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,
October 2013
BofA Merrill Lynch Fund Manager Survey Finds Investors Concerned That Global Economic Recovery Could Falter
Investor optimism over the global economic recovery and corporate profits has been dented as the tail risk associated with the U.S. economy has escalated, though sentiment towards Europe has improved, according to the BofA Merrill Lynch Fund Manager Survey for (...)
Note,
September 2013
EDHEC-Risk Institute study shows that corporate bonds can be a highly attractive addition to ALM solutions
In a paper produced as part of the research chair on “The Case for Inflation-Linked Corporate Bonds: Issuers’ and Investors’ Perspectives” at EDHEC-Risk Institute, supported by Rothschild & Cie, EDHEC-Risk researchers have provided a comprehensive analysis of the sources of (...)
News,
August 2013
Fitch Affirms Russia at ’BBB’; Outlook Stable
Fitch Ratings has affirmed Russia’s Long-term foreign and local currency Issuer Default Ratings (IDR) at ’BBB’ with a Stable Outlook. The Short-term rating has been affirmed at ’F3’ and the Country Ceiling at ’BBB+’.
Strategy,
May 2013
Allocators Scale Back in Commodities and Emerging Market Stocks
BofA Merrill Lynch Fund Manager Survey Finds Investors Positioning For China Slowdown and Low Inflation...
Note,
May 2013
The Money Printing Myth - Why Sovereigns Default on Local Currency Debt
Fitch Ratings says in a newly-published report that the popular perception that sovereigns cannot default on debt denominated in their own currency because of their power to print money is a myth. They can and (...)
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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