Research
All research papers related to asset management
Quant Note
Note,
January 2012
Major innovations in weighting methodologies for equity and bond indices
According to Christian Lopez, Head of Research at CPR-AM, the four largest families of alternative indices are low volatility/minimum variance, equally-weighted, indices weighted by micro or macro fundamentals and maximum diversification (...)
Note,
November 2011
How can funds with past sustainable returns collapse in a few months?
Are these abrupt changes only an indication of the risks of the market, or is it investment behaviour which favours the occurance of these extreme risks ? These are the question tackled in the last « White Paper » of (...)
Note,
October 2011
Estimating the Real Rate of Return on Stock Index
Judicious use of the rate of return framework on equity, or "cost of capital" facilitates decision-making within the financial industry by providing a metric for comparing different stock markets between them but also a comparison to other asset (...)
Strategy,
October 2011
Management of hedge fund portfolios during crisis periods: the contribution of systematic overlays
The implementation of systematic overlays can be considered as an alternative to short-term rebalancing of hedge fund portfolios, or as an active component of alternative allocations.
Opinion,
May 2011
Mathematical models in finance and embedded risk underestimation
The statistical assumption of normal (log-normal) distribution of stock returns (prices) is not that strong and tail events’ occurrence is largely undervalued. Nevertheless, this modeling framework has been widely used for strong (...)
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Study
Note,
February 2015
Global pension fund assets reach new highs
Global institutional pension fund assets in the 16 major markets grew by over 6% during 2014 (compared to around 10% in 2013) to reach a new high of US$36 trillion, according to Towers Watson’s Global Pension Assets Study released (...)
Note,
January 2015
2014 Sees Alternative Assets Industry Near $7tn in Value
Preqin launches its 2015 Global Alternatives Reports, which reveal significant growth in assets held by private equity, hedge fund, private debt, real estate and infrastructure fund managers. Total industry assets now stand at $6.91tn, up from $6.22tn as of this point last (...)
Note,
January 2015
Hedge Funds Deliver Worst Annual Performance Since 2011
The Preqin All-Strategies Hedge Fund benchmark gained just 3.78% in 2014, the lowest annual return since the 1.85% loss seen in 2011
Note,
January 2015
Stocks Look Strongest in 2015, Institutional Investors Say in Worldwide Study by Natixis Global Asset Management
Institutional investors from around the world expect stocks to be the bestperforming assets in 2015, according to a survey by Natixis Global Asset Management.
Note,
December 2014
Building Minimum Variance Portfolios with low risk, low drawdowns and strong returns
This paper provides an introduction to the STOXX Minimum Variance Indices and aims to achieve three things : i) an overview of minimum variance investing ii) the methodology for the construction and maintenance of the STOXX Minimum Variance Indices, highlighting the unique (...)
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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