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,
October 2013
BofA Merrill Lynch Fund Manager Survey Finds Investors Concerned That Global Economic Recovery Could Falter
Investor optimism over the global economic recovery and corporate profits has been dented as the tail risk associated with the U.S. economy has escalated, though sentiment towards Europe has improved, according to the BofA Merrill Lynch Fund Manager Survey for (...)
Note,
September 2013
EDHEC-Risk Institute study shows that corporate bonds can be a highly attractive addition to ALM solutions
In a paper produced as part of the research chair on “The Case for Inflation-Linked Corporate Bonds: Issuers’ and Investors’ Perspectives” at EDHEC-Risk Institute, supported by Rothschild & Cie, EDHEC-Risk researchers have provided a comprehensive analysis of the sources of (...)
News,
August 2013
Fitch Affirms Russia at ’BBB’; Outlook Stable
Fitch Ratings has affirmed Russia’s Long-term foreign and local currency Issuer Default Ratings (IDR) at ’BBB’ with a Stable Outlook. The Short-term rating has been affirmed at ’F3’ and the Country Ceiling at ’BBB+’.
Strategy,
May 2013
Allocators Scale Back in Commodities and Emerging Market Stocks
BofA Merrill Lynch Fund Manager Survey Finds Investors Positioning For China Slowdown and Low Inflation...
Note,
May 2013
The Money Printing Myth - Why Sovereigns Default on Local Currency Debt
Fitch Ratings says in a newly-published report that the popular perception that sovereigns cannot default on debt denominated in their own currency because of their power to print money is a myth. They can and (...)
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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