Research
All research papers related to asset management
Quant Note
News,
January 2014
Launch of a Research Program in Behavioral Finance
Under the CIFRE plan (industrial contracts for training through research), Koris International launches a research program in Behavioral Finance through a PhD entitled "Behavioral Finance Approach for Risk Assessment in Quantitative Portfolio Management”, conducted by the PhD (...)
News,
December 2013
CTAs on a strong recovery mode in november
10 out of 13 Lyxor Indices ended the month of November in positive territory, led by the CTA Long Term Index (+4.2%), the L/S Equity Market Neutral Index (+1.7%) and the CTA Short Term Index (+1.6%). The Lyxor Hedge Fund Index posted a positive performance close to 1% in (...)
Strategy,
April 2013
Risk factors: taking risk budgeting one step further
An increasing number of pension funds are opting to invest in ‘alternative’ or ‘smart beta’ indices to supplement their passive management activities. Several competing methods currently exist, each with their own objectives. Analysing the risk contribution of each factor by (...)
Strategy,
December 2012
An example of Quantitative Strategy: The Low Volatility approach
Low volatility indices and, more broadly, products based on quantitative strategies aiming to select only low-volatility stocks, have met with growing success with the financial community and investors. However, most of these indices have major drawbacks that cannot always (...)
Note,
January 2012
Assessment of the true risks of Exchange-Traded Funds (ETFs)
According to EDHEC-Risk Institute, any discussion of the risks inherent in ETFs should go beyond merely hypothesising about potential risks, and should also take into account the empirical evidence provided by the existing academic research on (...)
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Study
Note,
September 2014
Russia well-positioned against non-energy sanctions in the short term
Border tensions are high, information on the conflict zone is incomplete and misleading, and soft-tone diplomacy is not doing the trick. As conflict resolution remains out of sight, international sanctions against Russia are increasingly likely to continue for longer, (...)
Note,
September 2014
Retirement – The French paradox: savers choose very safe investments while harboring grand hopes as regards revenue and capital appreciation
Natixis Global Asset Management today published the results of its 1st annual survey of French individual investors with financial assets of between €75,000 and €300,000 held in banks. This survey of 984 clients of French banks was conducted in July (...)
Note,
August 2014
Surging dividend growth from Europe drives global company pay-out boom
Global investors are enjoying a bumper year for dividends, according to the latest Global Dividend Index (HGDI) from Henderson Global Investors. Overall pay-outs grew 11.7% year on year in the second quarter to a new record of $426.8bn, an increase of (...)
Note,
July 2014
Hedge funds: The CTAs drift
Since mid-2011, CTAs cumulative loss is between -10.6% (HFRI macro systematic index) and -16.8% (Credit Suisse Managed Futures Index). For the first quarter of this year, CTAs show a drawdown of about 3% which is expected to increase in April (-0.66% for HFRX CTA index) (...)
Note,
July 2014
EDHEC-Risk Institute study shows room to improve investment solutions in the Australian super system
Latest research argues that the Australian superannuation industry could be further strengthened by the development of an industry-led reporting standard and certification scheme.
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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