Research
All research papers related to asset management
Quant Note
Note,
January 2012
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 (...)
Note,
November 2011
How can funds with past sustainable returns collapse in a few months?
Are these abrupt changes only an indication of the risks of the market, or is it investment behaviour which favours the occurance of these extreme risks ? These are the question tackled in the last « White Paper » of (...)
Note,
October 2011
Estimating the Real Rate of Return on Stock Index
Judicious use of the rate of return framework on equity, or "cost of capital" facilitates decision-making within the financial industry by providing a metric for comparing different stock markets between them but also a comparison to other asset (...)
Strategy,
October 2011
Management of hedge fund portfolios during crisis periods: the contribution of systematic overlays
The implementation of systematic overlays can be considered as an alternative to short-term rebalancing of hedge fund portfolios, or as an active component of alternative allocations.
Opinion,
May 2011
Mathematical models in finance and embedded risk underestimation
The statistical assumption of normal (log-normal) distribution of stock returns (prices) is not that strong and tail events’ occurrence is largely undervalued. Nevertheless, this modeling framework has been widely used for strong (...)
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Study
Note,
November 2014
Top investment managers’ assets reach record levels
Assets managed by the world’s largest 500 fund managers rose by almost 12% to reach a record US$76 trillion in 2013, surpassing the previous high of over US$69 trillion set in 2007. The Pensions & Investments / Towers Watson World 500 researchshows that due to consistent (...)
Note,
October 2014
Hedge fund capital inflows steady as volatility increases
Total hedge fund capital increased to a record level in the third quarter as financial market volatility increased into quarter-end, with inflows concentrated in Event Driven and Fixed Income-based Relative Value Arbitrage strategies, according to the latest HFR Global Hedge (...)
Note,
October 2014
EDHEC-Risk Institute publication shows that smart beta risks can be controlled while benefitting from smart beta performance
A new EDHEC-Risk Institute publication entitled “Risk Allocation, Factor Investing and Smart Beta: Reconciling Innovations in Equity Portfolio Construction,” drawn from the Amundi ETF & Indexing research chair at EDHEC-Risk Institute on “ETF and Passive Investment (...)
Note,
October 2014
BofA Merrill Lynch Fund Manager Survey Finds Investors Fretting Over Monetary Policy as End of U.S. QE Looms
Concerns over the imminent end of quantitative easing in the U.S. have left investors much less confident in the outlook for the global economy and corporate profitability, according to the BofA Merrill Lynch Fund Manager Survey for (...)
Note,
October 2014
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 (...)
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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