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
News,
October 2015
Bank of America Merrill Lynch - Fund Manager Survey October 2015
Investors are expressing growing skepticism that the U.S. Federal Reserve (Fed) will raise rates this year amid fragility in the global economy and earnings, according to the BofA Merrill Lynch Fund Manager Survey for (...)
Note,
October 2015
Credit Investor Survey: The urge to purge
According to Bank of America Merrill Lynch, overall credit longs drop sharply again. Now only 9% overweight IG. Credit technicals thus better in October. Investor cash levels surge, but outflow concerns may partly explain this and only 31% of IG and 25% of HY investors think (...)
Note,
September 2015
Is Factor Investing a Welfare-Improving New Investment Paradigm or Yet Another Marketing Fad?
In a new study entitled “Factor Investing: A Welfare-Improving New Investment Paradigm or Yet Another Marketing Fad?”, drawn from the Lyxor research chair on “Risk Allocation Solutions”, EDHEC-Risk examines the relative efficiency of standard forms of practical implementation of (...)
Note,
September 2015
Well aware of the new financial environment, French savers are prepared to boost their investments while accepting a reasonable degree of risk
Natixis Global Asset Management today published the results of its 2 nd annual survey of French individual investors with financial assets of between €75,000 and €300,000 held in banks. This survey of 1,000 clients of French banks was conducted in May (...)
Note,
August 2015
BofA Merrill Lynch Fund Manager Survey Finds Weakening Outlook for Global Economy Amid Fears Over China
Global investors have shifted their attention from Greece to China amid continued concern of a Chinese recession, according to the BofA Merrill Lynch Fund Manager Survey for August. Respondents are scaling back their expectations for economic (...)
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Reducing portfolio volatility top priority for european pension funds, new research from alpha real capital reveals