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 2017
CFA Institute Study Reveals Leaders Must Transform if Investment Industry is to Thrive
The Future State of the Investment Profession study released today by CFA Institute describes an industry at an existential crossroads. It warns that investment industry leaders who fail to transform their business models may jeopardize the future of their (...)
Note,
March 2017
BofA Merrill Lynch March Fund Manager Survey finds investors in a bullish holding pattern
A record number of investors (net 34%) find equities to be overvalued, the most in 17 years; the US is identified as the most overvalued region (net 81%), while EM equities (net 44%) and Eurozone equities (net 23%) are seen as (...)
News,
March 2017
Hedge funds lower fees as FED raises rates
Hedge fund liquidations increased in the fourth quarter even as the industry surpassed the $3 trillion milestone, bringing the number of closed funds for 2016 to the highest level since 2008. Hedge fund liquidations increased to 275 in 4Q, rising from 252 in the prior (...)
Note,
March 2017
Private Debt Industry Assets Approach $600bn
The private debt industry has continued to grow in recent years, and as of the end of H1 2016 reached a record $595bn in assets under management. Launched today, the 2017 Preqin Global Private Debt Report finds that both the level of capital available to fund managers (‘dry (...)
Note,
March 2017
Institutional investors embrace risk in pursuit of better returns and yield, finds Natixis Global Asset Management Survey
Key strategies include growing use of private investments, illiquid assets, increased exposure to alternatives and greater reliance on risk budgeting and diversification...
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