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,
July 2014
BofA Merrill Lynch Fund Manager Survey Finds Investors Positioning Aggressively for Recovery in H2
Global investors have regained a strongly bullish stance on the outlook for equity markets in the second half of 2014, according to the BofA Merrill Lynch Fund Manager Survey for July.
Note,
July 2014
BofA Merrill Lynch Fund Manager Survey Finds Investors Regaining Risk Appetite
Global investors have regained appetite for risk against the backdrop of strong liquidity and a fairly positive economic outlook, according to the BofA Merrill Lynch Fund Manager Survey for June.
Note,
June 2014
EDHEC-Risk Institute study shows that it is possible to construct improved forms of risk parity strategies
In a new study entitled “Towards Conditional Risk Parity – Improving Risk Budgeting Techniques in Changing Economic Environments”, drawn from the Lyxor research chair on “Risk Allocation Solutions,” EDHEC-Risk Institute develops a conditional approach to risk (...)
Opinion,
June 2014
Piketty and Plutonomy: The revenge of inequality
When wealth and income are as concentrated as they are, and expected (a la Piketty) to get even more so, examining the “average” consumer or “average” investor makes little sense. Examining the fat tail – the behavior of the plutonomists, rather than that of the multitudinous (...)
Note,
May 2014
BofA Merrill Lynch Fund Manager Survey Finds Investors Doubting Strength of Recovery as Cash Levels Rise Again
Global investors have increased cash and scaled back risk-taking, amid fears of geopolitical instability and questions about the strength of the global economic recovery, according to the BofA Merrill Lynch Fund Manager Survey for (...)
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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