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EDHEC-Risk European Index Survey 2011

Auteurs :
Noël Amenc, PhD

Professor of Finance at EDHEC Business School
Head of EDHEC-Risk Institute.

Felix Goltz
Head of Applied Research at EDHEC-Risk Institute.

Lin Tang
Senior Research Engineer at EDHEC Risk Institute-Asia

As the choice of an index is a crucial step in both asset allocation and performance measurements, it is useful to investigate index use and perceptions about indices. The EDHEC-Risk European Index Survey 2011 analyses the current uses of and opinions on stock, bond and equity volatility indices with the aim of providing unique insight into the users’ perspective in the index industry. Opinions from 104 institutional investment managers were gathered, representing approximately seven trillion euros of assets under management.

EDHEC Survey

EDHEC Survey

Indexation continues to play an important role in global asset allocation. Total worldwide assets under internal indexed management rose to $5.994 trillion as of June 30, 2011, a 25% increase over $4.781 trillion as of one year earlier (Olsen 2011). In view of the growing volumes in assets under management in passive indexing strategies, a great many index providers have emerged worldwide; not only the organisations specialising in the index service but also stock exchanges, as well as investment banks. Each provider has created or is creating a host of indices representing a full complement of asset classes, as well as asset class subsegments.

In the entire history of indices, countrybased capitalisation-weighted indices have proven to be the most popular indices for both equity and bond markets. Such indices are often used as a bellwether for the economy, as they are supposed to represent market trends. Nowadays, a growing demand for indices as investment vehicles has led to innovations including new weighting schemes and alternative definitions of sub-segments.

As the choice of an index is a crucial step in both asset allocation and performance measurements, it is useful to investigate index use and perceptions about indices. EDHEC-Risk European Index Survey 2011 aims to analyse the current uses of and opinions on stock, bond and equity volatility indices. It is our hope that this survey will provide unique insight into the users' perspective in the index industry. Furthermore, there is a growing body of research on index construction and index use. Recent studies assess current indices and also propose alternative approaches to construct indices. This survey also serves as a tool to explore views of institutional index users on the conclusions of the literature.

This survey allows us to gather opinions from 104 institutional investment managers, which represent approximately seven trillion Euros1 of assets under management. This represents more than half of all assets under management by the European asset management industry.2 These respondents are from asset management companies, pension funds and insurance firms located all over Europe.

The opinions collected reflect investors' overall judgement on index quality, on the key issues they see with current indices, and the likely future trends for the index landscape. Since more than half of respondents are from large institutions (i.e., more than 10 billion Euro AUM), and since we receive a higher response rate from professionals with a significant interest in indices (self-selection), our survey, overall, represents views of the average sophisticated index user within a large European institutional investor scope.
Type :
Etude/rapport
Dates :
Créé le 14 octobre 2011
Complément d'informations :
For more information, please contact Joanne Finlay, EDHEC Research and Development Department [ joanne.finlay@edhec.edu ]

The contents of this paper do not necessarily reflect the opinions of EDHEC Business School.

Finance


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