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EDHEC-Risk Information

EDHEC-Risk Institute Press Releases

2005

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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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  • 05/12/05:
    EDHEC study finds that funds of hedge funds add value through strategic allocation rather than active management
    Despite institutional investors’ growing interest in funds of hedge funds (FoHF), little attention has been paid so far to their added value and/or the sources of their added value. This is all the more striking in that funds of funds are not particularly transparent and are, with their double-fee structure, relatively costly investment vehicles. A new study by Noël Amenc and Mathieu Vaissié of the EDHEC Risk and Asset Management Research Centre, entitled 'Determinants of Funds of Hedge Funds’ Performance', has found that 89% of the 100 top funds of hedge funds in the sample turn out to add value at the strategic allocation level, but only 31% at the active management level (20% created value through both strategic allocation and active management).
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  • 25/11/05:
    Mr. Gérard Maarek appointed Senior Economic Adviser at EDHEC
    As part of a new economic research centre within the EDHEC group, Mr. Gérard Maarek has been appointed "Senior Economic Adviser" to EDHEC. Mr. Maarek will advise EDHEC on the orientation of its research work in economics and will participate in validating the results of its research teams’ projects.
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  • 15/11/05:
    EDHEC and EuroPerformance publish the first rankings of European asset management firms based on their capacity to deliver alpha: the Alpha League Table
    In November 2004 in Paris, Edhec and EuroPerformance presented the first fund ratings based on alpha: the EuroPerformance-EDHEC Style Ratings. These ratings provide a response to both academic and professional criticism directed at traditional fund ratings. The latter rely on relative rankings defined within categories that do not take the risks that were really taken by the manager over the analysis period into account and do not therefore allow the performance of active management to be evaluated and rewarded, whether the performance comes from stock picking or tactical allocation. In 2005, on the basis of the Style Ratings, EDHEC and EuroPerformance have set up special rankings that aim to distinguish European asset management companies according to their capacity to deliver alpha for all of their “equity” funds: the Alpha League Table.
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  • 09/11/05:
    Edhec to organise its second Edhec Hedge Fund Days in London from February 14-16, 2006
    After the success of its inaugural Hedge Fund Day in London last year, the Edhec Risk and Asset Management Research Centre, one of the leading academic financial research centres in Europe, will be returning to London for the three-day Edhec Hedge Fund Days 2006 at The Brewery on February 14th, 15th and 16th next. As the only business conference in Europe that is organised by an academic research centre for the benefit of professionals, the Edhec Hedge Fund Days will allow for constructive interaction and informative exchanges between hedge fund industry professionals and leading academic researchers on alternative investments.
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  • 07/10/05:
    Alternative certification draws record numbers
    The number of candidates for the examinations leading to the Chartered Alternative Investment AnalystSM designation has more than doubled last year. A record 800 professionals enrolled for the July sitting of the CAIASM tests, and registrations for the February 2006 session of the global certification programme are expected to break the 1,000 mark. More than 3,000 individuals from 46 countries worldwide have received or are seeking the professional designation that is becoming the alternative investment industry’s hallmark of excellence. The CAIA Association handpicked Edhec, the French business school, a year ago to serve as its ‘exclusive official provider’ of preparatory courses in Europe owing to its ‘excellent reputation’ within the industry.
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  • 27/09/05:
    Mr Philippe Foulquier joins Edhec as associate professor
    Following an extensive professional career as a financial analyst specialised in the insurance sector, Mr Philippe Foulquier has joined the Edhec group as an associate professor. Mr Foulquier will be in charge of IFRS/Solvency 2 issues for institutional investment management within the Edhec Risk and Asset Management Research Centre. He will also participate with the accountancy-control department’s research team in a study programme on the impact of the new accounting standards on the perception of listed companies’ risk premia.
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  • 12/09/05:
    Appointment of Mr. Daniel Capocci as Research Associate at the Edhec Risk and Asset Management Research Centre
    Daniel Capocci has been named as a Research Associate with the Edhec Risk and Asset Management Research Centre. He will be contributing regular papers on hedge fund strategies to the centre’s web site and will also be lecturing in finance at EDHEC Business School. Daniel, who works as a Fund of Funds Manager with the Institutional & Fund Management division of Kredietrust Luxembourg, speaks and writes regularly on issues related to alternative investment.
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  • 04/07/05:
    World’s First Hedge Fund Summer Camp Opens
    Thirty young talents from fifteen countries have gathered in the capital of the French Riviera to take part in the EDHEC OLYMPIA Alternative Investment Summer Camp. Aimed at helping European students to discover one of the fastest growing and yet least understood sectors of the asset management industry, the world’s first hedge fund summer camp is taking place on the Nice campus of EDHEC, the French Business School.
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  • 25/05/05:
    Creation of Edhec Investment Research: a structure for transferring the Edhec Risk and Asset Management Research Centre’s technology and know-how in the area of asset allocation
    Today, there are 28 professors, research engineers and associate researchers who are contributing to making the Edhec Risk and Asset Management Research Centre one of the leading European research teams in asset allocation in traditional and alternative asset classes. The essential element of the centre’s strategy, and more globally of Edhec’s strategy, is its relationship with the industry. The aim of all the actions undertaken is to make the Edhec Risk and Asset Management Research Centre a pole of expertise and an acknowledged reference point for asset management companies and institutional investors. 2005 sees the implementation of a consulting offering for asset allocation and investment product design that is benefiting from the results of the centre’s research: Edhec Investment Research. From the time it was set up, this new activity has been the object of genuine interest from European asset management professionals. Lyxor (Société Générale group) is the first French partner for developing innovative management offerings based on the expertise in the area of multi-style, multi-class allocation.
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  • 20/05/05:
    EDHEC recommends that institutional investors allocate a significant proportion of their portfolios to structured products
    The “Structured Forms of Investment Strategies in Institutional Investors’ Portfolios” research paper, which was written by Lionel Martellini, PhD, Koray Simsek, PhD and Felix Goltz of the Edhec Risk and Asset Management Research Centre, shows that the benefits of structured products are based on two fundamental results from modern portfolio theory:
    • Structured products accentuate diversification benefits through the access that they give to risks and returns that investors find difficult to manage, or indeed to find.
    • Structured products correspond to dynamic forms of allocation which are known to be more general than, and therefore superior to, static allocation.
    The research examines the proportion of buy-and-hold investors’ portfolios that should optimally be allocated to structured products and is the first ever academic study to explore this topic. Through investing in structured products (strategies involving long and short positions on equities, indices or funds, using derivatives and leveraging effects, with risk-free assets and packaged into investment vehicles that are easily accessible by investors), it may be possible for institutional investors to enjoy the benefits of dynamic asset allocation strategies while keeping the same investment throughout the period. The authors conclude that the addition of a guaranteed structured product into an investment which includes stocks and bonds leads to an improvement in efficient frontiers (the best risk/return combination).
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  • 13/05/05:
    EDHEC creates 5 investable indices: the EDHEC Investable Hedge Fund Indices
    In spite of the recent advances in hedge fund indexing, designing good hedge fund indices remains a particularly challenging task in the face of challenges that are specific to the alternative investment industry. Two distinct purposes have to be distinguished: i) an index can be used as a benchmark for investments in specific styles, instruments or locations; or ii) it can be used as an investment vehicle. Each of these two purposes is associated with some challenging construction requirements. In particular, indices that act as benchmarks have to be representative, i.e., they should accurately reflect the whole universe of hedge funds following a particular style. On the other hand, indices that act as investment vehicles are obviously required to be investable in addition to being representative. In 2003, EDHEC proposed an original solution to the challenge of representativity by introducing a set of alternative indices (known as the EDHEC Alternative Indexes), which can be thought of as the most representative possible portfolio of hedge fund returns for a given style, based on factor analysis of competing indices. In 2005, EDHEC has adapted the methodology behind the EDHEC Alternative Indexes to propose a solution to the challenge of investability and offer a set of investment vehicles (known as the EDHEC Investable Hedge Fund Indices) while maintaining a focus on representativity.
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  • 03/05/05:
    The Edhec Risk and Asset Management Research Centre releases research that is critical of the existing ratings systems: Rating the Ratings
    In 2002, EuroPerformance, which is the leading French firm for the dissemination of mutual fund data, approached the Edhec research centre to consider the implementation of a value-added offering in the area of external analysis of the performance and risks of European investment funds. The method followed to implement the design of these new ratings was to carry out a thorough study of the insufficiencies of the existing rating methods in order to correct them by relying on the state-of-the-art in portfolio risk and performance measurement in a business context. The Rating the Ratings document constitutes a detailed summary of the critical study and puts into perspective the responses given to the inadequacies of the existing ratings by the EuroPerformance-Edhec Style Ratings.
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  • 01/03/05:
    Appointment of Mr. Timothy Spangler as Research Associate at the Edhec Risk and Asset Management Research Centre
    Timothy Spangler has been appointed Research Associate at the Edhec Risk and Asset Management Research Centre, where he will be a regular contributor to the centre’s web site, www.edhec-risk.com, on European Hedge Fund Regulation. Timothy, a New York qualified lawyer and English solicitor, is a partner at Berwin Leighton Paisner (BLP) in the funds group and regularly advises clients globally on the structuring, promotion and operation of a wide variety of private investment vehicles, as well as the full spectrum of securities and regulatory issues typically associated with such transactions.
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  • 17/02/05:
    Edhec releases results of European consultation on Funds of Hedge Funds Reporting
    The development of alternative investment has not yet been accompanied by a genuine consideration of the specific characteristics of the risks and returns of hedge funds with regard to the provision of information to investors. This inadequacy clearly came to light in a study published by Edhec in 2003 which showed that a very large majority of European hedge fund managers were satisfied with a reporting method designed for investment in traditional asset classes. This method proposes a mean variance structure that is totally inappropriate for the risk and return profiles of alternative investment and does not inform investors of extreme risk and risk factors affecting the different returns of the hedge fund strategies in which the funds of funds are invested. To address this issue, Edhec launched, in 2004, an international consultation process for the implementation of a new framework for Funds of Hedge Funds reporting.
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  • 01/02/05:
    Appointment of Mr. Koray Simsek as Assistant Professor of Finance at Edhec
    Koray Simsek has been appointed assistant professor of finance at Edhec, where he is responsible for teaching classes in financial modelling and quantitative methods in finance. He is also a member of the Edhec Risk and Asset Management Research Centre where he is co-head of the Asset Liability Management (ALM) programme.
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