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
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  • 06/05/08:
    EDHEC opens its PhD in Finance to Executives
    EDHEC Business School and the EDHEC Risk and Asset Management Research Centre have announced that they will open their new three-year doctoral programme to finance executives from September 2009. The 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. The programme is entirely delivered in English and offered in two tracks: a "residential track" for high-potential graduate students who will hold research positions at EDHEC Business School, and an "executive track" for high-level practitioners who will continue to pursue full-time jobs. The programme structure, residential requirements and research supervision arrangements have been tailored to allow professionals to complete the EDHEC PhD in Finance over three years.
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  • 25/04/08:
    EDHEC to reveal the results of a new study on Fundamentally Weighted Indices at the EDHEC Institutional Days in Paris
    The first day of the EDHEC Institutional Days in Paris on June 12 and 13 next will feature the unveiling of an EDHEC study on the merits and demerits of fundamental indices® and other alternatives to capitalisation-weighted indices. The EDHEC position paper, written by Noël Amenc, Felix Goltz and Véronique Le Sourd, analyses a set of characteristics-based indices that have recently been launched on the US market and have been said to outperform standard market cap-weighted indices over particular backtest samples. The authors analyse the performance of an exhaustive list of such indices.
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  • 09/04/08:
    Exclusive Presentation of the Results of the EDHEC European ETF Survey 2008 at the EDHEC Institutional Days in Paris
    The ETF Summit at the EDHEC Institutional Days in Paris on June 12 and 13 2008 will provide practitioners with the outputs of EDHEC's research in the fields of risk management and asset allocation supported by Exchange Traded Funds. Noël Amenc, director of the EDHEC Risk and Asset Management Research Centre, will be analysing the results of an exclusive survey of 200 top institutional investors, the EDHEC European ETF Survey 2008. During his presentation, Professor Amenc will be looking at new trends in ETF usage, the perceived benefits and drawbacks of ETFs vis-à-vis other indexing products, the adoption of ETFs and the core-satellite framework across the various asset classes and perceptions of ETFs as vehicles for alternative investment.
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  • 26/03/08:
    Dr. Arjuna Sittampalam joins the EDHEC Risk and Asset Management Research Centre as Research Associate
    We are very pleased to announce the appointment of Dr. Arjuna Sittampalam as Research Associate at the EDHEC Risk and Asset Management Research Centre. 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.
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  • 14/03/08:
    EDHEC Associate Professor François-Serge Lhabitant Publishes a New Book on Stock Market Liquidity
    François-Serge Lhabitant, Associate Professor of Finance at EDHEC Business School and Chief Investment Officer with Kedge Capital, has co-edited a new book, "Stock Market Liquidity: Implications for Market Microstructure and Asset Pricing," with Greg Gregoriou, Professor of Finance at the State University of New York at Plattsburgh. Published by Wiley, this new work covers such areas as liquidity across markets and exchanges; market design, corporate events and liquidity; and asset pricing, liquidity risk, merger arbitrage and valuation. It is intended to refine understanding of what may be driving market liquidity and provide investors with tools to profit from this knowledge.
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  • 10/03/08:
    The Alpha League Table 2008 for France crowns HSBC Private Bank but confirms a fall in average alpha for the year
    In their annual rankings of French asset management companies’ capacity to produce alpha, EDHEC and EuroPerformance have revealed that both the frequency of alpha and the average alpha generated by French asset managers have fallen in comparison with 2007. Average alpha dropped from 2.98% to 2.50%, a decline that may be attributed in part to the behaviour of small-cap stocks. Small-cap stocks, which in France have a large role in the production of alpha, fell over the second half of 2007, just as broad-based indices did. The winner of the 2008 edition is HSBC Private Bank France with a score of 1.52%. MMA Finance, with a score of 1.43%, takes second place after improving from eighth position last year. The biggest jump in this year’s edition was from State Street Global Advisors France. The firm moved up sixteen places in the rankings to third.
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  • 05/03/08:
    EDHEC to organise the second edition of the EDHEC Institutional Days in Paris on June 12-13, 2008
    The EDHEC Risk and Asset Management Research Centre will be staging the second edition of the EDHEC Institutional Days in Paris on June 12 and 13, 2008. The first edition of the EDHEC Institutional Days in November 2006 attracted over 800 institutional investors and asset managers to Paris and 1,200 delegates are expected to attend this latest event, which will feature more than 50 top speakers and panellists, including leading European institutional figures. The EDHEC Institutional Days are the most important initiative for delivering research results to finance professionals.
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  • 25/02/08:
    The practices of European asset managers and investors examined
    Findings of an EDHEC survey of 229 European institutional investors and asset managers
    In 2007, as part of its ongoing policy of monitoring asset management practices and comparing them with the results of academic research, the EDHEC Risk and Asset Management Research Centre undertook an in-depth survey of the risk management, portfolio construction, strategic allocation, and performance measurement practices of European asset managers and investors. The EDHEC European Investment Practices Survey is built on a sample of 229 institutional investors and asset managers who, with respect both to the nationality of survey respondents and to the amount of assets under management, are largely representative of the European asset management industry. In all, respondents to the survey have more than €10 trillion of assets under management and include the major European firms in the industry (nearly fifty respondents manage more than €100 billion each). The major conclusion of the survey is that investment professionals are often familiar with research findings and new techniques but that these are rarely used.
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  • 20/02/08:
    EDHEC Creates Research Chair in Alternative Investment for Institutional Investors with the support of Morgan Stanley
    EDHEC Risk and Asset Management Research Centre and Morgan Stanley Investment Management (MSIM) have announced the creation of a new research chair titled Financial Engineering and Global Alternative Portfolios for Institutional Investors. The research chair is a three-year research programme piloted by a joint MSIM/EDHEC committee. The EDHEC Risk and Asset Management Research Centre’s team, led by the centre’s scientific director, Lionel Martellini, will research new forms of welfare-improving financial innovation through the engineering of alternative solutions for institutional portfolios. The study will look at whether alternative investment strategies, such as hedge funds, commodities, real estate and private equity, can be useful in both the core and the satellite components of a performance-seeking portfolio. It will also look at where these strategies can potentially bring beta and alpha benefits respectively, given that their impact on relative and absolute risk budgets must be assessed properly.
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  • 14/02/08:
    EDHEC report shows that all hedge fund strategies posted positive returns in 2007
    In a context of moderate performance in the stock and bond markets in 2007, a new EDHEC report reveals that Funds of Hedge Funds, which are often taken to give an aggregate view of the industry’s performance, returned 10.07% on average for the year, compared to 3.53% for the S&P 500 and 4.14% for the Lehman Global US Treasury Bond index. In the EDHEC report, entitled "Hedge Fund Performance in 2007", Véronique Le Sourd, Senior Research Engineer with the EDHEC Risk and Asset Management Research Centre provides a strategy-by-strategy account of the performance of each hedge fund strategy included in the EDHEC Alternative Indexes.
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  • 28/01/08:
    US SEC Commissioner Paul Atkins tells EDHEC that hedge funds will be part of the solution to the subprime crisis
    In an interview published in the EDHEC Risk and Asset Management Research Centre’s monthly newsletter, US SEC Commissioner Paul Atkins has affirmed that "hedge funds are likely to be an important part of the solution to the subprime crisis." In response to a question from EDHEC on whether hedge funds could be considered to be at the origin of the subprime crisis, or whether they were in fact victims of the crisis, Commissioner Atkins, who stressed that the views he expressed did not necessarily reflect those of the SEC or of his fellow commissioners, said that, "Although we and our counterparts in government are monitoring and looking into the origins of the events of the last year, it does not seem that hedge funds were the origin of the subprime problems. Certainly, hedge funds, along with many other market participants, have been hit quite hard by the problems in the subprime market."
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  • 03/12/07:
    EDHEC survey reveals that institutional real estate investors are more interested in diversification than in outperformance
    The EDHEC Risk and Asset Management Research Centre has released the EDHEC European Real Estate Investment and Risk Management Survey. This survey covers 143 European institutional investors from 19 countries, representing more than 3,000 billion euros in assets under management and over 400 billion euros in real estate assets. According to author Frédéric Ducoulombier, real estate is perceived as a distinct asset class which covers direct investment, non-listed and listed real estate equity vehicles. The justifications for investing in this asset class are diversification of the overall portfolio, the search for performance, and, to a lesser degree, a hedge against inflation. The quest for alpha appears to be of secondary interest. The main vehicles for exposure to the class are direct investment in the underlying asset, non-listed funds and listed real estate. The role of debt is marginal and allocations to new products (indices, structured products and derivatives) are modest.
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  • 27/11/07:
    EDHEC Alternative Investment Days confirmed as leading hedge fund and alternative investment conference in Europe
    The third edition of the EDHEC Alternative Investment Days in London on November 20-21 attracted an audience of well over 800 high-level delegates, confirming that this event has become the most prestigious and well-attended academic and professional conference on alternative investments in Europe. The first day’s Hedge Funds Summit addressed the key issues driving the hedge fund industry today, such as risk, regulation and new forms of hedge fund strategy. In association with CNBC Europe and the International Herald Tribune, EDHEC organised a roundtable forum on Hedge Funds, Regulators and the Global Financial System.
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  • 22/11/07:
    CFA Institute and EDHEC Business School Launch New Joint Seminar Exploring State-of-the-Art Investment Management
    CFA Institute and the EDHEC Risk and Asset Management Research Centre are introducing a new annual event that will present the latest research advances in asset allocation and clarify the distinction between true innovation and mere marketing claims in emerging industry trends. The Advances in Asset Allocation Seminar series will offer senior investment professionals a unique opportunity to gain an in-depth appreciation of the concepts and techniques that will shape the future of investment management. In addition, it will also provide practical tools and novel investment approaches to improve asset allocation processes and design new products. The seminar will take place 17-19 March in London and brings together EDHEC, the premier European centre for applied research into asset allocation, with the leading association of investment professionals, CFA Institute.
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  • 20/11/07:
    Launch of IPE EDHEC Institutional Asset Management Awards in 2008
    Leading European investment publication Investment & Pensions Europe has joined with EDHEC, France’s premier business school, to introduce the IPE EDHEC Institutional Asset Management Awards in 2008. This is the first time that Europe’s institutional asset management industry will have an Awards programme based on objective and transparent criteria. Up to 15 Awards will be presented to winning asset managers next June at the time of the EDHEC Institutional Days, before an invited audience of investors, asset managers, investment banks and other industry advisers and suppliers, at a gala dinner in Paris.
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  • 15/11/07:
    EDHEC Researchers Receive Prestigious Award from the Journal of Performance Measurement
    The EDHEC Risk and Asset Management Research Centre is delighted to announce that Noël Amenc, Professor of Finance at EDHEC Business School and Director of the EDHEC Risk and Asset Management Research Centre, and Véronique Le Sourd, Senior Research Engineer at the EDHEC Risk and Asset Management Research Centre, have received one of four Honourable Mention Awards from the Journal of Performance Measurement as part of this year's Dietz Award for Excellence in Performance Measurement Literature.
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  • 08/11/07:
    EDHEC to Launch MiFID & Best Execution Research Chair
    As part of the development of its Risk and Asset Management Research Centre, EDHEC Business School is pleased to announce the launch of its fourth research chair, on MiFID and Best Execution supported jointly by CACEIS, NYSE Euronext and SunGard. The commitment of the three sponsors is to support an academic research programme over a three-year period so that the EDHEC Risk and Asset Management Research Centre can implement a long-term research strategy in this field. The themes of MiFID and Best Execution are thought to be among the most significant industry challenges for the near future, justifying the need for academic research to be carried out to support industry developments.
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  • 24/10/07:
    EDHEC and EuroPerformance release the Alpha League Table 2007 for the UK
    EDHEC and EuroPerformance have released their rankings of the top asset management companies in the UK: the Alpha League Table. The Alpha League Table is constructed on the basis of a genuine measure of alpha, using a state-of-the-art methodology developed by EDHEC. The winner of the 2007 edition is Aberdeen Asset Managers with a score of 2.82%. Frequency of alpha is high, with 81.2% of selected funds generating significantly positive alpha. Average alpha is 3.48%. Jupiter Asset Management, with a score of 2.68%, takes second place, and M&G Securities takes third place with a score of 2.51%.
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  • 11/10/07:
    Dr. Michel Verlaine appointed Business Analysis Director at the EDHEC Risk and Asset Management Research Centre
    We are very pleased to announce the appointment of Dr. Michel Verlaine as Business Analysis Director at the EDHEC Risk and Asset Management Research Centre. His research interests focus on portfolio optimisation and risk management, with a special emphasis on behaviour under uncertainty and statistical robustness, and his research in these areas has given rise to several articles and conference presentations. He is working notably on the elaboration of robust asset management solutions, and his current research concentrates on the robust pricing of CDOs.
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  • 08/10/07:
    EDHEC sets up a research chair in asset-liability management with the support of BNP Paribas Asset Management
    In partnership with BNP Paribas Asset Management, the EDHEC Risk and Asset Management Research Centre has announced the creation of a new research chair in "Asset-Liability Management and Institutional Investment Management." This research chair will be piloted by a joint BNP Paribas AM/EDHEC committee and will give rise to a major three-year research programme. The EDHEC Risk and Asset Management Research Centre’s research team, under the responsibility of the centre’s scientific director, Lionel Martellini, will examine dynamic allocation strategies in asset-liability management in order to formulate an integrated ALM model.
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  • 02/10/07:
    Co-authors of landmark book on MiFID to conduct seminar in London in December
    Jean-René Giraud and Catherine d’Hondt, co-authors of "MiFID: Convergence towards a Unified European Capital Markets Industry" (Risk Books, 2006) and the influential position paper: "MiFID: the (in)famous European Directive?", will be presenting research insights into the newly-introduced directive and its implications for all aspects of the execution process at the MiFID and Best Execution seminar in London on 18-19 December, 2007. The seminar will allow participants to go beyond MiFID compliance and embrace best execution as a competitive advantage in the new pan-European financial markets. It offers a practical understanding of the directive’s impact on business and on the wider asset management industry. It will provide a roadmap for compliance with new operational requirements, together with the conceptual and practical tools to set up the processes to achieve and demonstrate best execution.
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  • 28/09/07:
    Dr. Dominic O’Kane joins EDHEC Business School as Affiliated Professor
    We are very pleased to announce the appointment of Dr. Dominic O’Kane as Affiliated Professor at EDHEC Business School. Prior to this appointment, Dr. O’Kane spent over 7 years at Lehman Brothers International where he was Managing Director and Head of Fixed Income Quantitative Research (Europe), focusing on the pricing and risk models used across credit, interest rates, FX and commodity derivatives.
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  • 26/09/07:
    EDHEC study defends hedge funds in the subprime lending crisis and highlights regulation risk
    In response to criticism of hedge funds, notably from the French president, Nicolas Sarkozy, EDHEC has published a new position paper by Noël Amenc, Professor of Finance and Director of the EDHEC Risk and Asset Management Research Centre, entitled Three Early Lessons from the Subprime Lending Crisis: a French Answer to President Sarkozy. Despite what regulators and political leaders, notably President Sarkozy and Chancellor Merkel, have said, hedge funds are clearly not to blame for the subprime crisis and the contagion that has spread to all segments of the credit market. The crisis is ultimately more a crisis of confidence in financial information and the market's capacity to evaluate the solvency of credit institutions.
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  • 21/09/07:
    EDHEC sets up a research chair on Regulation and Institutional Investment in partnership with AXA Investment Managers
    The EDHEC Risk and Asset Management Research Centre has created a research chair, "Regulation and Institutional Investment", in partnership with AXA Investment Managers (AXA IM). Following the study conducted by EDHEC, with the support of AXA IM, on the impact of the International Financial Reporting Standards and the Solvency II directive on the financial management of European insurance companies ("The Impact of IFRS and Solvency II on Asset-Liability Management and Asset Management of Insurance Companies," Noël Amenc, Philippe Foulquier, Lionel Martellini and Samuel Sender, November 2006) it became clear that the interaction between regulation and institutional investment management was a key issue for European institutional investors.
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  • 12/09/07:
    Dr. Florencio López-de-Silanes appointed Finance Professor at EDHEC Business School
    We are pleased to announce the appointment of Dr. Florencio López-de-Silanes as Finance Professor at EDHEC Business School. Florencio López-de-Silanes holds a PhD in Economics from Harvard University. Before joining EDHEC, he taught at Harvard University, Yale University, Amsterdam Business School (University of Amsterdam), and at Ecole Normale Supérieure in Paris. Dr. López-de-Silanes’ research interests lie in the fields of International Corporate Finance and Financial Markets, and Legal Reform and Privatization. Prior to joining EDHEC, he was an advisor on these topics to several governments, international institutions and corporations.
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  • 16/08/07:
    Pierre Mella-Barral appointed Professor of Finance at EDHEC Business School
    Pierre Mella-Barral has been appointed Professor of Finance at EDHEC Business School. Pierre Mella-Barral is a graduate of the Ecole Nationale Supérieure d'Arts et Métiers and earned his Doctorate in Economics from the University of Cambridge. Before joining EDHEC, he taught Finance and Economics at HEC Paris from 2004 and Finance at the London School of Economics as well as at the London Business School.
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  • 09/08/07:
    René Garcia joins EDHEC as Professor of Finance
    We are very pleased to announce the appointment of René Garcia as Professor of Finance with EDHEC Business School. Professor Garcia received his doctorate in economics from Princeton University. Before coming to EDHEC, he was a professor at the Université de Montréal, where he taught econometrics and finance. He is also the holder of the Hydro-Québec chair in integrated risk management and financial mathematics as well as the recipient of a research fellowship from the Bank of Canada.
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  • 30/07/07:
    Dr. Devraj Basu appointed Senior Research Engineer at the EDHEC Risk and Asset Management Research Centre
    Dr. Devraj Basu has been appointed Senior Research Engineer at the EDHEC Risk and Asset Management Research Centre. Dr. Basu’s areas of research include Asset Pricing, Asset Allocation, and Continuous Time Finance. In his new role at EDHEC, he will be focusing on designing efficient benchmarks and hedge fund replication. Prior to joining EDHEC, Devraj Basu was a lecturer in finance at Cass Business School, City University in London and at Warwick Business School in Coventry (UK), where he taught Fixed Income Securities and Derivatives, Stochastic Methods and Asset Pricing.
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  • 27/07/07:
    EDHEC and EuroPerformance release the Alpha League Table 2007 for Switzerland
    EDHEC and EuroPerformance have released their annual rankings of the top Swiss asset management companies: the Alpha League Table. The Alpha League Table is constructed on the basis of a genuine measure of alpha, using a state-of-the-art methodology developed by EDHEC. The Alpha League Table 2007 for Switzerland reveals that the winner of the 2007 edition is the Geneva private bank Lombard Odier Hentsch & Cie. With 38.4% alpha frequency and an average alpha rate of 3.8%, LODH & Cie has a score of 1.5%. Bank Sarasin, in third place in 2006, climbs a spot on the strength of improvements in average alpha (from 2.9% last year to 3.1% this year) and in the frequency of “alpha” funds (from 31.9% to 43.4%). In third place, with average alpha of 3.5% and a frequency of 35.8%, giving it a score of 1.2%, is Swisscanto, the joint venture for investment and pension services of the Swiss cantonal banks.
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  • 24/07/07:
    Will European insurers be able to continue to invest in hedge funds? EDHEC surprised by the 45% capital charge set by CEIOPS in QIS3 for all alternative investments and hedge funds
    Within the equity risk sub-module of the third Quantitative Impact Study (QIS3) undertaken by the Committee of European Insurance and Occupational Pension Supervisors (CEIOPS), a preamble to the Solvency II supervisory standard, all alternative investments are subject to a capital charge of 45%, nearly 50% higher than the 32% applied to regular equity exposures. EDHEC’s work clearly shows that this capital charge is totally inconsistent with the real risk profile of hedge funds. Indeed, hedge funds as an asset class are far less risky than stock indices: over the past ten years funds of hedge funds have an empirical downside risk with a 5% confidence interval of 3.69%, three times less than the S&P500’s downside risk of 10.73%.
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  • 19/07/07:
    EDHEC to organize seminar on measuring, optimizing and replicating hedge fund betas in New York on October 16
    EDHEC will be presenting the latest findings of its research into alternative betas and hedge fund replication at a seminar on Alternative Betas and Hedge Fund Replication organized at the Grand Hyatt hotel in New York on October 16. Designed and delivered by the Scientific Director of the EDHEC Risk and Asset Management Research Center, this intensive seminar will equip participants with a workable knowledge of the state-of-the-art techniques for maximizing hedge fund benefits both at the fund level and for end investors.
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  • 28/06/07:
    EDHEC to organise the third edition of the EDHEC Alternative Investment Days in London on November 20-21, 2007
    The EDHEC Risk and Asset Management Research Centre will be staging the third edition of the EDHEC Hedge Fund Days in London on 20th and 21st November 2007. To accommodate the latest developments in the alternative investment industry, the 2007 event is being rebranded as EDHEC Alternative Investment Days, and will be opened up to new asset classes, including commodities, real estate and alternatives to hedge funds, such as long-only absolute return funds.
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  • 27/06/07:
    Solvency II: in its response to QIS3, EDHEC regrets that the prudential treatment of equity risk is still so unsatisfactory
    In a position paper produced jointly by the EDHEC Risk and Asset Management Research Centre and the EDHEC Financial Analysis and Accounting Research Centre, EDHEC responds to the third quantitative impact study (QIS3) undertaken by the Committee of European Insurance and Occupational Pension Supervisors (CEIOPS), a necessary preamble to the Solvency II supervisory standard. In this new paper, EDHEC regrets the prudential treatment of equity risk—especially the lack of consideration for the insurer’s risk-management ability. To accept the notion that the economic capital set against equity risk should allow for a 32% annual drop in equity markets is to ignore the entire arsenal of dynamic allocation and risk management techniques available to the asset manager.
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  • 04/06/07:
    EDHEC to present latest research on hedge fund replication in London on 28 June
    EDHEC will be presenting the latest findings of its research into hedge fund replication at an evening seminar organised at the Marriott Renaissance Chancery Court in London on 28 June. At the seminar, Lionel Martellini, Professor of Finance at EDHEC Business School and Scientific Director of the EDHEC Risk and Asset Management Research Centre will be making an exclusive premiere presentation of the results and conclusions of EDHEC’s forthcoming survey, “The Myths and Limits of Passive Hedge Fund Replication” co-written by Lionel Martellini with Noël Amenc, Walter Géhin and Jean-Christophe Meyfredi.
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  • 19/04/07:
    EDHEC replies to the CESR’s public consultation on best execution under MiFID
    In response to the CESR's public consultation on best execution under MiFID, EDHEC strongly defend the idea that the analysis of the total net proceeds of financial transactions represents the most important factor for assessing execution quality. In order to contribute to the public debate, EDHEC have put together a detailed analysis of the various aspects of Transaction Cost Analysis, a review of the pertinence and biases exhibited by current practices and an introduction to EDHEC's innovative framework which was published in the most recent issue of the Journal of Asset Management
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  • 26/03/07:
    EDHEC study points out the shortcomings of MiFID, the European financial services directive
    In a study entitled "MiFID: the (in)famous European directive?", EDHEC, while recognising that the directive allows the conditions in which investment companies can operate on the regulated markets or over-the-counter to be harmonised, warns of the eventual adverse effects relating to the obligation of transparency for systematic "internalisers" and the obligation of "best execution". The authors of the report, Jean-René Giraud and Catherine D’Hondt, who are also co-authors of the recent publication "MiFID: Convergence towards a Unified European Capital Markets Industry," find, in the case of the obligation imposed on systematic “internalisers” to maintain a public spread of prices, that it is prejudicial for this restriction to be removed for the least liquid securities. This provision will lead, in a certain number of cases, (small-caps on markets that are centrally organised at present), to a deterioration in the pre-trade transparency that is currently provided to investors.
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  • 19/03/07:
    EDHEC Asset Management Days 2007 in Geneva a major success
    The second edition of the EDHEC Asset Management Days took place in Geneva on 12-13 March, enabling a wide audience of industry practitioners, some from as far afield as the Bermuda Islands, Canada and the United Arab Emirates, to explore and debate with EDHEC’s research team how to use the most recent research advances and the latest industry innovations as new sources of value in investment management. With 720 registered delegates, comprising a large number of institutional investors, private bankers and institutional money managers, this latest international conference organised by the EDHEC Risk and Asset Management Research Centre proved to be a great success.
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  • 14/03/07:
    Dr. Daniel Giamouridis joins the EDHEC Risk and Asset Management Research Centre as Research Associate
    We are very pleased to announce the appointment of Dr. Daniel Giamouridis as Research Associate at the EDHEC Risk and Asset Management Research Centre. Dr. Giamouridis' areas of research include derivatives and alternative investments, with a particular focus on option valuation/hedging and hedge funds (portfolio choice/investment decisions, pricing, return predictability, risk management). He has published in a number of international academic journals and is also a frequent speaker at academic and practitioner conferences.
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  • 12/03/07:
    An EDHEC study reveals that asset-liability management techniques can add real value to private wealth management
    Working from the observation that the contribution of asset-liability management techniques developed for institutional investors is not yet familiar within private banking, a new study from the EDHEC Risk and Asset Management Research Centre, entitled "Asset-Liability Management Decisions in Private Banking" shows the expected benefits of a transposition of that kind. According to the authors of the study, Noël Amenc, Lionel Martellini and Volker Ziemann, asset-liability management represents a genuine means of adding value to private banking that has not been sufficiently explored to date.
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  • 13/02/07:
    In its reply to CP 20, EDHEC warns of the continuing inadequacies of the Solvency II project
    A new EDHEC Risk and Asset Management Research Centre position paper, "CP20: Significant improvements in the Solvency II framework but grave incoherencies remain," by Philippe Foulquier and Samuel Sender, contains EDHEC's answer to CP20, a consultation process initiated by CEIOPS (Committee of European Insurance and Occupational Pensions Supervisors) on the "Advice to the European Commission in the Framework of the Solvency II Project on Pillar I Issues". In the current paper, EDHEC defends the idea that the necessity of a relatively simple formula that can be implemented in all institutions should not hinder the evolution of the sector and in particular its ability to manage its risks.
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  • 07/02/07:
    Ms. Joëlle Miffre joins EDHEC as Associate Professor of Finance
    We are very pleased to announce the appointment of Ms. Joëlle Miffre as Associate Professor of Finance at EDHEC Business School where she will be teaching Fixed-Income Securities and Derivatives. Ms. Miffre will also participate actively in the work of the EDHEC Risk and Asset Management Research Centre. Ms. Miffre's research focuses on portfolio management, with special emphasis on alternative assets (hedge funds, commodities, real estate), performance evaluation, non-normality risks, ETFs and momentum strategies.
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  • 01/02/07:
    EDHEC to present exclusive preview of research on passive replication of hedge fund performance at the EDHEC Asset Management Days in Geneva on March 12-13
    In a session on emerging alternatives to hedge funds at the EDHEC Asset Management Days 2007 at the Hotel President Wilson in Geneva on 12-13 March, EDHEC will be providing an exclusive preview of the results of a study on passive replication of hedge fund performance. In this thought-provoking research from the EDHEC Risk and Asset Management Research Centre, authors Walter Géhin, Lionel Martellini and Jean-Christophe Meyfredi provide a detailed critical analysis of various methodologies involved in the so-called "passive replication" of hedge fund returns, an old academic subject that has enjoyed renewed interest following recent initiatives by major investment banks such as Merrill Lynch and Goldman Sachs. In particular, they examine the respective pros and cons of the two different and somewhat competing approaches to hedge fund replication, which are respectively known as "factor-based replication", and "payoff distribution replication".
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  • 25/01/07:
    EDHEC to present ground-breaking research on ALM and Private Banking at the EDHEC Asset Management Days in Geneva
    At the EDHEC Asset Management Days in Geneva on March 12-13, 2007, EDHEC will be presenting the results of a new study entitled "Asset-Liability Management Decisions in Private Banking". This original research from the EDHEC Risk and Asset Management Research Centre's Noël Amenc, Lionel Martellini and Volker Ziemann shows that current practice in wealth management does not genuinely take clients' constraints and objectives into account. Specifically, private bankers know their clients well but do not know how to use this knowledge in asset management. The EDHEC study explains how some of the most sophisticated asset-liability techniques used in the context of institutional money management can satisfactorily be implemented in private wealth management.
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  • 17/01/07:
    EDHEC researchers publish paper on quantifying the operational risks of hedge funds
    In a working paper entitled ‘Quantification of Hedge Fund Default Risk’, which led to the publication of a full article in the Fall issue of the Journal of Alternative Investments, Jean-René Giraud and Stéphane Daul of the EDHEC Risk and Asset Management Research Centre, together with co-author Corentin Christory, examined numerous cases of hedge fund default in order to find the common factors behind fund failures. The objective of the paper was to provide an initial framework for quantifying the non-financial extreme risk of hedge funds with the aim of factoring it into the portfolio construction phase. The paper examines the statistical properties of hedge fund failures and attempts to identify essential risk factors that can tentatively explain why certain funds are more likely to default on their investors and creditors than others.
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  • 05/12/06:
    EDHEC publishes second annual French Funds of Hedge Funds rankings in financial daily La Tribune
    Following the launch in 2004 of the EuroPerformance-EDHEC Style Ratings, the innovative system for rating the performance of European mutual funds, which measures the performance with regard to the risks that were really taken by the managers while at the same time taking the extreme risks being run and the managers’ capacity to generate outperformance into account, the French financial daily La Tribune asked EDHEC in 2005 to apply the same approach to rating funds of hedge funds. The results of the second edition of the rankings were published in France on December 5th.
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  • 16/11/06:
    EDHEC and EuroPerformance's Alpha League Table shows UK asset managers are the best in Europe at producing alpha
    EDHEC and EuroPerformance have released their rankings of the top UK asset management companies: the Alpha League Table. The Alpha League Table is constructed on the basis of a genuine measure of alpha, using a state-of-the-art methodology developed by EDHEC. The Alpha League Table 2006 for the UK reveals that compared to the results obtained by leading asset managers in France, Italy and Spain, the figures from the UK are truly remarkable, with the top five companies obtaining a score of at least 2.5%.
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  • 13/10/06:
    Initial results of the EDHEC European ETF Survey suggest that ETFs have a brighter future than Futures
    Initial results from the EDHEC European ETF Survey, a comprehensive report on current ETF practices by asset managers and institutional investors in Europe, indicate that more than half of the survey respondents expect the use of ETFs to increase in the future, well ahead of the corresponding figures for futures, index funds and total return swaps. The EDHEC European ETF Survey will be presented exclusively at the EDHEC ETF Summit, which will take place in Paris on November 21-22 as part of the EDHEC Institutional Days 2006.
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  • 02/10/06:
    EDHEC comments on the lessons to be drawn from the Amaranth debacle
    In a little over a week, Amaranth Advisors, a respected, diversified multi-strategy hedge fund, lost 65% of its $9.2 billion assets. In a paper entitled ‘EDHEC Comments on the Amaranth Case: Early Lessons from the Debacle’, noted commodities expert Hilary Till, Research Associate with the EDHEC Risk and Asset Management Research Centre and Principal of Premia Capital Management, LLC, examines how Amaranth could have suffered such massive losses and draws lessons from this debacle for investors, funds of fund & energy fund risk managers, multi-strategy hedge fund managers, policy makers, and the alternative investment industry as a whole.
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  • 26/09/06:
    Sally Davies joins EDHEC as Conference Director
    With substantial professional experience in conferences and operations management in the financial sector, Sally Davies has taken up the position of Conference Director at the EDHEC Risk and Asset Management Research Centre, one of the leading European centres for financial research. Sally’s contribution will enable EDHEC to capitalise on the success of its past conferences, in particular the EDHEC Asset Management Days, held in Geneva in April 2005 (600 participants), and the EDHEC Hedge Fund Days, which were held in London in February of this year (800 participants).
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  • 11/09/06:
    European institutional investors must take greater care in the construction of their benchmarks
    For the vast majority of European institutional investors, constructing a benchmark and measuring the performance of their portfolio in relation to the benchmark are central to their investment process. And, very often, the chosen benchmark is a market index and/or a combination of market indices. Since their design is not affected by the securities chosen by managers and since they benefit from the sound reputation of major financial institutions, credit rating agencies and major international stock exchanges, market indices appear to be the ultimate reference not only for strategic allocation but also as a measure of investment management performance. Evaluating the quality of these indices as a benchmark is therefore a question that is essential to institutional investors. It is the importance of this question that led Af2i (French association of institutional investors) and EDHEC to carry out research on the main market indices used by European investors.
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  • 08/09/06:
    EDHEC to organise EDHEC Institutional Days in Paris on November 21-22, 2006
    Following on from the success of its Hedge Fund Days in London (800 delegates) and Asset Management Days in Geneva (600 delegates), the EDHEC Risk and Asset Management Research Centre, one of the leading academic financial research centres in Europe, will be organising its inaugural two-day EDHEC Institutional Days 2006 at the CNIT in Paris on 21-22 November next. As the only business conference in Europe that is organised by an academic research centre for the benefit of professionals, the EDHEC Institutional Days will allow for informative exchanges between institutional investors, industry professionals and leading academic researchers.
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  • 06/07/06:
    EDHEC enters into a partnership with the Ecole d’Economie de Paris
    On the 15th June 2006, EDHEC and the Ecole d’Economie de Paris, signed a cooperation agreement for the creation of a programme to support young researchers in Economics. This agreement will enable doctoral students to participate in work carried out by EDHEC’s new Economics research centre as research assistants, whilst preparing their thesis within the “Analysis and Economic Policies” doctoral programme at the Ecole d’Economie de Paris.
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  • 30/06/06:
    Mr. Nicolas-Jean Brehon appointed Associate Economics Research Director at EDHEC
    As part of a new Economics research centre within the EDHEC group, Mr. Nicolas-Jean Brehon has been appointed Associate Economics Research Director. Mr. Brehon will be responsible for the research programme focusing on "European Budgetary Governance". Mr. Brehon is an adviser to the French parliament, where he was notably responsible for monetary issues within the European Union for the Finance Committee.
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  • 24/06/06:
    EDHEC contests the FRR’s decision to exclude hedge funds from its strategic allocation
    At the beginning of June, the FRR (Fonds de Réserve pour les Retraites) announced its decision to allocate 10% of its assets to so-called alternative products. However, the FRR’s decision to allocate 10% of its assets to alternative products is accompanied by a decision to exclude hedge funds from that allocation. FRR will concentrate the “alternative” allocation on commodities, real estate and private equity. The FRR justifies the exclusion of hedge funds through three main arguments. First of all, the risk/return profile of hedge funds is allegedly unsatisfactory. Secondly, the data displayed by hedge funds through their representative indices is biased. Finally, the diversification potential of hedge funds is unattractive and does not allow the efficient frontier of the portfolio held to be improved. EDHEC, in a document entitled “Comments from the EDHEC Risk and Asset Management Research Centre on the decision by the FRR (Fonds de Réserve pour les Retraites) to exclude hedge funds from its strategic allocation”, shows that these arguments are not valid when they are put to the test of the numerous empirical results obtained on the basis of methods that are appropriate for the specific characteristics of hedge funds.
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  • 20/06/06:
    EDHEC disagrees with the ECB on the systemic risks of hedge funds
    An article in the June 2006 edition of the European Central Bank’s Financial Stability Review (FSR) claims that hedge fund activities pose considerable risk to the financial system. According to the article, “hedge funds’ largely unconstrained investment strategies” lead to a risk of “adverse effects of disorderly exits from crowded trades”. EDHEC disagrees with the conclusions presented in the article.
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  • 02/06/06:
    Ms. Hilary Till joins the EDHEC Risk and Asset Management Research Centre as a Research Associate
    The EDHEC Risk and Asset Management Research Centre is very pleased to announce the appointment of Ms. Hilary Till as Research Associate. Hilary Till is a co-founder of Premia Capital Management, LLC in Chicago and an internationally acknowledged expert in the field of commodities trading and natural resources futures markets. Formerly equity derivatives analyst and commodity futures trader with Harvard Management Company, and then senior vice president and head of the Derivative Strategies Group with Putnam Investments in Boston, Ms. Till has a B.A. in Statistics from the University of Chicago and an M.Sc. in Statistics from the London School of Economics. She studied at the LSE under a private fellowship administered by the Fulbright Commission.
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  • 22/05/06:
    The Alpha League Table for Switzerland is released by EDHEC and EuroPerformance
    EDHEC and EuroPerformance have released their rankings of the top Swiss asset management companies: the Alpha League Table. The Alpha League Table is constructed on the basis of a genuine measure of alpha, using a state-of-the-art methodology developed by EDHEC. Out of the 51 companies that were eligible, only the best ten have been distinguished by taking account of the number of funds analysed and the steady creation of alpha. The results are extremely tight.
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  • 04/05/06:
    European Transaction Cost Analysis Survey
    EDHEC-Risk Advisory, the consultancy arm of the EDHEC Risk and Asset Management Research Centre, will be conducting a pan-European survey on industry practices and needs with regards to transaction cost analysis. The survey is being carried out in conjunction with the Global Equities business unit of HSBC Corporate, Investment Banking and Markets. As part of the implementation of the newly introduced MiFID (Markets in Financial Instruments Directive), transaction cost analysis will become a significant part of the obligation by investment firms to execute client orders in their best interest (“Best Execution” obligation).
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  • 03/05/06:
    Buoyant European markets boost growth of alternative certification
    EDHEC training yields 90% success rate at CAIA® exams
    Increased commitments to non-traditional asset classes by institutional investors have translated into a bumper year for the European alternative investment industry with funds flowing into private equity, real estate, hedge funds and commodities reaching all-time highs. In 2005, funds raised by European venture capital funds more than doubled to €60bn, investment in commercial real estate shot up 40% to €141.7bn, and assets under management at hedge funds grew 26% to €274bn. Fuelled by a European boom, 2005 was also the best year ever for the alternative industry’s global educational standard as the two exams leading to the Chartered Alternative Investment AnalystSM designation drew over 1,500 professionals worldwide.
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  • 31/03/06:
    EDHEC professor co-edits a new publication on bond portfolio management
    Lionel Martellini of the EDHEC Risk and Asset Management Research Centre, together with fellow leading fixed-income experts Frank J. Fabozzi, the internationally acclaimed author and editor, and Philippe Priaulet, have recently published “Advanced Bond Portfolio Management: Best Practices in Modeling and Strategies” with Wiley Finance.
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  • 13/03/06:
    EDHEC and EuroPerformance release the Alpha League Table for Spain and Italy
    EDHEC and EuroPerformance have released their rankings of the top Italian and Spanish asset management companies: the Alpha League Table. The rankings were constructed on the basis of a genuine measure of alpha, using a methodology developed by EDHEC which corresponds to the state-of-the-art in financial research.
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  • 27/02/06:
    Mrs. Maya Bacache-Beauvallet appointed Economic Research Director at EDHEC
    As part of a new economic research centre within the EDHEC group, Mrs. Maya Bacache-Beauvallet has been appointed Economic Research Director. Mrs. Bacache-Beauvallet, who will be based in Paris, will be responsible for the research programme focusing on “Financing the Social Model and State Reform”.
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  • 02/02/06:
    According to a study by EDHEC, managed accounts can considerably reduce the operational risks of investing in hedge funds
    A study carried out by Jean-René Giraud of the EDHEC Risk and Asset Management Research Centre and entitled "Mitigating Hedge Funds’ Operational Risks: Benefits and limitations of managed account platforms", shows that, when accompanied by appropriate risk monitoring and adequate structuring of the relationship with the hedge fund manager, managed accounts today represent a very efficient approach to mitigating operational risks, especially when the size of the investments does not allow for a dedicated operational due diligence and risk monitoring team to be set up.
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  • 16/01/06:
    A study by EDHEC shows that an allocation of 20% to hedge funds can reduce a fund’s probability of extreme loss by 50%
    A new study carried out by Lionel Martellini and Volker Ziemann of the Edhec Risk and Asset Management Research Centre, entitled "The Benefits of Hedge Funds in Asset Liability Management", shows that it is possible to construct diversification benchmarks that allow the risk related to holding stock or bond portfolios to be reduced in a very significant and robust way by appropriately selecting the alternative strategies and optimising these with proven techniques (minimising the extreme risks, as measured by the Value-at-Risk of the overall portfolio).
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  • 09/01/06:
    EDHEC publish the results of a major survey on the diversification practices of European institutional investors
    Results show that institutional investors do not know how to benefit from hedge fund investments
    The results of the EDHEC European Alternative Diversification Practices Survey, which received responses from 151 major European institutional investors and enabled EDHEC to produce a detailed assessment of current institutional practices in Europe, were published on January 9th. The questionnaires for the survey were addressed to the top 1,000 institutional investors in Europe in the first half of 2005. The study generated responses from 151 European institutional investors representing, at 30/09/2005, a total volume of over one trillion euros of assets under management. The survey shows that 51% of European institutional investors are already exposed to hedge fund strategies. These represent, on average, 7% of their global assets. The main conclusion of the survey is that institutional investors do not know how to take advantage of the diversification possibilities of hedge funds because they have both insufficient knowledge of the risks to which their assets are exposed and an ineffective asset allocation policy.
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  • 22/12/05:
    EDHEC disagrees with most of the conclusions of the FER statement on hedge funds
    Following its meeting in Sonoma, California on July 10-11, 2005, the Financial Economists Roundtable (FER), an international group of senior financial economists, issued a statement in which it warned about the risks involved in investing in hedge funds. The EDHEC Risk and Asset Management Research Centre, which has carried out a multi-faceted research programme on hedge funds over the past three years, has published a paper by Noël Amenc, PhD, and Mathieu Vaissié in response to the FER statement in which it comments on the FER’s recommendations.
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  • 19/12/05:
    EDHEC teams up with French financial newspaper La Tribune to produce the first Funds of Hedge Funds rankings in France
    Following the launch of the EuroPerformance-EDHEC Style Ratings, the innovative system for rating the performance of European mutual funds, which measures the performance with regard to the risks that were really taken by the managers while at the same time taking the extreme risks being run and the managers’ capacity to generate outperformance into account, the French financial daily La Tribune asked EDHEC to apply the same approach to rating funds of hedge funds. The results of the inaugural rankings were published in France on December 13th.
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  • 13/12/05:
    EDHEC paper shows that active style allocation can add significant value to a hedge fund portfolio
    A new research paper from the EDHEC Risk and Asset Management Research Centre, ‘Investing in Hedge Funds: Adding Value through Active Style Allocation Decisions’, by Lionel Martellini, Mathieu Vaissié and Volker Ziemann, shows that significant value can be added in a hedge fund portfolio through the systematic implementation of active style allocation decisions, both at the strategic and tactical levels.
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