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EDHEC-Risk Information

EDHEC-Risk Institute Press Releases

2008

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  • 22/12/08:
    EDHEC Alternative Investment Days continue to be the leading hedge fund and alternative investment conference in Europe
    In spite of the ongoing financial crisis, the fourth edition of the EDHEC Alternative Investment Days in London on December 9-10 attracted an audience of well over 800 high-level delegates, confirming that this event continues to be the most prestigious and well-attended academic and professional conference on alternative investments in Europe. In the initial plenary session on the first day: "Hedge Funds: Learning from the Crisis", EDHEC’s Jean-René Giraud analysed the true role of hedge funds in the financial crisis by examining deleveraging, short selling, hedge fund activism, industry best practice and hedge fund regulation.
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  • 18/12/08:
    A new EDHEC study shows that 75% of international investors doubt that the recent changes in accounting standards will be effective in attenuating the financial crisis
    A "call for reaction" was sent by EDHEC to international institutional investors and asset managers to compare investor views of amendments to the IAS39 and IFRS 7 standards not just with the conclusions of an initial EDHEC study, but also with the ambitions of these reforms prepared and adopted in great haste. The call for reaction received more than 800 responses and represents the first international survey on the relevance of the reforms carried out by the IASB under pressure from the European Commission. The results of this study - entitled "Reactions to an EDHEC Study on the Fair Value Controversy" - correspond to EDHEC’s initial arguments. Fewer than a quarter of the respondents believe that these amendments are necessary and well suited to resolving the problems of bank solvency. Moreover, three-quarters of respondents believe that they are likely to lead to new problems.
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  • 16/12/08:
    A new EDHEC position paper finds no evidence that socially responsible funds produce outperformance
    The results of a new EDHEC position paper, entitled "Socially Responsible Investment Performance in France" show that none of the sixty-two funds in the sample, covering various investment zones, manage to produce both positive and significant alpha (outperformance) over a six-year period and that the few significant alpha values are negative. Moreover, most of the funds generate negative, non-significant alpha. The study also shows that alpha values estimated over one year change greatly from one year to the next. The use of a period of various lengths shows that results can vary greatly from one length to another. It thus seems that there are not grounds to conclude that the selection of SRI securities alone generates outperformance.
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  • 24/11/08:
    EDHEC survey finds finance professionals unconvinced by hedge fund replication products
    Following a major position paper last year on the subject of hedge fund replication, entitled "The Myths and Limits of Passive Hedge Fund Replication: An Attractive Concept… Still a Work-in-Progress," EDHEC wished to compare the results of the analysis of hedge fund replication by EDHEC’s researchers with industry perceptions of the products and techniques that are currently available. For an idea of what practitioners really think about the strengths and weaknesses of hedge fund replication products, and—most important—whether they actually use them, the EDHEC Risk and Asset Management Research Centre called for reactions to its study. The questions were sent to asset management firms and pension funds, as well as to private bankers and related institutions that are interested in optimal asset management strategies.
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  • 19/11/08:
    Bank Solvency: EDHEC warns against pro-cyclical prudential regulations and recommends capital buffers
    In a newly-released position paper by Samuel Sender, entitled "Banking: Why Does Regulation Alone Not Suffice? Why Must Governments Intervene?" EDHEC warns that prudential regulations for banking and other financial institutions are pro-cyclical and tend to reinforce the impact of the economic cycle on the balance sheet. Trying to restore solvency ratios with accounting amendments, as proposed by the IASB, the European Commission and the SEC, is not a good solution because of the risk of loss of trust in financial reports and, as a consequence, in the solvency ratios themselves. The EDHEC position paper proposes instead to attenuate the pro-cyclical nature of the solvency regulations by allowing the amount of regulatory capital to vary over the business cycle.
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  • 13/10/08:
    EDHEC and EuroPerformance release the results of the Alpha League Table 2008 for the UK
    EDHEC and EuroPerformance have released their annual 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 year’s results are better than last year’s: average alpha increased (approximately 30 basis points) to 2.9% and the average frequency of alpha is 52.2%; whereas it was 46.3% last year. The winner of the 2008 edition is Jupiter, which was ranked second last year. With its average alpha of 4.23% and the frequency with which alpha is delivered coming to 73.75%, the firm posts an impressive performance.
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  • 06/10/08:
    EDHEC survey shows overwhelming support for applying ALM techniques to private wealth management
    In a survey stemming from an EDHEC study on asset-liability management decisions in private wealth management, 87% of the respondents have reported that ALM is a potential source of progress and value-added for their business. The questionnaire was sent out at the beginning of 2008 to private bankers, family offices, asset management firms and related institutions that are interested in optimal asset management strategies for wealthy clients. Most of the 59 respondents are based in Europe.
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  • 30/09/08:
    EDHEC study finds that characteristics-based indices may lag cap weighted indices for significant periods and tend to underperform equal-weighted indices
    The EDHEC Risk and Asset Management Research Centre has released a new position paper analysing characteristics-based indices, which have been said to outperform standard market cap-weighted indices over particular backtest samples. The paper, “A Comparison of Fundamentally Weighted Indices: Overview and Performance Analysis,” by Noël Amenc, Felix Goltz and Véronique Le Sourd, examines the performance of an exhaustive list of such indices. They show that outperformance over value-weighted indices depends on market conditions – they may underperform these indices for long periods – and that characteristics-based indices do not significantly outperform simple equal-weighted indices.
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  • 22/09/08:
    EDHEC sets up a research chair in Private Asset Liability Management in partnership with ORTEC Finance
    The EDHEC Risk and Asset Management Research Centre and ORTEC Finance have announced the creation of a new research chair in Private ALM focused on understanding the application of Asset-Liability Management (ALM) methodology in Private Wealth Management (PWM). The research chair is a three-year research programme piloted by a joint ORTEC Finance/EDHEC committee. First-year research will focus on the superiority of the ALM approach in private wealth management (PWM), with special attention being given to the Life Cycle asset allocation developed in the academic literature over the past decade.
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  • 11/09/08:
    CFA Institute and EDHEC Business School Make Investment Management Seminar Bi-Annual
    CFA Institute and the EDHEC Risk and Asset Management Research Centre have extended their partnership in executive education events to now include a Bi-Annual Seminar in the Advances in Asset Allocation. Seminars will now be held in both London and New York. The Advances in Asset Allocation Seminar series present the latest research advances in asset allocation and clarify the distinction between mere innovation and true marketing claims in emerging industry trends.
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  • 10/09/08:
    Presentation of exclusive research on global alternative portfolios for institutional investors at the EDHEC Alternative Investment Days in London
    The Alternative Investment Conference at the EDHEC Alternative Investment Days in London on December 9 and 10 will centre on the integration of alternative investments in institutional portfolios and will survey the latest trends in the alternative investment space. One of the essential questions that will be addressed is how to integrate the specific characteristics of alternative investments into the risk budgeting process for asset-liability management. At a plenary session entitled Financial Engineering and Global Alternative Portfolios for Institutional Investors on December 10, Professor Lionel Martellini, Scientific Director of the EDHEC Risk and Asset Management Research Centre will be providing answers to this question and looking at the role of alternative investments in the architecture of institutional portfolios, including alternatives in the performance-seeking vs. liability-hedging portfolio and alternatives for risk diversification vs. optimal substitution.
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  • 27/08/08:
    EDHEC affiliated Professor Dominic O’Kane publishes a new book on Credit Derivative modelling
    Dominic O’Kane, affiliated Professor of Finance at EDHEC Business School has released a new book entitled "Modelling Single-Name and Multi-Name Credit Derivatives". Published by Wiley, this book presents an up-to-date, comprehensive, accessible and practical guide to the models used to price and risk-manage credit derivatives. It is both a detailed introduction to credit derivative modelling and a reference for those who are already practitioners.
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  • 03/07/08:
    The 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, which brings together high-level representatives from regulatory bodies, leading pension funds, professional organisations and business partners. The role of the international advisory board is to validate the relevance and goals of the research programme proposals presented by the centre’s management and to evaluate research outcomes with respect to their potential impact on industry practices.
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  • 25/06/08:
    Major success for the EDHEC Institutional Days, an event that attracted more that 1,200 delegates
    The EDHEC Risk and Asset Management Research Centre staged the second edition of the EDHEC Institutional Days in Paris on June 12 and 13. The event attracted over 1,200 delegates and brought together more than 70 top speakers and panellists, including leading figures from the European institutional investment world. The EDHEC Institutional Days are the most important initiative in Europe for delivering research results to finance professionals.
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  • 16/06/08:
    Inaugural IPE-EDHEC Institutional Asset Management Awards Presented in Paris
    Eleven Europe-based asset management firms won the coveted IPE-EDHEC Institutional Asset Management Awards in a ceremony in Paris on June 12. Each IAMA was awarded after a quantitative evaluation of the quality of institutional asset management offerings in Europe, undertaken by Paris-based EuroPerformance (Telekurs Financial). This took into account not only the performance of active portfolio management (alpha), but also the relevance of the long-term allocation choices (beta) and the quality of risk management.
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  • 13/06/08:
    EDHEC study reveals that European investors are not taking advantage of potentially beneficial features of their ETFs
    On the occasion of the EDHEC Institutional Days in Paris on June 12, the EDHEC Risk and Asset Management Research Centre presented a major new study: the EDHEC European ETF Survey 2008. This study, sponsored by iShares, shows that while ETFs are now widely used and practitioners are highly satisfied with their features, the use of ETFs is largely limited to passive holdings of broad market indices and the wide range of ETFs for subcategories and styles is not used to its full potential. The EDHEC European ETF Survey 2008, also shows that most practitioners do not benefit from the possibilities of trading options on ETFs, selling ETFs short, or lending them out. The authors of the survey believe that there is considerable value-added in making use of an important feature of ETFs—namely, that they can be bought and sold like stocks. Thus, they are ideally suited for dynamic risk management in portfolio construction. The EDHEC study shows that such dynamic risk budgeting has substantial benefits.
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  • 11/06/08:
    Mr. Theo Jeurissen appointed new Chairman of the EDHEC Risk and Asset Management Research Centre's International Advisory Board
    We are very pleased to announce the appointment of Mr. Theo Jeurissen as Chairman of the International Advisory Board of the EDHEC Risk and Asset Management Research Centre. In line with best practices of corporate governance, the EDHEC Risk and Asset Management Research Centre’s international advisory board brings together distinguished scholars, representatives of regulatory bodies and senior executives from business partners and other leading institutions to validate the relevance and goals of the research programme proposals presented by the centre’s management and to evaluate research outcomes with respect to their potential impact on industry practices.
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  • 03/06/08:
    EDHEC and EuroPerformance publish the Alpha League Table 2008 for Italy and Spain
    EDHEC and EuroPerformance have released their 2008 rankings of the top Italian and Spanish asset management companies: the Alpha League Table. The Alpha League Table is a ranking system based on a measure of alpha intensity, a performance measure that has been adjusted for the risks actually taken, for all active equity management in the selected asset management companies. This third edition of the rankings of Spanish and Italian asset management firms shows a fall in the alpha generated by the firms in the rankings. Average alpha for Spain fell from 2.38% to 2.08% and for Italy from 1.53% to 1.14%. These figures compare unfavourably with the average alpha for asset management companies in Europe overall of 2.48%.
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  • 27/05/08:
    IPE-EDHEC Institutional Asset Management Awards ceremony organised on June 12 at the EDHEC Institutional Days
    The first IPE-EDHEC Institutional Asset Management Awards (IAMAs) will distinguish the best institutional asset management offerings in terms of active portfolio management, strategic asset allocation, and risk management. The awards will be presented at a gala reception on June 12 in Paris on the occasion of the EDHEC Institutional Days. Leading European investment publication Investment & Pensions Europe has joined with EDHEC, ranked among the best European business schools for several years, to introduce the IPE-EDHEC Institutional Asset Management Awards this year. The IAMAs quantitatively evaluate the quality of the institutional asset management offerings in Europe taking into account not only the performance of active portfolio management (alpha), but also the relevance of the long-term allocation choices (beta) and the quality of risk management.
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  • 21/05/08:
    High level speakers at the EDHEC Institutional Days
    The EDHEC Institutional Days at the CNIT conference centre in Paris-La Défense on June 12 and 13 next will present the applied research conducted by the EDHEC Risk and Asset Management Research Centre and discuss its results with the institutional investor and fund manager communities. Several renowned institutional investors from leading European and international organisations will be taking part in the conference.
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  • 14/05/08:
    First edition of the EDHEC-Wall Street Journal Europe Institutional Investor Forum at the EDHEC Institutional Days in Paris
    EDHEC and Wall Street Journal Europe are jointly organising the first Institutional Investor Forum at the EDHEC Institutional Days in Paris on June 12 and 13 next. The theme of this inaugural edition is reconciling short-term prudential requirements with long-term economic performance. The EDHEC-Wall Street Journal Europe Institutional Investor Forum will bring together the foremost figures in the financial services industry to discuss the impact of prudential regulations on investors’ ability to meet their long-term investment objectives. Foremost representatives of European pension schemes, insurance companies, and regulatory authorities will debate the key issues affecting the pensions and investment industry.
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  • 09/05/08:
    EDHEC to present the results of an exclusive survey of European institutional investors at the EDHEC Institutional Days in Paris
    The first EDHEC Pension Fund Conference organised in the framework of the EDHEC Institutional Days in Paris on June 12 and 13 next will feature the presentation of the results of an exclusive survey on European institutional management. Felix Goltz, Senior Research Engineer at the EDHEC Risk and Asset Management Research Centre will be analysing the results of a survey of 230 European asset managers and institutional investors that measures the gap between state-of-the-art investment management techniques and current industry practices. During his presentation, Dr Goltz will be looking at investment management organisation and portfolio construction, European investors’ perspectives towards risk budgeting, performance measurement and manager evaluation practices of institutional investors and, last but not least, risk reporting or how to compare practices with investors’ expressed needs.
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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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