Research
All research papers related to asset management
Quant Note
Opinion,
March 2011
To predict or to adapt?
According to Fabrice Foy, Quantitative Analyst at CCR-AM, we should do the exact opposite of the classical theory: the stock price does not reflect fundamentals, and if it deviates from its fundamental value, it does not necessarily tend to revert (...)
Interview ,
March 2010
Gideon Ozik «funds with extensive media-coverage tend to underperform»
According to a recent research paper released by Gideon Ozik & Ronnie Sadka, US Hedge funds tend to underperform following extensive media coverage
Opinion,
February 2010
The «French Quants» must relearn to code!
In France, many financial engineers feel some aversion for IT. Some, fascinated by models, don’t consider for a second writing thousands of lines of code…
Note,
November 2009
Risk evaluation and multifractal Var
The use of «multifractal processes» for risk calculation in finance allows us to use the concept of «scale invariance» and its implications developed in fluid mechanics…
Reading,
November 2007
A fractal view of the markets, Benoit Mandelbrot
In an uncompromising book, Benoit Mandelbrot, French graduate from Ecole Polytechnique, denounces the inconsistency of the orthodox theory of finance and presents his fractal vision of the markets
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Study
Note,
September 2014
Russia well-positioned against non-energy sanctions in the short term
Border tensions are high, information on the conflict zone is incomplete and misleading, and soft-tone diplomacy is not doing the trick. As conflict resolution remains out of sight, international sanctions against Russia are increasingly likely to continue for longer, (...)
Note,
September 2014
Retirement – The French paradox: savers choose very safe investments while harboring grand hopes as regards revenue and capital appreciation
Natixis Global Asset Management today published the results of its 1st annual survey of French individual investors with financial assets of between €75,000 and €300,000 held in banks. This survey of 984 clients of French banks was conducted in July (...)
Note,
August 2014
Surging dividend growth from Europe drives global company pay-out boom
Global investors are enjoying a bumper year for dividends, according to the latest Global Dividend Index (HGDI) from Henderson Global Investors. Overall pay-outs grew 11.7% year on year in the second quarter to a new record of $426.8bn, an increase of (...)
Note,
July 2014
Hedge funds: The CTAs drift
Since mid-2011, CTAs cumulative loss is between -10.6% (HFRI macro systematic index) and -16.8% (Credit Suisse Managed Futures Index). For the first quarter of this year, CTAs show a drawdown of about 3% which is expected to increase in April (-0.66% for HFRX CTA index) (...)
Note,
July 2014
EDHEC-Risk Institute study shows room to improve investment solutions in the Australian super system
Latest research argues that the Australian superannuation industry could be further strengthened by the development of an industry-led reporting standard and certification scheme.
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Factor investing in fixed-income: EDHEC-Risk Institute paper shows that it is possible to build duration-timing strategies that are economically superior to bearing unconditional duration risk