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Quant Note

IMG
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 (...)
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IMG
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 (...)
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IMG
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 (...)
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IMG
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.
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IMG
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

IMG
Note, March 2016
Three Quarters of Investors Demand Increased Levels of Transparency on Private Equity Performance
Nearly two thirds (59 percent) of institutional investors globally are set to increase their allocation to private equity over the next five years, according to new State Street research. In contrast, a further 15 percent of institutional investors said their exposure to (...)
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IMG
Note, March 2016
Diversity wins : Persistent investor interest in smart beta, particularly within diversifying strategies
Willis Towers Watson’s institutional investment clients globally allocated $10bn, via 175 selections, to diversifying investment strategies in 2015. Within this grouping, liquid alternatives attracted the most interest with over $8.1bn, of which approximately half is in smart (...)
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IMG
Note, March 2016
Deutsche Bank releases annual Alternative Investment Survey highlighting hedge fund sentiment and allocation trends for 2016
Deutsche Bank released its 14th annual Alternative Investment Survey, one of the industry’s largest and longest standing hedge fund investor surveys...
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IMG
Note, February 2016
Natixis Global Asset Management research suggests French model portfolios made best returns in 2015
Natixis Global Asset Management (Natixis Global AM) has today published the first annual edition of its Global Portfolio Barometer, offering insights into model portfolios across the world and the asset allocation decisions made throughout (...)
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IMG
Note, February 2016
State Street’s GX Private Equity Index Drops in Q3 for the First Time in Three Years, Marking End to Unprecedented Streak of Quarterly Gains
Despite Dip, New Research Verifies Asset Owners’ Continued Interest in Private Equity Investments
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