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,
November 2014
Top investment managers’ assets reach record levels
Assets managed by the world’s largest 500 fund managers rose by almost 12% to reach a record US$76 trillion in 2013, surpassing the previous high of over US$69 trillion set in 2007. The Pensions & Investments / Towers Watson World 500 researchshows that due to consistent (...)
Note,
October 2014
Hedge fund capital inflows steady as volatility increases
Total hedge fund capital increased to a record level in the third quarter as financial market volatility increased into quarter-end, with inflows concentrated in Event Driven and Fixed Income-based Relative Value Arbitrage strategies, according to the latest HFR Global Hedge (...)
Note,
October 2014
EDHEC-Risk Institute publication shows that smart beta risks can be controlled while benefitting from smart beta performance
A new EDHEC-Risk Institute publication entitled “Risk Allocation, Factor Investing and Smart Beta: Reconciling Innovations in Equity Portfolio Construction,” drawn from the Amundi ETF & Indexing research chair at EDHEC-Risk Institute on “ETF and Passive Investment (...)
Note,
October 2014
BofA Merrill Lynch Fund Manager Survey Finds Investors Fretting Over Monetary Policy as End of U.S. QE Looms
Concerns over the imminent end of quantitative easing in the U.S. have left investors much less confident in the outlook for the global economy and corporate profitability, according to the BofA Merrill Lynch Fund Manager Survey for (...)
Note,
October 2014
US Energy infrastructure: The MLP example
Among infrastructure assets, energy infrastructure assets such as pipelines, storage facilities or processing plants, are experiencing a rapid growth, especially in the USA. Master Limited Partnerships (MLPs) have played a key role in facilitating investment in US energy (...)
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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