Research
All research papers related to asset management
Quant Note
News,
January 2014
Launch of a Research Program in Behavioral Finance
Under the CIFRE plan (industrial contracts for training through research), Koris International launches a research program in Behavioral Finance through a PhD entitled "Behavioral Finance Approach for Risk Assessment in Quantitative Portfolio Management”, conducted by the PhD (...)
News,
December 2013
CTAs on a strong recovery mode in november
10 out of 13 Lyxor Indices ended the month of November in positive territory, led by the CTA Long Term Index (+4.2%), the L/S Equity Market Neutral Index (+1.7%) and the CTA Short Term Index (+1.6%). The Lyxor Hedge Fund Index posted a positive performance close to 1% in (...)
Strategy,
April 2013
Risk factors: taking risk budgeting one step further
An increasing number of pension funds are opting to invest in ‘alternative’ or ‘smart beta’ indices to supplement their passive management activities. Several competing methods currently exist, each with their own objectives. Analysing the risk contribution of each factor by (...)
Strategy,
December 2012
An example of Quantitative Strategy: The Low Volatility approach
Low volatility indices and, more broadly, products based on quantitative strategies aiming to select only low-volatility stocks, have met with growing success with the financial community and investors. However, most of these indices have major drawbacks that cannot always (...)
Note,
January 2012
Assessment of the true risks of Exchange-Traded Funds (ETFs)
According to EDHEC-Risk Institute, any discussion of the risks inherent in ETFs should go beyond merely hypothesising about potential risks, and should also take into account the empirical evidence provided by the existing academic research on (...)
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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