EDHEC-Risk Concept Industry Analysis Featured Analysis Latest EDHEC Surveys Research News Research Papers Books Features Interviews Indexes and Benchmarking EDHEC Alternative Indexes Hedge Fund Indices Literature EDHEC's Position on the Eligibility of Hedge Fund Indices for UCITS Assessing the Quality of Stock Market Indices EDHEC European ETF Survey Core-Satellite Investing Style and Performance Analysis Hedge Fund Performance EuroPerformance-EDHEC Style Ratings Alpha League Table IPE-EDHEC Institutional Asset Management Awards (IAMA) Rating the Ratings Performance Measurement for Traditional Investment Asset Allocation and Alternative Diversification EDHEC European Alternative Diversification Practices Survey Hedge Fund Style Allocation EDHEC Funds of Hedge Funds Reporting Survey The Amaranth Case The Hedge Fund Debate Core-Satellite Investing Morgan Stanley Investment Management "Financial Engineering and Global Alternative Portfolios for Institutional Investors" Research Chair Asset Allocation and Derivative Instruments Structured Forms of Investment Strategies FBF "Structured Products and Derivatives" Research Chair Use of Derivatives in Asset Management ALM and Asset Management Solvency II Impact of IFRS & Solvency II on ALM & AM in Insurance Companies Managing Pension Assets Benefits of Hedge Funds in ALM ALM Decisions in Private Banking AXA Investment Managers "Regulation and Institutional Investment" Research Chair BNP Paribas Investment Partners "ALM and Institutional Investment Management" Research Chair Best Execution and Operational Performance MiFID TCA in Europe: Current & Best Practices Mitigating Hedge Funds Operational Risks CACEIS, NYSE Euronext and SunGard "MiFID & Best Execution Research Chair" Events Events organised by EDHEC EDHEC Institutional Days 2008, 12-13 June, 2008 IPE-EDHEC Institutional Asset Management Awards (IAMA), 12 June 2008 CAIA Review Seminars, London and Paris, June/July 2008 Lhabitant & Martellini Hedge Fund Investing Seminar, New York, 8-9 July, 2008 EDHEC PhD in Finance Information Sessions - Paris (13/05), London (21/05), New York (10/07) Events involving EDHEC's participation EDHEC Publications Reports, Surveys and Position Papers Academic Publications All EDHEC Publications EDHEC Risk and Asset Management Research Centre Presentation Research Programmes Research Chairs International Advisory Board Partners Team EDHEC-Risk News Press Releases EDHEC in the Press Careers EDHEC Business School EDHEC Asset Management Education EDHEC PhD in Finance Asset Management Seminars CAIA Preparation Contact Us Contact Us
    The Ultimate Degree    

Exerting thought-leadership and introducing radical innovation in the financial industry demands professionals who combine field expertise, critical thinking, and outstanding research skills. Since undergraduate degrees, professional experience and the MBA may develop this set of competencies only partially, those who aspire to higher intellectual levels should consider pursuing the

foremost academic and professional qualification, the Doctorate of Philosophy (PhD). The newly introduced EDHEC PhD in Finance is designed for professionals whose aim is to gain and maintain an in-depth understanding of finance as well as the ability to initiate and carry through research projects that will yield original insights and lead to innovative approaches and offerings. More...

    
 
Industry Analysis
Indexes
Fundamental Differences? Comparing Alternative Index Weighting Mechanisms
While an ever increasing share of equity assets is invested in indexing strategies, the standard practice of using capitalisation weighting to construct stock market indices has been the object of much criticism. In response to this criticism, equity indices with different weighting schemes have emerged. Some indices use "fundamental" metrics (Arnott, Hsu, and Moore 2005) to weight the component stocks. In recent years, the market for such characteristics-based indices has grown tremendously, with more and more providers launching and offering them. Institutional investors have allocated significant amounts to these alternatives to value-weighted indices. Likewise, a wide range of exchange-traded funds on these new indices is now available.  More...
Sovereign Funds
SWFs - White Knights or Villains?
Sovereign Wealth Funds (SWFs) owned by governments round the world are expected to become a major force in the global asset management industry, with total assets forecast to exceed $12 trillion by 2015. Their potential activities are causing considerable concern among western governments, but a wide spectrum of commercial organisations are positive. The answer to which of these sharply opposed attitudes is justified carries profound implications for the evolution of global finance. The dominant emotion amongst western political circles seems to be a fear that Machiavellian motives, rather than the pursuit of investment performance, might guide the policies of these funds controlled by foreign governments. These worries however, are far from universally held in the west.  More...
Research News
Performance
On the Robustness of Performance Measures in Fund Persistence
Yin-Ching Jan, Su-Ling Chiu. Persistence in mutual fund performance is of great interest to investors; indeed, it can determine their choice of investment. Numerous studies have used different methods of performance measurement to investigate the possible existence of persistence in fund performance. In the present article, Jan and Chiu examine whether the results depend on the measure used. They use a data sample including 228 equity funds from the Taiwan Economic Journal Mutual Fund Database. The data cover a period beginning in January 1993 and ending in December 2004. The database includes defunct funds. Jan and Chiu evaluate fund annual performance using several methods. More...
EDHEC Publications
Corporate Governance
The Divergence of Legal Procedures
Aron Balas, Rafael La Porta, Florencio Lopez-de-Silanes, Andrei Shleifer Djankov et al. (2003a) propose and measure for 109 countries in the year 2000 an index of formalism of legal procedure for two simple disputes: eviction of a non-paying tenant and collection of a bounced check. For a sub-sample of 40 countries, that authors compute this index every year starting in 1950, which allows them to study the evolution of legal rules. They find that between 1950 and 2000 the formalism of legal procedure did not converge, and possibly diverged, between common law and French civil law countries. At least in this specific area of law, the results are inconsistent with the hypothesis that national legal systems are converging, and support the view that legal origins exert long-lasting influence on legal rules. More...
 
Interviews
   Interview with Frédéric Ducoulombier  
   
  In this month's interview, we speak to Frédéric Ducoulombier, Associate Professor of Finance at EDHEC Business School and Director of EDHEC Asset Management Education about the recent launch of EDHEC's PhD in Finance. Frédéric Ducoulombier currently serves as deputy to EDHEC Business School’s Director of Research and heads EDHEC Asset Management Education. Over the last ten years, he has held positions in programme design, management, and internationalisation, and has taught finance in France and China. He joined the EDHEC Risk and Asset Management Research Centre in late 2004 to launch its executive education operation which now serves hundreds of organisations throughout Europe. More...  
Features 
  Performance Measurement
Alpha League Table France 2008
The Alpha League Table compares asset management companies on the basis of their capacity to deliver positive alphas. The table’s leading companies are the best providers of alpha, i.e., those that offer a good compromise between the value and frequency of the alphas produced. The third ranking for France reveals that both the frequency of alpha and the average alpha generated by French asset managers have fallen in comparison with the 2007 edition. All the same, the top ten companies have put up fierce resistance, conceding but a moderate drop in their alpha while improving their frequency. This edition of the Alpha League Table once again gives pride of place—eight of the top ten spots—to asset management firms (either specialised firms affiliated with banks or independents whose capital is held by management). More...
EDHEC-Risk News
Alternative Investments
Lhabitant & Martellini Hedge Fund Investing Seminar being organised by EDHEC in New York on 8-9 July
The Lhabitant & Martellini Hedge Fund Investing Seminar, conducted by François-Serge Lhabitant, PhD, Associate Professor of Finance at EDHEC Business School, and Lionel Martellini, PhD, Professor of Finance at EDHEC Business School and Scientific Director of the EDHEC Risk and Asset Management Research Centre, will be held at The Grand Hyatt in New York on 8-9 July, 2008. More...
Appointments
Dr. Arjuna Sittampalam joins the EDHEC Risk and Asset Management Research Centre as Research Associate
Dr. Arjuna Sittampalam has joined the EDHEC Risk and Asset Management Research Centre as Research Associate. Dr. Sittampalam's experience encompasses the banking, insurance and specialist fund management fields, with a particular interest in derivatives and other innovative portfolio management techniques. Dr. Sittampalam is the Managing Director of investment company Sage & Hermes Ltd., which he founded in 1994 to advise leading financial institutions in the USA and Europe on investment management business strategy and operations.  More...
Commodities
Hilary Till to address CAIA Canada's 2008 inaugural event in Toronto as guest speaker
Hilary Till, research associate at the EDHEC Risk and Asset Management Research Centre, and co-founder and principal of Premia Capital Management, will be making a one-hour presentation on the topic of "Intelligent Commodity Investing", followed by a question and answer session, to CAIA Canada members at the Fairmont Royal York Hotel in Toronto on 12 May, 2008 at 5.00pm. More...
Research News
Hedge Fund Performance
Hedge fund performance persistence: a multinomial approach application to Asian hedge funds
S. Hossain, L. T. P. Nguyen, M. O. Sy, and C. M. Yu. The measure of performance persistence attempts to answer the following question: do winners and losers repeat? While an extensive literature is now available on hedge fund performance persistence, the study by Hossain, Nguyen, Sy, and Yu has two specificities. First, it focuses on Asian hedge funds. Second, it takes methods that other studies have used in two-period frameworks and uses these methods in a multi-period framework. Theoretically, a multi-period framework has the advantage of reducing the likelihood of observing persistent “hot hands” that are in fact the result of chance. More...
Hedge Fund Performance
A Survey of Demographics and Performance in the Hedge Fund Industry
A. Bandopadhyaya and J.L. Grant. In their “Survey of Demographics and Performance in the Hedge Fund Industry,” authors Bandopadhyaya and Grant scrutinise hedge fund domiciles, hedge fund manager locations, and the risk-adjusted performance of these funds. Performance was calculated over the twelve years from 1994 to 2005. This period is of particular interest, as it is composed of a bullish (for the stock market) sub-period from 1994 to 1999, and a bearish sub-period from 1999 to 2005. It is thus possible to see how hedge funds fare in different market environments. More...
Style analysis
Constructing Peer Benchmarks for Mutual Funds: A Style Analysis-Based Approach
Arik Ben Dor, Vernon Budinger, Lev Dynkin, Kenneth Leech. In this article, the authors stress the importance of being able to accurately evaluate the performance of mutual funds. The performance of funds is generally evaluated relative to a benchmark. Most of the time, however, the methodology used to derive the benchmark does not make it possible to have a suitable representation of the fund to be evaluated. The authors mention the use of a single index as a representative benchmark, which does not allow representation of all the asset classes a fund may be invested in. Another more sophisticated approach involves building a benchmark based on mutual fund holdings. In this case, the problem will be collecting the data, as it is difficult to obtain accurate information on fund holdings on a regular basis.  More...
EDHEC Publications
Alternative Investments
How to Time the Commodity Market
Devraj Basu, Roel Oomen, Alexander Stremme Investing in commodities has been gathering momentum, particularly with hedge and even pension funds having being attracted to this asset class. Much of the attraction appears to be the fact that a diversified portfolio of commodities seems to produce equity like returns with low or negative correlation with equities. More...
Risk Management
A Copula Approach to Value-at-Risk Estimation for Fixed-Income Portfolios
This paper introduces a multivariate copula approach to Value-at-Risk estimation for fixed income portfolios. Using a parsimonious model to extract time-varying parameters used as proxies for factors affecting the shape of the yield curve, and a Student copula to model the dependence structure of these factors, we are able to generate VaR estimates that strongly dominate standard VaR estimates in formal out-of-sample tests. A revisited version of this paper was published in the Summer 2007 issue of the Journal of Fixed Income. More...
Alternative Investments
Extending Black-Litterman Analysis Beyond the Mean-Variance Framework
This paper introduces a suitable extension of the Black-Litterman Bayesian approach to portfolio construction in the presence of non-trivial preferences about higher moments of asset return distributions. It also presents an application to active style allocation decisions in the hedge fund universe. Overall the results suggest that significant value can be added in a hedge fund portfolio through the systematic implementation of active style allocation decisions provided that a sound investment process is implemented that accounts for both non-normality and parameter uncertainty in hedge fund return distributions. A revisited version of this paper was published in the Summer 2007 issue of the Journal of Portfolio Management. More...

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