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
Strategy,
November 2011
Systematic managers call into question the status of core European sovereign debt as a risk-free asset
Global Macro managers explicitly follow defensive strategies: short exposure to equities (around -20%) and long exposure to the US sovereign debt. On their side, CTAs managers are more aggressive...
Note,
November 2011
Impact of collective influences on forecast and investment decisions
The valuation of financial assets, by financial analysts and the investment decisions of fund managers, depend on the paradigm of economic rationalisation. However, it is clear that there are uncertainties and instabilities which have characterised the financial market for (...)
Note,
November 2011
Alpha generation: skill or chance?
What about performances of active management versus passive management ? According to a study released by Olivier Scaillet and Gilles Criton, nearly 20% of alternative fund managers beat the market, against only 0,6% of traditional (...)
Note,
October 2011
Banks Recapitalization : Implications for hybrid debt holders
Who will be recapitalized and how much? How recapitalization work? And most importantly, for investors, how does it impact bank hybrid debt? These are the issues addressed by Philip Hall, Volatility and Credit Quantitative Manager and President of Axiom Alternative (...)
Note,
October 2011
Listed family controlled businesses: an equity investment case
According SG Private Banking Equity research team, when talking about family owned businesses, one very often thinks about mom and pop’s diner; it is counting without the international brands. Family controlled firms are the most resilient and provide good vehicles to come (...)
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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