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ALM - March 20, 2009

Presentation of the first-year research results from the EDHEC/ORTEC Finance ”Private ALM” research chair

      

Recent EDHEC research illustrates that some of the most sophisticated ALM techniques used in institutional money management can usefully be implemented in private wealth management.

It is not the performance of a particular fund nor that of a given asset class that will be the determining factor in the ability of private wealth management to meet investors' future expectations.

What will prove to be decisive is the private wealth manager's ability to design an asset allocation solution that is a function of the kinds of particular risks to which the investor is exposed, as opposed to the market as a whole.

The success or failure of the satisfaction of the client’s long-term objectives is fundamentally dependent on an ALM exercise that aims to determine the proper strategic inter-classes allocation as a function of the client's specific objectives and constraints. Asset management should only come next as a response to the implementation constraints of the ALM decisions. On the one hand, it is meant to deliver/enhance the risk and return parameters supporting the ALM analysis for each asset class. On the other hand, it can also allow for the management of short-term constraints, such as capital preservation at a given confidence level, which are not necessarily taken into account by an ALM optimisation exercise, which by nature focuses on long-term objectives.

The research results from the first of the three-year EDHEC/ORTEC Finance "Private ALM" research chair will be presented in Switzerland in June. The presentation, entitled ALM - the Future of Private Wealth Management will be taking place in Geneva on 17 June, 2009 at the President Wilson Hotel, and on 18 June at the Savoy Baur en Ville Hotel in Zurich, from 17:00 to 19:30.

Sinikka Demaré, Managing Director for Switzerland, Member of the Advisory Board, ORTEC Finance, and Lionel Martellini, PhD, Professor of Finance, EDHEC Business School, and Scientific Director of the EDHEC Risk and Asset Management Research Centre will be introducing the research chair and discussing the future of private wealth management. Topics to be covered will include:

  • Adapting the portfolio management process to an investor’s objectives
  • Transposing portfolio optimisation techniques used by institutional investors to the context of private wealth management
  • Illustration of the usefulness of ALM techniques within a household finance context
To receive an invitation to either of the presentations, please contact severine.anjubault@edhec-risk.com.