The ORTEC Finance "Private Asset-Liability Management" Research Chair
The ORTEC Finance "Private Asset-Liability Management" Research Chair is a three-year research programme piloted by a joint ORTEC Finance/EDHEC-Risk Institute committee focused on understanding the application of Asset-Liability Management (ALM) methodology in Private Wealth Management (PWM).
Under the scientific responsibility of Lionel Martellini, the Scientific Director of EDHEC-Risk Institute, first-year research will focus on the superiority of the ALM approach in private wealth management (PWM), with special attention being given to the Life Cycle asset allocation developed in the academic literature over the past decade.
Subsequent research in the course of the three-year project will examine the shortcomings of current PWM practices, putting them in perspective in relation to best practices for Private ALM, and also look at the consequences of high levels of inflation for Private ALM. The latter will involve general inflation (global price index) or particular cases of inflation, e.g. the inflation exposure of HNWIs.
[Consult the press release announcing the launch of the research chair: 22/09/08]
Research output:
EDHEC-Risk European Private Wealth Management Survey (November 2010):
- Study:
The EDHEC-Risk European Private Wealth Management Survey has been completed as part of the second year of the research chair.
The research for the first year of the chair showed that taking an ALM approach to private wealth management has great implications for the design of optimal portfolios. ALM has a direct impact on the selection of asset classes, as it leads to a focus on the liability-hedging properties of asset classes. In a conventional asset-only perspective, after all, the risk-free asset for any investor is cash, whereas in ALM the risk-free asset is not unique. It is the asset that best hedges the future consumption needs of the investor. These insights have great implications for the ways private wealth managers should go about providing solutions to clients, and the second year’s research looks into whether private wealth managers actually recognise these implications.
- Interview with Ton Van Welie, Chief Executive Officer of ORTEC Finance:
"The number of advisors using ALM techniques is growing very fast"
An interview in which Ton van Welie, Chief Executive Officer of ORTEC Finance, discusses the European private wealth management practices survey, and his views on what the future holds for the risk management and investment processes of pension funds, insurance companies, asset managers and real estate managers after the financial crisis.
Asset-Liability Management in Private Wealth Management (September 2009):
- Press release announcing the results of the study:
- Study:
The study argues that asset-only asset allocation models fail to account for the presence of investment and/or consumption goals and objectives, such as preparing for retirement or acquiring property. It instead provides a formal framework suggesting that asset-liability management can ensure that private wealth managers are able to offer their clients investment programmes and asset allocation advice that truly meet their needs.
Reactions to an EDHEC-Risk Study on Asset-Liability Management Decisions in Private Wealth Management (October 2008):
- Press release announcing the results of the survey:
- Survey report:
This report covers the industry reactions to an EDHEC-Risk study entitled "Asset-Liability Management Decisions in Private Banking". That paper discussed the sources of added-value in private wealth management, and argued through a series of illustrations that asset-liability management is the natural approach for the design of truly client-driven services in private banking.
The objective of the current paper is to compare the conclusions drawn by the "Asset-Liability Management Decisions in Private Banking" study with current industry perceptions. The basic question we are asking is: what do practitioners think about using asset-liability management in private wealth management?
Related research:
- "Asset-Liability Management Decisions in Private Banking"; Noël Amenc, Lionel Martellini, Volker Ziemann; February 2007.
- "The Benefits of Hedge Funds in Asset Liability Management"; Lionel Martellini, Volker Ziemann; September 2005.
ORTEC Finance Analysis:
- ALM the solution for risk management and client-centered advice in Private Wealth Management (April 2009):
"ALM the solution for risk management and client-centered advice in Private Wealth Management"
Related Events:
- The Evolution of Value-Added in Private Wealth Management and the Asset-Liability Management Approach
20 April, 2011A seminar organised as part of the "Private Asset-Liability Management" research chair endowed by Ortec Finance will be held on Wednesday 20 April 2011 at EDHEC-Risk Institute's London premises.
As well as presenting the results of the EDHEC-Risk Survey of European Private Wealth Management Practices launched in May 2010, the event will include a focus on understanding the application of the Asset-Liability Management (ALM) methodology in Private Wealth Management (PWM). In addition, representatives from Ortec Finance will present Ortec Finance solutions developed for Private ALM for different client segments ranging from retail to private banks.
Conducted by Felix Goltz, Head of Applied Research, and Noël Amenc, Director, EDHEC-Risk Institute, this seminar will be a unique opportunity to discuss the challenges in private wealth management and take a detailed look at the landscape of Private Wealth Management in Europe.
The programme is available here.
For further information, please contact laura.pensato@edhec-risk.com.
- Exclusive presentations of the results of the EDHEC-Risk European Private Wealth Management Practices Survey 2010
28, 29 & 30 September 2010In order to determine how investment strategies in private wealth management are designed, how client objectives are taken into account and what role the various financial tools play in the investment process, EDHEC-Risk Institute has conducted a comprehensive survey of the practices of European private wealth managers.
As part of the ORTEC Finance "Private Asset-Liability Management" research chair, a series of three early evening seminars featuring the results of the survey, entitled "The Evolution of Value-Added in Private Wealth Management and the Asset-Liability Management Approach", were held on the following dates in three European locations:
• 28 September, 2010 — The Savoy, Strand Hotel, London [Programme]
• 29 September, 2010 — Baur au Lac Hotel, Zurich [Programme]
• 30 September, 2010 — Hotel Le Royal, Luxembourg [Programme]As well as presenting the results of the EDHEC-Risk Survey of European Private Wealth Management Practices launched in May 2010, the seminars also focused on understanding the application of the Asset-Liability Management (ALM) methodology in Private Wealth Management (PWM). In addition, representatives from ORTEC Finance presented ORTEC Finance solutions developed for Private ALM for different client segments ranging from retail to private banks.
Conducted by Noël Amenc, Director, EDHEC-Risk Institute, Felix Goltz, Head of Applied Research, EDHEC-Risk Institute, and David Schröder, Research Associate, the seminars provided a unique opportunity to discuss the challenges in private wealth management and take a detailed look at the landscape of Private Wealth Management in Europe.
The presentations from the seminar may be downloaded below:
• "Surveying Private Wealth Management Practices in Europe"; Felix Goltz, Head of Applied Research, EDHEC-Risk Institute/David Schröder, Research Associate, EDHEC-Risk Institute
• "The Evolution of Value-Added in Private Wealth Management and the Asset-Liability Management Approach"; Noël Amenc, Director, EDHEC-Risk Institute
• "Overview of solutions: From Retail to Private Banking"; ORTEC Finance
For further information, please contact laura.pensato@edhec-risk.com.
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