Noël Amenc was the founding director of EDHEC Risk Institute (EDHEC), the centre for risk and asset management research established as part of the not-for-profit EDHEC Business School. Under his leadership – a post he relinquished in 2015 to concentrate on building EDHEC’s smart beta specialist indices initiative, ERI Scientific Beta – EDHEC rapidly grew in stature, consistently producing thought-leading academic research for the benefit of pension funds and other long-term investors.
Notable contributions EDHEC made during Amenc’s tenure at the top include:
- advances in asset liability management and liability-driven investment that have clarified the importance of hedging, diversification and insurance for institutional risk management
- the analysis of investment strategies and asset classes in terms of risk factors and contributions to asset and asset liability management;
- the critical analysis of traditional forms of indexing and alternative weighting schemes
- the reconciliation of factor investing and smart beta.
With his focus firmly on the development of EDHEC’s smart beta expertise, the best way to describe the Singapore-based ERI Scientific Beta concept is as an original initiative that aims to encourage the adoption of the latest advances in smart beta design and implementation by the whole investment industry. Its academic origin provides the foundation for its strategy by offering, in the best economic conditions possible, the smart beta solutions that are most proven scientifically with full transparency of both methodology and associated risks. Furthermore, it shares the same concern as EDHEC itself for scientific rigour and veracity, which it applies to all of the services that it offers to investors and asset managers alike.
Finally, ERI Scientific Beta aims to be the first provider of a smart beta platform to help investors understand and invest in advanced beta equity strategies. It has three principles:
- choice: a multitude of strategies are available allowing users to build their own benchmark among the 3,817 indices available on the platform, choosing the risks to which they may or may not wish to be exposed
- transparency: the rules for all of the ERI Scientific Beta series are that they should be replicable and transparent
- clarity: exhaustive explanations of construction methodologies are provided, as well as detailed performance and risk analytics.
This approach excludes any commercial bias in the organisation’s analyses, which aim to be the most detailed possible and enable finance professionals to invest in these new types of beta with a full understanding of the facts.
Amenc has long been associated with risk management and institutional investors and in addition to founding and leading EDHEC, he has conducted research in the fields of quantitative equity management, portfolio performance analysis and asset allocation, resulting in numerous academic and practitioner articles and books. He is on the editorial board of the Journal of Portfolio Management and serves as associate editor of the Journal of Alternative Investments and the Journal of Index Investing. He is also a member of the Monetary Authority of Singapore Finance Research Council and holds a MSc in economics as well as a PhD in finance.