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Indices - October 16, 2006

Interview with Jean-Pierre Grimaud

Jean-Pierre Grimaud is Chief Investment Officer of SwissLife France and Vice-Chairman of the French association of institutional investors (Af2i). In this interview he talks about the new EDHEC study commissioned by Af2i: Assessing the Quality of Stock Market Indices: Requirements for Asset Allocation and Performance Measurement.'

Jean-Pierre Grimaud

You recently presented the Af2i/EDHEC study on the assessment of market indices to the association members. What does this study represent for Af2i?

Jean-Pierre Grimaud: As a representative of institutional investors, it is important that our association keep a close eye on current industry practice. Market indices are a typical example of the kind of issues that we are interested in. A majority of investors perform their asset allocation using optimisation models, most of which use data taken from market indices to achieve optimal asset allocation. But the question that must first be asked is: ‘Are the indices themselves efficient?’ This is why the study is important.

Why did you choose to work with EDHEC on this study?

Jean-Pierre Grimaud: EDHEC has extensive experience in financial research and therefore seemed to us to be the natural candidate to carry out this study, using all its knowledge from the field of asset allocation.

What are the major issues to come out of this research from the point of view of institutional investors?

Jean-Pierre Grimaud: Af2i believes this research is of fundamental importance. Investment banks are constantly providing new and innovative products that show a level of ever-increasing sophistication and there’s no reason to think that this trend might stop. Institutional investors owe it to themselves to ensure they can fully understand these products so as to manage them in the best interests of the third parties they represent. Research is a key factor in allowing them to achieve that aim.

About Af2i

The aim of the Association française des Investisseurs Institutionnels is to provide a common structure for all economic entities affected by the procedures and techniques used in institutional asset management, regardless of the sector to which they belong (pensions, life assurance and providence schemes, private health insurance and other insurance policies, foundations, specialised institutions, etc.). In particular, its work includes: think tanks, information and support services and the representation of members’ interests. The association has 61 members, with a total of EUR700bn in managed assets.

The objectives of Af2i:

  • Represent its members in respect of the problems facing institutional investors with regard to financial management, and perform lobbying in France and abroad (group authorities, governing bodies and similar associations in other countries);
  • Define and standardise best practices for institutional investors with regard to management techniques, markets and financial instruments, etc. and thereby:
  • Monitor future regulatory changes;
  • Establish an institutional classification system mapping those bodies that may be deemed eligible and an annual members’ survey with a view to compiling a reference database.

The methods used by Af2i:

  • Regularly hold meetings for French institutional investors from various sectors, with a subject matter related to financial management that affects them on a daily basis;
  • Involve members in the establishment of best practices within Working Groups;
  • Use various channels (correspondence, Internet, etc.) to address real issues relating to the procedures and techniques used in asset management, with a practical approach adopted by practitioners.

Af2i members:

  • The association’s active members hold financial management positions in French institutions with an active role in the long-term management of capital reserves.