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,
April 2014
EDHEC-Risk Institute study shows that progress remains to be made in risk management for pension funds
The survey finds that LDI is popular, but in concrete terms the fund separation approach, which is consistent with the LDI paradigm, is not yet sufficiently widely applied to manage the LDI approach optimally, especially in southern European (...)
Note,
April 2014
BofA Merrill Lynch Fund Manager Survey Finds Continued Growth Optimism for 2014 Even With Higher Rates
Investor confidence in global economic growth remains high even as expectations of higher short-term rates increase, according to the BofA Merrill Lynch Fund Manager Survey for April.
Note,
April 2014
EDHEC-Risk Institute survey documents unmet institutional investor requirements for transparency of indices
Between August and November 2013, EDHEC-Risk Institute surveyed 109 institutional investors from across Europe, including Europe’s largest pension and reserve funds, insurance and provident institutions and their asset management subsidiaries, to document their expectations (...)
Note,
March 2014
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 (...)
Note,
March 2014
BofA Merrill Lynch Fund Manager Survey Finds Investors Moving Toward a “Risk-off” Position Amid Geopolitical Unrest
Global investors are moving toward a ”risk off” stance, taking on greater protection as the prospect of geopolitical instability grows, according to the BofA Merrill Lynch Fund Manager Survey for March.
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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