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 2012
New EDHEC-Risk Institute study addresses Volatility ETNs following the Credit Suisse TVIX controversy of early 2012
Gaining exposure to volatility has become easier for investors after the introduction of volatility ETNs (exchange-traded notes) and volatility ETFs (exchange-traded funds) and some of these products have enjoyed a surge in (...)
Strategy,
October 2012
Africa: Kenya’s Mobile Frontier
When we first started out in the emerging markets space more than two decades ago, we were in “frontier” territory as we entered markets such as Indonesia, Thailand, Turkey and Brazil that were previously closed to foreign (...)
Note,
September 2012
BofA Merrill Lynch Fund Manager Survey Finds Comeback in Sentiment Towards Europe
NEW YORK and LONDON – Europe is staging a comeback in investor portfolios while concerns about the U.S. fiscal cliff have taken center stage, according to the BofA Merrill Lynch Fund Manager Survey for September.
Study,
February 2012
Investment companies have little confidence in the quality of their data
A survey from SimCorp reveals that investment companies have little confidence in the quality of their data ...
Note,
February 2012
To succeed in selling one’s hedge fund just when performance is deteriorating: an impossible equation ?
The number of funds on sale in Europe is in free fall because the owners have no choice other than mergers, even liquidation, because of rapidly declining performance which makes it impossible to sell at a good (...)
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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