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All research papers related to asset management

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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 (...)

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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 (...)

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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 (...)

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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.

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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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News, February 2013

BofA Merrill Lynch Fund Manager Survey Finds Strong Sentiment Consolidating While Equity Valuations Retain Support

Confidence in a strong global economic outlook has consolidated while investors have indicated that they see support from current equity valuations after the recent rally, according to the BofA Merrill Lynch Fund Manager Survey for (...)

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Note, January 2013

Alternatives only asset class that experienced material drop in management fees

Asset management fees in alternatives have fallen due to supply and demand dynamics, according to a report by Mercer. In particular, asset managers are under pressure to negotiate fees for hedge funds, direct private equity and infrastructure (...)

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Note, December 2012

BofA Merrill Lynch Fund Manager Survey Finds Investors Bullish on Global Growth as They Look Beyond Fiscal Cliff

Confidence in a recovering global economy is extending into 2013 as investor fears surrounding the fiscal cliff eased, according to the BofA Merrill Lynch Fund Manager Survey for December.

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Note, October 2012

Most Investors Believe Fiscal Cliff Is Not Yet Priced In To Equities

While positive sentiment towards the global economy and equities continues to repair, concerns are growing about the impact of the U.S. fiscal cliff, according to the BofA Merrill Lynch Fund Manager Survey for (...)

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Note, October 2012

Institutional investors around the globe say market volatility is here to stay according to a NGAM survey

Below are highlights of a survey of 482 institutional investors around the globe by NGAM, one of the 15 largest asset managers in the world based on assets under management, which was released on September 25, 2012 by NGAM’s Durable Portfolio Construction Research (...)

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