Research
All research papers related to asset management
Quant Note
Opinion,
March 2011
To predict or to adapt?
According to Fabrice Foy, Quantitative Analyst at CCR-AM, we should do the exact opposite of the classical theory: the stock price does not reflect fundamentals, and if it deviates from its fundamental value, it does not necessarily tend to revert (...)
Interview ,
March 2010
Gideon Ozik «funds with extensive media-coverage tend to underperform»
According to a recent research paper released by Gideon Ozik & Ronnie Sadka, US Hedge funds tend to underperform following extensive media coverage
Opinion,
February 2010
The «French Quants» must relearn to code!
In France, many financial engineers feel some aversion for IT. Some, fascinated by models, don’t consider for a second writing thousands of lines of code…
Note,
November 2009
Risk evaluation and multifractal Var
The use of «multifractal processes» for risk calculation in finance allows us to use the concept of «scale invariance» and its implications developed in fluid mechanics…
Reading,
November 2007
A fractal view of the markets, Benoit Mandelbrot
In an uncompromising book, Benoit Mandelbrot, French graduate from Ecole Polytechnique, denounces the inconsistency of the orthodox theory of finance and presents his fractal vision of the markets
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Study
News,
May 2020
Spanish banks: cost of risk manageable in 2020 but watch the shape of any recovery
Spanish banks’ reassuring Q1 results showed that they should be able to withstand rising cost of risk in 2020, thanks to strong pre-provision profits. But uncertainties abound, and the risk of a longer-than-anticipated economic contraction (...)
Note,
March 2020
Neuberger Berman adapts Sharpe’s ratio to insurance management and prudential risk measurement
This new risk indicator, based on a concept derived from the classic Sharpe ratio, integrates the already existing range of prudential risk measures into the analysis of the strategic asset allocation process and its (...)
Note,
November 2019
ESG bucks the trend of declining growth among world’s largest asset managers
The pace of change within the investment industry is accelerating, under pressure from regulatory activity, fee compression and the high cost of technology. Amidst this change, there is growing appreciation among fund managers of the importance of sustainability and of (...)
Note,
July 2019
Sovereign Investors pivot away from Europe towards China
Invesco released its seventh Invesco Global Sovereign Asset Management Study, an annual in-depth report on the complex investment behaviour of sovereign wealth funds and central banks, which this year shows disenchantment with Europe among sovereign (...)
Note,
June 2019
BofA Merrill Lynch June Fund Manager Survey: Bears all around
Average cash balance soars to 5.6% from 4.6% for each of the last three months, marking the biggest jump in cash since the debt ceiling crisis in 2011; allocation to cash jumps 10ppt from last month to net 43% (...)
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