hedging portfolio 

(EHP) to protect against variations in revenue. Thirdly, 

a liability-hedging portfolio (LHP) is needed, to invest 

in bonds for interest rate hedging, and in assets that 

protect against inflation if liabilities are likely to 

increase in line with prices. (…)“ 

Copyright IPE Asia 


Sovereign wealth funds make presence felt 

Article by Lionel Martellini, scientific director at 

EDHEC-Risk Institute, and Vincent Milhau, senior 

research engineer 

“(...) It is now widely recognised that sovereign funds 

are a dominant force on international financial 

markets. Some estimates say they manage assets 

• Financial News (07/02/2011) 

EDHEC corrects distortion of fund performance 

figures 

“(...) EDHEC-Risk Institute, one of the leading European 

business schools, has come up with a new way of 

correcting misleading hedge fund performance 

figures. It has highlighted three ways in which 

hedge fund performance in non-investable indices 

have been flattered. One of the most common is the 

“survivorship bias”, where poorly performing funds 

simply stop reporting numbers. Another is when funds 

that have closed down or blown up are then pulled 

from a database. The third is when a fund that has 

done well is included in the database retrospectively. 

(...) EDHEC proposes comparing the monthly returns 

of the EDHEC (non-investable) composite indices and 

the average monthly returns of a set of investable 

indices from a range of providers for each underlying 

strategy. The model consists of regressing the returns 

of the non-investable EDHEC-Risk Alternative Index 

on the returns of the corresponding investable 

indices. (...)“ 

Copyright Financial News 



Hedge fund indices’ accuracy in question 

“(...) Industry-wide performance indices are an 

excellent recruiting sergeant for the hedge fund 

industry. These indices, published by a number of 

data providers, typically boast attractive annualised 

double-digit returns with scarcely a down year, the 

industry’s annus horribilis of 2008 excepted. But how 

confident can investors be that these indices provide a 

true reflection of the returns of the underlying hedge 

fund industry? The EDHEC-Risk Institute, an arm of 

France-based EDHEC Business School, stirred the pot 

recently when it stated that “the performance of multistrategy 

indices whose portfolios included illiquid [or 

less liquid] strategies was extraordinarily overstated 

after mid-2008”. Felix Goltz, head of applied research 

at EDHEC added: “It is more and more difficult to 

justify the use of non-investable composite indices 

as benchmarks unless we can suggest a practical and 

easy-to-implement solution that could substantially 

reduce the biases that overstate their performance, 

especially in periods of market stress.” (...)“ 


Short selling ban: 

• Global Pensions (09/03/2011) 

European Parliament backs naked short selling ban 

“(...) The moratorium applies to shorting sovereign 

debt, where sellers do not simultaneously hold 

offsetting, long positions in that debt. National 

regulators fear the activity could cause mispricing 

and, in extreme cases, downwards price spirals, the 

EC says. But EDHEC said intermediaries and regulators 

will be unable to verify long positions the CDS hedge 

is assumed to cover. A ban makes it more difficult for 

countries to manage interest rate risk on their debt 

actively, because counterparties would be barred from 

hedging the country risk of interest rate swaps they 

had entered into, EDHEC added, saying “such active 

management of the yield curve is a major component 

in the optimisation of the cost of public debt.“ It 

added that defining “naked sales“ too strictly will 

make it impossible for financiers to hedge the default 

risk of public or private entities they supported, where 

those entities did business with sovereign nations. 

“At a time when public-private partnerships and 

private financing of public infrastructure projects 

are considered one of the drivers of global growth, 

making it harder to manage country risk may at the 

very least increase the costs of these partnerships and 

this financing,“ EDHEC wrote. (...)“ 

Copyright Global Pensions 

• Financial News (09/03/2011) 

Fears grow over CDS restrictions 

“(...) In a statement issued yesterday, EDHEC Risk 

Institute, an academic think tank, added that the 

proposed rules could deter companies from financing 

major projects in foreign countries or entering into 

contracts with governments as they would not be able 

to hedge the default risk of their counterparties. (...)“ 

Copyright Financial News 


• Risk.net (25/01/2011) 

EDHEC-Risk Institute makes Asian debut in 

Singapore 

“(...) EDHEC-Risk Institute has opened its first Asian 

office in Singapore and named Frederic Ducoulombier 

the director of the EDHEC-Risk Institute Asia, heading 

the operations and business development of the risk 

research institution in the region. Ducoulombier will 

be based in Singapore and report to London-based 

Noel Amenc, director of EDHEC-Risk. The institute is 

planning to conduct research on the uses of volatility 

derivatives in equity portfolio management and also 

volatility indicators for Asia. it will also research 

extreme risk measures for hedge funds and volatility 

risk exposure of hedge funds. Amenc said the growing 

influence of Asian markets and investors requires more 

industry-relevant academic research be performed in 

the region. (...)“ 

Copyright Incisive Media Investments Limited 


• IPE (16/03/2011) 

EDHEC unveils Risk Indices & Benchmarks spin-off 

“(…) EDHEC Business School has launched a company 

to promote its indices, hoping its unique weighting 

methodology will appeal to passive investors. EDHEC- 

Risk Indices & Benchmarks (ERIB) will be a separate 

entity from the business school, allowing it to retain 

its independence. Talking exclusively to IPE, professor 

Noël Amenc, director of EDHEC-Risk Institute and 

chairman of the new group, said that while patenting 

research was not their main interest, it was to their 

benefit to reap the rewards of the school’s established 

brand name and the research conducted. Amenc said 

other indices applied an “ad-hoc“ approach and that 

the academic research conducted by EDHEC as a 

foundation for the benchmarks would serve investors 

well. (…)“ 

Copyright IPE 

• Global Money Management (12/04/2011) 

EDHEC Opens In London 

”(...) EDHEC-Risk Institute, the premier European 

centre for financial research and its application to 

the industry, has opened a London office to mark 

the launch of EDHEC Risk Institute–Europe. With 

the support of the financial Industry, EDHEC Risk 

Institute–Europe aims to continue to be the leading 

academic institution fostering innovation and high 

professional standards in the investment industry. 

The opening of the London office follows the 

launch of EDHEC Risk Institute–Asia in Singapore in 

January. Professor Noël Amenc, director of EDHEC- 

Risk Institute, said EDHEC Risk Institute–Europe “will 

serve as a platform for the continued generation 

and dissemination of academic insights into the 

key investment management issues of practical 

relevance to European investors and financial 

institutions.” He added that over the past 10 years, 

in partnership with progressive financial institutions, 

“our team of professors, engineers and support staff 

have implemented research programmes and chairs 

focusing on asset allocation and risk management.” 

The benefit of a London presence brings the firm closer 

to many of the financial institutions it collaborates 

with and it will aim to further strengthen its record 

of pursuing academic excellence, he continued. (…)“ 

Copyright Global Money Management (Institutional 

Investor) 

4. Appointments 

EDHEC-Risk Institute is pleased to announce the 

following appointments. Three new distinguished 

members to its international advisory board: 

• Mr. Tomas Franzén, Chief Investment Strategist, 

AP2 - Andra AP-fonden 

Tomas Franzén currently holds a position as Chief 

Investment Strategist at the Second Swedish National 

Pension Fund – AP2, in Gothenburg. AP2 is one of 

four buffer-funds within the recently reformed 

Swedish national pay-as-you-go pension system. 

As Chief Investment Strategist, Tomas is responsible 

for issues related to Investment Policy and Strategic 

Asset Allocation. AP2 has USD 30bn in assets under 

management invested in a broad-based global 

portfolio of public and private assets. Tomas is a 

member of the Executive Committee at AP2. 

• Mr. Jaap van Dam, Managing Director Investment 

Strategy, PGGM 

As Managing Director Strategy, Jaap van Dam is 

responsible for the Strategic Asset Allocation and the 

Investment Plan for the clients of PGGM Investments. 

He is member of the ALM, Investment and Allocation 

Committees of PGGM Investments and member of the 

Front Office Management Team. Jaap is a member of the 

ICPM Research Committee and the Investment Board of 

the Dutch Society of Industry Pension funds (VB). 


• Mr. Stuart Lewis, Chief Credit Officer and Deputy 

Chief Risk Officer, Deutsche Bank 

Stuart Lewis was appointed Chief Credit Officer and 

Deputy Chief Risk Officer in December 2006. He joined 

Deutsche Bank in June 1996. Before assuming his 

current function, Stuart held the role of Global Head 

of Loan Exposure Management Group (LEMG) since 

July 2005. Prior to that, from July 2003, Stuart headed 

the European function of LEMG. Stuart’s history with 

Deutsche Bank includes the roles of Deputy Chief 

Credit Officer of CIB within Credit Risk Management 

and a member of the Group Risk Committee. Stuart 

has previously been Chief Credit Officer for Asia and a 

member of the Bank’s Group Credit Committee from 

1996 to 1998. 

• Frank Fabozzi, acclaimed author and eminent 

international expert, to join EDHEC in August 

2011 as Professor of Finance based in New York 

Analysis, and Operations Research. He has been the 

Editor of the Journal of Portfolio Management for 

twenty-five years and sits on the editorial or advisory 

boards of seven other journals. 

He co-developed a model for the valuation of interest 

rate sensitive claims that is used by major financial 

institutions and, in 2002, was inducted into the Fixed 

Income Analysts Society’s Hall of Fame for his lifetime 

contributions to the advancement of fixed-income 

analysis and portfolio management. 

He has edited or authored over one hundred finance 

books, three of which were co-authored with the late 

Franco Modigliani and two of which co-edited with 

Harry Markowitz. He is the eponymous manager of an 

authoritative series of finance books for practitioners 

and academics. In 2007, the CFA Institute honoured 

him with the C. Stewart Sheppard Award for his 

outstanding contribution to the education of 

professional investors. 

He advises financial institutions and US government 

agencies and is on the board of directors of the 

BlackRock family of closed-end funds. 

He holds a MA and PhD in Economics from the City 

University of New York and is a Chartered Financial 

Analyst and a Certified Public Accountant. 

EDHEC-Risk Institute is very pleased to announce that 

Professor Frank Fabozzi will be joining EDHEC Business 

School in August 2011. Frank Fabozzi is currently 

Professor in the Practice of Finance and Becton Fellow 

at the Yale School of Management, having previously 

been Visiting Professor of Finance and Accounting at 

the MIT Sloan School of Management. 

His recent research focuses on quantitative finance 

and investment management, with emphasis on 

mortgage- and asset-backed securities and structured 

products, and risk measurement, modelling, and 

management. He has published close to two hundred 

scientific articles and his research has appeared in 

leading journals, including Econometric Theory, the 

Journal of Economic Dynamics and Control, the Journal 

of Finance, the Journal of Financial and Quantitative 

5. First Quarter Activity 

Highlights 

Events 

EDHEC-Risk Institute organised a number of 

conferences and seminars in Europe, North America 

and Asia during the first quarter of 2011, details of 

which may be found below: 

Event Name Event Type Venue Date 

EDHEC-Risk Alternative Investment 

Days 2011 

Conference London 05/04/11-06/04/11 

Advances in Asset Allocation Seminar New York 

Singapore 

EDHEC-Risk Indices & Benchmarks 

Seminar on Equity Indices 

Paradigm Shifts in Investment 

Management: Why Risk Management 

Adds Value in Asset Management 

"How to (or how not to) manage 

money: New approaches for portfolio 

construction" presentation 

08/03/11-10/03/11 

29/03/11-31/03/11 

Seminar New York 07/02/11 

Seminar 

New York 

Boston 

08/02/11 

09/02/11 

Seminar London 08/03/11 


Selected Research Dissemination 

Key research information disseminated to over 750,000 

practitioners by EDHEC-Risk Institute through both 

regular newsletters and dedicated e-mailings during 

the same period includes: 

January 

• The European Fund Management Industry 

Needs a Better Grasp of Non-financial Risks 

CACEIS “Risk and Regulation in the European Fund 

Management Industry“ research chair publication 

This publication looks at how non-financial risks 

and failures have impacted the regulatory agenda 

in Europe and traces the management of liquidity, 

counterparty, compliance, misinformation, and other 

financial risks in the fund industry. 

• Giants at the Gate: On the Cross-Section of 

Private Equity Investment Returns 

EDHEC-Risk working paper 

This paper examines the determinants of private 

equity returns using a newly constructed worldwide 

database of 7,500 investments made over forty years. 

• Media and Investment Management 


This paper measures the differential impact of 

alternative media outlets by classifying news items 

about equity hedge funds over 1999 to 2008 into 

three source groups and applying a textual analysis to 

news items to uncover media biases. 

• Risk Control through Dynamic Core-Satellite 

Portfolios of ETFs: Applications to Absolute 

Return Funds and Tactical Asset Allocation 

Amundi ETF “Core-Satellite and ETF Investment” 

research chair publication 

This publication draws on dynamic risk-budgeting 

techniques to emphasise the importance of risk 

management when decisions to allocate to ETFs are 

made. A revisited version of this working paper was 

published in the Fall 2010 issue of the Journal of 

Alternative Investments. 

• Adoption of Green Investing by Institutional 

Investors: A European Survey 

EDHEC-Risk publication 

This survey reviews the concept of green investing and 

reports the results of a European survey of investment 

management professionals with the objective of 

providing background on industry and academic 

research into green investing and assessing the views 

and uses of green investing. 

February 

• Option Pricing and Hedging in the Presence of 

Basis Risk 

French Banking Federation (FBF) “Structured Products 

and Derivatives” research chair publication 

This document addresses the problem of option 

hedging and pricing when a futures contract, written 

either on the underlying asset or on some imperfectly 

correlated substitute for the underlying asset, is used 

in the dynamic replication of the option payoff. 

• Index-Exciting CAViaR: A New Empirical Time- 

Varying Risk Model 


This paper explores more flexible CAViaR models 

that allow VaR prediction to depend upon a richer 

information set involving returns on an index. 

• Alternative Measurement Bases in Pension 

Accounting: A Simulation Analysis 


This paper explores the financial statement 

implications of alternative measurement bases 

underlying defined benefit pension accounting rules 

via a simulation analysis. 

• Asset-Liability Management Decisions for 

Sovereign Wealth Funds 

Deutsche Bank “Asset-Liability Management 

Techniques for Sovereign Wealth Fund Management” 

research chair publication 

This publication proposes a quantitative dynamic 

asset allocation framework for sovereign wealth 

funds, modelled as large long-term investors that 

manage fluctuating revenues typically emanating 

from budget or trade surpluses in the presence of 

stochastic investment opportunity sets. 

• Bankers, Markets & Investors November/ 

December 2010 issue 

A special issue of Bankers, Markets & Investors 

produced on the occasion of the EDHEC-Risk 

Institutional Days 2010 in Monaco and featuring 

research by EDHEC-Risk Institute on the following 

topics: Towards the Design of improved Forms of 

Target-Date Funds, Why Pension Funds should Favour 


Rule-Based Strategies over Discretionary Ones, 

Macroeconomic Risk Management for Oil Stabilization 

Funds in GCC Countries, French Corporate Social 

Responsibility: Which Dimension Pays More?, The 

State of Development of the European ETF Industry 

after a Decade: Evidence from the Demand Side. 

March 

• The Elephant in the Room: Accounting and 

Sponsor Risks in Corporate Pension Plans 

AXA Investment Managers “Regulation and 

Institutional Investment“ research chair publication 

A survey of corporate pension funds, their sponsors, 

and advisers, assessing how sponsors manage 

pension risk and how pension funds manage sponsor 

risk. 

• Never the Twain Shall Meet? Addressing 

the Disconnect between Banks’ Financial and 

Regulatory Reporting 

EDHEC Financial Analysis and Accounting Research 

Centre position paper 

This paper reviews the arguments for and against 

the decoupling of capital ratio calculations based on 

IFRS from those based on Basel II. 

• Risk Reduction in Style Rotation 


This paper investigates the potential improvement 

in the implementation of style rotation strategies by 

techniques addressing estimation errors. 

and Passive Investment will be the highlights of the 

first two days of the event, while the third day will be 

dedicated to alternative investments. The 2012 EDHEC- 

Risk Days conference will also be the opportunity to 

benefit from the expertise of the professors who have 

recently joined the Institute’s team, or who will be 

joining shortly. 

The structure of the conference will remain unchanged, 

consisting of plenary sessions complemented by 

limited enrolment streams and workshops allowing 

in-depth exploration of special themes. Three main 

roundtables will be organised each morning to allow 

for in-depth discussion of a key topic for the future of 

institutional investment. 

For further information, please contact Vania Schleef 

at vania.schleef@edhec-risk.com. 

• First US conference to be organised by EDHEC- 

Risk Institute in 2012 

Following the success of the executive education 

seminars held in New York and Boston in 2010 

and 2011, and to satisfy high demand from North 

American delegates, EDHEC-Risk Institute will be 

organising its first US conference in June 2012 in New 

York. The main theme of this day and a half event will 

be indexation and passive investment. 

6. Events 

Conference News 

• EDHEC-Risk Institute to merge its two major 

flagship conferences in 2012 

In 2012, EDHEC-Risk Institute will be merging its 

two major annual conferences, the “EDHEC-Risk 

Institutional Days” and the “EDHEC-Risk Alternative 

Investment Days” into a new three-day event, 

“EDHEC-Risk Days Europe”, taking place on March 27- 

29, 2012 at The Brewery in London. 

This major international conference will continue to 

bring together institutional investors and investment 

management professionals to discuss the results of 

EDHEC-Risk Institute’s latest research. Indexation 

For further information, please contact Vania Schleef 

at vania.schleef@edhec-risk.com. 


Recent Events: 

The beginning of the year saw the official opening 

of EDHEC-Risk Institute’s offices in Singapore and 

in London. The aim of these events was to underline 

the relevance of the research conducted by EDHEC- 

Risk Institute for financial institutions and end 

investors and to present these two new geographical 

platforms for generating and disseminating academic 

insights into investment management issues of global 

importance and particular relevance for professionals 

in Asia and Europe: 

Official inauguration of EDHEC Risk Institute—Asia 

on January 21 in Singapore 

EDHEC-Risk Institute marked its official Asian debut 

at an exclusive ceremony and reception held at its 

newly opened Singapore premises on January 21. 

The grand opening was placed under the auspices 

of Mr Heng Swee Keat, Managing Director of the 

Monetary Authority of Singapore, and His Excellency 

Olivier Caron, Ambassador of France to Singapore, 

who delivered keynote speeches on the occasion. 

Mr Heng Swee Keat used the opportunity to warn 

against the risks of property bubbles in Asia and 

announce that the regulator would require local banks 

and significant insurers to set up risk management 

committees following their next annual general 

meetings. 

Also speaking at the event were GIC Chief Risk Officer 

and Group Executive Committee Member Dr Sung 

Cheng Chih, who presented his views on current 

challenges faced by long-term investors, and AXA 

Investment Managers Global Head of Investment 

Solutions and Board Member Mr Thibaud de Vitry, who 

explained why his organisation would be supporting 

the Institute’s research in Asia. 

The roll of speakers was completed by Mr Olivier Oger, 

Dean of EDHEC Business School and Professor Noël 

Amenc, Associate Dean for Development and Director 

of EDHEC-Risk Institute. 

Grand opening of EDHEC Risk Institute–Europe 

held in London on April 6 

EDHEC-Risk Institute hosted an exclusive reception 

on the evening of April 6 at its newly-opened London 

premises to mark the launch of EDHEC Risk Institute– 

Europe. 

The event, attended by chief executive officers and 

senior representatives of major financial institutions, 

was opened by Olivier Oger, Dean of EDHEC Business 

School and Professor Noël Amenc, Director of EDHEC- 

Risk Institute, and was also an opportunity to present 

EDHEC-Risk Institute’s new corporate film. 

Through a number of presentations and testimonials, 

the event underlined the relevance of research 

conducted by EDHEC-Risk Institute for financial 

institutions and end-investors, with Pauline Skypala, 

Editor of FTfm, and Liam Kennedy, Editor of Investment 

& Pensions Europe (IPE), discussing the importance of 

EDHEC-Risk Institute’s research for their respective 

readers. 

With the support of the financial industry, EDHEC 

Risk Institute—Europe aims to maintain its position as 

the leading academic institution fostering innovation 

and high professional standards in the investment 

industry. 

On April 18, the first in a series of special events 

presenting the new Investment & Pensions Europe 

EDHEC-Risk Institute Research Insights quarterly 

supplement was held in London: 


Presentation of Investment & Pensions Europe 

(IPE) supplement “EDHEC-Risk Institute Research 

Insights” 

EDHEC-Risk Institute and Investment & Pensions 

Europe (IPE) have established a partnership to 

produce a special editorial supplement to provide IPE 

readers with insights into the latest developments in 

institutional investment research. 

At a special presentation held in London on April 

18, Noël Amenc, Director, EDHEC-Risk Institute, and 

Liam Kennedy, Editor, Investment & Pensions Europe, 

presented the IPE EDHEC-Risk Institute Research 

Insights supplement and discussed research-based 

solutions to some of the key challenges currently 

facing institutional investors. 

The Spring 2011 issue of Investment & Pensions 

Europe EDHEC-Risk Institute Research Insights may 

be downloaded here. In this issue, EDHEC-Risk’s 

researchers look at two of the key challenges facing 

institutional investors today: selecting the right 

benchmark for passive investment and holding a 

portfolio that provides an optimal risk-return tradeoff. 

Additional articles address the optimal design 

of debt programmes for corporates and the optimal 

dynamic asset allocation for sovereign assets given 

different drivers of economic risks as well as varying 

levels of debt. Finally, we report the results of separate 

European surveys of institutional investors on 

exchange-traded funds and indices, both equity and 

fixed-income. 

Summary: 

• Alternative weighting schemes: conditions for 

optimality 

• Efficient indexation: an alternative to cap-weighted 

indices 

• Indices in institutional investment management: 

results of a European survey 

• Institutional investors’ views on exchange-traded 

funds 

• Inflation-linked corporate bonds and the optimal 

design of debt programmes 

• Integrated approach to sovereign wealth risk 

management 

Forthcoming Events 

Private Equity Seminar: 

• Private Equity and Investment Returns over the 

Last 30 Years 

May 10, 2011 – London, United Kingdom 

Private Equity and Investment Returns 

over the Last 30 Years 

I N V I T A T I O N 

May 10, 2011 - 10 Fleet Place - London 

A special presentation of the conclusions of a recent 

study conducted by Professor Florencio Lopez de 

Silanes that examines the determinants of private 

equity returns using a newly constructed worldwide 

database of 7,500 investments made over thirty years. 

For further information, or to register for the above 

seminar, please contact Séverine Anjubault at 

severine.anjubault@edhec-risk.com or on +33 

(0)4 93 18 78 63. 

Executive Seminars: 

• New Forms of Passive Equity Investing Seminar 

May 17, 2011 – Zurich, Switzerland 

May 18, 2011 – San Francisco, United States 

May 26, 2011 – Amsterdam, The Netherlands 

June 15, 2011 – Copenhagen, Denmark 

A seminar, exclusively reserved for institutional 

investors, drawing on the expertise developed at 

EDHEC-Risk Institute to equip participants with both 

the technical and conceptual tools enabling them to 

better understand the limits and benefits of traditional 

and alternative equity benchmarks. 

• CFA Institute/EDHEC-Risk Institute Alternative 

Asset Allocation Seminar – London 

June 28-30, 2011, London, United Kingdom 

Institute 

EDHEC-Risk Institute Partner News - Issue nº 5 - April 2011 - 13 -

• CFA Institute/EDHEC-Risk Institute Alternative 

Asset Allocation Seminar – New York 

July 12-14, 2011, New York, United States 

An intensive three-day course imparting advanced 

concepts and practical tools for optimal construction 

and risk management of multi-style multi-class 

portfolios and enabling participants to derive the 

full benefits of real assets for asset management and 

asset-liability management (ALM) while controlling 

for their specific risks. 

Contact Us 

For further information about EDHEC-Risk Institute’s 

activities, please contact Vania Schleef: 

E-mail: vania.schleef@edhec-risk.com 

Tel.: +33 (0)4 93 18 78 37 

• Advanced Commodity Investment Seminar – 

Singapore 

July 28-29, 2011 Singapore 

A two-day seminar discussing commodity markets 

and instruments, asset allocation to commodities, as 

well as passive and active commodity strategies. 

For further information, please contact Mélanie Ruiz 

at melanie.ruiz@edhec-risk.com or on +33 (0)4 93 

18 78 19. 

Institute 


393-400 promenade des Anglais 

BP 3116 

06202 Nice Cedex 3 - France 

EDHEC Risk Institute—Europe 

10 Fleet Place - Ludgate 

London EC4M 7RB 

United Kingdom 

www.edhec-risk.com 

EDHEC Risk Institute—Asia 

1 George Street 

#07-02 

Singapore 049145 

EDHEC-Risk Institute Partner News - Issue nº 5 - April 2011 - 14 -

EDHEC-Risk Institute Partner News

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