Issues with volatility ETNs
Volatility exchange-traded notes (ETNs) provide an easy access for investors to constant maturity VIX futures portfolios which, in turn, provide a long exposure to equity market volatility as measured...
View ArticleThe Benefits of Volatility Futures in Equity Portfolio Management
A number of studies suggest that volatility and equity returns tend to move in opposite directions (i.e. they are strongly negatively correlated) which allows for significant diversification benefits...
View ArticleThe Benefits of Volatility Options in Equity Portfolio Management
In this post, we discuss the benefits of using VSTOXX options in portfolio diversifications. March 2010 witnessed the introduction of option contracts on the VSTOXX index, which provided investors with...
View ArticleChoose Your Betas
Systematic equity strategies that try to improve performance compared to cap-weighted reference indices have received considerable attention recently (see this Financial Times article). However,...
View ArticleDoes Theory justify fundamental weighted indices?
The popularity of fundamentals-based strategies as an alternative to traditional cap-weighting has been growing significantly among passive indexing investors. It refers to the construction of indices...
View ArticleAssessing Volatility Indicators: the Benefit of Local Equity Volatility Indices
Stock market volatility is an important input to asset allocation and risk management. With the increase in stock market uncertainty and the recent financial crises, there has been a growing interest...
View ArticleAssessing the Quality of Asian Stock Market Indices
EDHEC-Risk Institute has recently conducted a detailed analysis[1] on a set of popular stock market Asian indices, including indices from Japan (Nikkei 225, Topix 100), China (CSI 300, FTSE China 25),...
View ArticleAvoiding Sovereign Credit Risk Exposure in Equity Portfolios
The recent sovereign risk crisis made it clear that sovereign risk can drive stock markets. Stocks of companies which benefit from implicit guarantees provided by the government, such as banks and...
View ArticleAsian volatility indices
The notion of model-free option-implied volatility was first implemented by CBOE in the construction of the celebrated VIX indicator, which is inferred from prices of index options written on the...
View ArticleInvestor Opinions on Corporate Bond Indices – Results from a call for reaction
Corporate bonds have long been considered a standard asset class, and with a market size of nearly $8 trillion in the United States alone,[1] they represent a significant amount of investment. As...
View ArticleBenchmarks: EDHEC-Risk Institute warns against the false promises of governance
Transparency key to informed decision-making and mitigating conflicts of interest EDHEC-Risk Institute has issued a statement on the issue of financial benchmarks and the recent consultations by the...
View ArticleSmart Beta 2.0 – Taking the risks of new equity benchmarks into account
In research published recently entitled, “Smart Beta 2.0,” EDHEC-Risk Institute is seeking to draw the attention of investors to the risks of traditional smart beta equity indices and propose a new...
View ArticleEDHEC-Risk’s annual European ETF Survey confirms satisfaction levels and...
EDHEC-Risk Institute has announced the results of the EDHEC European ETF Survey 2012, which represents a comprehensive survey of 212 European ETF investors. The survey was conducted as part of the...
View ArticleEDHEC-Risk Institute study illustrates that short-term risk control is not...
A new study produced as part of the BNP Paribas Investment Partners research chair on “Asset-Liability Management and Institutional Investment Management,” provides comprehensive insights into all of...
View ArticleEDHEC-Risk Institute study shows that investors should embrace construction...
This paper produced as part of the NATIXIS research chair on “Investment and Governance Characteristics of Infrastructure Debt Instruments,” is the first of a series discussing the opportunity for...
View ArticleEDHEC European ETF Survey 2013 reveals considerable interest in “smart beta”...
The EDHEC European ETF Survey 2013 reveals considerable interest in “smart beta” products: around 30% of respondents already use products tracking smart beta indices and more than one third of...
View ArticlePerformance of Smart Beta Strategies
ERI Scientificbeta just released a report on recent performance of a wide range of smart beta strategies. In 40 years of data for the US equity market, factor-tilted smart beta indices led to...
View ArticleInvestors say index firms do not provide sufficient transparency
A recently conducted survey of investment professionals finds that only around a third of respondents are very (4.6%) or somewhat satisfied (30.3%) with the current level of transparency in the...
View ArticleBenchmarking Infrastructure Investments
Infrastructure investing researchers call for a global database of infrastructure cash flows to allow for the creation of proper benchmarks.
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