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,
January 2017
Frontier markets – the richly diverse path to yield
Credit Suisse Research Institute launches “The Next Frontier” report and the Credit Suisse Frontier Markets group of 30 countries, accounting for USD 3.7 trillion of economic output
Note,
December 2016
World’s largest institutional investors expecting more asset allocation changes over next two years than in the past
Institutional investors worldwide are expecting to make more asset allocation changes in the next one to two years than in 2012 and 2014, according to the new Fidelity® Global Institutional Investor Survey.
Note,
November 2016
US dividend growth slows to post-crisis low
Global dividends fell to $281.7bn in the third quarter, down 4.0% year-on-year, according to the Henderson Global Dividend Index. Lower US special dividends made a significant impact to the headline rate, but underlying US dividend growth has also (...)
Note,
November 2016
EDHEC-Risk Institute suggests a new dynamic approach for measuring the market exposures of stock portfolios
Multi-factor models are standard tools for analysing the performance and the risk of equity portfolios. In addition to analysing the impact of common factors, equity portfolio managers are also interested in analysing the role of stock-specific attributes in explaining (...)
Note,
November 2016
SimCorp Survey Reveals Optimism Among Investment Managers About Own Growth Prospects
SimCorp, a leading provider of investment management solutions and services for the global financial services industry, today released a survey, which shows significant assets under management (AuM) and revenue growth expectations from investment managers in the next three (...)
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