EDHEC-Risk Institute Press Releases2006
EDHEC study highlights the contradictions between the objectives of Solvency II and the application of the IFRS standards for insurance companies
A new study jointly produced by the EDHEC Risk and Asset Management Research Centre and the EDHEC Financial Analysis and Accounting Research Centre entitled "The Impact of IFRS and Solvency II on Asset-Liability Management and Asset Management in Insurance Companies" reveals the contradictions inherent in the current Solvency II and IFRS provisions for insurance companies. The report shows notably that the numerous provisions proposed by the IFRS are at odds with the good risk management practices put forward by Solvency II.
EDHEC to organise its second EDHEC Asset Management Days in Geneva on March 12-13, 2007
The EDHEC Risk and Asset Management Research Centre is staging the second edition of the EDHEC Asset Management Days in Geneva in March 2007. This event will be a new opportunity for academics and practitioners to meet and to discuss the most recent research achievements of the EDHEC Risk and Asset Management team.
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.
At the IPE Awards in Paris, EDHEC’s Noël Amenc urges European institutional investors to adopt a more efficient core-satellite approach to portfolio management
Delivering the keynote speech at the annual Investment & Pensions Europe Awards in Paris, Professor Noël Amenc, Director of the EDHEC Risk and Asset Management Research Centre, informed the assembled institutional investors that the results of a recent EDHEC survey on the use of the core-satellite approach to investment management showed that most institutional investors see the core as being invested in major stock market indices. According to Professor Amenc, the core should instead be invested in an optimal benchmark.
EDHEC survey reveals that European investors are not fully exploiting the potential of their ETFs
In a new survey, The EDHEC European ETF Survey 2006, the EDHEC Risk and Asset Management Research Centre has carried out an in-depth study on the use of ETFs (Exchange-Traded Funds) by European investors. The results of the survey show that following rapid growth, ETFs are being widely used by European institutional investors, private bankers and asset managers.
Alternative Investment Certification Comes of Age: Number of European CAIASM Candidates Doubles in 2006
On the back of record commitments to non-traditional assets and strategies by institutional investors, the number of candidates for the Chartered Alternative Investment AnalystSM designation has reached new record highs. In 2006, the two exams leading to the alternative industry’s educational standard drew close to 2,500 professionals worldwide, up 62% on 2005.
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%.
EDHEC Business School and Olympia Capital Management join forces for the second edition of the EDHEC/Olympia Alternative Summer Camp
Twenty-five young talents from all over the world had the opportunity to attend the second edition of the EDHEC/Olympia Alternative Summer Camp in July 2006. The Summer Camp brought together highly select students from Canada, China, South Africa, United Kingdom, Eastern Europe, Latin America, Middle East, India, Singapore and France.
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.
The EDHEC Risk and Asset Management Research Centre welcomes Mr. Stefan Bichsel to its international advisory board
The EDHEC Risk and Asset Management Research Centre is pleased to announce that Mr. Stefan Bichsel, president of the European Fund and Asset Management Association (EFAMA), and a partner of the group holding company Lombard Odier Darier Hentsch & Cie, has joined its international advisory board.
EDHEC to present the results of a major survey on the use of ETFs by European institutional investors at the EDHEC ETF Summit
At the EDHEC ETF Summit, which will take place in Paris on November 21-22 as part of the EDHEC Institutional Days 2006, EDHEC will be presenting the results of its EDHEC European ETF Survey, a comprehensive report on current ETF practices by asset managers and institutional investors in Europe.
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.
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).
EDHEC replies to the CESR recommendations on the eligibility of hedge fund indices for UCITS investments
In a document entitled "A Reply to the CESR Recommendations on the Eligibility of Hedge Fund Indices for Investments of UCITS", Noël Amenc and Felix Goltz of the EDHEC Risk and Asset Management Research Centre have urged the CESR to reconsider their position on suspending the eligibility of hedge fund indices.
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.
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.
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.
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.
EDHEC Risk and Asset Management Research Centre welcomes distinguished new members to its international advisory board
The EDHEC Risk and Asset Management Research Centre is pleased to announce that seven new members have joined its international advisory board. The board, which brings together distinguished scholars, representatives of regulatory bodies and senior executives from business partners and other leading institutions, held its second annual meeting in Beaulieu-sur-Mer on the French Riviera on May 12th, 2006.
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.
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.
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.
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.
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).
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.
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.
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.
Privatisation of the French motorways: An undervalued price and, above all, a highly debatable financial decision
In a study on the valuation of the French State’s holding in ASF (Autoroutes du Sud de la France), EDHEC has challenged the validity of the sale of the State’s holding.
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”.
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.
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).
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.