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January 2

Note Frontier markets – the richly diverse path to yield

Credit Suisse Research Institute launches “The Next Frontier” report and the Credit Suisse Frontier Markets group of 30 countries, accounting for USD 3.7 trillion of economic output

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World’s largest institutional investors expecting more asset allocation changes over next two years than in the past

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US dividend growth slows to post-crisis low

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January 10

Note Quality shines through as M&A deal volumes fall globally

The latest Quarterly Deal Performance Monitor (QDPM) from Willis Towers Watson suggests a significant slowing of deal volumes in the fourth quarter of the year, however, those that did close were high performing and showed an outperformance of 0.4pp over the index*. On an (...)

November 2016

Note EDHEC-Risk Institute suggests a new dynamic approach for measuring the market exposures of stock portfolios

Multi-factor models are standard tools for analysing the performance and the risk of equity portfolios. In addition to analysing the impact of common factors, equity portfolio managers are also interested in analysing the role of stock-specific attributes in explaining (...)

November 2016

Note SimCorp Survey Reveals Optimism Among Investment Managers About Own Growth Prospects

SimCorp, a leading provider of investment management solutions and services for the global financial services industry, today released a survey, which shows significant assets under management (AuM) and revenue growth expectations from investment managers in the next three (...)

November 2016

Note World’s largest fund managers see first decline in assets since 2011

Assets managed by the world’s largest 500 asset managers fell in 2015 for the first time since 2011, according to the Pensions & Investments / Willis Towers Watson World 500 research. Total assets under management (AUM) were down 1.7% to US$ 76.7 trillion at the end of (...)

November 2016

Note India – the fundamental investment case

Bottlenecks’ that have hampered India’s development are easing. India is playing catch up, and is catching up fast. Election of Narendra Modi has rebooted stalled projects, sparked new reforms. India’s domestic economy and growing middle class are the key long-term (...)

October 2016

Note BofA Merrill Lynch October Fund Manager Survey shows global investor risk-aversion growing as cash allocations increase to near-15-year highs

Cash levels jumped from 5.5% in September to 5.8% this month. Investors’ average cash balance was last this high in July 2016 (post-Brexit vote) and in Fall 2001.

October 2016

Note A growing interest from investors in Smart Beta ETFs with more requirements and challenges to address

In a survey of investment professionals conducted as part of the Amundi ETF, Indexing & Smart Beta research chair at EDHEC-Risk Institute on “ETF and Passive Investment Strategies”, EDHEC-Risk Institute has solicited the specific views of 180 European ETF investors on (...)

October 2016

Note 84 % of French advisers warn that investors may not be fully aware of the risks associated with passive investments

85% say they need a more accurate picture of their clients’ risk tolerance. It’s not volatility that worries advisors the most, it’s how their clients react to it. Ensuring investors set tangible goals and have realistic expectations remains a major (...)

October 2016

Note Europe M&A activity picks up pace, while US market shows signs of a flight to quality

The North American market, while still accounting for almost 50% of the global total has decreased 15% since last year, in deal volume terms, on a year-to-date (YTD) basis.

September 2016

Note Investors Increase Pressure on Hedge Funds to Lower Fees

The latest research from Preqin on hedge fund fees finds that lower recent performance, high-profile redemptions and increased concern from investors on the issue of fees have influenced many hedge fund managers to bring their management and performance charges below the 2 (...)

September 2016

Note Lyxor research highlights the growing role of Smart Beta in new investment strategies

Lyxor Asset Management today unveils the results of a new wide-ranging study that compares the performance of European domiciled active funds with that of their benchmarks. The research highlights the growing importance of risk factors and other Smart Beta strategies in (...)

September 2016

Note The world’s 300 largest pension funds – year ended 2015

Total assets of the world’s largest 300 pension funds fell by over 3% in 2015 (compared to growth of over 3% in 2014) to a sum of US$14.8 trillion according to Pensions & Investments and Willis Towers Watson (...)

July 2016

Note Alternatives managers split on the benefits of ESG, finds Unigestion

Unigestion, the boutique asset manager with scale that focuses on guiding its clients with risk-managed investment solutions, has again surveyed the hedge fund and private equity managers it invests in to track their attitudes to (...)

July 2016

Note Investors go alternative

The research - which includes data on a diverse range of institutional investor types - shows that pension fund assets represent a third (34%) of the top 100 alternative managers’ assets, followed by wealth managers (19%), insurance companies (10%), sovereign wealth funds (...)

July 2016

Note Investors and Fund Managers Gauge Brexit Impact

Many fund managers expect performance and investment decisions to be affected, while institutional investors expect to commit less to the UK

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Note Financial crisis indicators and safe haven assets

How to measure the intensity of the current financial and economic crisis? Regular monitoring of a number of economic and financial indicators helps answering this question and better understanding the materialization of panic behavior and portfolio reallocations in the (...)

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Note European companies to pay record dividends of €315 billion

Allianz Global Investors (AllianzGI) expects European companies to pay out a record c.315 billion euros in shareholder dividends in 2016.

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Note On the impact of Brexit on sterling

As yet, sterling appears not to have reacted to the looming referendum on the UK’s continued membership of the European Union. Over the short to medium term, however, the currency should end up reacting negatively, so great is the fallout for the British economy. In (...)

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Note The impact of commodity prices on Emerging Markets

In the report, Nomura’s researchers highlight five channels through which emerging market economies are affected by lower commodity prices: Merchandise trade, CPI inflation, profit margins, fiscal positions, and GDP growth to assess the winners and losers in the Emerging (...)

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Note Banks Recapitalization : Implications for hybrid debt holders

Who will be recapitalized and how much? How recapitalization work? And most importantly, for investors, how does it impact bank hybrid debt? These are the issues addressed by Philip Hall, Volatility and Credit Quantitative Manager and President of Axiom Alternative (...)

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Note Climate change: new investment risk demands action by investors, cautions new research

A new report from Mercer modelling the potential impact of climate change on investments, has found investors cannot ignore the implications for investment returns. The research reveals investors can manage the risk most effectively by looking ‘under the hood’ of their (...)

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Note Signs of global liquidity tightening for emerging markets

Global liquidity conditions may have begun to tighten for emerging market economies (EMEs), according to updated data from the Bank for International Settlements. BIS General Manager Jaime Caruana detailed highlights from the latest global liquidity indicators, a measure of (...)

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Note The factors that determine the carbon price: an econometric analysis

Emission allowances are both physical and financial assets. As for any asset, it then becomes possible to study the potential gap between the value observed on the market and the value dictated by fundamentals…

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Note Major innovations in weighting methodologies for equity and bond indices

According to Christian Lopez, Head of Research at CPR-AM, the four largest families of alternative indices are low volatility/minimum variance, equally-weighted, indices weighted by micro or macro fundamentals and maximum diversification (...)

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Note Three Quarters of Investors Demand Increased Levels of Transparency on Private Equity Performance

Nearly two thirds (59 percent) of institutional investors globally are set to increase their allocation to private equity over the next five years, according to new State Street research. In contrast, a further 15 percent of institutional investors said their exposure to (...)

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Note 10 to €12 billion of structured loans exhibit a high potential risk!

According to Didier Migaud, president of French revenue court, loans with interest rates linked to spreads out of the eurozone should be banned as well as those using leverage...

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Note Towards a behavioral portfolio theory

a major problem facing the asset management industry is the creation of portfolios that generate maximum profitability while being consistent with the risk profile of investors...

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Note EDHEC-Risk’s annual European ETF Survey highlights ETF investors’ positive outlook

EDHEC-Risk Institute has announced the results of the EDHEC European ETF Survey 2013, a comprehensive survey of 207 European ETF investors. The survey was conducted as part of the Amundi ETF & Indexing research chair at EDHEC-Risk Institute on “Core-Satellite and ETF (...)

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Note Carbon leakage or desirable abatement? The curious case of aluminium

If there has been carbon leakage during Phases I & II of the EU ETS, primary aluminium seems, at first glance, like a good candidate for it. The sector competes intensively with producers outside of Europe

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Note US Energy infrastructure: The MLP example

Among infrastructure assets, energy infrastructure assets such as pipelines, storage facilities or processing plants, are experiencing a rapid growth, especially in the USA. Master Limited Partnerships (MLPs) have played a key role in facilitating investment in US energy (...)

Focus

Note Building Minimum Variance Portfolios with low risk, low drawdowns and strong returns

This paper provides an introduction to the STOXX Minimum Variance Indices and aims to achieve three things : i) an overview of minimum variance investing ii) the methodology for the construction and maintenance of the STOXX Minimum Variance Indices, highlighting the unique (...)

Focus

France’s debt

Outlook, strategies and investment vehicles on France’s debt

Recherche Quantitative

Recherche Quantitative : Quels sont les thèmes qui occupent dorénavant les Quants au sein des salles de marchés et des sociétés de gestion ?

Selection: Products

Kiosk Alternatives to financial markets investments

The financial investment is not limited to financial markets assets and the current uncertainties obviously feed such thoughts. Indeed, there are many investment vehicles that could create value in a portfolio.

Product Inflation linked bonds’ mechanism

Inflation linked bonds are bonds whose principal is linked to inflation which allows their holders to protected against inflation as opposed to traditional bonds.

Product Back to the future, may 2011: Nobles Crus and Earth Element Fund

Yesterday they were introduced as innovatives products. Today, How far have they got and what are the prospects for tomorrow ? Two products in the spotlight this month: Nobles Crus or the blend of passion for wine and financial investment, and a quantitative systematic (...)

Regulation Solvency II: Advantage convertible bonds

The results of QIS 5 confirmed that convertible bonds bear low capital cost. A balanced-profile convertible bond portfolio with optimized convexity therefore obtains a moderate intrinsic SCR whilst benefiting from «equity» (...)

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