EDHEC-Risk - EDHEC in the Press

EDHEC in the Press

The EDHEC Risk and Asset Management Research Centre has been cited in more than 2,000 articles in the industry press, a selection of which can be found below.

July 2009

Hedge Funds Review (July 2009)
Mixed fortunes predicted for alternative asset class ETFs
Article by Felix Goltz, PhD, applied research manager, EDHEC Risk and Asset Management Research Centre
"(...) Comparing the results of this year’s survey and those of the EDHEC surveys taken in 2006 and 2008 sheds additional light on the current use of ETFs and makes it possible to draw conclusions about future developments. (...)"
Copyright Hedge Funds Review [www.hedgefundsreview.com]
L'Agefi Hebdo (02/07/2009)
Sous contrainte, la vente à découvert perdure
"(...) Alors que la vente à découvert est dans le collimateur de bien des régulateurs, l’EDHEC, comme d’autres observateurs du marché, jugeait au travers d’une étude publiée en avril dernier les mesures d’interdiction totalement inefficaces. « Les cours des actions se sont encore davantage éloignés de leur valeur fondamentale », relève Abraham Lioui, chercheur à l’EDHEC Risk et auteur d’un position paper sur les conséquences négatives de l’interdiction de la vente à découvert. (...)"
Copyright L'Agefi Hebdo [www.agefi.fr]

June 2009

Financial Times (28/06/2009)
Go back to basics and put efficiency first
Article by Felix Goltz, head of applied research, and Lionel Martellini, scientific director, at the EDHEC Risk and Asset Management Research Centre
"(...) Our ongoing research suggests that a simple intuition allows expected returns to be estimated. The intuition is that stocks that bear a high risk of loss for investors should also reward them with high expected returns. Our proxy for excess expected return is a risk measure that is based on a stock’s volatility as well as its extreme risks. Using this robust relationship to find efficient portfolio weights leads to promising results. In fact, we have found that equity indices constructed using this approach have considerably higher Sharpe ratios than their cap-weighted counterparts. (...)"
Copyright Financial Times [Full text]
Business Intelligence Middle East (26/06/2009)
EDHEC-Risk and Newedge set up research chair on advanced modelling for alternative investments
"(...) The unit of the French business school EDHEC-Risk and the Prime Brokerage Group at Newedge have announced the creation of a new research chair entitled "Advanced Modelling for Alternative Investments" through which EDHEC researchers will develop advanced modelling techniques that can be used for alternative investment returns. (...)"
Copyright Business Intelligence Middle East [Full text]
La Tribune (22/06/2009)
Les fonds de pension séduits par la gestion dynamique
"(...) « Avec la crise, on est passé d'une gestion plus ou moins statique à une approche dynamique de la gestion du budget de risque ALM [assets-liabilities management, Ndlr] », indique Noël Amenc, directeur de l'EDHEC Risk & Asset Management Research Centre. (...)"
Copyright La Tribune [www.latribune.fr - French]
Financial Times (21/06/2009)
Noël Amenc: Academic criticises populist solutions
"(...) Noël Amenc is French, and proud of it no doubt. But the professor of finance at EDHEC Business School is not proud of compatriots who are hounding hedge funds and private equity firms. He is adamant that these financial market players were in no way to blame for the financial crisis and that regulatory initiatives aiming to tie them down are wrong-headed". (...)"
Copyright Financial Times [Full text]
Hedgeweek (19/06/2009)
Short-term constraints less costly than lack of risk management strategies
"(…) The results of a new study by Lionel Martellini, scientific director, and Vincent Milhau, research engineer with the EDHEC Risk and Asset Management Research Centre, says that dynamic risk-management strategies can turn irreversible contributions into reversible contributions and short-term constraints into long-term constraints, hence the severe opportunity cost for pension funds that do not follow them. (…)"
Copyright HedgeWeek [Full text]
IPE (18/06/2009)
Hedge funds "victims of crisis, not culprits", says Lhabitant
"(…) Hedge funds were the victims of the financial crisis and not the perpetrators, and they remain an appropriate tool for institutional investors, argued François-Serge Lhabitant at the 12th Uhlenbruch Annual Portfolio Management Conference in Frankfurt. The CIO of family office group Kedge Capital and professor of finance at EDHEC Business School pointed out that hedge funds outperformed equities in 2008, and over three, five, 10 and 20 years. Over 20 years they have given twice the return with half the volatility of equities, and their maximum drawdown of 25% is half that of equities. (…)"
Copyright IPE [Full text]
Hedge Funds Review (June 2009)
Questionable usefulness of restricting short sales
Article by Abraham Lioui, Professor of Finance, EDHEC Business School
"(...) The immediate conclusion to be drawn is that the market reacted more strongly to the ban than did the stocks that were the object of the ban. This reaction is perhaps indicative of the market’s lack of confidence in the capacity of the regulatory authorities to guarantee fair markets and thus protect investors from those with the capacity to manipulate. (...)"
Copyright Hedge Funds Review [Full text - Registration required]
The Hedgefund Journal (June 2009)
Impact of Regulations on the ALM of European Pension Funds
"(...) This study analyses the impact of prudential and accounting constraints on the asset-liability management (ALM) of European pension funds in the Netherlands, the United Kingdom, Germany and Switzerland. In a context in which accounting standards and prudential regulations are tightening, requiring greater attention to the volatility of the surplus and less tolerance of underfunding, EDHEC’s report calls for an improvement in ALM strategies and the use of state-of-the-art models—such as dynamic liability-driven investing—for the design of these strategies. (...)"
Copyright The Hedgefund Journal [Full text]
Le Temps (17/06/2009)
Le déclin de la France
"(...) L’apogée de la puissance française prend fin avec la Guerre de Sept ans (1756-1763), laquelle permet à l’Angleterre de conquérir le premier empire colonial. Ce rappel place le déclin relatif de la France dans la longue durée. Un déclin qu’il convient d’intégrer dans toutes ses dimensions et toutes les nuances, à l’image du livre de Maffei et Amenc, professeurs à l’EDHEC. 408 pages à lire absolument. (...)"
Copyright Le Temps [Full text]
Le Temps (08/06/2009)
« Les ETF sont devenus la solution d’investissement indiciel préférée »
"(...) Les fonds indiciels cotés (ETF) séduisent les investisseurs grâce à leurs coûts et leur transparence. Toutefois, les actifs alternatifs ne réussissent guère à ces instruments. Selon l’étude European ETF Survey 2009, publiée récemment par l’EDHEC, les ETF adossés à des indices de hedge funds et immobiliers rencontrent un mécontentement croissant. (...)"
Copyright Le Temps [Full text]
Australian Financial Review (04/06/2009)
General News
"(...) A survey by the Risk and Asset Management Research Centre at France's prestigious EDHEC business school has concluded that exchange-traded funds (ETFs) remain popular for investors. The proportion of respondents using ETFs is up form 45 percent to 95 percent. (...)"
Copyright Australian Financial Review [www.afr.com]
IPE (03/06/2009)
Regulation and ALM
"(…) In a recent study, EDHEC has analysed the impact of prudential and accounting constraints on the asset-liability management (ALM) of European pension funds in the Netherlands, the UK, Germany, and Switzerland ... Samuel Sender argues that IAS19 should tolerate funding volatility for DB obligations and that pension funds should improve internal risk models. (…)"
Copyright IPE [Full text]
Index Universe (03/06/2009)
Change In The Air: Overseas Investors Taking To ETFs
"(...) The proportion of European investors using equity ETFs has more than doubled since 2006, according to the recently released EDHEC European ETF Survey 2009. The EDHEC research team surveyed 360 professional users of exchange-traded funds from across the region, and showed that the breadth and depth of their ETF use has increased dramatically over the last three years. (...)"
Copyright Index Universe [Full text]
L'Agefi (03/06/2009)
Les ventes à découvert restent dans le viseur des autorités
"(...) La question reste objet de polémique. Les interdictions mises en place l’an dernier n’ont pas empêché la dégringolade de certaines valeurs financières jusqu’en mars 2009. Dans une étude publiée en avril, l’EDHEC jugeait que ces mesures s’étaient révélées au mieux inefficaces, au pire contre-productives pour les marchés boursiers. (...)"
Copyright L'Agefi [Full text - French]
FT Adviser (01/06/2009)
Investors fail to utilise advanced ETF features
"(...) Investors are failing to make the most of ETFs' advanced features in spite of the soaring popularity of the vehicle, according to the EDHEC Risk and Asset Management Research Centre. EDHEC surveyed more than 360 high-net-worth and institutional investors and found that the use of ETFs for all asset classes continued apace. (...)"
Copyright FT Investment Adviser [Full text]
IPE (01/06/2009)
Pension funds eye emerging markets ETFs
"(…) Nearly half of Europe's most powerful investors want more emerging market equity ETFs in the marketplace, suggests a survey from EDHEC Risk and Asset Management Research Centre. The survey, covering 360 pension fund and other institutional investors, as well as private wealth managers, found emerging market equity ETFs were the product which respondents most wanted to see developed, backed by 47% of interviewees. (…)"
Copyright IPE [Full text]
Property Finance Europe (June 2009)
French Commercial Property up 1.4% in April - EDHEC IEIF
"(...) The EDHEC IEIF Commercial France Property index, which measures property mainly held in non-listed funds, gained 1.38% in April, continuing a firmer trend observed since February. The rise was mainly due to new subscriptions from institutional investors ... "The return of institutions into commercial property might indicate a demand for long-term assets in what appears to be a long-term crisis," EDHEC IEIF said in a statement. (...)"
Copyright Property Finance Europe [www.pfeurope.eu]

May 2009

Financial Times (31/05/2009)
Sector offers chink of light as investors shun the rest
"(...) Attention has turned to the potential of outperforming through tactical asset allocation, an approach long endorsed by academics. A survey of ETF usage in Europe by EDHEC Risk and Asset Management Research Centre finds European investors "rely heavily on ETFs for asset allocation". (...)"
Copyright Financial Times [Full text]
Financial Times (31/05/2009)
Investment banks lead the way in Europe
"(...) However, such reassurance may not be enough to convince investors. A recent survey by EDHEC Risk and Asset Management Research Centre shows a strong preference among European investors for ETFs that buy underlying securities over swap-based ETFs. (...)"
Copyright Financial Times [Full text]
La Tribune (30/05/2009)
La percée des ETF se confirme
"(...) Alors que l'engouement des investisseurs et des émetteurs pour le marché des ETF ne se dément pas, le centre de recherche de l'EDHEC livre la troisième édition de son étude sur ces produits. (...)"
Copyright La Tribune [www.latribune.fr - French]
Hedge Funds Review (28/05/2009)
ETF usage tipped to increase
"(...) Exchange traded funds (ETFs) for all asset classes have gained popularity over the past three years according to a survey by EDHEC Risk and Asset Management Research Centre. ETF use in the equity universe increased from 45% to 95% over the period. ETFs in government bond investments saw the biggest increase with a doubling to 80% of respondents reported as using them compared with 2008. (...)"
Copyright Hedge Funds Review [www.hedgefundsreview.com]
Les Echos (27/05/2009)
Les investisseurs trouvent leur compte avec les « trackers »
"(...) Les investisseurs sont globalement satisfaits des ETF (Exchange Traded Funds). C'est ce qui ressort d'une étude menée par l'EDHEC Risk & Asset Management Research Centre soutenue par Casam, la filiale du Crédit Agricole, et présentée hier aux jours institutionnels de l'EDHEC à Paris. Le document montre que ces fonds indiciels cotés ont conquis les foules d'investisseurs, tant de la gestion privée que du monde institutionnel. (...)"
Copyright Les Echos [Full text - French - Registration required]
Pensions & Investments (26/05/2009)
Survey: More emerging markets, alternative ETFs wanted
"(...) ETFs with exposure to emerging markets, alternative asset classes and high-yield bonds are in high demand among European money managers and institutional investors, according to an EDHEC survey presented today in Paris. The survey found 68% of European investors use ETFs, which are the preferred indexing tool, but that they are mainly used with broad-market indexes. (...)"
Copyright Pensions & Investments [Full text]
Les Echos (25/05/2009)
Avec la crise, les écarts entre gérants se réduisent
"(...) Les gestionnaires français investis en actions ont dégagé nettement moins de valeur en 2008, l'année de toutes les ruptures, selon l'Alpha League Table 2009, établi par « Europerformance-groupe Fininfo » et l'EDHEC. Remporté par Carmignac Gestion, le classement est plus resserré que l'année précédente. Les sociétés de gestion des assureurs ont mieux résisté que les autres. (...)"
Copyright Les Echos [Full text - French - Registration required]
Financial Times (24/05/2009)
Investors vexed by alternative ETFs, says survey
"(...) Investors are becoming increasingly dissatisfied with exchange traded funds investing in alternative asset classes amid a backdrop of declining liquidity. Fewer than 30 per cent of investors in hedge fund and real estate ETFs express satisfaction with these products, down from 60 per cent a year ago, according to a survey conducted by EDHEC, the French business school. (...)"
Copyright Financial Times [Full text]
FT Mandate (May 2009)
Strategies: Sovereign Wealth Funds - SWFs will benefit from a sophisticated touch
"(…) Lionel Martinelli is a professor of finance at EDHEC Business School in France. He has been studying the asset allocation decisions of SWFs for the past few years and has concluded that the main aim for these funds is to hedge away the risk of their fund source. This is relatively simple he says, in the case of countries whose revenues source is oil, because they can "use derivatives". But for countries like Singapore whose SWF is a result of fiscal surpluses, he admits that the ability of the fund to hedge is much more difficult. His team, he says, is working on econometric models for that purpose, but he won't elaborate further. (…)"
Copyright FT Mandate [www.ftmandate.com]
FT Mandate (May 2009)
Comment: The Consulting Room - The upside to downside
By Lionel Martellini, professor of finance at EDHEC Business School and scientific director of EDHEC Risk and Asset Management Research Centre
"(…) While early forms of risk-controlled strategies advocate a simple decrease of exposure to risky assets on the way down, the new generations of dynamic risk management strategies are much more flexible, and allow in particular to account for investors' time horizon, goals, liability constraints, as well as their forward-looking views, if any are available, within the respect of well-defined risk budgets. (…)"
Copyright FT Mandate [www.ftmandate.com]
IPE (May 2009)
Boost your hedge
"(…) Supplementing index-linked bonds with alternative investments in the liability-matching portfolio can take some pressure off of the return-seeking portfolio – thereby improving risk management, argues Lionel Martellini. (…)"
Copyright IPE [Full text]
Hedge Funds Review (May 2009)
Performance analysis gives strategy perspective
Article by Véronique Le Sourd, senior research engineer, EDHEC Risk and Asset Management Research Centre
"(...) In a recent report (V Le Sourd, February 2009, Hedge Fund Performance in 2008, EDHEC Publication) an analysis of 12 years of data on EDHEC Alternative Indices for different hedge fund strategies provided some perspective on their performance. Funds of hedge funds lost 17% in 2008, posting their worst annual returns since we began keeping records in 1997, and hedge fund investments lost value across the board. Except for CTAs and short sellers, all strategies posted their worst losses in 2008. Even after the impact of a calamitous year, half the strategies still post-cumulative returns above 100% for the past 10 years, that is, a compound annual return above 7%. (...)"
Copyright Hedge Funds Review [Full text - Registration required]
L'Agefi Hebdo (20/05/2009)
Dossier Spécial : EDHEC Institutional Days - La recherche parie sur l'ALM dynamique
"(...) Les très strictes normes comptables et prudentielles pèsent sur la gestion long terme des institutionnels. (...)"
« La recherche parie sur l'ALM dynamique »
« On ne peut pas faire confiance à la diversification pour la gestion actif-passif »
« Les fonds à horizon de sortie doivent s'assouplir »
« Indices actions, un monde encore imparfait »
« Vers une utilisation plus pointue des ETF par les investisseurs »
« Les indices obligataires privilégient les sociétés les plus endettées »
« La gestion "core-satellite" dynamique fait ses preuves »
« Une gestion actif-passif pour les fonds souverains »
Copyright L'Agefi Hebdo [www.agefi.fr]
Fund Strategy (18/05/2009)
Winds of change
"(…) Dr Arjuna Sittampalam, research associate with the EDHEC Risk and Asset Management Research Centre, argued in a March article in the organisation's Investment Management Review that, for firms in general, margins were unlikely to bounce back. "A big cloud is hanging over the entire asset management industry, with the prospect of sharply reduced margins. As interest rates fall close to zero, in an overall low return environment, management fees of 1% plus will encounter stiff customer resistance." (…)"
Copyright Fund Strategy [Full text]
La Tribune (18/05/2009)
Les 25 premiers fonds de hedge funds français
"(...) « LaTribune », en partenariat avec l'EDHEC, présente un classement de produits et revient sur différents aspects qui ont agité l'industrie de la gestion alternative ces derniers mois. (...)"
Copyright La Tribune [www.latribune.fr - French]
La Tribune (18/05/2009)
Un palmarès marqué cette année par un environnement fortement dégradé
"(...) C'est dans ce sombre contexte que « La Tribune », en partenariat avec l'EDHEC, publie son quatrième palmarès sur les fonds de hedge funds de droit français. A la différence des éditions précédentes, la période analysée porte sur trois années civiles pleines (de janvier 2006 à décembre 2008). Cela permet de prendre en considération tous les événements financiers intervenus l'an passé, notamment depuis la faillite en septembre de Lehman Brothers. Cette année, 25 fonds de fonds ont été notés selon une méthodologie établie par l'EDHEC. (...)"
Copyright La Tribune [www.latribune.fr - French]
La Tribune (18/05/2009)
Le dépositaire peut limiter contractuellement sa résponsabilité
Interview de Noël Amenc, directeur de l'EDHEC Risk & Asset Management Research Centre
"(...) Les propositions de la Commission Européenne sur les hedge funds sont inappropriées...Les propositions de la Commission paraissent un peu en décalage avec les préoccupations tant des investisseurs que des décideurs politiques. En fait, il s'agit plus, dans cette directive, d'organiser un régime de placement privé communautaire que de permettre un développement harmonisé de la gestion alternative à l'échelle européenne. (...)"
Copyright La Tribune [www.latribune.fr - French]
La Tribune (18/05/2009)
Interdire les ventes à découvert est inefficace et déstabilisant
Article par Felix Goltz, directeur des études à l'EDHEC Risk & Asset Management Research Centre
"(...) L'EDHEC a aussi tenté de répondre à cette question en s'intéressant au comportement des indices de marché actions et aux titres européens dont les cours ont chuté pendant la période de l'interdiction. Pour Abraham Lioui, professeur de finance à l'EDHEC, cela a entraîné une augmentation de la volatilité des indices de marché actions. Fait intéressant, l'auteur conclut que l'impact de la crise financière elle-même fut moindre que celui de l'interdiction imposée par les régulateurs. (...)"
Copyright La Tribune [www.latribune.fr - French]
La Tribune (18/05/2009)
La crise n'a pas épargné la gestion alternative
Article par Philippe Malaise, professeur de finance, EDHEC Business School
"(...) La détérioration de l'environnement a pesé sur les performances. Seul le « short selling » et le « CTA » sortent leur épingle du jeu. Revue de détail. (...)"
Copyright La Tribune [www.latribune.fr - French]
The Hedgefund Journal (07/05/2009)
EDHEC creates a new research chair
"(...) The EDHEC Risk and Asset Management Research Centre and UFG have announced the creation of a new research chair entitled "Dynamic Allocation Models and New Forms of Target-Date Funds for Private and Institutional Clients." The chair will be overseen by a joint UFG/EDHEC steering committee. Researchers at the EDHEC Risk and Asset Management Research Centre, under the leadership of Lionel Martellini, the scientific director of the Centre, will examine the limitations of target-date funds of gradually more conservative profiles and the advantages of an asset-liability management approach sensitive to the period and to the economic cycle for target-date funds, in particular for pensions. (...)"
Copyright The Hedgefund Journal [Full text]

April 2009

FT Mandate (April 2009)
ETFs thriving despite the global downturn
"(…) The future looks bright for ETFs. A survey published last June by EDHEC, the French business school, found that 69 per cent of institutional investors in Europe planned to increase their use of ETFs. Thirty-six per cent of respondents said they intended to use more futures contracts, while only 18 per cent indicated that they would make more use of total return swaps. Only 23 per cent of respondents said they planned to use more index funds, while 19 per cent said they planned to make less use of passive portfolios. (…)"
Copyright FT Mandate [Full text]
Hedge Funds Review (April 2009)
Hedge fund reporting challenged
Article by David Schröder, PhD, business analyst, EDHEC Risk and Asset Management Research Centre
"(...) Hedge fund reporting can be a source of tension between investors and hedge fund management. The objective of a recent EDHEC survey (EDHEC Hedge Fund Reporting Survey by F Goltz and D Schröder (2008), EDHEC Publication), which was carried out with the support of Newedge, was to shed light on current industry practices in order to establish an industry benchmark for hedge fund reporting in Europe. (...)"
Copyright Hedge Funds Review [Full text - Registration required]
Agefi Luxembourg (April 2009)
Hedge Fund reporting: Where do we go from here?
"(...) Thus a recent document by Goltz and Schroeder (2008) studies the industry practice in terms of Hedge Fund reporting... Some first results are quite interesting. First of all, reporting quality is perceived as a signal of the fund's quality. Two thirds of practitioners think that the main objective of reporting is to assess the risk/return profile of the Fund. Asset allocation and performance are also perceived as important. Reports, however, are not judged important as a way to advertise. (...)"
Copyright Agefi Luxembourg [www.agefi.lu]
Hedge Funds Review (30/04/2009)
Pension system need more flexibility says report
"(...) Europe's retirement system would be more stable if regulators were willing to tolerate short-term risk, concludes a study by EDHEC Risk and Asset Management Research Centre. The report analyses the impact of prudential and accounting constraints on the asset-liability management (ALM) of European pension funds in the Netherlands, the UK, Germany and Switzerland. (...)"
Copyright Hedge Funds Review [Full text]
The Hedgefund Journal (29/04/2009)
EDHEC releases European Pension Fund report
"(...) A new study produced by the EDHEC Risk and Asset Management Research Centre, entitled "Impact of Regulations on the ALM of European Pension Funds," analyses the impact of prudential and accounting constraints on the asset-liability management (ALM) of European pension funds in the Netherlands, the UK, Germany, and Switzerland. (...)"
Copyright The Hedgefund Journal [Full text]
Investment News (27/04/2009)
Shorting ban falls short
"(...) Banning short sales not only doesn't calm markets, it makes them choppier, a new study has found. According to Abraham Lioui, a finance professor at EDHEC Business School in Lille, France, market volatility rose sharply as a result of short-selling bans in several countries last year, including the United States. (...)"
Copyright Investment News [Full text]
Investment Week (27/04/2009)
Commercial property is "novel" liability solution
"(...) He points to a recent report from the EDHEC Business School which claims novel liability matching solutions, including commercial property and commodities, could deliver the same degree of inflation-hedging for long-term investors but at much lower costs. (...)"
Copyright Investment Week [Full text]
La Tribune (27/04/2009)
« Les fonds fermés sont la bonne réponse à la crise de confiance »
Interview de Noël Amenc, Directeur de l'EDHEC Risk and Asset Management Research Centre
"(...) Le professeur de finance propose pour ce type de produits la création d'un marché européen de gré à gré. Il revient aussi sur la responsabilité des gérants. (...)"
Copyright La Tribune [Full text - French]
Financial Times (24/04/2009)
Return of liquidity lifts hedge funds
"(...) From January to March, convertible arbitrage – which involves taking long positions in convertible bonds or warrants, hedged with a short position, usually in the underlying stock – has been the best performing strategy, offering a 9.5 per cent return, according to EDHEC Business School. (...)"
Copyright Financial Times [Full text]
The Globe and Mail (Canada) (24/04/2009)
Study finds short-selling ban added fuel to crisis
"(...) In a paper entitled "The Undesirable Effects of Banning Short Sales," Abraham Lioui, professor of finance at the EDHEC Risk and Asset Management Research Centre in Nice, France, found that the short-selling bans issued in the United States, Canada and most other major industrialized markets actually served to accelerate statistical measures of market volatility and risk. The study, which endeavoured to statistically isolate the effects of the short-selling ban from those of the financial crisis itself, also found that the ban was responsible for more of the market's volatility increase last fall than the crisis that had spurred it. What's more, Mr. Lioui found that while the short-selling bans did heighten volatility among the financial sector stocks that were directly affected by them, the negative impact on the broader market was even more pronounced. (...)"
Copyright The Globe and Mail [Full text - Registration required]
National Business Review (New Zealand) (24/04/2009)
Shortselling ban was colossal disaster
"(...) A French professor of finance has dropped a bombshell on stock exchange regulators who thought they were doing their part in dealing with the global credit crisis... Professor Abraham Lioui from the EDHEC Business School of Lille-Nice has just published a paper revealingly entitled The undesirable effects of banning short sales in which he exposes the intervention as an egregious, if well-intentioned, botch up. (...)"
Copyright National Business Review [www.nbr.co.nz]
FTfm (20/04/2009)
Short-term constraints in a long-run horizon
Article by Lionel Martellini, Professor of Finance at EDHEC Business School and Scientific Director of the EDHEC Risk and Asset Management Research Centre, and Vincent Milhau, Research Engineer at EDHEC
"(...) In a series of research efforts on risk management and asset allocation decisions, supported by BNP Paribas Investment Partners and the Fédération Bancaire Française, we have tried to provide a measure of the cost of regulatory short-termism. Overall, our results suggest that it is not so much the presence of short-term funding ratio constraints per se that is costly for pension funds, rather it is their reluctance to implement risk management strategies that are optimal given such regulatory contraints. (...)"
Copyright Financial Times Fund Management [www.ft.com]
Les Echos (20/04/2009)
Les effets pervers de l'interdiction de vente à découvert
"(...) L'interdiction de la vente à découvert sur les valeurs financières décidée « à chaud » au plus fort de la crise de l'automne a été une décision inefficace et qui a même eu des effets négatifs importants et contraires aux effets recherchés, révèle une étude de l'EDHEC. (...)"
Copyright Les Echos [Full text - French - Registration required]
FT Adviser (20/04/2009)
Analysts debate short selling
"(...) But Abraham Lioui, analyst at EDHEC Risk and Asset Management Research Centre, said the original causes behind short-selling bans were questionable. "Regulatory authorities must, above all, explain to the markets the reasons for the choices they make." Mr Lioui said explanations for changes in monetary policy helped markets adjust to new measures more easily. He urged authorities to consider what impact sudden regulatory changes could have, adding that the short-selling ban has had a bigger impact than the financial crisis. "The mission of the regulatory authorities is to ensure the markets they are supposed to oversee function properly," he added. "The impact of the announcement of such an abrupt rule change is greater than the direct impact it has on the markets." Mr Lioui said he hoped regulators did not intend to go beyond their regulatory remit and influence market movements. "The loss of credibility that would accompany mistakes could have catastrophic consequences." (...)"
Copyright FT Investment Adviser [Full text]
The Guardian (16/04/2009)
Barclays optimism helps push FTSE 100 back above 4000
"(...) ...French business school EDHEC has looked at the impact of the recent bans on short sellers and has concluded.....they were a mistake. The report "calls into question both the reasons for the decision to ban short selling and the prejudices that weigh on those who short." It said there were unintended consequences of the bans in the UK, US and Europe... (...)"
Copyright The Guardian [Full text]
The Hedgefund Journal (16/04/2009)
New paper lists negatives of short selling ban
"(...) An in-depth study of short-selling activities by EDHEC Finance Professor Abraham Lioui, entitled "The Undesirable Effects of Banning Short Sales," calls into question both the reasons for the decision to ban short selling and the prejudices that weigh on those who short. (...)"
Copyright The Hedgefund Journal [Full text]
Funds Europe (April 2009)
The cost of fully funded pensions
"(…) Pension funds that are subject to short-term funding level rules do not adopt optimal risk controlled strategies, finds Lionel Martellini, PhD, of EDHEC.
Copyright Funds Europe [www.funds-europe.com]
La Tribune (11/04/2009)
Une chaire dédiée aux ETF : L'EDHEC et CASAM créent une chaire de recherche sur l'utilisation des ETF dans le cadre d'une approche coeur-satellite
"(...) « Nous avons démontré par le biais des précédentes versions de l'EDHEC ETF Survey comment les investisseurs institutionnels peuvent gérer un portefeuille composé d'ETF de manière active. Ce nouveau soutien de CASAM nous permettra d'étendre nos travaux dans le domaine de la gestion dynamique de portefeuille. », selon Noël Amenc, directeur de l'EDHEC Risk. (...)"
Copyright La Tribune [www.latribune.fr - French]
Le Monde (07/04/2009)
Les fonds spéculatifs au secours du système financier américain
"(...) "Pour sortir l'économie du marasme, la clé est, en premier lieu, de débarrasser les banques de leurs crédits toxiques, à l'origine de leurs pertes abyssales. Or, aux Etats-Unis, au coeur du problème, le plan Geithner, du nom du secrétaire au Trésor, propose de faire racheter quelque 1 000 milliards de dollars (750 milliards d'euros) de ces produits délétères par des investisseurs privés... autrement dit, essentiellement par des hedge funds. "Ce sont des candidats naturels", indique Noël Amenc, professeur de finance à l'EDHEC et spécialiste de l'industrie. "Sans eux, le plan Geithner ne peut pas marcher", assure-t-il. (...)"
Copyright Le Monde [Full text - French]

March 2009

FT Adviser (31/03/2009)
New EDHEC research chair to study ETFs
"(...) The EDHEC Risk and Asset Management Research Centre has teamed up with Crédit Agricole Structured Asset Management in order to create a new research chair to study ETFs and the use of ETFs as part of a core-satellite approach to asset management. The chair, which is named the Core-Satellite and ETF Investment, will feature a number of projects, the first of which will be an in-depth pan-European survey on the use of ETFs by European investors. (...)"
Copyright FT Investment Adviser [Full text]
L'Agefi Suisse (31/03/2009)
Le débat sur la juste valeur suscite une grande controverse
"(...) Une étude menée sur la juste valeur par l'EDHEC démontre qu'une minorité des répondants, à savoir des investisseurs institutionnels et des gérants d'actifs internationaux, juge que les amendements aux normes comptables IAS 39 et IFRS 7 par l'IASB à la mi-octobre 2008 sont de nature à réduire la pro-cyclicité. En fait, l'EDHEC met en garde contre des réformes comptables préparées et mises en ouvre dans la plus grande hâte. L'institut de management français estime que le débat de la juste valeur tel qu'il existe aujourd'hui est mal posé. (...)"
Copyright L'Agefi Suisse [Full text - French - Registration required]
The Hedgefund Journal (30/03/2009)
EDHEC and CASAM partner ETF research chair
"(...) The EDHEC Risk and Asset Management Research Centre and Crédit Agricole Structured Asset Management have announced the creation of new research chair entitled "Core-Satellite and ETF Investment". The chair will involve three years of academic research into ETFs and the use of ETFs as part of a core-satellite approach to asset management. (...)"
Copyright The Hedgefund Journal [Full text]
Financial Times (29/03/2009)
Why CSAs are no silver bullet
Article by Barry Marshall, co-founder of BidRoute and a research associate with the EDHEC Risk and Asset Management Research Centre
"(...) I thus worry that a CSA can easily "impair compliance with the firm's duty to act in the best interests of its clients" to borrow phraseology from the recent FSA paper on Mifid Supervisory Priorities. The Financial Services Authority also has the concern that the wider scope of inducements is not appreciated. There surely is a danger that even if a CSA is not an inducement, it can be a siren call that inhibits best execution. (...)"
Copyright Financial Times [Full text]
IPE (24/03/2009)
Hedge funds bounce back from troubled year
"(…) According to figures released by French business school EDHEC, the hedge fund industry continued to resist the downturn in February as the stock and bond markets remain severely depressed, and this in turn helped hedge funds... Despite the equity market downturn affecting equity-based strategies, EDHEC revealed hedge funds continued to outperform by a considerable margin. (…)"
Copyright IPE [Full text]
The Hedgefund Journal (March 2009)
Inflation-hedging Properties of Various Assets and Portfolios
"(...) An extract from a report by EDHEC Business School: The following is extracted from "Alternative Investments for Institutional Investors: Risk Budgeting Techniques in Asset Management and Asset-Liability Management". (...)"
Copyright The Hedgefund Journal [Full text]
Le Temps (23/03/2009)
Les placements durables boudés par les caisses de pension privées : Le premier souci de la plupart des institutions reste le rendement, alors que l’impact des approches ISR est peu connu
"(...) Les études académiques n’ont mis en évidence ni surperformance ni sous-performance. Un résultat qui demande à être confirmé à l’avenir quand des données seront disponibles sur un historique plus long. En attendant, il ne faudrait pas conclure que la valeur ajoutée durable est gratuite, selon Noël Amenc, professeur de finance à l’école de commerce français EDHEC. (...)"
Copyright Le Temps [Full text]
Les Echos (23/03/2009)
« L'objectif de la réglementation n'est pas de rassurer les clients avec des règles faussement sécuritaires »
Interview : Noël Amenc - Directeur de l'EDHEC Risk and Asset Management Research Centre
"(...) Protéger sans déresponsabiliser les acteurs, telle est l'une des tâches essentielles de la réglementation de la gestion d'actifs, selon Noël Amenc, directeur de l'EDHEC Risk and Asset Management Research Centre. La crise n'impose pas de rajouter mécaniquement de nouvelles contraintes ou règles mais davantage de repenser le cadre et les principes mêmes de la régulation. Trop souvent, celle-ci donne un sentiment injustifié de sécurité qui peut se retourner contre les sociétés de gestion. (...)"
Copyright Les Echos [Full text - French - Registration required]
Financial Times (22/03/2009)
CTA Ucits fund launched
"(...) Trend-following CTAs, otherwise known as managed futures funds, were one of the few bright spots in the hedge fund industry last year, returning 12.8 per cent on average, according to EDHEC, while the average hedge fund lost 20 per cent. (...)"
Copyright Financial Times [Full text]
Irish Times (20/03/2009)
Investment managers lack knowledge, report says
"(...) In a report titled A Long Road Ahead for Portfolio Construction: Practitioners' Views of an EDHEC Survey, the EDHEC Business School in Nice revealed that 95 per cent of industry professionals surveyed agreed that improvements must be made to portfolio construction practices. An EDHEC European Investment Practices survey carried out last year found that investment managers fail to fully exploit cutting-edge portfolio optimisation techniques, such as the management of extreme risks. (...)"
Copyright Irish Times [Full text]
Les Echos (12/03/2009)
Le marché français en quête de repères
"(...) L'indice EDHEC-IEIF immobilier d'entreprise France qui suit leur évolution a, après 10 ans de hausse ininterrompue (+ 80 % entre 1997 et 2007), baissé de 9,22 % sur l'année 2008 - avec une accéleration au dernier trimestre - et encore de 1,38 % en janvier 2009. (...)"
Copyright Les Echos [Full text - French]
Hedgeweek (11/03/2009)
Investment managers "lack sufficient knowledge to manage risk optimally"
"(…) Current practice in the investment industry fails to draw on widely-published and freely-available techniques in portfolio management techniques, according to the Risk and Asset Management Research Centre at French business school EDHEC. (…)"
Copyright HedgeWeek [Full text]
Les Echos (11/03/2009)
Une chaire dédiée aux fonds souverains à l'EDHEC
"(...) Norvège, Chine, Dubaï... Les fonds souverains ont beaucoup fait parler d'eux ces derniers mois, en France et à l'étranger. Ils ont désormais leur chaire : le centre de recherche en finance de l'EDHEC (« EDHEC Risk and Asset Management Research Centre »), fidèle à sa stratégie visant à « coller » aux problématiques d'actualité et aux besoins des acteurs de la finance, vient d'annoncer la création d'une telle structure, en partenariat avec la Deutsche Bank. (...)"
Copyright Les Echos [Full text - French]
Pensions & Investments (09/03/2009)
EDHEC: No alpha from SRI funds for Europeans
"(...) None of the socially responsible investment equity funds available to European investors produced alpha or outperformance, according to an EDHEC Risk and Asset Management Research Centre study released today. Most of the 62 funds studied generated negative but not statistically significant alpha, the study found. (...)"
Copyright Pensions & Investments [www.pionline.com]
National Post (Canada) (09/03/2009)
Poll finds investment pros lack knowledge to properly manage portfolio risk
"(...) ...a business school study of European investment practices has found that many investment professionals failed to use freely available techniques to manage risk in client portfolios... The EDHEC Business School has issued a call for reaction asking industry practitioners why portfolios did not anticipate the extreme risk scenario that has unfolded since the fall of 2008. (...)"
Copyright National Post [Full text]
Global Custodian (04/03/2009)
EDHEC And Deutsche Bank Seek Optimal Management Practices For SWFs
"(...) The EDHEC Risk and Asset Management Research Centre has created a research chair in “ALM and Sovereign Wealth Fund Management”, in partnership with Deutsche Bank, under the scientific responsibility of Professor Lionel Martellini, Scientific Director of the EDHEC Risk and Asset Management Research Centre. (...)"
Copyright Global Custodian [Full text - Registration required]
Financial News (03/03/2009)
Deutsche Bank turns further towards SWFs
"(...) The German bank has created a partnership with EDHEC Business School to set up a research chair, a newly created position that would study sovereign wealth funds' liabilities and risk profiles to learn how to create products better suited to their needs. (...)"
Copyright Financial News [Full text - Registration required]
FT Investment Adviser (02/03/2009)
Structured products: a modern alternative
"(...) Research undertaken into the use of structured products by the EDHEC research centre in France suggests efficient portfolio management techniques should lead to holdings of up to 80 per cent structured products in bond and equity portfolios. (...)"
Copyright FT Investment Adviser [Full text]
FTfm (02/03/2009)
More ways than one to hedge those risks
"(...) A recent paper from the EDHEC Risk and Asset Management Research Centre examines the case and concludes that some alternative asset classes have attractive inflation-hedging properties, particularly commodities and real estate. (...)"
Copyright Financial Times Fund Management [Full text]
The Hedgefund Journal (02/03/2009)
ALM and Sovereign Wealth research chair created
"(...) The EDHEC Risk and Asset Management Research Centre has created a research chair in "ALM and Sovereign Wealth Fund Management", in partnership with Deutsche Bank, under the scientific responsibility of Professor Lionel Martellini, Scientific Director of the EDHEC Risk and Asset Management Research Centre. (...)"
Copyright The Hedgefund Journal [Full text]
Funds Europe (March 2009)
How do fundamentally weighted indices shape up?
Article by Felix Goltz, PhD, senior research engineer with the EDHEC Risk and Asset Management Research Centre
"(…) A common claim of providers of characteristics-based indices is that their weighting mechanism allows the construction of index portfolios that outperform their market cap-weighted counterparts. (…)"
Copyright Funds Europe [www.funds-europe.com]

February 2009

FT Mandate (February 2009)
In brief
"(…) EDHEC has detailed the most serious operational and investment red flags in the Madoff affair in the recent report Madoff: A Riot of Red Flags. According to the French business school’s research, a lack of segregation among service providers, obscure auditors, unusual fee structure, heavy family influence and a lack of disclosure were the most blatant operational warning signs. (…)"
Copyright FT Mandate [Full text]
Financial News (27/02/2009)
Academic criticises hedge fund trade bodies
"(...) Jean-René Giraud, director of development of the risk and asset management research centre at French business school EDHEC, said trade bodies for hedge funds were too constrained by their own members to provide codes of conduct strict enough for self regulation to work. He made his comments at the European Commission Conference on Private Equity and Hedge Funds in Brussels, which is discussing, among other topics, the role of regulation of hedge funds and private equity. (...)"
Copyright Financial News [Full text - Registration required]
The Hedgefund Journal (24/02/2009)
EDHEC launches new award
"(...) The EDHEC Risk and Asset Management Research Centre, Robeco and the Journal of Portfolio Management have come together to launch an annual award for the paper published in the Journal of Portfolio Management in the previous year that is deemed to be of most relevance and usefulness for European institutional investors. The principle behind the selection will be to choose the paper that best reflects the spirit of the EDHEC Risk and Asset Management Research Centre, namely academic excellence and industry relevance, notably for institutional investors. (...)"
Copyright The Hedgefund Journal [Full text]
Les Echos (23/02/2009)
Des formes alternatives de protection
"(...) « Il est possible de construire des versions améliorées et "boostées" des portefeuilles de couverture contre l'inflation, notent les chercheurs de l'EDHEC, incluant non seulement des obligations indexées sur l'inflation mais aussi des actions, de l'immobilier, des matières premières de manière à assurer une protection satisfaisante et à moindre coût contre la hausse des prix qu'une solution qui ne comporterait que des obligations indexées sur l'inflation ou les swaps d'inflation. ». (...)"
Copyright Les Echos [Full text - French - Registration required]
Investment Week (19/02/2009)
Funds of hedge funds post worst loss since 1997
"(...) Funds of hedge funds lost 17% in 2008, the first year this strategy has posted a negative annual return since 1997, according to European business school EDHEC. Veronique Le Sourd, a senior research engineer at the EDHEC Risk and Asset Management Research Centre and author of the report, says 2008 losses caused short-term performance in the funds of hedge funds sector to fall into negative territory at -0.41%. (...)"
Copyright Investment Week [Full text]
IPE (17/02/2009)
2008 was a bad year for pressured hedge funds
"(…) Almost all hedge fund strategies posted their worst losses in 2008, according to a report by French business school EDHEC. EDHEC said only the commodity trading adviser (CTA) funds and the short-selling strategies posted positive returns and came close to their best annual returns since 1997. (…)"
Copyright IPE [Full text]
The Hedgefund Journal (17/02/2009)
Report shows 2008 worst year for HF strategies
"(...) In a new EDHEC publication, entitled “Hedge Fund Performance in 2008”, Véronique Le Sourd, Senior Research Engineer at 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. One of the key conclusions of the report is that, except for CTAs and Short Sellers, all strategies posted their worst losses in 2008. (...)"
Copyright The Hedgefund Journal [Full text]
Global Custodian (17/02/2009)
EDHEC Analyzes Hedge Fund Performance During 2008 In Its New Report
"(...) In a new EDHEC publication, entitled "Hedge Fund Performance in 2008", Véronique Le Sourd, Senior Research Engineer at 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. (...)"
Copyright Global Custodian [Full text - Registration required]
Les Echos (16/02/2009)
Deux professeurs soulignent la cécité des victimes de Madoff
"(...) Dans un article publié par l'EDHEC Risk and Asset Management Research Centre, les deux professeurs de finance ont énuméré les signaux d'alerte (« red flags ») qui, tous, auraient dû ouvrir les yeux aux amis, investisseurs ou clients fortunés qui ont misé sur le formidable rendement que paraissait offrir Bernard Madoff L. Investment Securities (BMIS), la société d'investissement de l'ex-président du Nasdaq. (...)"
Copyright Les Echos [Full text - French - Registration required]
Financial Times (15/02/2009)
Red flags for investors to heed
"(...) "All Madoff investors should in retrospect kick themselves for not asking more questions before investing," write two leading hedge fund academics, François-Serge Lhabitant and Greg Gregoriou, in the report Madoff: A Riot of Red Flags, published last week by EDHEC, the French business school. (...)"
Copyright Financial Times [Full text]
The Wall Street Journal Europe (11/02/2009)
A Tough Market for Vice: In Current Recession, Gambling, Booze, Sex Aren't Doing So Well
"(…) However, a study in December by French business school EDHEC of 62 SRI funds found no evidence that socially responsible funds produce outperformance. The results showed that none of the funds produced positive and significant outperformance of the market over a six-year period. Most of the funds generated negative or insignificant outperformance. (…)"
Copyright The Wall Street Journal Europe [Full text - Registration required]
Hedgeweek (10/02/2009)
EDHEC report highlights Madoff red flags that should have been warning signals
"(…) The list of due diligence red flags in Bernard Madoff's operations was so long and unsettling that it should have deterred potential investors, according to a paper from the EDHEC Risk and Asset Management Research Centre. (…)"
Copyright HedgeWeek [Full text]
The Hedgefund Journal (09/02/2009)
EDHEC position paper sets out Madoff red flags
"(...) In a new position paper from the EDHEC Risk and Asset Management Research Centre, François-Serge Lhabitant and Greg Gregoriou, two of academia’s recognised worldwide authorities on hedge funds, have reviewed some of the red flags that any operational due diligence and quantitative analysis should have identified as a concern. (...)"
Copyright The Hedgefund Journal [Full text]
Financial Times (08/02/2009)
Novel hedging solutions for pensions emerging
Article by Noël Amenc, professor of finance at EDHEC Business School and director of the EDHEC Risk and Asset Management Research Centre
"(...) It is against these backdrops that novel forms of asset-liability management solutions are currently emerging. In particular, recent academic research, including a paper by EDHEC and supported by Morgan Stanley Investment Management, suggests that novel long-term liability-hedging investment solutions can be designed on the basis of the attractive inflation-hedging properties of real assets such as commodities or real estate. (...)"
Copyright Financial Times [Full text]
South Africa Sunday Times (08/02/2009)
Providing peace of mind during these troubled times
"(...) EDHEC Risk and Asset Management Research Centre, an independent risk and asset management research house, has been engaged in investigating asset and liability matching and whether this approach can be appropriately applied in private wealth management. "EDHEC conducted interviews with the major private banks and asset management companies internationally. They all view this approach as the way forward; however, they are all challenged in terms of implementing this strategy," Enslin said. (...)"
Copyright South Africa Sunday Times [www.sundaytimes.co.za ]
Funds Europe (February 2009)
The home guard
"(…) Pension funds use asset-liability management (ALM) to secure payments for retirees. Individual investors could make use of the same techniques, even for planning to buy a house, says EDHEC’s David Schröder. (…)"
Copyright Funds Europe [Full text]
Le Monde (05/02/2009)
Les profits insolents d'une poignée de hedge funds
"(...) "Il faut se méfier de ces fonds qui gagnent de l'argent dans la crise et vérifier qu'ils en gagnaient aussi avant !", prévient toutefois Noël Amenc, professeur de finance à l'EDHEC. "Lorsque le marché se retournera, ces gérants devront être capables d'inverser leur stratégie. Psychologiquement, c'est souvent une décision difficile à prendre." Mais d'autres fonds dits "CTA" (Commodities trading advisers) qui ont aussi bien fonctionné, avec un rendement moyen de 15,65 % selon l'EDHEC risk, n'ont, pour la plupart, pas ce "biais psychologique"." (...)"
Copyright Le Monde [Full text - French]
The Hedgefund Journal (04/02/2009)
Research shows inflation-hedging attributes of assets
"(...) A new research publication from the EDHEC Risk and Asset Management Research Centre finds that novel liability-hedging investment solutions can decrease the cost of inflation insurance and the probability of severe deficits for long-horizon investors versus a solution solely based on Treasury Inflation Protected Securities (TIPS) or inflation swaps. (...)"
Copyright The Hedgefund Journal [Full text]
Le Temps (04/02/2009)
Les investisseurs éthiques moins tatillons sur les frais
"(...) Parmi les dernières tentatives de répondre à la question, une étude publiée l’an dernier par Noël Amenc et Véronique Le Sourd, de l’école de commerce française EDHEC, conclut que les fonds ISR ne dégagent pas de surperformance. C’est la mauvaise nouvelle. La bonne, c’est qu’ils ne souffrent pas non plus d’une sous-performance généralisée ou, du moins, celle-ci n’est pas significative. L’analyse porte sur une centaine de fonds et sur une période de six ans, entre 2002 et 2007. (...)"
Copyright Le Temps [Full text]
Les Echos (02/02/2009)
La nationalisation des banques n'est pas inéluctable
"(...) « Mettre le pouvoir de décision et celui de régulation entre les mêmes mains accroît le risque systémique », observe Noël Amenc, professeur de finance à l'EDHEC. (...) Effrayée par les pertes encore à éponger, la Bourse réclame qu'elles portent leur minimum de fonds propres « durs » (« Tier-1 ») à hauteur de 8 % à 9 % des encours, quand la réglementation le fixe à 4 %. « Cette exigence est contre-productive. Les coussins au-delà du minimum de 4 % sont faits pour gonfler en période de prospérité, et diminuer dans les crises », estime Noël Amenc. Lui suggère d'abaisser à 3 % le ratio réglementaire afin de créer un « choc psychologique » sur les marchés. La mesure aurait évité aux Etats d'injecter 250 milliards de dollars dans les banques depuis octobre dernier. "
Copyright Les Echos [Full text - French]
La Tribune (02/02/2009)
Les investisseurs institutionnels affichent leurs convictions
"(...) Ce n'est pas l'avis des chercheurs de l'EDHEC. Dans une étude publiée en décembre dernier, ils montrent que, quel que soit le type d'ISR pratiqué, la surperformance de ces fonds sur le long terme n'est pas observée. « Quand certains fonds thématiques enregistrent une surperformance, il s'agit d'observations sur une courte période qui ne sont pas significatives », déclare Noël Amenc, professeur de finance et directeur de la recherche à l'EDHEC Business School. (...)"
Copyright La Tribune [www.latribune.fr - French]
Enjeux Les Echos (01/02/2009)
Les banques sont-elle encore crédibles ?
"(...) Ces modifications hérissent plus d'un professionnel, car elles « accroîssent les possibilités de lissage et de gestion discrétionnaire des comptes, ce qui est de nature à occulter la réelle exposition aux risques des entreprises et à amplifier la défiance de la communauté financière », estime ainsi un rapport de l'EDHEC Financial Analysis and Accounting Research Centre. "
Copyright Enjeux Les Echos [www.lesechos.fr - French]
Hedge Funds Review (February 2009)
Hedge fund replication products
Article by David Schröder, business analyst, EDHEC Risk and Asset Management Research Centre
"(...) For an idea of what asset managers think of hedge fund replication products, what they consider to be the appropriate method of hedge fund replication, and whether they use these products in their day-to-day business, the EDHEC Risk and Asset Management Research Centre, with the support of Newedge, carried out a detailed survey of asset managers and institutional investors. (...)"
Copyright Hedge Funds Review [Full text - Registration required]

January 2009

IPE (29/01/2009)
EDHEC sees banking solution in Solvency II-type funding
"(…) Applying Solvency II flexible funding rules to banks would have substantially reduced the need for recent government monetary support to the sector, academics from French business school EDHEC have claimed. A report produced by Noël Amenc, professor of finance and director of the EDHEC Risk and Asset Management Research Centre, and Samuel Sender, applied research manager at the same division, suggests most cash injections from European public funds into struggling banks would have been "unnecessary" had a few minor changes been made to funding rules ahead of the recent crisis. (…)"
Copyright IPE [Full text]
The Hedgefund Journal (January 2009)
The pros and cons of passive hedge fund replication
"(...) Following an EDHEC Risk and Asset Management Research Centre study last year on passive hedge fund replication ("The Myths and Limits of Passive Hedge Fund Replication", N Amenc, W Géhin, L Martellini and J Meyfredi (2007), EDHEC position paper, Nice), EDHEC recently conducted a survey with the support of Newedge 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. (...)"
Copyright The Hedgefund Journal [Full text]
IPE (28/01/2009)
Madoff dangers were no news to investors – EDHEC
"(…) Hedge fund investors were dissatisfied with issues of transparency on liquidity and operational risk exposure even before Bernard Madoff’s ponzi scheme scandal came to light, suggests research from French business school EDHEC. A study surveying hedge fund managers, hedge fund investors and fund-of-hedge fund managers, most of which are based in Europe, in summer 2008 found there were already critical points of conflict in the alternative investment business prior to the discovery of this massive fraud. (…)"
Copyright IPE [Full text]
The Hedgefund Journal (28/01/2009)
EDHEC releases new report
"(...) A new EDHEC position paper by Noël Amenc and Samuel Sender entitled "The Basel II reform that would have made most injections of public funds unnecessary" analyses one of the essential causes of systemic risk that has yet to be addressed by governments and regulators: the inflexibility of prudential regulation for banking. EDHEC’s report argues that a single minor change would make it possible to restore much of the confidence in the banking sector without requiring any capital injections in the short term: acknowledging that banking capital ratios fall during downturns would have made most of the injections of public funds unnecessary. (...)"
Copyright The Hedgefund Journal [Full text]
The Hedgefund Journal (23/01/2009)
Survey shows investors noted Madoff dangers
"(...) In analysing the industry's spectrum of opinions, the authors, Felix Goltz and David Schroeder, identify critical points of conflict in the alternative investment business. 92% of all industry practitioners believe that the quality of hedge fund reporting is an important signal of a fund's overall quality, and thus pivotal for investors' decisions about hedge fund investment. (...)"
Copyright The Hedgefund Journal [Full text]
Le Monde (21/01/2009)
Noël Amenc : "Les exigences du marché en matière de fonds propres des banques sont infondées"
"(...) "Les marchés, influencés par les agences de notation et par le discours sécuritaire et simpliste des dirigeants politiques, demandent à ce que les banques aient toujours plus de fonds propres au moment même où il est le plus difficile d'en trouver ! Ces exigences sont infondées : cette surenchère ne correspond en rien à une nécessité réglementaire." (...)"
Copyright Le Monde [Full text - French]
La Tribune (19/01/2009)
« Les investisseurs ne sont pas satisfaits des informations des hedge funds »
"(...) Une étude européenne de l'EDHEC pointe l'inadéquation des documents de synthèse des produits alternatifs. (...)"
Copyright La Tribune [www.latribune.fr]
Les Echos (19/01/2009)
La gestion de conviction entend se redresser
"(...) Selon le classement établi par EuroPerformance et EDHEC (voir illustration), la capacité des gérants européens, hors Royaume-Uni et notamment français, à sélectionner les bonnes valeurs a diminué dans la crise. (...)"
Copyright Les Echos [Full text - French - Registration required]
Le Monde (18/01/2009)
La colère des clients européens
"(...) "Noël Amenc, professeur de finance à l'EDHEC, met en garde contre les avatars d'une communication "avantageuse" en matière de régulation : "D'une manière générale, il faut avoir une communication modeste sur la qualité de la régulation. Il ne faudrait pas faire croire que le niveau de protection des investisseurs est élevé, alors que, dans les faits, ce n'est pas vrai, souligne-t-il. Cela renforce le phénomène bien connu du hasard moral, les épargnants se croient protégés alors qu'ils ne le sont pas." (...)"
Copyright Le Monde [Full text - French]
Le Monde (15/01/2009)
Les banques veulent payer des dividendes, sans se « décapitaliser » ni scandaliser
"(...) "Pour Noël Amenc, professeur de finance à l'EDHEC, rien ne s'oppose à ce que les banques rémunèrent leurs actionnaires au titre de l'année 2008. « Il n a pas d'interdit ni d'obstacle, à ce qu'une banque qui a bénéficié de l'intervention de l'Etat, pour améliorer ses fonds propres ou sa liquidité, puisse distribuer des dividendes, estime M. Amenc. (...)"
Copyright Le Monde [Full text - French]
Les Echos (15/01/2009)
Quand les ''business schools'' décryptent la crise
"(...) Insistant sur la nécessité de s'appuyer sur « des constats objectifs », le centre de recherche en finance de l'EDHEC devait pour sa part rendre publiques hier ses analyses et propositions. Principaux thèmes abordés: légitimité et modalité de l'intervention des Etats, rôle de la comptabilité et de la réglementation prudentielle, responsabilité de la sphère financière... (...)"
Copyright Les Echos [Full text - French]
Financial Times (11/01/2009)
Need to make clear views on short selling
"(...) Academics line up to support short selling. A recent paper from EDHEC Risk & Asset Management Research Centre reviewing academic research on short selling concluded the practice was not an impediment to the smooth functioning of financial markets. Constraining short sales does impede efficient pricing, according to financial theory, and may facilitate market crashes, EDHEC says. (...)"
Copyright Financial Times [Full text]
IPE (06/01/2009)
Fair value changes could worsen crisis – EDHEC
"(…) Over a quarter of investors fear the amendments to IAS 39 and IFRS 7 adopted by the International Accounting Standards Board (IASB) in mid- October 2008 could worsen the current financial crisis, according to a survey by French business school EDHEC. (…)"
Copyright IPE [Full text]
The Hedgefund Journal (06/01/2009)
EDHEC and IEIF set up a new index
"(...) The EDHEC Risk and Asset Management Research Centre and the IEIF (an independent French real estate research institute), with the support of Finance Innovation, the global competitiveness institution, have announced the launch of the EDHEC IEIF Commercial Property Index (France). The EDHEC IEIF Commercial Property Index (France) will measure the performance of shares traded in an aggregate portfolio of unlisted property funds. This portfolio currently represents €7.5bn, spread between 3,400 assets. (...)"
Copyright The Hedgefund Journal [Full text]
Funds Europe (January 2009)
UK best in Europe for alpha
"(…) UK investment managers have outperformed their Continental peers again. But what is behind this if it’s not just talent? Sabrina Macaire, of Europerformance, and Peter O’Kelly, of EDHEC, explain. This fourth edition of the Alpha League Table 2008 looks into asset management in the United Kingdom. It is, once again, confirmation that, when it comes to alpha, UK asset managers outperform their counterparts on mainland Europe. (…)"
Copyright Funds Europe [www.funds-europe.com]
Hedge Funds Review (January 2009)
Alternatives as inflation hedges
Article by Lionel Martellini, professor of finance, EDHEC Business School, and scientific director of the EDHEC Risk and Asset Management Research Centre
"(...) Most of modern asset pricing theory and portfolio selection analysis is based on fund separation theorems. These, in a nutshell, advocate that performance and risk are two conflicting objectives that are best managed separately. In the context of asset allocation decisions with liability constraints, it can be shown that the suitable expression of the fund separation theorem provides rational support for liability driven-investment (LDI) techniques that have recently been promoted by a number of investment banks and asset management firms. (...)"
Copyright Hedge Funds Review [www.hedgefundsreview.com]

December 2008

Le Temps (29/12/2008)
Les années de spéculation: retour sur les « Frankenstein » de la finance
"(...) La plupart des investisseurs estiment que les rendements des hedge funds « ne sont pas réplicables », selon un sondage de l'institut de recherche EDHEC. D'autres jugent que les stratégies de clonage « manquent de transparence », et sont « basées sur une technologie non prouvée ». Enfin, leurs performances sont décevantes. « De nombreux investisseurs préféreront attendre le développement de meilleurs produits », conclut EDHEC. (...)"
Copyright Le Temps [Full text]
The Hedgefund Journal (22/12/2008)
Professionals correspond to EDHEC
"(...) The results of this call for reaction - entitled "Reactions to an EDHEC Study on the Fair Value Controversy" - correspond to the initial arguments from EDHEC, who consider these reforms to be inappropriate and dangerous. 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. (...)"
Copyright The Hedgefund Journal [Full text]
The Hedgefund Journal (22/12/2008)
EDHEC hosts Alternative Investment conference
"(...) 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. (...)"
Copyright The Hedgefund Journal [Full text]
Irish Times (19/12/2008)
Ethical investments on a par with other funds, says report
"(...) Using factor-based methodology, which excludes performance due to style biases and market cycles, the EDHEC research found no evidence that SRI investment added value. Indeed, it found almost no significant difference between the performance of SRI funds and mainstream equity funds, which proponents of SRI will at least hail as laying to rest the perception that investing responsibly necessarily involves sacrificing returns. (...)"
Copyright Irish Times [Full text]
The Hedgefund Journal (18/12/2008)
EDHEC accounting standards study released
"(...) 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. (...)"
Copyright The Hedgefund Journal [Full text]
FTfm (15/12/2008)
"SRI funds not outperforming"
"(...) "SRI is not delivering outperformance. That is the strong conclusion of the research," said Noël Amenc, professor of finance and director of the EDHEC risk and asset management research centre. "It would be misselling to promote SRI based on outperformance, because it is not there in the figures." (...)"
Copyright Financial Times Fund Management [Full text]
L'Agence France-Presse (15/12/2008)
Comment le scandale Madoff a éclaboussé les banques européennes
"(...) "Ce n'est pas un gérant qui était aux Caïmans, il était enregistré à la SEC. Cela veut dire qu'il y a une faillite totale de la régulation", juge Noël Amenc, professeur à l'EDHEC. (...)"
Copyright AFP [Full text - French]
Financial Times (14/12/2008)
EDHEC points the way for SWFs
"(...) Recent academic research, conducted by EDHEC Business School in co-operation with Deutsche Bank, suggests it is desirable to analyse the optimal investment policy of a sovereign wealth fund in an asset-liability management framework. (...)"
Copyright Financial Times [Full text]
Le Temps (12/12/2008)
Pourquoi l'éthique ne rapporte guère
"(...) Selon une étude publiée jeudi par l'EDHEC, les fonds de placement éthiques ne font pas mieux que leur indice de référence, en termes de rendement. Voire même, ils rapportent moins. L'analyse de cette haute école de Nice porte sur 62 véhicules distribués en France, et décortique leur rendement entre 2002 et 2007. Elle contredit d'autres travaux universitaires sur ce thème et démontre que la sélection des entreprises qui respectent davantage l'environnement ou leurs employés ne produit pas de surperformance. (...)"
Copyright Le Temps [Full text - Registration Required - French]
Financial Adviser (11/12/2008)
European Commission warns of tougher regulation
"(...) However Jean-Rene Giraud, development director for EDHEC, said steps already taken against hedge funds such as increased liquidity requirements, had damaged their efficiency and that of the wider market. He said hedge funds made up just 12 per cent of equities in activity managed funds globally and market volatility increased after the US short-selling ban. Mr Giraud instead advocated more transparency from the funds to rebuild investors confidence. (...)"
Copyright Financial Times [Full text]
Les Echos (11/12/2008)
Débat contradictoire sur les performances de l'ISR
"(...) L'EDHEC enfonce le clou sur l'investissement socialement responsable (ISR). Les fonds spécialisés ne génèrent pas un surplus de performance. (...)"
Copyright Les Echos [Full text - French - Registration required]
Financial Times (11/12/2008)
EDHEC PhD sees unexpected demand
"(...) There is a silver lining to every cloud it would seem, and EDHEC Business School in France has discovered one of them amid current financial woes: demand for its executive PhD programme in finance is so high that it has had to bring forward the launch date. (...)"
Copyright Financial Times [Full text]
L'Agefi (09/12/2008)
Le concept de la juste valeur fait couler beaucoup d'encre
"(...) Un débat mal posé a conduit à des amendements comptables contre-productifs par rapport à leurs objectifs, jugent pour leur part Lionel Escaffre, Philippe Foulquier et Philippe Touron, tous trois actifs à l'EDHEC (...). Ces derniers estiment que les détracteurs de la comptabilité en juste valeur ont omis de considérer le problème plus en amont, c'est-à-dire de s'interroger préalablement sur le rôle de la comptabilité. (...)"
Copyright L'Agefi [www.agefi.fr]
Le Temps (08/12/2008)
Les clés pratiques de l'approche «core-satellite» (IV)
"(...) D'après un rapport de l'EDHEC de juin dernier sur l'utilisation des ETF, seule une proportion de 25-30% du marché global des ETF est constituée de structures exotiques. Ces dernières affichent malgré tout une croissance assez soutenue, du fait des demandes toujours plus vastes d'accès aux marchés sollicitées par les investisseurs. (...)"
Copyright Le Temps [Full text - Registration Required - French]
Les Echos (03/12/2008)
La recapitalisation, « bon plan » pour les banques »
"(...) « Peu de structures de recapitalisation ont un coût croissant du capital pour les banques, ce qui pose le problème de la durée effective de l'aide des Etats », note une étude de l'EDHEC, éclairante sur le sujet. (...)"
Copyright Les Echos [Full text - French - Registration required]
Le Figaro Economie (02/12/2008)
Bruxelles pourrait se prononcer cette semaine sur le plan bancaire français
"(…) Pour les chercheurs de l'EDHEC Business School, le coût consenti pour des fonds propres de base doit être strictement supérieur à 9 % afin de « respecter la logique des marchés », quand le Trésor accord 8,5 %. (…)"
Copyright Le Figaro [www.lefigaro.fr/economie]
European Pensions and Investment News (01/12/08)
News in Brief
"(...) A survey by EDHEC found that finance professionals remain unconvinced about hedge fund replication. While the study said asset managers recognised the benefits of the high liquidity and lower costs that replication usually offers, there was more criticism than praise. Respondents criticised what they saw as a lack of transparency, poor performance and deficient technology. (...)"
Copyright European Pensions and Investment News [www.epn-magazine.com]
La Tribune (01/12/2008)
« Des aménagements comptables inopportuns et dangereux »
"(...) Noël Amenc revient sur les dernières modifications des normes comptables prises en urgence et sans réelle concertation avec les professionnels. (...)"
Copyright La Tribune [www.latribune.fr]

November 2008

Financial Times (30/11/2008)
New twist on "mark to market" stirs debate
"(...) According to a survey by EDHEC, 79 per cent of asset managers were unhappy with the changes made by the IASB, fearing they would simply contribute to the general distrust of financial institutions, as well as adding to confusion about the genuine state of their businesses. (...)"
Copyright Financial Times [Full text]
L'Agefi (28/11/2008)
Le plan français de soutien aux banques fait débat : Le volet de recapitalisation, encore soumis à Bruxelles, s'attire aussi des critiques extérieures
"(...) « Ce financement à bon marché aux frais du contribuable est un cadeau empoisonné pour les banques françaises car la Commission pourrait bien demander à la France de revoir sa copie, ce qui serait un camouflet sans précédent pour la présidence française de l’Union européenne », estime même Noël Amenc, professeur de finance à l’EDHEC, dans un entretien à L’Agefi. Ce dernier vient de publier une étude des différentes mesures de soutien aux secteurs bancaires en Europe. (...)"
Copyright L'Agefi [Full text]
The Hedgefund Journal (25/11/2008)
Professionals unconvinced by hedge fund replication
"(...) 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. (...)"
Copyright The Hedgefund Journal [Full text]
Financial Times (23/11/2008)
Hedge fund clones get mixed reviews
"(...) Some 15 per cent of asset management houses, pension funds and private banks have invested in hedge fund replication strategies, according to a survey by EDHEC, the French business school. A further 55 per cent of institutions said they were willing to consider investing, with 30 per cent saying they never would. (...)"
Copyright Financial Times [Full text]
The Hedgefund Journal (19/11/2008)
EDHEC warns against prudential regulations
"(...) 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. (...)"
Copyright The Hedgefund Journal [Full text]
Le Figaro (19/11/2008)
Une star de la recherche à l'EDHEC
"(…) ...dans le monde des business schools, on sait bien qui est cet homme de 42 ans, classé numéro deux mondial et numéro un en Europe par la revue Science Watch pour ses publications scientifiques... « Les grandes écoles de commerce françaises se sont hissées parmi les meilleures business schools mondiales. En matière de recherche, de développement international et d'innovations pédagogiques, l'EDHEC a massivement investi dans une recherche appliquée de haut niveau, en phase avec les attentes des entreprises », souligne Florencio Lopez. (…)"
Copyright Le Figaro [Full text]
L'Agefi Hebdo (13/11/2008)
GPGA 2008 : Un palmarès de plus en plus international
"(...) Les 9es Grands Prix de la Gestion d' Actifs (GPGA) se fondent, comme chaque année, sur une méthodologie établie par l'EDHEC, en partenariat avec EuroPerformance, pour le traitement des données sur les fonds. (...)"
Copyright L'Agefi Hebdo [www.agefi.fr]
L'Agence France-Presse (12/11/2008)
Interview : Noël Amenc
"(...) L'annonce par la banque Natixis d'une perte d'environ 250 millions d'euros en octobre sur son activité de banque d'investissement relance le débat sur la gestion du risque, qui pose "problème" au sein des banques françaises, estime Noël Amenc, professeur de finance à l'EDHEC. (...)"
Copyright AFP [www.afp.com - French]
Les Echos (10/11/2008)
« Juste valeur : on se trompe de débat »
"(...) Pour Philippe Foulquier et Samuel Sender, c'est se tromper de débat que de fustiger la juste valeur au motif qu'elle est procyclique. Selon eux, c'est à la régulation prudentielle, et non à la comptabilité, de limiter le risque systémique. La future réglementation Solvabilité II des assureurs, qui repose sur deux niveaux d'exigence de capital, offre des pistes d'amélioration à la régulation bancaire. (...)"
Copyright Les Echos [Full text - French - Registration required]
Le Monde Economie (04/11/2008)
Plus d'un quart des hedge funds seraient condamnés à disparaître
"(...) On va discipliner l'industrie, prédit Noël Amenc, professeur de finance à l'EDHEC, les gérants de hedge funds ressembleront peut-être à ce qu'ils ont toujours été, mais éviteront les blâmes en se soumettant à la régulation et s'implantant ailleurs que dans des zones offshore. (...)"
Copyright Le Monde Economie [Full text]
Financial Times (03/11/2008)
Research Affiliates develops new index
"(...) Recent work by researchers at EDHEC, the French business school, and Standard & Poor's, the index provider, suggest equally good, if not better, performance can be generated by simply equal-weighting all stocks in a given universe. (...)"
Copyright Financial Times [Full text]
Financial Times (03/11/2008)
Simple could be the best strategy
"(...) Lionel Martellini, professor of finance at the EDHEC Business School, agrees that the evidence suggests simplistic equal-weighted portfolios tend to beat other strategies in terms of both raw performance and Sharpe ratio, a measure of risk-adjusted return. (...)"
Copyright Financial Times [Full text]
Les Echos (03/11/2008)
Les «hedge funds» ne sont pas responsables de la crise financière
"(...) Pour le directeur de l'EDHEC Risk and Asset Management Research Centre, Noël Amenc, les responsables de la crise financière actuelle sont davantage à rechercher du côté de la réglementation (prudentielle, comptable...) que des «hedge funds», des boucs émissaires bien commodes. (...)"
Copyright Les Echos [Full text - French - Registration required]
Hedge Funds Review (November 2008)
Quantifying hedge fund default risk
Article by Jean-René Giraud, director of development and research associate, EDHEC Risk and Asset Management Research Centre
"(...) By their very nature hedge funds allow the investor to be exposed to different risk factors such as volatility, counterparty or liquidity risk. Exposure to these risk factors is not only a source of superior risk-return trade-off but also the very essence of hedge funds’ extensive diversification possibilities compared with traditional investments. (...)"
Copyright Hedge Funds Review [www.hedgefundsreview.com]

October 2008

Les Echos (31/10/2008)
Nouveaux indices mensuels
"(...) Pour améliorer la transparence des marchés, l'IEIF a mis au point deux indices : l'un sur l'immobilier d'entreprise avec l'EDHEC, immédiatement accessible, et l'autre sur le logement qui sera publié début 2009 conjointement avec les chambres des notaires de Paris IDF. (...)"
Copyright Les Echos [Full text - French - Registration required]
L'Agefi Hebdo (30/10/2008)
L'IEIF sort deux indices immobiliers innovants
"(...) L' Institut de l'épargne immobilière et foncière (IEIF), en liaison avec le pôle de compétitivité mondial Finance Innovation, a développé deux indices mensuels: EDHEC IEIF immobilier d'entreprise France... Il s'agit d'un indice transactionnel représentatif du marché de l'immobilier d'entreprise en France. (...)"
Copyright L'Agefi Hebdo [www.agefi.fr]
Financial Times (27/10/2008)
Why imperfect hedging makes sense
"(...) In inflationary times, it is better to opt for a novel solution and raise returns, writes Lionel Martellini. (...)"
Copyright Financial Times [Full text]
L'Agefi (24/10/2008)
Deux nouveaux indices pour l'immobilier
"(...) L'institut de l'Epargne immobilière et foncière (IEIF) a annoncé le lancement de deux nouveaux indices mensuels de performance des investissements en immobilier direct en France, l'un dans l'immobilier d'entreprise et l'autre dans le résidentiel. Ces deux indices seront développés avec le centre EDHEC Risk Management Research pour l'indice de l'immobilier d'entreprise, qui mesurera la performance des parts effectivement échangées d'un portefeuille agrégé de fonds immobiliers non cotés, représentatif du marché français...et sera publié mensuellement à partir de 2009. (...)"
Copyright L'Agefi [www.agefi.fr]
L'Agefi Hebdo (23/10/2008)
Les avancées de la recherche pas assez prises en compte par les gérants
"(...) Les gérants et les institutionnels n'utilisent pas pleinement les atouts des techniques élaborées par la recherche en matière de processus d'investissement. C'est la conclusion d' une enquête de l'EDHEC, auprès de 230 professionnels européens, qui regrette par exemple que seuls 20 % disent avoir recours à l'alpha portable. (...)"
Copyright L'Agefi Hebdo [www.agefi.fr]
Les Echos (21/10/2008)
« Septembre noir » pour la plupart des « hedge funds »
"(...) Seuls les « hedge funds » spécialisés sur la vente à découvert sont parvenus à rester à flot lors d' un mois de septembre « de tous les dangers », marqué par une chute généralisée des marchés boursiers. Ils ont ainsi progressé de 4,13 %, soit un gain de 15 % depuis janvier, selon les indices établis par l'EDHEC. (...)"
Copyright Les Echos [Full text - French - Registration required]
Le Figaro Economie (21/10/2008)
Un abri très prisé des hedge funds
"(…) Selon l'EDHEC, septembre était déjà le pire mois depuis six ans (-8,9 %). « Quatre types de stratégies (catégories, NDLR) ont enregistré leur plus mauvaise performance depuis leur création », indique l'EDHEC. (…)"
Copyright Le Figaro [www.lefigaro.fr/economie]
FT Investment Adviser (20/10/2008)
Jupiter wins top Europerformance spot
"(...) Fund manager Jupiter has scooped the top ranking in Europerformance and EDHEC's Alpha League Table. (...)"
Copyright FT Investment Adviser [Full text]
Hedge Funds Review (14/10/2008)
UK asset managers top generators of alpha in Europe
"(...) Average alpha generation by UK asset managers has increased by approximately 30 basis points to 2.9% and the average frequency of alpha is 52.2% compared with 46.3% in 2007, according to the annual rankings for the top UK asset management companies produced by EDHEC and EuroPerformance, a fund analysis company. (...)"
Copyright Hedge Funds Review [Full text]
IPE (14/10/2008)
UK managers deliver higher alpha – EDHEC
"(…) UK asset managers are outperforming their counterparts on the continent as a higher number of firms delivered positive alpha compared with managers in France, Switzerland and Spain, according to an academic study conducted by EDHEC and Europerformance." (…)"
Copyright IPE [Full text]
Financial Times (13/10/2008)
UK managers outstrip European competitors
"When it comes to alpha, UK asset managers outperform their counterparts on the continent," says EDHEC, the business school, in its fourth annual survey of outperformance in conjunction with EuroPerformance. (...)"
Copyright Financial Times [Full text]
Les Echos (13/10/2008)
Les gérants britanniques stimulés par la crise
"(...) Les gérants britanniques investis en actions ont bien traversé la première partie de la crise du crédit hypothécaire américain (« subprime »), de juin 2007 à juin 2008, dans des marchés pourtant en baisse et très volatils, selon l'Alpha League Table établi par Europerformance et l'EDHEC et remporté par la société de gestion Jupiter. (...)"
Copyright Les Echos [Full text - French - Registration required]
Hedge Funds Review (12/10/2008)
ALM seen as way to add value for financial managers
"(...) A vast majority of 87% of bankers, family offices, asset management companies and related institutions said ALM on asset-liability management (ALM) is a potential source of progress and value-added for their business. This is one of the main findings from a study from EDHEC Business School and Ortec Finance. (...)"
Copyright Hedge Funds Review [Full text]
The Wall Street Journal Europe (01/10/2008)
Mustier shifts at SocGen --- French bank making more moves in wake of trading scandal
"(…) Societe Generale barely makes the top tier of French asset managers for equity funds, according to the French business school EDHEC. The school ranks managers by their production of alpha, which refers to investment returns that exceed stock market performance. The Alpha League Table rates the top 25 French firms and Societe Generale entered the rankings this year at 25th, behind rivals such as HSBC Holdings PLC's HSBC Private Bank France, which was ranked at the top, and BNP Paribas SA. (…)"
Copyright The Wall Street Journal Europe [Wall Street Journal - Registration required]
Funds Europe (October 2008)
Slightly dated
"(…) Investors settle for straightforward investment practices rather than taking advantage of improved techniques, writes Felix Goltz PhD, of EDHEC. (…)"
Copyright Funds Europe [www.funds-europe.com]
Hedge Funds Review (October 2008)
Long-term sources of return in commodity futures markets from the grain markets
By Hilary Till, research associate, EDHEC Risk and Asset Management Research Centre, and principal, Premia Capital Management
Copyright Hedge Funds Review [Full text - Registration required]

September 2008

Hedge Funds Review (September 2008)
Designing hedge fund indices that are both representative and investable
"(...) With investors increasingly concerned about the quality of hedge fund index return data, Felix Goltz, senior research engineer with the EDHEC Risk and Asset Management Research Centre, addresses the question of whether designing hedge fund indices that fulfil the usual requirements (in particular representative and investable) is a feasible task or not, given a variety of features that are specific to the hedge fund industry.. (...)"
Copyright Hedge Funds Review [Full text - Registration required]
IPE (22/09/2008)
Old wine in new bottles?
"(…) Felix Goltz reports on a recent EDHEC study into characteristics-based indices versus market cap-weighted indices." (…)"
Copyright IPE [Full text]
Les Echos (22/09/2008)
Volatilité des performances des « long-short » européens
"(...) Au mois d'août où les Bourses avaient progressé modérément, les fonds « long-short » avaient cédé en moyenne 1,5 %, soit une contre-performance annuelle de - 6,2 %, selon les indices EDHEC, qui témoigne de leur bonne résistance dans un contexte de baisse des marchés boursiers. Ils ont gagné en moyenne 6,1 % chaque année depuis 2001. Les fonds spécialisés sur la vente à découvert ont cédé 2,1 % le mois dernier et dégagé un gain de 10,5 % depuis le début de l'année.. (...)"
Copyright Les Echos [Full text - French - Registration required]
Financial Times (14/09/2008)
"Magic formula" defies all the rules
"The efficient market hypothesis states that it is impossible to consistently outperform the market by using any information that the market already knows, except through outrageous serendipity. The growing band of converts to the concept of "minimum variance" equity portfolios would beg to differ from this statement. (...) Lionel Martellini, professor of finance at the EDHEC Business School in Nice, believes the strategy has its merits. (...)"
Copyright Financial Times [Full text]
Financial Times (08/09/2008)
GTAA nose-dives in market downturn
"(...) Recent academic research supports the concept that it should be possible to make money this way, according to Professor Lionel Martellini of the EDHEC Risk and Asset Management Research Centre. (...)"
Copyright Financial Times [Full text]
Le Temps (01/09/2008)
Les clés pratiques de l'approche «core-satellite» pour une meilleure gestion des risques dans le processus d'investissement
"(...) Depuis une dizaine d'années l'approche core-satellite constitue l'un des sujets de recherche majeurs de nombreux travaux académiques. Au niveau européen, c'est sans doute la business school de l'EDHEC qui a fait oeuvre de pionnier dans ce domaine. (...)"
Copyright Le Temps [Full text - Registration Required - French]
Funds Europe (September 2008)
Private Banks dominate Swiss Alpha
Sabrina Macaire of Europerformance and Peter O’Kelly of EDHEC Risk and Asset Management Research Centre report
Copyright Funds Europe [Full text]

August 2008

Funds Europe (August 2008)
Scanning the European ETF scene: recent trends and future outlook
By Felix Goltz, PhD, senior research engineer with the EDHEC Risk and Asset Management Research Centre
Copyright Funds Europe [www.funds-europe.com]

July 2008

Financial Times (28/07/2008)
ESG takes top slot in labels poll
"(...) EDHEC, the French business school, concluded in an analysis of its domestic market that most SRI funds underperform the wider market. However, 69 FTSE 100 companies produced standalone corporate responsibility reports last year, according to Deloitte, more than triple the number five years earlier. (...)"
Copyright Financial Times [Full text]
The Australian (16/07/2008)
On track for good returns
"(...) In Europe, according to survey results released in June by the French business school EDHEC, 69 per cent of European investors said they would buy more ETFs. (...)
Copyright The Australian [Full text]
Financial Times (14/07/2008)
Swiss raise game to outperform the neighbours
"(...) The third alpha league table for Switzerland, compiled by EDHEC, the business school, and EuroPerformance, the fund analysis company, shows the results for the 10 of the 50 groups analysed that produced good enough results to make the table. (...)"
Copyright Financial Times [Full text]
European Pensions and Investment News (14/07/08)
Varma remains indifferent but "opportunistic" on ETFs
"(...) Mr Murto's comments followed a panel discussion on ETFs at the recent EDHEC conference in Paris on institutional investment. During the presentation, Lionel Martellini, professor of finance at EDHEC Business School, argued that ETFs were unique in their ability to have gain and loss ceilings, and could, therefore, soon become a mainstream asset in European pensions. (...)"
Copyright European Pensions and Investment News [Full text]
Financial News (07/07/2008)
SGAM takes an alternative view
"(...) Société Générale is in the top tier of French asset managers for equity funds - but only just, according to the French business school EDHEC. (...)"
Copyright Financial News [Full text - Registration required]
Financial Times (07/07/2008)
Dealing with the inflation beast
(...) The best and simplest way to mitigate inflation risk is diversification. That is according to EDHEC, a French financial research institution, which is conducting research looking at alternatives to conventional liability-driven investment. (...)
Copyright Financial Times [Full text]
Reuters (04/07/2008)
The great debate on speculation and oil
(...) "As an experienced futures trader, I have learned that price is a messenger of current and future supply and demand conditions," said Hilary Till of Premia Capital Management. When there is a strong rally in price, one has a signal that there is impending scarcity and that price is searching for the level to bring on new supply or, unfortunately, ration demand. Right now, of course, this is not a popular message," added Till, who is also a research associate at the EDHEC Risk and Asset Management Research Centre. (...)
Copyright Reuters [Full text]
Funds Europe (July 2008)
Spain, Italy trail Europe
Spain and Italy are behind the rest of Europe in the alpha stakes, say Sabrina Macaire, of EuroPerformance, and Peter O’Kelly, of EDHEC
Copyright Funds Europe [www.funds-europe.com]
Funds Europe (July 2008)
ALPHA: Clouded returns
"(...) A survey conducted by EDHEC Risk & Asset Management Research reveals that two-thirds of respondents use absolute performance in a peer group to analyse the alpha they generate. But this is not an accurate means of measuring alpha because it is difficult to prove that all managers in that peer group have like-for-like investment styles, the EDHEC European Investment Practices Survey 2008 states. (...)"
Copyright Funds Europe [Full text]

June 2008

Hedge Funds Review (24/06/2008)
European institutional investors under using ETFs
"(...) European institutional investors are not taking advantage of potentially beneficial features of exchange-traded funds (ETFs), according to the EDHEC European ETF Survey 2008. The survey, sponsored by iShares, studied the use of ETFs by European investors. (...)"
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Financial Times (23/06/2008)
Fundamentalists stuggle to win battle of the indices
(...) Now, however, French financial research institution EDHEC has gathered all the performance figures available for fundamental indices and subjected them to rigorous analysis. (...)
Copyright Financial Times [Full text]
Financial News (23/06/2008)
French fund managers move on after a year of highs and lows
(...) However, following the return of volatility to stocks and the woes that befell higher-risk money market funds during the summer, the more relevant statistic seems to be €44.7bn - the highest annual net outflows from French mutual funds for a decade, according to the business school EDHEC. (...)
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La Tribune (17/06/2008)
Les investisseurs n'exploitent pas suffisamment les ETF
"(...) D'après une étude de l'EDHEC, les investisseurs européens n'exploitent pas encore pleinement les avantages des fonds indiciels cotés (exchange traded funds, ETF). (...)"
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Hedgeworld News (16/06/2008)
Prisma Finds 40 Managers Optimal for FOFs
"(...) Several academics have addressed the question in various studies. Among them are heavy-hitter quants such as François-Serge L'habitant, professor of finance at EDHEC Business School in France (...)"
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IPE (13/06/2008)
IAMAs crown excellence in asset management
"(…) Eleven Europe-based asset management firms, including Petercam Asset Management and Capital International, were rewarded last night for excellence in institutional asset management offerings, at the inaugural IPE-EDHEC Institutional Asset Management Awards. At a ceremony in Paris on June 12, a new range of awards were unveiled to acknowledge the quality of asset management returns presented to institutional investors, which are based not just on portfolio returns but take into account the risk management applied." (…)"
Copyright IPE [Full text]
The Wall Street Journal Europe (13/06/2008)
Exchange-traded funds gain favor with investors
"(…) The French business school EDHEC asked 111 asset-management firms, pensions funds and family offices whether they expected to use more index-tracking funds. (…)"
Copyright The Wall Street Journal Europe [Wall Street Journal - Registration required]
Pensions & Investments (13/06/2008)
Europeans' ETF use limited, survey says
"(...) European investors are using ETFs more but have not taken full advantage of their advanced features, according to a survey by EDHEC Risk and Asset Management Research Centre. (...)"
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IPE (12/06/2008)
Survey reveals "unimaginative" ETF use
"(…) Exchange Traded Funds (ETFs) are not successfully customised, while advance features are underused, a survey of over 100 institutional investors has found. Presenting the results of the 2008 ETF survey at the EDHEC Institutional Days in Paris today, Noël Amenc, director of French business school EDHEC, said even though usage of the instrument has grown in the last two years it is not used to its full potential and is largely limited to passive holdings of broad market indices." (…)"
Copyright IPE [Full text]
The Hedgefund Journal (June 2008)
Ice floes gather for European hedge funds
"(...) The professors at EDHEC have been supportive, absolving hedge funds from blame for the subprime crisis and the contagion that spread throughout the credit markets. (...)"
Copyright The Hedgefund Journal [Full text]
Hedge Funds Review (June 2008)
Three Early Lessons from the Subprime Crisis
By Noël Amenc, Director, EDHEC Risk and Asset Management Research Centre
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Financial Times (09/06/2008)
Gains to be had by greater use of ETFs
"(...) A survey of more than 110 European institutional investors by EDHEC, the business school, shows users could be adding value to their portfolios by taking a broader approach to ETFs. (...)"
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Les Echos (09/06/2008)
ETF : l'engouement ne se dément pas en Europe
"(...) Les fonds cotés en Bourse ou « Exchange Traded Funds » (ETF) séduisent une part croissante d'acteurs. Ces derniers n'utilisent toutefois pas encore tout le potentiel de ces produits, selon la deuxième étude de l'EDHEC Risk and Asset Management Research Centre sur ce sujet, sponsorisée par iShares. (...)"
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Funds Europe (June 2008)
Evaluating rates of return
In the second in a series of articles on performance measurement for traditional investment, Véronique Le Sourd, of EDHEC, looks at how rates of return can be evaluated
Copyright Funds Europe [www.funds-europe.com]
Funds Europe (June 2008)
ETFs underused, survey says
"(...) The results of a new study of European ETFs show that European institutional investors are neglecting the possibility of using ETFs to construct optimal core portfolios composed of different equity styles or segments, according to a new study of European ETFs unveiled at the EDHEC Institutional Days in Paris last week. (...)"
Copyright Funds Europe [Full text]

May 2008

The Economist (24/05/2008)
Catch two-and-twenty
"(...) Whereas hedge funds proved a haven during the 2000-02 bear market, they have become less of a hedge recently; the average fund-of-funds has lost 2.9% this year according to EDHEC, a French business school." (...)
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Les Echos (19/05/2008)
Performances : le retard de l'Europe du Sud s'accroît sur les actions
"(...) L'écart entre les performances des gérants italiens ou espagnols et ceux du reste de l'Europe se creuse, selon l'Alpha League Table établi par EuroPerformance et l'EDHEC, remporté par l'italien MPS et les espagnols Bankinter et Ibercaja.. (...)"
Copyright Les Echos [Full text - French - Registration required]
Financial Times (18/05/2008)
Italy and Spain’s funds feel the heat
"(...)The level of outperformance of asset managers focusing on equity funds in Italy and Spain fell in 2007, according to the latest alpha league table report from EDHEC, the business school, and Europerformance, the fund analysis company."(...)
Financial Times [Full text]
Hedge Funds Review (01/05/2008)
Pure persistence is the best performance tool
"(…) Last in the series by Walter Gehin of EDHEC. (…)"
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Funds Europe (May 2008)
Calculating Portfolio Returns
By Véronique Le Sourd, Senior Research Engineer, EDHEC Risk and Asset Management Research Centre
Copyright Funds Europe [Funds Europe]
The Hedgefund Journal (May 2008)
Sharpe Ratio
"(...) In this article, we look at the use of such well known relative and absolute performance measures as the information and Sharpe ratios in the context of the results of the EDHEC European Investment Practices Survey 2008.(...)"
Copyright The Hedgefund Journal [Full text]

April 2008

Les Echos (28/04/2008)
Les fonds ISR français encore peu performants
"(...) Les fonds français qui optent pour l'approche de l'investissement socialement responsable enregistrent des performances globalement décevantes, selon la première étude effectuée sur ce sujet par l'EDHEC. (...)"
Copyright Les Echos [Full text - French - Registration required]
Hedge Funds Review (April 2008)
Pure Persistence is the Best Performance Tool
By Walter Gehin, Research Associate, EDHEC Risk and Asset Management Research Centre
Copyright Hedge Funds Review [Full text - Registration required]
The Wall Street Journal (11/04/2008)
Pension trusts look to calm unexpected volatility --- Performance gap underscores demand for risk management
"(…) In January, French business school EDHEC studied 229 fund managers, pension schemes and private banks during 2007 and found 42% of them using risk models that were "neither relevant nor realistic". (…)"
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The Hedgefund Journal (April 2008)
Raising assets in today's marketplace
"(...) The European institutional survey by the EDHEC Risk and Asset Management Research Centre in December 2005 identified that around 62% of institutional investments in hedge funds were achieved through multi-strategy funds of hedge funds, as opposed to only 8% in "pure" monostrategy funds of hedge funds. (...)"
Copyright The Hedgefund Journal [Full text]
Funds Europe (04/2008)
There is no chance that asset managers will feel confident about MiFID’s fairness or its ability to protect their rights
By Jean-René Giraud, Development Director and Research Associate at the EDHEC Risk and Asset Management Research Centre
Copyright Funds Europe [Funds Europe]

March 2008

Le Monde (29/03/2008)
La spéculation chamboule les prix des matières premières
"(...) "« Les investisseurs institutionnels achètent souvent des indices globaux qui associent un peu artificiellement les cours de différentes matières premières », explique Noël Amenc, professeur de finance à l'EDHEC et spécialiste des fonds spéculatifs. (...)"
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Hedgeworld News (17/03/2008)
Fed Bailout May be Making Things Worse
"(…) "Even without considering the impact of leverage, a key problem with hedge funds investing in really illiquid or non-traded securities while simultaneously allowing investor redemptions on a periodic basis is the serious liquidity mismatch between their assets and liabilities," François-Serge Lhabitant, associate professor of Finance at EDHEC Business School (…)"
Copyright Hedgeworld News [Hedgeworld]
Financial Times (10/03/2008)
Risk taking pays dividends for HSBC in France
"(...) With the EDHEC/EuroPerformance alpha league table for France now in its third year, a picture is building up of the managers that appear to demonstrate consistency in achieving outperformance across their equity fund range. (...)"
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Les Echos (10/03/2008)
Performances : la correction boursière réduit les écarts entre les fonds
"(...) L'Alpha League Table 2008, conçue par EuroPerformance et l'EDHEC, basée sur les performances des sociétés de gestion sur les actions en 2007, porte les stigmates de la correction boursière qui a débuté à l'été. (...)"
Copyright Les Echos [Full text - French - Registration required]
Financial Times (03/03/2008)
Clones go slow but sure
"(...) EDHEC, the French business school, claimed last May that none of the replication strategies then on the market were capable of accurately recreating hedge fund returns. (...)"
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Financial Times (03/03/2008)
Providers and users get all adventurous
"(...) According to the EDHEC Risk and Asset Management Research Centre's survey of European investment practices, a lively debate has sprung up as to whether these "characteristics-based" indices are a genuine innovation, adding value to passive investment, or simply a new form of active value investing. (...)"
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Pensions & Investments (03/03/2008)
Europe slow to use new investment techniques
"(...) European institutional investors and money managers are slow to adopt cutting-edge investment techniques in risk management, portfolio construction, strategic allocation and performance measurement, according to a new survey by EDHEC Risk and Asset Management Research Centre. (...)"
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Hedge Funds Review (01/03/2008)
Imitation – or replication – is the sincerest form of flattery
"(…) Continuing EDHEC's series on hedge fund performance measurement, this month Walter Gehin looks at passive and dynamic replication of hedge fund performance. (…)"
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Funds Europe (March 2008)
UK top for alpha
"(…) British fund managers returned more alpha than their European counterparts last year, research suggests. Sabrina Macaire, of EuroPerformance, and Peter O'Kelly, of EDHEC, explain the results of the Alpha League Table. (…)"
Copyright Funds Europe [www.funds-europe.com]

February 2008

Financial Times (25/02/2008)
Value-at-risk skills 'lacking'
"(...) Some European investment managers are treating risk measurement as a marketing tool rather than a useful internal metric, results from a survey* by EDHEC Risk and Asset Management Research Centre imply (...)"
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IPE (25/02/2008)
Asset managers "too comfortable with core" – EDHEC
"(…) Investment professionals more often than not remain inside their comfort zone despite knowing about new techniques and research, French business school EDHEC has suggested. The EDHEC European Investment Practices Survey, which questioned 229 European institutional investors and asset managers with over €10trn in asset under management, claims this failure to take advantage of research advances affects performance and risk management in Europe." (…)"
Copyright IPE [Full text]
Les Echos (25/02/2008)
Les gérants européens n'utilisent pas tout le potentiel de la recherche
"(...) Une étude de l'EDHEC Risk and Asset Management Research, sponsorisée par NewEdge, fait le point sur l'intégration par les gestionnaires d'actifs européens des apports de la recherche aux différentes étapes du processus d'investissement (...)"
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Les Echos (25/02/2008)
Les pratiques des gérants européens ne sont pas à la hauteur de la recherche
Interview de Noël Amenc, directeur de l'EDHEC Risk and Asset Management Research Centre.
Copyright les Echos [Full text - French - Registration required]
HedgeWorld News (21/02/2008)
Oil Prices Going Up, But Maybe Not Back Down
"(...) "When you have such low spare capacity, like we do now, the market is always one headline away from oil spiking another $10," said Hilary Till, principal of Chicago-based Premia Capital Management and research associate at EDHEC Business School's Risk and Asset Management Research Centre. (...)"
Copyright Hedgeworld News [Hedgeworld]
Hedge Funds Review (21/02/2008)
Morgan Stanley supports EDHEC research chair
"(…) Morgan Stanley Investment Management (MSIM) has agreed to support a research chair at EDHEC, the French risk and asset management research centre. (…)"
Copyright Hedge Funds Review [Full text]
HedgeWorld News (14/02/2008)
EDHEC Data Shows Annual Returns Fell in 2007
"(...) In a comment on the market environment, EDHECnoted that global stock markets in general performed less strongly last year (...)"
Copyright Hedgeworld News [Hedgeworld]
Le Monde (06/02/2008)
L'effet pervers des nouvelles règles comptables
"(...) "« En raison de ces nouvelles normes, tout se voit dans les bilans », note Noël Amenc, professeur à l'Ecole des hautes études commerciales (EDHEC). (...)"
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Le Monde (05/02/2008)
Les profits insolents de certains fonds spéculatifs
"(...) "Beaucoup de hedge funds utilisent des modèles statistiques qui leur ont permis d'anticiper la crise ou disposent d'outils de gestion des risques très sophistiqués ", explique Noël Amenc, professeur de finance à l'EDHEC. (...)"
Copyright Le Monde [Full text - French]
Funds Europe (02/2008)
Risk Management: Repackaging strategies
"In the fifth and final instalment in a series of articles on risk management techniques in asset management, Noël Amenc and Lionel Martellini look at the benefits of risk hedging with structured products"
Copyright Funds Europe [Full text]
La Tribune (05/02/2008)
Une série de l'EDHEC sur la gestion privée ; La gestion s'adapte à la psychologie des épargnants
Article réalisé par Noël Amenc et Lionel Martellini
Copyright La Tribune [Full text - French - Registration required]
Le Monde (05/02/2008)
Quand les salariés du back-office ont le blues
"(...)"Supprimer les passerelles entre les deux fonctions risque de 'démotiver'", redoute M. Amenc, professeur de Finance à l'EDHEC, "Ce serait une mauvaise idée" (...)"
Copyright Le Monde [Full text - French]
Le Monde (05/02/2008)
L'effet pervers des nouvelles règles comptables
"(...)"En raison de ces nouvelles normes, tout se voit dans les bilans", note Noël Amenc (...)"
Copyright Le Monde [Full text - French]

January 2008

Le Temps (30/01/2008)
Les outils statistiques pour un premier tri des fonds
"(...) Pour tenter de résoudre ce problème récurrent, l'EDHEC a développé, en collaboration avec EuroPerformance, une méthodologie pour calculer un benchmark (...)"
Copyright Le Temps [Full text - French]
HedgeWorld News (29/01/2008)
Experts Say Hedge Funds Part of the Solution, Not the Problem
"(...) In a separate interview that appeared in the monthly newsletter published by EDHEC Risk and Asset Management Research Centre, Mr. Atkins suggested that "hedge funds are likely to be an important part of the solution to the subprime crisis". (...)"
Copyright HedgeWorld News [Hedgeworld]
La Tribune (29/01/2008)
Une série de l'EDHEC sur la gestion privée; La gestion actif-passif au service des particuliers
Article réalisé par Noël Amenc et Lionel Martellini.
Copyright La Tribune [Full text - French - Registration required]
La Tribune (22/01/2008)
La finance comportementale, un outil pour les conseillers
Article signé par Daniel Haguet, professeur de finance à l'EDHEC
Copyright La Tribune [Full text - French - Registration required]
Hedge Funds Review (01/01/2008)
Adapting pricing models to the non-linearity of hedge fund returns
"(…) In the sixth of a series of articles on hedge fund performance measurement, EDHEC looks at conditional approaches that account for the non-linearity of hedge fund returns and the use of a modified version of the standard Capital Asset Pricing Model (CAPM) to consider the impact of higher moments on excess returns. (…)"
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Funds Europe (December/January 2008)
Repacking strategies
"(…) In the fifth and final instalment in a series of articles on risk management techniques in asset management, Noël Amenc and Lionel Martellini look at the benefits of risk hedging with structured products. (…)"
Copyright Funds Europe [www.funds-europe.com]

December 2007

La Tribune (11/12/2007)
Une allocation cible moyenne de 10 % dans l'immobilier
(...) L'EDHEC vient de publier une étude sur l'investissement et la gestion des risques immobiliers par les investisseurs institutionnels européens. Que représente l'immobilier dans leurs portefeuilles ? Interview de Frédéric Ducoulombier, professeur de finance à l’EDHEC. (...)"
Copyright La Tribune [Full text]
Financial Times (10/12/2007)
Calm those nerves over bricks and mortar
"(...) Research published last week by EDHEC Risk and Asset Management Research Centre suggests the diversification benefits of real estate are the main attraction of the asset class for institutional investors, with outperformance potential a secondary consideration. (…)"
Copyright Financial Times [Full text]
Financial Times (10/12/2007)
Value destroyers' fail manager test
”(…) EDHEC's study, published last year, found that the performance of funds of hedge funds depends mainly on their choice of strategy rather than their choice of funds. (…)"
Copyright Financial Times [Full text]
Hedgeweek (06/12/2007)
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 which covers 143 European institutional investors from 19 countries. (…)"
Copyright HedgeWeek [www.hedgeweek.com]
Hedge Funds Review (01/12/2007)
Identifying the sources of hedge fund returns through factor models
"(…) In the fifth of a series of articles on hedge fund performance measurement, EDHEC looks at the use of explicit macro-factor models, implicit factor models, option portfolios and hedge fund indices in identifying sources of hedge funds return. (…)"
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November 2007

IPE (30/11/2007)
IPE and EDHEC launch asset manager awards
"(…) Investment and Pensions Europe (IPE) is teaming up with the EDHEC business school in France to launch a new awards programme recognising excellence in institutional asset management. Professor Noel Amenc, director of the EDHEC Risk and Asset Management Research Centre, said the IPE/EDHEC Institutional Asset Management Awards (IAMAs) will be the first time European institutional asset managers have been judged based on objective and transparent criteria." (…)"
Copyright IPE [Full text]
Le Monde (28/11/2007)
Abou Dhabi prend 4,9 % de la banque Citigroup, fragilisée par la crise des "subprimes"
"(…) Pour Noël Amenc, professeur de finance à l'Ecole des hautes études commerciales (EDHEC), cette opération est emblématique de la voracité des fonds souverains dans l'économie. (…) "
Copyright Le Monde [Full text - Registration required]
IPE (24/11/2007)
French study suggests derivatives 'over-hyped'
"(…) A study published by French business school EDHEC has found although 90% of the 143 investors it polled had invested a median of €700m in real estate, 81% had no plans to invest in property derivatives. (…)"
Copyright IPE [Full text]
Le Monde (23/11/2007)
Pétrole : les fonds spéculatifs attisent la flambée des cours
"(…) Les fonds spécialisés "accompagnent et amplifient la tendance", estime Noël Amenc, professeur de finance à l'Ecole des hautes études commerciales (EDHEC) et spécialiste des hedge funds. (…)"
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Financial Times (21/11/2007)
Bank warns that complex debt products "may not survive"
"Investment banks need to standardise complex structured credit products if they want to restart growth in the stalled market, Sir John Gieve, the Bank of England's deputy governor for financial stability, said yesterday... "People are going to want products built up of units they understand," he told a conference organised by France's EDHEC Business School. (...)"
Copyright Financial Times [Full text]
Le Temps (20/11/2007)
Les hedge funds ont réalisé un excellent mois d'octobre
"(…) Le rebond des marchés d'actions au mois d'octobre, écrit le centre de recherche EDHEC, a clairement profité de la baisse des taux d'intérêt américains. (…)"
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Hedgeworld (09/11/2007)
EDHEC Launches MiFID Research Chair
"(…) EDHEC Business School, one of Europe's most prominent business schools and home to the EDHEC Risk and Asset Management Research Centre, has announced the launch of a research chair in MiFID (the Markets in Financial Instruments Directive) and Best Execution. The chair has been sponsored by France-based securities service provider CACEIS, financial services software provider SunGard and NYSE Euronext. (…)"
Copyright Hedgeworld [www.hedgeworld.com]
La Tribune (06/11/2007)
Gestion d'actifs : Des victimes collatérales. Article par Noël Amenc, Professeur de Finance à l’EDHEC
" (…) Crise des subprimes et durcissement des conditions de crédit ont été le révélateur d'un retour de l'aversion aux risques. (…)"
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La Tribune (06/11/2007)
Gestion d'actifs : La gestion alternative n'a pas échappé à la crise financière. Article par Véronique Le Sourd, Ingénieur de Recherche à l’EDHEC
" (…) Sur fond de crise des subprimes, les hedge funds ont affiché cet été des performances très éloignées de leur moyenne historique. Seules les stratégies de "short selling" ont tiré leur épingle du jeu. (…)"
Copyright La Tribune [Full text]
La Tribune (06/11/2007)
Gestion d'actifs : Les activistes réveillent une gouvernance d'entreprise sclérosée. Article par Walter Géhin, Chercheur Associé à l’EDHEC
" (…) Très décriés par les dirigeants d'entreprise et par les politiques, les hedge funds activistes jouent néammoins un rôle positif dans la gouvernance d'entreprise. (…)"
Copyright La Tribune [Full text]
La Tribune (06/11/2007)
Gestion d'actifs : La réplication des indices, un art difficile. Article par Lionel Martellini, Professeur de Finance à l’EDHEC
" (…) l’EDHEC a récemment publié un article de recherche proposant une analyse critique des différentes technologies utilisées, afin d' évaluer la qualité de celles-ci au regard du défi posé en termes de pouvoir de réplication. (…)"
Copyright La Tribune [Full text]
La Tribune (06/11/2007)
Palmares : Les 36 premiers fonds de hedge funds français. Article par Noël Amenc et Philippe Malaise, Professeurs de Finance à l’EDHEC
" (…) Pour la troisième année consécutive, "La Tribune" s'est associée à l'EDHEC pour établir une notation des fonds de hedge funds français. La note globale correspond à la moyenne des notes attribuées à la performance, au contrôle des risques et à la persistance des performances dans le temps. (…)"
Copyright La Tribune [Full text]
Financial Times (05/11/2007)
Cheap provider of beta is under-used
"(...) A study conducted a year ago by EDHEC, the French business school, found that 48 per cent of European asset managers and institutional investors had implemented a core/satellite approach. But of these just 28 per cent said they used ETFs in their core portfolio, with geographic funds viewed as more useful than sector or style ETFs. (...)
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Financial Times (05/11/2007)
Many new ideas yet to be exploited
"(...) Felix Goltz, senior research engineer at the EDHEC Risk and Asset Management Centre, says there are, as yet, no ETFs exposed to physical property, with real estate ETFs instead tending to be based either on real estate investments trusts or listed property companies. (...)"
Copyright Financial Times [Full text]
Le Temps (03/11/2007)
Les fonds 130/30 doivent encore réussir leur examen pratique
"(...) Le ratio "130/30" s'est imposé comme la nouvelle formule magique dans le monde de la gestion. Aux Etats-Unis, plus de 100 milliards de dollars sont désormais investis dans des fonds de ce type, contre seulement 50 milliards en mars dernier, selon des estimations citées par une étude d'EDHEC-Risk. (...)"
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Hedge Funds Review (01/11/2007)
Modelling – how to identify the sources of hedge funds' returns
"(…) In the fourth of a series of articles on hedge fund performance measurement, EDHEClooks at how to identify sources of hedge fund returns. (…)"
Copyright Hedge Funds Review [Full text - Registration required]

October 2007

La Tribune (30/10/2007)
Gestion d'Actifs : Les marchés sous la loupe de la finance comportementale
"(...) L'efficacité des marchés n'est pas une constante, complète Vivien Lévy-Garboua, membre du comité exécutif de BNP Paribas et coauteur avec Gérard Maarek, professeur à l'EDHEC, d'un livre sur le sujet. (...)"
Copyright La Tribune [Full text - French]
Pensions & Investments (29/10/2007)
Engineer debunks hedge fund replication; Forget the hype
"(...) Mr. Martellini, professor of finance and the scientific director of the Risk and Asset Management Research Centre of EDHEC Business School, Nice, France, spent much of the day - 7.5 hours - explaining to practitioners and hedge fund managers the reasons why hedge funds offer attractive alpha and beta diversification benefits to institutional investors. (...)"
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Les Echos (28/10/2007)
Les institutionnels européens ouverts aux dérivés sur l' immobilier
"(...) En Europe, il existe une importante demande potentielle pour un indice dérivé liquide, du type contrat à terme ferme, permettant de diversifier et de couvrir les portefeuilles immobiliers. C'est ce qui ressort d' une enquête de l' EDHEC auprès de 143 investisseurs institutionnels européens, dont près de 86 % sont déjà investis sur l'immobilier depuis presque vingt-cinq ans en moyenne. (...)"
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Le Monde Argent (28/10/2007)
Retard à l'allumage pour la gestion alternative "à la française"
"(...) En dépit de leur opacité, le succès des hedge funds basés dans des paradis fiscaux ne se dément pas. En revanche, la gestion alternative "à la française" a du mal à décoller. Un cadre juridique a pourtant été institué en 2003 par l'Autorité des marchés financiers (AMF) pour réglementer les pratiques des sociétés voulant développer ce type d'activité en France, et pour assurer un minimum de protection à leurs clients. (...)"
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FT Investment Adviser (22/10/2007)
UK managers' alpha dropping, says EDHEC.
"(...) UK fund managers are achieving lower alpha than they were a year ago, according to a survey from EDHEC Business School. (...)"
Copyright FT Investment Adviser [Full text]
Investment Week (15/10/2007)
Hedge funds are not to blame for credit crisis
"(...) Hedge funds are not to blame for the sub-prime credit crisis, according to a study from EDHEC Business School. The research also absolved hedge funds of blame for contagion spreading to other segments of the credit markets. This flies in the face of accusations made by regulators and political leaders, notably France's President Sarkozy and Germany's Chancellor Merkel. In response to criticism of hedge funds from Sarkozy, EDHEC published a position paper by Noël Amenc, director of the EDHEC Risk and Asset Management Research Centre. (...)"
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Le Temps (15/10/2007)
Une approche passive pour les commodités
"(...) Une stratégie de diversification des portefeuilles par une allocation de 10% du portefeuille dans les commodities permet de diminuer d'environ 8% la volatilité. Pour obtenir une grande flexibilité, elle peut s'effectuer par le biais d'un ETF ou d'un certificat sur indice. (...)"
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Les Echos (15/10/2007)
Aberdeen, nouveau champion britannique
"(...) C'est la société de gestion d'origine écossaise Aberdeen qui a remporté l'édition 2007 de l'Alpha League Table Europerformance-EDHEC que présentent « Les Echos » et le « Financial Times ». (...)"
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Financial Times (15/10/2007)
Axa Framlington loses alpha crown
"At the top of the rankings is Aberdeen Asset Management, up from second place last year. "It not only offers substantial average alpha, but is also capable of generating it from a significant portion of its actively managed funds," concludes the report published today by EDHEC, the French business school, and Europerformance, a fund analysis company. (...)"
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Reuters (08/10/2007)
Regulators partly to blame for subprime woes-study
"(...) Financial regulators are partly to blame for the knock-on effects of this year's crisis in the U.S. subprime mortgage market, according to a French business school study published on Monday. The study by the EDHEC business school said pending European Union rules on insurers could make matters worse and urged regulators to re-think their approach to complex financial instruments. (...)"
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Les Echos (02/10/2007)
Le frein des institutionnels
"(...) De par leurs encours gérés, ce sont les investisseurs institutionnels, actuellement bridés par leurs diverses réglementations, qui ont le pouvoir de faire décoller le marché de la gestion alternative en France ». (...)"
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Hedge Funds Review (01/10/2007)
A finely measured performance – beyond the Sharpe ratio...
"(…) EDHEC's Walter Gehin continues EDHEC's examination of hedge fund performance measurement techniques by analysing absolute performance metrics that are not based on the Sharpe ration and which, furthermore, attempt to take skewness and kurtosis into account... (…)"
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September 2007

The Hedgefund Journal (30/09/2007)
Momentum Strategies In Commodity Markets
Article by Joëlle Miffre, EDHEC Business School, France, and Georgios Rallis, CASS Business School, UK
Copyright The Hedgefund Journal [Full text]
Hedge Funds Review (26/09/2007)
Hedge funds not to blame for sub-prime crisis, says EDHEC
"(…) Hedge funds are clearly not to blame for the sub-prime credit crisis, according to a study from EDHEC. (…)"
Copyright Hedge Funds Review [Full text]
IPE (26/09/2007)
EDHEC warns of Solvency II liquidity danger
"(…) Introduction of IFRS standards and Solvency II on insurance companies are more likely to increase liquidity risk on investment markets than tightening the regulation of hedge funds, according to EDHEC business school. A position paper has been issued by EDHEC’s risk and asset management research centre in response to comments from French president Nicolas Sarkozy and German prime minister Angela Merkel suggesting hedge funds were to blame for the recent credit crunch." (…)"
Copyright IPE [Full text]
IPE (24/09/2007)
EDHEC sets up pension fund research chair
"(…) The Nice-based business school EDHEC and Axa Investment Managers have created a research chair on regulation and institutional investments. This three-year programme will begin by looking at "the influence of institutional and regulatory framework [IFRS] on the financial management of pension funds in Europe," the school commented." (…)"
Copyright IPE [Full text]
Les Echos (24/09/2007)
La recherche de la diversification pousse à conquérir de nouveaux territoires
"(…) L'obsession de la diversification court à travers les siècles. Aujourd'hui, elle ne consiste plus seulement à protéger son patrimoine contre les caprices du hasard mais aussi à chercher de nouvelles sources de rendement hors des sentiers battus. (…)"
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Le Temps (24/09/2007 )
Trois premières leçons tirées de la crise des crédits «subprime»
"(…) La cause de l'éclatement de la bulle des crédits titrisés est à chercher du côté du manque de responsabilisation des acteurs du fait de réglementations trop sévères. (…)"
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Le Figaro (21/09/2007)
La gestion alternative s'en sort
"(…) À l'heure où certains dirigeants européens plaident pour un renforcement de la réglementation des fonds alternatifs (hedge funds), un rapport de l'AMF, présenté cette semaine, préconise au contraire d'assouplir la multigestion alternative, qui est le seul moyen pour les particuliers d'avoir accès aux hedge funds. (…)"
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La Tribune (18/09/2007)
Gestion d'actifs : L'autrichien Superfund s'installe à Paris
"(…) Il s'agit d'un OPCVM de fonds alternatifs, valorisé de façon hebdomadaire, qui exploite nos techniques de gestion systématique et un processus d'allocation dynamique dans le cadre d'une approche coeur-satellite développée par l'EDHEC Investment Research", précise Emmanuel Bégat. (…)"
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Financial Times (10/09/2007)
Agreement on indices' drawbacks, EDHEC says
"(…) Cap-weighted indices are inefficient and unstable, asset managers are agreed, but they continue to use them. French research institution EDHEC surveyed the industry following the publicationin 2006 of its research showing that cap-weighted indices are a big source of inefficiency in portfolios. (…)"
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Les Echos (10/09/2007)
La tentation de la « surrégulation »
"(…) Les politiques ont parfois fait l'amalgame entre l'importante correction des marchés cet été et l'existence des « hedge funds. (…)"
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La Tribune (04/09/2007)
Gestion d'actifs : Le marché ne redoute pas une crise des hedge funds
"(…) Selon l'EDHEC, les fonds spéculatifs exposés au risque de crédit ne représentent que 20 % des encours gérés au titre de la gestion alternative. (…)"
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La Tribune (03/09/2007)
Hedge funds, des boucs émissaires tout désignés
"(…) Dans un article d'opinion, l'EDHEC estime que les fonds spéculatifs ont été à tort rendus responsables de la crise financière de cet été. (…)"
La Tribune [Full text - Registration required]
Hedge Funds Review (01/09/2007)
Which way is up? – measuring performance
"(…) In the second in a series on hedge fund performance measurements, EDHEC's Walter Gehin sets out to discover the ins and outs of putting a number and meaning to the all-important direction of that red track-record line. (…)"
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Funds Europe (September 2007)
Banking alpha
"(...) The offshore dimension of Swiss products means they are probably the most widely distributed in Europe, say Peter O'Kelly of EDHEC and Virginie Buey of EuroPerformance. (...)"
Copyright Funds Europe [www.funds-europe.com]

August 2007

Hedge Funds Review (August 2007)
Unbiased reporting
"(…) EDHEC's Walter Gehin assesses the importance of database quality and impact on various biases, on hedge fund returns. (…)"
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Funds Europe (August 2007)
Back to Basics
"(…) In their third article on risk management, EDHEC's Noël Amenc and Lionel Martellini consider the usefulness of optimisation methods. (…)"
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Le Monde Economie (27/08/2007)
Touchés par la crise, les hedge funds devraient ralentir leur activité
"(…) La tempête boursière provoquée par la crise des crédits hypothécaires à risques (subprime mortgage) s'apaise progressivement. Mais ses conséquences pour l'activité des fonds spéculatifs (hedge funds) semblent plus durables, si ce n'est définitives. (…)"
Le Monde Economie [Full text - Registration required]
Le Monde (21/08/2007)
Les fonds spéculatifs ne sont pas à l'origine des excès du marché
"(…) Noël Amenc, professeur à l' EDHEC, récuse les attaques contre les « hedge funds ». Selon lui, la tempête actuelle est « une crise de confiance dans l' information sur les risques ». (…)"
Le Monde [Full text - Registration required]
Life Insurance International (14/08/2007)
Hedge fund investment under threat
"(…) Analysts at the French business school Ecole De Hautes Etudes Commerciales du Nord (EDHEC) have seriously questioned the future of hedge funds as a viable investment for European insurance companies once the Solvency II supervisory standard comes into force in 2012. (…)"
Copyright Life Insurance International [www.lifeinsuranceinternational.com]
HedgeWorld News (07/08/2007)
Morgan Stanley Launches First HF Clone
"(…) Morgan Stanley recently announced the launch of its first hedge fund replication product, called altera. The goal is to give investors access to alternative beta strategies across several asset classes by matching the performance of the MSCI Hedge Fund Indices. So far in back-testing, altera achieves this performance objective, according to a statement issued by the bank. (…)"
Copyright Hedge World News [www.hedgeworld.com]
Hedge Funds Review (01/08/2007)
Unbiased reporting
"(…) EDHEC's Walter Gehin assesses the importance of database quality and impact on various biases, on hedge fund returns. (…)"
Copyright Hedge Funds Review [Full text - Registration required]

July 2007

Financial Times (30/07/2007)
Solvency rules may cramp insurers
"(...) European insurance companies may be forced out of hedge funds and other alternative investments when new solvency rules come into force unless proposals are adjusted, warns EDHEC, the business school based in Nice, France. (...)"
Copyright Financial Times [Full text]
IPE (27/07/2007)
Solvency II "could threaten hedge funds"
"(…) Institutional investments in hedge funds and other alternatives assets classes could come under threat by the Solvency II directive, French business school EDHEC has claimed... EDHEC has urged CEIOPS to correct its proposals as it believes it will otherwise be "practically impossible for European insurance companies to continue to invest in hedge funds"." (…)"
Copyright IPE [Full text]
The Wall Street Journal (21/07/2007)
The Hedge-Fund 'Clones'
"(...) A recent study of cloning by researchers at France's EDHEC Business School showed that most clones generally did a poor job of mimicking the returns of hedge funds. (...)"
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L'Agefi (19/07/2007)
Solvabilité II, SOS Actions
"(...) On pourrait envisager qu’un rabais soit accordé aux assureurs qui utilisent des outils de gestion dynamique ou de gestion actif/passif (ALM), avance Philippe Foulquier, directeur du centre de recherche d’analyse financière et de comptabilité de l'EDHEC. (...)"
Copyright l'Agefi [Full text]
The Financial Times (16/07/2007)
Alpha among the Alps for Swiss peak performers
"(...) Switzerland plays host to some of the world's biggest banking institutions and many top-notch private banks. It must be reassuring to their customers that some of the best-known names in the business make it into the alpha league table compiled by EDHEC in association with EuroPerformance. (...)"
Copyright The Financial Times Limited [Full text]
Le Temps (16/07/2007)
Banque privée en tête
"(...) LODH s'illustre à l'Alpha League. Une banque privée genevoise occupe de nouveau la tête de l'Alpha League. L'an dernier, Pictet s'était distingué dans ce classement des meilleures performances corrigées des risques réellement pris, l'apha dans le jargon financier. (...)"
Copyright Le Temps [Full text]
Les Echos (16/07/2007)
Lombard Odier, nouveau champion suisse sur les actions
"(...) C'est Lombard Odier Darier Hentsch qui a remporté la 2e édition de l'Alpha League Table pour la Suisse, établie par Europerformance et l'EDHEC, qui marque la suprématie des banquiers privés. (...)"
Copyright Les Echos [Full text - Registration required]
La Tribune (16/07/07)
Le LSE lance un segment dédié à la gestion alternative
"(...) "Jusqu'à présent, les hedge funds avaient une préférence pour la Bourse d'Amsterdam qui leur permettait de déroger aux obligations de diversification de portefeuille et d'indépendance des conseils d'administration en vigueur dans la City. Le nouveau segment de la Bourse de Londres lève ces contraintes", ajoute Noël Amenc, professeur de finances et directeur du centre de recherche EDHEC Risk. (...)"
Copyright La Tribune [Full text]
Les Echos (10/07/2007)
Des conséquences multiples pour le secteur
"(...) Solvabilité II va profondément bouleverser le paysage de l'assurance européenne. Les compagnies ont pu en mesurer l'ampleur à l'occasion des trois premières « études d'impact », qui ont confronté les hypothèses examinées à la réalité. (...)"
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The Economist (07/07/2007)
Two Thumbs Up
"(...) European insurers get some souped-up new regulations. Europe's insurers have waited a long time for a major overhaul of the rules on risk and capital. While bankers have developed Basel 2, insurers have been stuck with a regulatory relic largely unchanged since the 1970s. (...)"
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IPE (06/07/2007)
Assessing the strategic case
"(…) In a paper published by EDHEC Risk and Asset Management Centre in France, ‘Conditional Risk Premia and Correlations in Commodity Futures Markets’, James Chong of California State University, Northridge, and Joëlle Miffre of EDHEC Business School attempted to test the theory of normal backwardation. The authors show that investors in commodity futures earned significant risk premia over the period 1979-2004 (which applies to 19 of the 21 commodity futures markets studied), a result that strongly supports the notion that risk transfers occur in commodity futures markets between hedgers and speculators." (…)"
Copyright IPE [Full text]
The Financial Times (02/07/2007)
Hedge Fund sheep in wolves' clothing
"(...) Have black box model, backtest data excellent, am expecting to earn a billion dollars a year, send your money now (minimum $1m, one year lockup). The aspirants are many, but the successful are very few in number. In fact, say the critics, the world of hedge funds is too much characterised by false and misleading claims and inappropriate remuneration structures. (...)"
Copyright The Financial Times Limited [Full text]
FT Mandate (July 2007)
Pooling talent in pursuit of alpha
"(…) BNP Paribas Asset Management’s obsession with being one step ahead of the competition has seen a reshuffle of its capabilities in order to combine expertise. CIO Christian Dargnat speaks to Henry Smith about the revitalised firm... The IBS team, he adds, has also entered into a three-year partnership with the French business school, EDHEC, for the purpose of developing "better" liability-driven investment (LDI) strategies for institutional investors in France, Italy and the UK. (…)"
Copyright FT Mandate [Full text]
Hedge Funds Review (01/07/2007)
Knowledge is power
"(…) EDHEC's Noël Amenc and Mathieu Vaissié outline the information that investment firms' activity reports should contain if they are to measure and manage their risk effectively. (…)"
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FT Mandate (July 2007)
How to classify a hedge fund index
"(…) But capacity and managed account selection biases and other, subjective selection criteria (track record, AUM), can affect investables. Then there is no consensus on whether qualitative or quantitative analysis is best for classifying a fund's strategy, or whether indices should be asset-weighted, equally-weighted or mixed. Critics like EDHEC's François-Serge Lhabitant argue that this makes HFIs active: "Funds of hedge funds managed according to arbitrary rules." (EDHEC itself supports classification of HFIs as financial indices). (…)"
Copyright FT Mandate [Full text]
Funds Europe (July 2007)
Risky: Part II
"(...) In their second article on risk management, Noël Amenc and Lionel Martellini look at the diversification benefits of optimal beta management in a core portfolio. (...)"
Copyright Funds Europe [www.funds-europe.com]

June 2007

The Financial Times (29/06/2007)
The sector that arrived late to the party
"(...) The concept of index investing may be old hat in most asset classes, but in the world of hedge funds it is still work in progress. Hedge fund indices, have of course, been around for many years, but there is no simple underlying measure, such as a FTSE 100, to recreate. (...)"
Copyright The Financial Times Limited [Full text]
The Financial Times (29/06/2007)
The thorny problem of how to classify a hedge fund index
"(...) The concept of index investing may be old hat in most asset classes, but in the world of hedge funds it is still work in progress. Hedge fund indices, have of course, been around for many years, but there is no simple underlying measure, such as a FTSE 100, to recreate. (...)"
Copyright The Financial Times Limited [Full text]
L'Agefi (28/06/2007)
Le clonage des Hedge Funds à l'épreuve
L'avis de Noël Amenc, directeur de l'EDHEC Risk and Asset Management Research Centre.
Copyright L'Agefi [Full text]
Pensions and Investments (25/06/2007)
U.K. funds tempted by clones
"(...) Most of the interest in hedge fund cloning is coming from the U.K., with a flicker of interest from other parts of Europe, said Lionel Martellini, scientific director of EDHEC Risk and Asset Management Research Centre, Nice, France. (...)"
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Le Temps (25/06/2007)
La performance du private equity est, grâce aux ETF, enfin accessible à tous
"(...) Investir dans le private equity en une seule transaction boursière est maintenant possible grâce à un indice (Privex) couvrant des firmes de private equity cotées, en limitant les risques liés à la nature peu liquide de ce type d'investissement. A fin mars 2007, les 847 ETF. (...)"
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FT Investment Adviser (18/06/2007)
EDHEC claims hedge fund cloning is 'not ready yet'
"(...) EDHEC, the French business school, said it feared that banks had launched commercial products before academic research had produced vehicles which worked in practice. (...)"
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Les Echos (18/06/2007)
Solvency II, le nouveau dogme qui bouscule la gestion d'actifs
"(...) En l'état des discussions, les nouvelles normes prudentielles, dites Solvency II, vont avoir de nombreuses conséquences sur les techniques de gestion, les marchés et la demande de certains actifs comme les actions. Elles pourraient ainsi entraîner l'effet pervers de renforcer l'inclinaison spéculative des marchés. (...)"
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Les Echos (18/06/2007)
IFRS, Solvency II, deux chantiers pour une mue profonde de la gestion d'actifs
"(...) Les nouvelles normes comptables IFRS et de solvabilité Solvency II vont entraîner de nombreuses conséquences sur le secteur de la gestion d'actifs, ses techniques et ses acteurs, au premier rang desquels les assureurs. Des changements importants et durables sont à attendre sur la meilleure façon de gérer et d'appréhender les risques. (...)
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Les Echos (18/06/2007)
Les normes IFRS font preuve d'une ambition démesurée et dangereuse
"(...) La conjonction et l'interaction des normes comptables et prudentielles s'avèrent un « cocktail détonant » pour le secteur de la gestion d'actifs, ses acteurs, comme les assureurs, et les problématiques de gestion actif/passif, selon Noël Amenc, directeur de l'EDHEC Risk and Asset Management Research Centre. (...)"
Copyright Les Echos [Full text - Registration required]
South China Morning Post (15/06/2007)
A billion-dollar toolkit - Private bankers can improve their results by using the strategies of their institutional counterparts
"(...) Private bankers and wealth managers should employ the same techniques used by corporate bankers who structure billion-dollar deals when managing the accounts of their high-net-worth clients, a study reveals. (...)"
Copyright South China Morning Post Publishers Limited, Hong Kong [www.scmp.com]
IPE (14/06/2007)
Mentioning the MiFID elephant
"(…) According to a recent survey of asset managers (mostly traditional, but including some hedge funds) by French research group EDHEC Risk Advisory, only half of respondents, which did not encompass the entire sample, use pre-trade analytics. "It is striking to see that pre-trade analytics may not have yet reached the desk of the majority of buy-side firms," EDHEC commented in its report. Post-trade analytics requires significant investment in technology in order to provide comparable figures; EDHEC paints a gloomy picture of the industry’s readiness to provide this." (…)"
Copyright IPE [Full text]
L'Agefi (13/06/2007)
Les ETFs séduisent les institutionnels
"(...) Les produits indiciels et les stratégies quantitatives gagnent en importance dans l'allocation d'actifs. Tour d'horizon lors d'un séminaire organisé par Lusenti Partners. Comment faire mieux que le marché sans s'éloigner trop des indices de référence, tout en maintenant ses coûts sous contrôle ? C'est la difficile équation que doivent résoudre la plupart des gérants institutionnels. (...)"
Copyright L'Agefi [www.agefi.com]
L'Agefi Actifs (08/06/2007)
L'approche ALM en gestion privée permet d'éviter les mauvais investissements
Entretien avec Noël Amenc, Professeur de finance et Directeur de l'EDHEC Risk and Asset Management Centre
Copyright L'Agefi Actifs
Hedge Funds Review (01/06/2007)
From alpha to omega
"(…) It's all about higher moments. The kind where you decide what is really important about what you do and how you allocate your resources. Lionel Martellini presents the EDHEC guide to hedge fund enlightenment. (…)"
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HedgeWorld News (01/06/2007)
Deutsche Bank Launches Its First HF Clone
"(...) Following other investment banks, Deutsche Bank announced the launch of its first hedge fund replication index last week. (...)"
HedgeWorld [www.hedgeworld.com]
Funds Europe (June 2007)
French flair
"(...) Virginia Buey, of EuroPerformance, and Peter O’Kelly, of EDHEC, explicate the Alpha League Table for France. (...)"
Copyright Funds Europe [www.funds-europe.com]
IPE Real Estate (May/June 2007)
A flurry of new indices
"(…) After reviewing the NCRIEF Property Index in our last issue, Frédéric Ducoulombier looks at the transaction-based indices also competing to serve as underlyings for the budding US property derivatives markets. (…)"
Copyright IPE Real Estate [www.ipe.com/realestate/]

May 2007

Financial Times (28/05/2007)
Hedge clones "jumped the gun"
"(...) None of the hedge fund replication strategies yet unveiled by investment banks and academics are capable of accurately recreating hedge fund returns, according to a comprehensive report from EDHEC, the French business school. (...)"
Copyright Financial Times [Full text]
SeekingAlpha (24/05/2007)
Hedge Fund Management Style Analysis: "Holding-Based" vs. "Return-Based" Approaches
"(…) Christopher Holt submits: With the release of Andrew Lo's recent paper on a new way to calculate alpha, this article by EDHEC on style analysis seems apropos. (…)"
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Cinco Dias (24/05/2007)
Ibercaja y Bankinter, las dos gestoras que más veces superan al mercado
"(…) Ibercaja Gestión y Bankinter aparecen como las dos primeras gestoras de fondos que más creación de valor obtienen para sus clientes, según la liga que organizan la escuela de negocios francesa EDHEC y la compañía de análisis de fondos Europerformance. (…)"
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HedgeWorld News (18/05/2007)
Funds of Funds Outperform HF Clones: Analysis
"(…) Hedge fund replication strategies have been one of the most widely discussed topics in the industry over the past six months. (…)"
Copyright HedgeWorld News [www.hedgeworld.com
Belfast Telegraph (14/05/2007)
The Naked Investor: Equity investment question of ratios
"(…) Clearly, fund managers do not want to be compared too closely for fear of not looking good. So one research house, EDHEC, carries out comparisons - normally over three full years - and produces tables using three measures (…)"
Copyright Belfast Telegraph [Full text]
Financial Times (14/05/2007)
European League Table: Italy lags behind Europe's top performers
"Just one in seven (14 per cent) Italian equity funds delivered outperformance over the last year, according to the latest alpha league table report from EDHEC in association with EuroPerformance. (...)"
Copyright Financial Times [Full text]
IPE (03/05/2007)
Going from strength to strength
"(…) ETFs can be useful instruments for pension funds and other investors taking a core-satellite approach to their portfolio, according to the EDHEC Risk and Asset Management Research Centre in France. "ETFs offer a natural vehicle for implementing allocation strategies both in the core and the satellite," it reports. Core-satellite is becoming the norm. EDHEC says 48% of European investors and asset managers are using the core-satellite approach, and a further 9% say they will implement this type of organisation in the near future. With a core-satellite approach, a portfolio has a clear separation between a core portfolio managed passively, and one or more very actively managed satellites, says EDHEC." (…)"
Copyright IPE [Full text]
IPE (03/05/2007)
More flexible than futures and swaps
"(…) Felix Goltz, a co-author of the European ETF Survey 2006, conducted by asset management research company EDHEC, says ETFs have a number of features that distinguish them from other index instruments... The EDHEC European ETF Survey 2006 was conducted among 1000 European asset managers and institutional investors during the summer of 2006." (…)"
Copyright IPE [Full text]
Hedge Funds Review (01/05/2007)
Monitoring operational risk
"(…) EDHEC's Jean-René Giraud highlights the value of independent support in key areas of a fund's operations. (…)"
Copyright Hedge Funds Review [Full text - Registration required]
FT Money Management (01/05/2007)
Money Management: Openings in the hedges
"(…) Funds of hedge funds should soon be available to retail customers. This step has more to do with the FSA protecting itself from a charge of failing to facilitate competition. (…)"
Copyright FT Money Management [Full text - Registration required]
Funds Europe (May 2007)
Straight to the core
"(...) In the first of a series of articles on risk management techniques in asset management, Nöel Amenc and Lionel Martellini look at the core-satellite approach to portfolio construction. (...)"
Copyright Funds Europe [www.funds-europe.com]

April 2007

FT Investment Adviser (30/04/2007)
A question of ratios
"(…) Another approach to "picking" top performers is that taken by the French EDHEC Risk and Asset Management Research Centre. (…)"
Copyright Investment Adviser [Full text]
The Sunday Telegraph (29/04/2007)
Who's afraid of structured products?
"(…) They bring back bad memories of the precipice bond debacle, but wealth managers are unperturbed and increasingly tout these complex funds as a way to control risk. (…)”
Copyright The Sunday Telegraph [Full text]
L'Agefi (20/04/2007)
Les ETFs, des instruments utilisés de manière toujours plus active
"(…) Grâce à leur diversité, les produits indiciels deviennent un élément clé pour optimiser la structure des portefeuilles, constate une étude de l'EDHEC. (…)"
Copyright L'Agefi [www.agefi.fr - Registration required]
Le Temps (20/04/2007)
Les ETF permettent de nouvelles stratégies et réduisent les risques
"(…) Les investisseurs apprécient les ETF, mais privilégient exagérément les produits sur indices géographiques. iShares et EDHEC soulignent leur potentiel selon une autre approche. (…)"
Copyright Le Temps [Full text - Registration required]
Private Banking (16/04/2007)
Markets in financial instruments directive (MIFID): Les bénéfices hypothétiques d'une directive controversée
"(…) Dans l'ouvrage remarquable qu'il a publié avec sa collègue de l'EDHEC Catherine D'Hondt («MIFID Convergence Towards a Unified European Capital Markets Industry», paru fin 2006 chez Risk Books Incisive Financial Publishing, Londres), Jean-René Giraud estime en outre que l'article 21 en question provoquera de la part surtout des clients «de détail» un comportement d'«antisélection» et d'«aléa moral». (…)"
Copyright Private Banking [Full text - In French]
Private Banker International (10/04/2007)
Asset-Liability Management: The real way to manage private clients?
"(…) Classic asset-liability management techniques, still largely confined to institutional investors, can significantly help private banking clients, a new study claims. (…)"
Copyright Private Banker International [www.privatebankerinternational.com]
European Pensions and Investment News (09/04/2007)
Locals top latest French alpha generating tables
"(…) Independent local players have dominated EDHEC’s ranking of the top long-only alpha generators in France. The Nice-based business school’s specialist asset management centre is seeking to pioneer a new fund ranking methodology based on examining a fund’s returns against the degree of risk it takes. (…)"
Copyright European Pensions and Investment News [Full text]
The Financial Times (09/04/2007)
Defying the last of the financial Luddites
"(…) Mark Mathias argues that critics of structured investments do not appreciate their real use and the view that they are costly is not justified. (…)"
Copyright FT Fund Management [Full text]
L’Agefi (05/04/2007)
MIF : l’EDHEC crée un modèle d’évaluation des performances de l’exécution
"(…) L’EDHEC, qui a publié une étude sur la directive MIF (Marchés d’instruments financiers), a mis en place un modèle d’évaluation des performances de l’exécution des ordres basé sur une analyse de l’univers des transactions effectuées dans des conditions comparables. (…)"
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Les Echos (04/04/2007)
Fédération bancaire française : les cinq chaires universitaires consacrées à la banque de marché
"(…) Après l'examen d'une dizaine de projets avec le conseil scientifique d'Europlace et les banques, la Fédération bancaire française va allouer 300.000 euros sur cinq ans à la création de 5 chaires universitaires consacrée à la banque de marché… Chaire Produits structurés et produits dérivés, EDHEC. (…)"
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Professional Pensions (04/04/2007)
Fears MiFID will lead to transparency deterioration
"(...) EDHEC Business School said far from increasing transparency and improving best execution the directive could instead lead to a deterioration in existing pre-trade transparency currently enjoyed by schemes and their agents. (...)"
Professional Pensions [Full text]
IPE (02/04/2007)
Market neutral via managed accounts
"(…) But are hedge funds really delivering alpha? Studies by Nice-based EDHEC-Risk’s asset management research have shown that most equity hedge fund strategies are positively correlated with equity market returns. Therefore, for much of the time they are delivering beta rather than alpha. From the investor’s point of view, the beta "drowns" the alpha, making it hard for them to discern how much of the return is due to manager skill and how much to the movement of the market." (…)"
Copyright IPE [Full text]
FT Mandate (01/04/2007)
Property Derivatives - An indirect property route to add flexibility and lower costs
"(…) Property derivatives can be used in three main ways. Firstly, explains Frédéric Ducoulombier, associate professor at EDHEC business school, as a way of providing synthetic investment in real estate. Investors can go long or short the market, or a sector of the market (say, central London offices). They can rebalance portfolios "in an easy, prompt and relatively cheap manner". And they can diversity. (…)"
Copyright FT Mandate [Full text]
Hedge Funds Review (April 2007)
The challenges in modelling hedge fund returns
"(…) As the replication of hedge fund strategies gathers in pace and poularity EDHEC’s Lionel Martellini discusses how and whether strategies can be mirrored, and the hedge fund indices that have until now been the mainstay of those seeking to copy hedge fund performance . (…)"
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The Hedgefund Journal (April 2007)
Quantification of Hedge Fund Default Risk
Article by Corentin Christory, Stéphane Daul, Jean-René Giraud, EDHEC Risk and Asset Management Research Centre
Copyright The Hedgefund Journal [Full text]
Funds Europe (April 2007)
Fashionable funds
"(...) The use of ETFs by European investors looks set to continue apace, but with growth stronger in some areas than others. Véronique Le Sourd and Felix Goltz examine the evidence. (...)"
Copyright Funds Europe [www.funds-europe.com]
IPE Real Estate (March/April 2007)
Options on the line
"(…) In the first article of a two-part study, Frédéric Ducoulombier looks at the characteristics of the indices vying to serve as underlyings for the budding US property derivatives markets. (…)"
Copyright IPE Real Estate [www.ipe.com/realestate/]

March 2007

Hedge Funds Review (27/03/2007)
EDHEC slams MiFID’s likely unintended consequences
"(…) MiFID will cause a deterioration in the pre-trade transparency that is currently provided to investors, according to EDHEC. (…)"
Copyright Hedge Funds Review [Full text]
Les Echos (26/03/07)
La transparence, condition du succès de la fragmentation des marchés
Par Jean-René Giraud, Chercheur et Directeur du Développement de l’EDHEC Risk and Asset Management Research Centre
Copyright Les Echos [Full text - Registration required]
European Pensions and Investment News (26/03/07)
Dispelling hedge fund risk myths
"(…) The arguments claiming that hedge funds pose a significant risk to institutions are tired and misleading, says Jean-René Giraud. (…)"
Copyright European Pensions and Investment News [Full text]
La Tribune (20/03/2007)
Gestion d'actifs : La gestion actif/passif au secours de la gestion privée
"(…) Une étude récente de l'EDHEC met en évidence que l'utilisation de la gestion actif/passif dans la gestion privée représente un réel vecteur de valeur ajoutée qui n'a pas été suffisamment approfondie à ce jour. (…)"
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Financial Times (19/03/07)
League tables stress role of management
"(…) The stability between the two tables also shows that it is the management of investment talent that produces outperformance, rather than the configuration of markets, says EDHEC, which compiled the table in association with EuroPerformance. (…)"
Copyright The Financial Times [Full text]
HedgeWorld News (15/03/2007)
Hedge Funds to the Core, Says EDHEC Researcher
"(…) EDHEC Asset Management Days 2007, a conference organized by the Nice, France-based business school and risk and asset management research center, closed last evening [March 13] after two days of intensive discussion. (…)"
Copyright HedgeWorld [www.hedgeworld.com]
L'Agefi (14/03/2007)
Les ETFs seront les nouveaux maîtres de ces classes d'actifs alternatives
"(…) L'intérêt dans les conférences du genre de celle organisée par l'EDHEC c'est qu'elle montre à quel point l'industrie peut bénéficier des avancées faites par le monde académique. (…)"
Copyright L’Agefi [www.agefi.fr]
L'Agefi (13/03/2007)
La gestion actif-passif bientôt appliquée dans la banque privée
"(…) Une étude de l'EDHEC montre le potentiel de valeur ajoutée du transfert de ces techniques développées à la base pour les institutionnels. (…)"
Copyright L’Agefi [www.agefi.fr]
Hedge Funds Review (12/03/2007)
EDHEC funds ALM benefits wealth managers
"(…) An EDHEC study has revealed asset-liability management (ALM) techniques add real value to private wealth management. (…)"
Copyright Hedge Funds Review [Full text]
Les Echos (12/03/2007)
La gestion actif-passif est encore méconnue par la banque privée
"(…) La banque privée ignore encore l'apport des techniques de gestion actif-passif développées pour les investisseurs institutionnels et qui, adaptées aux particuliers, apporteraient des résultats autrement plus probants que les méthodes actuelles. (…)"
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La Tribune (09/03/2007)
Retraite : S'occuper de ses vieux jours dès la quarantaine
"(…) "Comme les institutionnels, les particuliers devraient raisonner en termes de gestion "actif-passif", poursuit le professeur de l'EDHEC. (…)"
Copyright La Tribune [Full text]
Funds Europe (March 2007)
Rise and Shine
"(…) Véronique Le Sourd and Felix Goltz explain how using ETFs within the core-satellite investment approach leads to significant risk reduction and opportunities for outperformance. (…)"
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Hedge Funds Review (March 2007)
Does one size really fit all?
"(…) If investing in single hedge funds is too difficult, an ever-expanding range of vehicles is open to those seeking exposure to hedge funds. Mathieu Vaissié, research associate at the EDHEC Risk and Asset Management Research Centre assesses the options. (…)"
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February 2007

Financial Times (27/02/2007)
Risk/return optimisation is key to portfolio management
"A 2005 study by EDHEC Research Centre concluded that for institutional investors, risk-averse and liability-driven portfolios should have weightings... (...)"
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L'Agefi (14/02/2007)
L'EDHEC pointe du doigt les incohérences persistantes de Solvabilité II
"(…) Si elle en salue certaines avancées, l'école de commerce déplore les insuffisances du projet sur la couverture du risque actions et la gestion actif/ passif. Peut mieux faire. Tel est le message adressé par l' EDHEC au régulateur européen en charge de l'élaboration de la directive Solvabilité II, dont l' objet est la mise en place d' un nouveau ratio de solvabilité pour les assureurs. (…)"
Copyright L’Agefi [www.agefi.fr]
Financial Times (12/02/07)
Solvency plan "still flawed"
"(…) The proposed solvency regime for European Union insurance companies still contains "grave incoherencies" as the consultation goes into its final stages, according to EDHEC Business School. (…)"
Copyright The Financial Times [Full text]
Funds Europe (February 2007)
The quest for respectability
"(…) Felix Goltz, senior research engineer with the EDHEC Risk and Asset Management Research Centre, asks whether hedge fund indices should be eligible for UCITS. (…)"
Copyright Funds Europe [Full text]
Hedge Funds Review (February 2007)
Hedge fund indices: The best way to gain exposure to hedge fund strategies' betas?
"(…) As we have seen in previous EDHEC articles, investing in single hedge funds is reserved for sophisticated investors. A solution for traditional investors to make up for their lack of experience in the alternative arena is to invest in standard solutions. (…)"
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January 2007

Financial Times (22/01/2007)
Expansion is led by institutions in Europe, retail investors in US
"However, a recent study by EDHEC Risk and Asset Management Research Centre, part of the French business school, found ETFs were not being used to their full... (...)"
Copyright Financial Times [Full text]
HedgeWeek (19/01/2007)
New EDHEC paper examines hedge funds' operational risks
"(…) A new research paper from the asset and risk management research centre of French business school EDHEC looks at how to quantify the operational risks that can result in hedge fund failures. (…)"
Copyright Hedge Week [Full text]
Hedge Funds Review (18/01/2007)
Industry poorly prepared for best execution analysis, EDHEC says
"(...) European authorities have left the hedge fund industry largely uninformed about significant obligations they will have to meet under the Markets in Financial Instruments Directive (Mifid), according to French business school EDHEC. (...)"
Copyright Hedge Funds Review [Full text]
Hedge Funds Review (17/01/2007)
One-size-fits-all approach to due diligence no good, says EDHEC
"(...) The cost and complexity of hedge fund operational due diligence can be significantly reduced by performing an ‘informed’ due diligence process, according to EDHEC, in a working paper titled Quantification of Hedge Fund Default Risk. (...)"
Copyright Hedge Funds Review [Full text]
Banking Technology (15/01/2007)
Lack of post-trade analytics will impact MiFID compliance
"(…) EDHEC Risk Advisory, a French specialist research firm, surveyed buy-side firms across Europe and found that there is little consensus on how transaction cost analysis should be carried out. (…)"
Copyright Banking Technology [Full text]
The Financial Times (15/01/2007)
Mifid costs plan "fails to measure up"
"(…) Fund managers will be obliged under Mifid, the markets in financial instruments directive, to obtain the best terms for clients when executing orders. But the report from EDHEC Risk Advisory, sponsored by HSBC, said there was no clear definition of what constituted best execution under Mifid, so managers might be able to claim they were providing the service when they were not. (…)"
Copyright FT Fund Management [Full text]
IPE (04/01/2007)
Optimising beta
"(…) Institutional investors may be missing out on the full benefits of a core-satellite approach to portfolio investment because they are using broad market indexes as benchmarks for the core and failing to optimise the passive part of their portfolio. This was the central message of Noël Amenc, professor, finance department, EDHEC Business School, and director, EDHEC Risk and Asset Management Research Centre in a keynote address at the IPE awards in Paris." (…)"
Copyright IPE [Full text]
Funds Europe (January 2007)
Best of British
"(…) Virginie Buey of EuroPerformance and Peter O'Kelly of the EDHEC Risk and Asset Management Research Centre have compiled the Alpha League Table for the UK. (...)"
Copyright Funds Europe [www.funds-europe.com – Registration required]
Hedge Funds Review (January 2007)
Speedy digestion of amaranth flakes shows the industry's emerging maturity
"(…) The industry's response to the Amaranth debacle is a heartening endorsement of the capital markets' ability to absorb such shocks to the system, says EDHEC's Hilary Till. (…)"
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Investment and Pensions Europe Real Estate (January/February 2007)
The future shape of real estate
"(…) Frédéric Ducoulombier, associate professor at EDHEC Business School, explains why the Nice based centre is adding real estate to its alternative asset arsenal and outlines the key ongoing themes. (…)"
Copyright Investment and Pensions Europe [Full text - Registration required]

December 2006

Le Temps (18/12/2006)
Les acheteurs d'ETF ne les trouvent pas vraiment bon marché
"(...) L'EDHEC, une école de gestion, a interrogé 112 gérants européens. Ils achètent rarement des fonds indiciels cotés investis en obligations. (...)"
Copyright Le Temps [Full text - Registration Required - French]
Les Echos (13/12/2006)
La titrisation de risques d'assurance trouve un nouvel essor
"(...) Si les régulateurs admettent un allégement des besoins en capital du fait des opérations de titrisation, le marché pourrait réellement décoller », estime Philippe Foulquier, professeur de finance à l'EDHEC. . (...)"
Copyright Les Echos [Full text - French]
Les Echos (11/12/2006)
Des biais importants mais pas rédhibitoires
"(...) De plus, la faible représentativité est un problème commun à tous les indices, qu'ils soient alternatifs ou traditionnels, comme l'ont illustré les travaux de l'EDHEC. . (...)"
Copyright Les Echos [Full text - French]
Financial Times (07/12/2007)
UK-targeted ETFs launched by BGI
"But a recent study by EDHEC, the business school, said that ETFs were not being used to their full potential by the European investment industry. (...)"
Copyright Financial Times [Full text]
Financial Times (06/12/2006)
Barclays Global's gilt ETF for UK investors
"(...) But a recent study by EDHEC, the business school, said that ETFs were not being used to their full potential by the European investment industry. (...)"
Copyright Financial Times [Full text]
Les Echos (04/12/2006)
« On peut regretter l'absence de réflexion des intermédiaires sur les besoins des investisseurs »
"(...) Membre du comité éditorial du prestigieux « Journal of Portfolio Management » et chercheur reconnu en gestion d'actifs, Lionel Martellini explique dans un entretien aux « Echos » les intérêts des produits structurés pour les stratégies d'allocation d'actifs et les problématiques de gestion... (...)"
Copyright Les Echos [Full text - Registration required - French]
Financial Times (04/12/2006)
Top performer with a laid back style
"(...) Over 15 years the company's flagship fund, Agressor, has returned an average of 18 per cent a year, which is one of the reasons that EDHEC, a leading French business school, last year pronounced Financière de l'Echiquier France's top performing equities house. (...)"
Copyright Financial Times [Full text]
European Pensions and Investment News (04/12/2006)
ETFs being used for equities
"(…) Exchange-traded funds (ETFs) are carving out a central role for themselves in the institutional space, with more than half the respondents to a survey using or planning to use ETFs for equity investments. French business school EDHEC's survey of European institutional investors, private bankers and asset managers found that a further 26 per cent used ETFs for bond investments. Among these users, there was a 92 per cent satisfaction rate. (…)"
Copyright European Pensions and Investment News [Full text]
Funds Europe (December 2006)
The index sharpener
"(...) Felix Goltz and Véronique Le Sourd conclude that major stock market indices lack efficiency, and suggest a strategy to improve their use. (...)"
Copyright Funds Europe [www.funds-europe.com]
Professional Pensions (December 2006)
Managing Liabilities with Interest Rate Derivatives
By Felix Goltz, Senior Research Engineer with the EDHEC Risk and Asset Management Research Centre
Professional Pensions [www.professionalpensions.com]

November 2006

Professional Pensions (29/11/2006)
UK managers top alpha list
"(...) The Alpha League Table 2006, compiled by the EDHEC risk and asset management research centre and Europerformance, puts UK asset managers well ahead of their counterparts in France, Switzerland, Spain and Ireland in generating risk-adjusted performance. (...)"
Professional Pensions [Full text]
Financial Times (20/11/2006)
ETFs not being used to full potential, says EDHEC study
"(...) Exchange traded funds are not being used to their full potential by the European investment industry, according to a study by EDHEC, the business school. (...)"
Copyright Financial Times [Full text]
Les Echos (13/11/2006)
L'EDHEC critique l'étude d'impact « QIS 2 »
"(...) Une étude critiquée par l'EDHEC, qui estime que « le choix des concepts, mesures et calibrations sont parfois non seulement hasardeux mais, surtout, pourraient entraîner des prises de décision stratégiques de gestion par les sociétés d'assurance totalement contradictoires avec les objectifs initiaux de Solvency II, qu'ils soient financiers (traitement irréaliste des couvertures, traitement des actions rendant leur détention prohibitive) ou qu'ils relèvent de l'assurance. L'emploi du ratio combiné net comme seul indicateur de rentabilité est en conflit avec l'hypothèse que les flux de trésorerie doivent être actualisés », écrivent les auteurs du rapport, Philippe Foulquier et Samuel Sender, de l'EDHEC Risk and Asset Management Research Centre. (...)"
Copyright Les Echos [Full text - French]
Financial Times (13/11/2006)
Ceiops Solvency study criticised
"(...) The study, which lays out the main proposals for the basis of the standard solvency formula, is likely to result in "incentives for mismanagement rather than sound management of risks", according to a paper by EDHEC Business School. (...)"
Copyright Financial Times [Full text]
IPE (08/11/2006)
Hedge funds as risk reducers
Article by Felix Goltz, senior research engineer with the EDHEC Risk and Asset Management Research Centre
"(…) In fact, it can be argued that reluctance of some institutional investors to allocate to hedge funds stems from the way they look at hedge funds as simple return enhancement strategies for the satellite portfolio. Integrating hedge funds properly in the ALM process shows their true potential, wielding tremendous risk reduction benefits." (…)"
Copyright IPE [Full text]
IPE (08/11/2006)
Contradictions at heart of IFRS
Article by Philippe Foulquier, professor at EDHEC Business School in France
"(…) In an effort to demonstrate the inadequacy, and even contradictions, which one may find between certain IFRS definitions and Solvency II proposals on the one hand, and the aim to make insurance companies accountable for their risk management approaches on the other, EDHEC has published a major report on the matter." (…)"
Copyright IPE [Full text]
Hedge Funds Review (November 2006)
Hedge fund indices and Ucits – can they ever get along?
"(...) Hedge fund indices are growing in strength within the industry, but European regulators have suspended their Ucits eligibility. The academics at EDHEC look at why. (...)"
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Funds Europe (November 2006)
A Question of Style
"(...) Style analysis is notoriously difficult and often imprecise. Véronique Le Sourd offers an approach that sidesteps incomplete data sets and misinformation. (...)"
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October 2006

Les Echos (30/10/2006)
« Hedge funds » : les leçons de la débâcle d'Amaranth
"(...) « Depuis mai, les investisseurs savaient que le portefeuille énergie connaissait des hauts et des bas mensuels d'environ 11 %. La volatilité mensuelle des stratégies de placement dans l'énergie était de l'ordre de 12 %. Il n'était pas inhabituel d'endurer des pertes de 24 % sur un mois particulier », rappelle Hilary Till, chercheuse auprès de l'EDHEC et dirigeante fondatrice de Premia Capital Management, société d'investissement avec une solide expérience dans les dérivés de matières premières. (...)"
Copyright Les Echos [Full text - French]
Financial Times (19/10/2006)
New instruments that call the tune
"(...) Hilary Till, research associate with the EDHEC business school and principal of Premia Capital Management, said that, in spite of the consequences, Amaranth had played a valuable role. (...)"
Copyright Financial Times [Full text]
Les Echos (16/10/2006)
En Europe, les gérants britanniques sont les plus talentueux sur les actions
"(...) C'est un des enseignements de l'édition anglaise l'« Alpha League Table », établie par EuroPerformance-Groupe Fininfo et l'EDHEC. (...)"
Copyright Les Echos [Full text - French]
Les Echos (16/10/2006)
Alpha es-tu là ?
"(...) La méthodologie EuroPerformance-EDHEC tient compte également du risque de pertes extrêmes (VaR) et de la persistance de la performance du fonds pour récompenser aussi la constance et la maîtrise des risques du gestionnaire. (...)"
Copyright Les Echos [Full text - French]
Pensions & Investments (16/10/2006)
ETF use in Europe expected to outpace other investments
"(...) ETF use in Europe is expected to accelerate at a faster pace than futures, index funds or total return swaps in the next few years, according to initial results of a survey by EDHEC Risk and Asset Management Research Center. (...)"
Copyright Pensions & Investments [Full text]
Le Temps (13/10/2006)
Les premières leçons de la débâcle d'Amaranth
"L'invité. Frédéric Ducoulombier"
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Les Echos (03/10/2006)
La direction d'Amaranth fait appel à Fortress pour la vente de ses actifs
"(...) « Les dimensions des positions prises par Amaranth dans l'énergie étaient inappropriées eu égard à sa base en capital », juge Hilary Till, associée à la recherche de l'EDHEC et dirigeante fondatrice de Premia Capital Management, société d'investissement avec une solide expérience dans les dérivés de matières premières. (...)"
Copyright Les Echos [Full text - French]
Financial Times (02/10/2006)
Enter algorithmic trading systems race or lose returns, report warns
"(...) Algorithmic trading is growing fast. An EDHEC Risk Advisory survey due out this week will show that 78 per cent... (...)"
Copyright Financial Times [Full text]
Financial Times (01/10/2006)
'Hedge fund bets were too large'
"(...) The bets in the natural gas market that lost $6bn for hedge fund Amaranth were “much too large for its capital base”, according to a new study of the losses conducted by EDHEC, the French business school. (...)"
Copyright Financial Times [Full text]
Hedge Funds Review (01/10/2006)
Coming ready or not: do Europe's pension funds know what they're doing?
"(...) While six in 10 European institutional investors say they're well informed of hedge fund risks, only 29% are in a position to conduct their own risk analysis, according to EDHEC Risk and Asset Management Research Centre. Mathieu Vaissié surveys the landscape. (...)"
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Funds Europe (October 2006)
Fruits of the Hedge
"(...) Investing in a hedge fund as part of a broader portfolio neatly addresses the requirement for diversification. Noël Amenc and Lionel Martellini explain how this approach works across many strategies (...)"
Copyright Funds Europe [Full text - Registration required]

September 2006

European Pensions and Investment News (25/09/2006)
Institutional looks for a bit of structure
Article by Noël Amenc, director of the EDHEC Risk and Asset Management Research Centre in Nice
"(…) Pension funds should consider approaches that limit the downside risk on investments, in return for giving up some of the upside potential. Structured investment management is becoming an essential complement to traditional asset management, along with alternative investments, within the scope of institutional investment. (…)"
Copyright European Pensions and Investment News [Full text]
Financial Times (11/09/2006)
Stock market indices prove inefficient, research says
"(...) These conclusions are the outcome of joint research by Af2i, the French association of institutional investors, and EDHEC, the French business school, undertaken to assess the quality of indices as benchmarks given their widespread use. (...)"
Copyright Financial Times [Full text]
Les Echos (11/09/2006)
Les indices boursiers constituent des références peu satisfaisantes pour la gestion
"(...) La plupart des indices n'offrent pas la meilleure exposition aux facteurs de risque à long terme et ne constituent donc pas une bonne référence pour l'allocation stratégique, note une étude commandée par l'Association française des investisseurs institutionnels (AF2I) et réalisée par l'EDHEC Risk and Asset Management Research Centre avec le soutien de BNP Paribas Asset Management et celui d'UBS Global AM. (...)"
Copyright Les Echos [Full text - French]
Les Echos (11/09/2006)
Les solutions pour créer de meilleurs « benchmarks »
"(...) Plus appropriés, les indices de style et les indices sectoriels permettent aux investisseurs de gagner en contrôle sur le processus d'investissement en se concentrant sur la phase la plus rémunératrice qu'est l'allocation d'actifs », indiquent Nöel Amenc, Felix Goltz et Véronique Le Sourd, auteurs d'une étude de l'EDHEC Risk and Asset Management Research Centre réalisée pour l'Association française des investisseurs institutionnels (AF2I) avec le soutien de BNP Paribas Asset Management et celui d'UBS Global AM. (...)"
Copyright Les Echos [Full text - French]

August 2006

IPE (31/08/2006)
Hedge funds - over the top?
"(…) A recent study by the research centre EDHEC challenges this. The study suggests that if a pension fund allocates 10% of its portfolio to hedge funds it can reduce by 25% the probability that the assets of the fund will fall below 75% of their liabilities." (…)"
Copyright IPE [Full text]
Funds Europe (August 2006)
Reducing the risk
"(...) Felix Goltz, Lionel Martellini and Volker Ziemann of the EDHEC Risk and Asset Management Research Centre discuss the use of derivatives to smooth portfolio return patterns. (...)"
Copyright Funds Europe [www.funds-europe.com]
Hedge Funds Review (August 2006)
Core and satellite for Hedge Funds, part III
"(...) Here, we complete the topic of optimal diversification by discussing an allocation method maximising the diversification effect and examine optimal substitution of hedge fund strategies in investors' portfolios. (...)"
By Noël Amenc and Lionel Martellini, EDHEC Risk and Asset Management Research Centre
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July 2006

Funds Europe (July 2006)
Like Clockwork
"(...) The best Swiss managers provide steady long-term alpha, according to Virginie Buey, of EuroPerformance, and Peter O’Kelly, of the EDHEC Risk and Asset Management Research Centre (...)"
Copyright Funds Europe [Full text - Registration required]
The Hedgefund Journal (July/August 2006)
"Disorderly exits from crowded trades"? - On The Systemic Risks of Hedge Funds: A reply to the ECB's statement on hedge funds
Article by EDHEC
Copyright The Hedgefund Journal [Full text]
Les Echos (03/07/2006)
Noël Amenc : La recherche européenne n'est pas à la hauteur de l'américaine
"(...) Comparée aux Etats-Unis, l'Europe fait encore pâle figure en matière de recherche, comme le fait remarquer Noël Amenc, directeur du centre de recherche en gestion d'actifs de l'EDHEC. (...)"
Copyright Les Echos [Full text - French]
Banque & Finance (July/August 2006)
Hedge funds: finie l’ère des pigeons ?
"(...) Une récente étude menée conjointement par l’EDHEC et EuroPerformance apporte quelques éléments de réponse. (...) Après analyse des fonds investis en actions françaises, les auteurs concluent : « La mesure des capacités de stock picking des fonds est rendue difficile par la mauvaise communication de ces derniers. Plus du tiers des fonds ne déclarent pas d’indice de référence et, pour la population qui déclare un indice, il ne reflète qu’imparfaitement les risques pris dans le portefeuille dans 54% des cas. Au total, c’est plus de 70% des fonds dont l’information aux souscripteurs est tronquée ou imprécise ». (...)"
Copyright Banque & Finance [Full text - French]

June 2006

IPE (27/06/2006)
France's FRR hedge fund decision contested
"(…) The Fonds de Réserve pour les Retraites' decision to avoid hedge funds in its new strategic asset allocation has come under fire from the EDHEC business school... "The arguments put forward are in fact symptomatic of the freely circulating conventional wisdom against hedge funds, and they reveal a lack of familiarity with the diversification potential presented by hedge funds," EDHEC said today. " (…)"
Copyright IPE [Full text]
Les Echos (26/06/2006)
Gestion alternative : la réponse de l'EDHEC au Fonds de réserve pour les retraites
"(...) L'EDHEC est revenu sur la décision étonnante du Fonds de réserve pour les retraites (FRR) d'exclure les « hedge funds » de son allocation stratégique pour trois raisons principales. (...)"
Copyright Les Echos [Full text - French]
Pensions & Investments (26/06/2006)
Hedge funds don’t threaten markets, says EDHEC
"(...) The European Central Bank is wrong in concluding that hedge funds pose a significant risk to financial markets, said researchers at the Risk and Asset Management Research Centre of the EDHEC Business School. (...)"
Copyright Pensions & Investments [Full text]
Funds Europe (June 2006)
The state of the art
"(...) Lionel Martellini, Philippe Foulquier and Koray Simsek of EDHEC analyse the different models of asset-liability management techniques (...)"
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Hedge Funds Review (June 2006)
Core and satellite for hedge funds, part II
"(...) This month we discuss the important question of the choice of allocation tools and examine the role of hedge funds in the satellite portion. (...)"
By Noël Amenc and Lionel Martellini, EDHEC Risk and Asset Management Research Centre
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IPE (June 2006)
Busy doing not very much at all
Article by Noël Amenc, director of the EDHEC Risk and Asset Management Research Centre, and Frédéric Picard, managing director of EuroPerformance
"(…) In fact, stock picking is currently a sales and advertising selling point that is overwhelmingly favoured by asset management firms. According to a study carried out by EDHEC on a sample of 100 sales documents issued by 45 French asset management companies and devoted to equity management, 82% gave first place in the number of quotations in the sales proposition, to the manager’s capacity to carry out stock selection, as shown by his capacity to beat his benchmark, outperform the market or obtain absolute performance, compared to only 6% for tactical allocation (market timing)." (…)"
Copyright IPE [Full text]

May 2006

IPE (23/05/2006)
Vontobel, Pictet top Swiss "alpha league"
"(…) Vontobel Asset Management and Pictet & Cie have tied for first place in the new "Alpha League Table" from EuroPerformance and French business school EDHEC. The table is a ranking of European asset managers based on the intensity of alpha, or market outperformance." (…)"
Copyright IPE [Full text]
Les Echos (15/05/2006)
Pictet et Vontobel, champions suisses de l'Alpha League Table
"(...) C'est ce qui ressort du palmarès établi par EuroPerformance-groupe Fininfo et l'EDHEC Risk and Asset Management Research Centre. (...)"
Copyright Les Echos [Full text - French]
Le Temps (15/05/2006)
Fonds de placement. Pictet et Vontobel sacrés meilleurs gérants, ajustés du risque, du pays
"(...) Europerformance publie son premier classement des sociétés de gestion suisses, son Alpha League Table. (...)"
Copyright Le Temps [Full text - Registration Required - French]
IPE (05/05/2006)
Transaction cost analysis product launched
"(…) Meanwhile, French business school EDHEC is to conduct a pan-European survey of transaction cost analysis. EDHEC-Risk Advisory, the consultancy arm of the EDHEC Risk and Asset Management Research Centre, said: "The survey is being carried out in conjunction with the global equities business unit of HSBC Corporate, Investment Banking and Markets." (…)"
Copyright IPE [Full text]
Professional Wealth Management (May 2006)
Swaying investors to benefits of using structured products
"(…) The EDHEC Risk and Asset Management Research Centre has studied the diversification effect of structured products. More specifically, it sought to establish how far the introduction of a structured product into a conventional "equities + bonds" asset allocation helped optimise its risk/return profile (ie maintained or raised returns while reducing risk). What EDHEC did was to define a simple structured product and simulated returns and risks for two types of asset allocation, one involving just equities and bonds and the other containing the structured product as well. The results were unequivocal: there are many complementary elements of the structured product and traditional assets, with a significant improvement in the risk/return profile. This was especially true where the risk measure used takes particular account of extreme risks. (…)"
Copyright Professional Wealth Management [Full text]
Hedge Funds Review (May 2006)
Bringing core and satellite approaches to hedge funds
"(...) An introduction to the use of hedge funds within the core-satellite approach to portfolio management, separating beta management (choice and construction of a benchmark) and alpha management (management of active risk). (...)"
By Noël Amenc and Lionel Martellini, EDHEC Risk and Asset Management Research Centre
Copyright Hedge Funds Review [Full text - Registration required]
Funds Europe (May 2006)
Alpha Winners
"(...) Peter O’Kelly of EDHEC and Virginie Buey of EuroPerformance introduce the EuroPerformance-EDHEC Alpha League Tables for Italy and Spain (...)"
Copyright Funds Europe [Full text]
Financial News (May 2006)
Academic insight: Using index options for tactical asset allocation
"(...) Suitably designed options strategies can add considerable value to a tactical asset allocation program, writes Lionel Martellini, professor of finance at EDHEC and scientific director of EDHEC Risk and Asset Management Research Centre. (...)"
Copyright Financial News [www.efinancialnews.com]
Banque & Finance (May/June 2006)
Hedge Funds : Peak Partners, une gestion très pointue
"(...) « Il est possible d’ajouter de la valeur de façon significative dans un portefeuille de hedge funds à travers la mise en oeuvre systématique de décisions d’allocation, aussi bien au niveau du processus d’allocation stratégique que de celui de l’allocation tactique », concluent les chercheurs de l’EDHEC. Ils présentent en outre une application numérique pour illustrer la façon dont les investisseurs peuvent utiliser une approche multifactorielle pour générer des vues actives et ajuster de façon dynamique leur allocation à travers les différentes stratégies alternatives, tout en restant cohérents avec leur benchmark stratégique. (...)"
Copyright Banque & Finance [Full text - French]

April 2006

Funds Europe (April 2006)
Ranking dangers
"(...) Véronique Le Sourd of EDHEC introduces a new style rating system that eliminates the misclassification risks common to other systems. (...)"
Copyright Funds Europe [www.funds-europe.com]
Hedge Funds Review (April 2006)
Reasoning your way from alpha to beta
"(...) In this article, we emphasise the role hedge fund strategies can play in traditional investors' portfolios and highlight a profound trend in the alternative industry that involves progressively switching from an alpha logic to a beta one. (...)"
By Noël Amenc and Lionel Martellini, EDHEC Risk and Asset Management Research Centre
Copyright Hedge Funds Review [www.hedgefundsreview.com]
Professional Wealth Management (April 2006)
League tables show alpha generators in good light
"(…) In an increasingly complicated and crowded fund market, European distributors may welcome alpha league tables developed by EDHEC business school and EuroPerformance, a fund rating agency. In each European country, asset management companies have been ranked on the basis of their ability to deliver "intensity of alpha". The highest-ranked firms are those that provide the best compromise between the "average alpha" generated by their funds and the “frequency” of alpha, indicating the percentage of funds that outperformed their benchmark. (…)"
Copyright Professional Wealth Management [Full text]
IPE (April 2006)
Dipping a toe in the water
"(…) Investing in alternative assets by French pension funds is still not common. "This is generally due to a poor understanding of alternative betas and especially the restrictive regulations," says Noel Amenc, professor of finance and director of the EDHEC Risk and Asset Management Research Centre. (…)"
Copyright IPE [Full text]

March 2006

European Pensions and Investment News (27/03/2006)
Optimising hedge fund diversification
Article by Felix Goltz from the EDHEC Risk and Asset Management Research Centre in Nice
"(…) Felix Goltz makes the case for investors with fewer resources to optimally integrate alternative strategies into their portfolio. (…)"
Copyright European Pensions and Investment News [Full text]
Le Monde (24/03/2006)
Confrontées à la précarisation des jeunes, les banques cherchent à s'adapter
"(…) Pour Noël Amenc, directeur d'un centre de recherches à l'Ecole des hautes études commerciales (EDHEC), "le CPE adresse un message négatif au système bancaire, celui d'une clientèle dont les flux de revenus peuvent s'interrompre du jour au lendemain, et à qui il est risqué de prêter. A précariser certaines populations, on leur rend difficile l'accès au logement et au crédit". M. Amenc met en garde contre les effets négatifs de cette loi sur la consommation et la croissance. (…)"
Copyright Le Monde [www.lemonde.fr]
Financial Times (15/03/2006)
Property funds 'repeat mistakes'
"(...) Noël Amenc, director of the EDHEC Risk and Asset Management Research Centre in Nice, says that a decree issued in October to provide a framework for open-ended property funds could lead to overconfidence among investors. (...)"
Copyright Financial Times [Full text]
Les Echos (13/03/2006)
Les « small et mid cap » ne sont pas l'apanage des boutiques
"(...) Certaines grandes sociétés de gestion parviennent maintenant à obtenir des performances très appréciables sur cette classe d'actifs, qui fut longtemps la chasse gardée des petits acteurs. Ces derniers restent toutefois encore les plus nombreux dans le palmarès établi par EuroPerformance et l'EDHEC. (...)"
Copyright Les Echos [Full text - French]
Financial Times (07/03/2006)
French motorway sell-off decision "absurd", study says
"(...) The study from Noël Amenc and Philippe Foulquier, professors of finance from the EDHEC Risk and Asset Management Research Centre in Nice, calls into question not only the French sales, but all privatisations by creditworthy governments that are driven by purely financial concerns. (...)"
Copyright Financial Times [Full text]
Les Echos (06/03/2006)
Les reportings gardent des lacunes problématiques
"(...) Selon une étude réalisée par l'EDHEC fin 2004, moins d'une société de gestion française sur trois parvenait à connaître exactement les sources de performance de ses fonds quelle que soit la classe d'actifs sur laquelle ils opéraient. (...)"
Copyright Les Echos [Full text - French]
Professional Wealth Management (March 2006)
Boosting beta returns by diversifying risk exposure
"(…) Each year, many hedge funds will incur heavy losses, or vanish altogether, and for reasons entirely unconnected with their financial management. According to research from EDHEC and Capco, some 41 per cent of hedge fund failures are down to misrepresentation; 30 per cent are due to fraud or misappropriation of funds. Inadequate technology or processes accounts for 6 per cent of failures, and trading outside the mandate for 14 per cent. (…)"
Copyright Professional Wealth Management [Full text]
Funds Europe (March 2006)
Alpha ranking
"(...) Peter O’Kelly of EDHEC and Virginie Buey of EuroPerformance introduce the first ranking system in Europe to genuinely seek to distinguish alpha from other elements of active management performance. (...)"
Copyright Funds Europe [www.funds-europe.com]
Hedge Funds Review (March 2006)
Hedge funds' dynamic exposures to risk factors
"(...) Hedge funds are exposed to different risk factors. If we consider that for each strategy there is a corresponding set of underlying risk factors, the best funds, for a given strategy, are those that successfully manage to over- or underweight their exposure to the different risk factors in accordance with market conditions. (...)"
By Mathieu Vaissié, EDHEC Risk and Asset Management Research Centre
Copyright Hedge Funds Review [Full text - Registration required]

February 2006

Hedge Funds Review (15/02/2006)
Investors must learn more about diversification, says EDHEC
"(...) Investors that make allocations to hedge funds, or, typically, funds of hedge funds (FoHF), for diversification purposes must learn which strategies will have the greatest benefits on their portfolios, said Lionel Martellini, professor of finance at EDHEC Business School. . (...)"
Copyright Hedge Funds Review [Full text]
IPE (15/02/2006)
Schemes warned of hedge fund "herd mentality"
"(…) The comments came as EDHEC presented research showing that hedge funds are increasingly seen as mainstream not marginal by institutional investors. (…)"
Copyright IPE [Full text]
Les Echos (13/02/2006)
Gesbankinter perce en Espagne et Anima en Italie
"(...) En Italie et en Espagne, ce sont essentiellement les sociétés de gestion des grands réseaux bancaires qui sont les plus performantes sur les actions. C'est le cas sur les grandes valeurs et à l'international, si l'on en croit les enseignements du classement Alpha League Table établi par Europerformance et l'EDHEC sur une période comprise entre octobre 2004 et septembre 2005. (...)"
Copyright Les Echos [Full text - French]
Funds Europe (February 2006)
A new wave of conquistadors
"(...) In the third of a three-part series of articles on MiFID, Jean-René Giraud of EDHEC analyses the directive's potential repercussions on European capital markets. (...)"
Copyright Funds Europe [www.funds-europe.com]
Hedge Funds Review (February 2006)
The benefits and limitations of managed accounts
"(...) By their very nature, hedge funds allow the investor to be exposed to different risk factors such as volatility and counterparty or liquidity risk. Exposure to these risk factors is not only a source of superior risk-return trade off, but also the very essence of hedge funds' extensive diversification possibilities compared with traditional investments. (...)"
Copyright Hedge Funds Review [Full text]

January 2006

Les Echos (30/01/2006)
L'allocation tactique ou l'art de naviguer entre les actifs
"(...) En effet, il ressort d'une étude effectuée par l'EDHEC auprès des « asset managers » européens en 2004 que, si plus des trois quarts d'entre eux ont inclus une dimension tactique dans leur processus d'investissement, seulement 1 sur 6 utilise pour cela des méthodes quantitatives. (...)"
Copyright Les Echos [Full text - French]
Les Echos (30/01/2006)
Débat autour du prix obtenu par le gouvernement pour ASF
"(...) Une étude de l'EDHEC Risk and Asset Management Research Centre aboutit à une valorisation de 64 euros par titre pour ASF, soit 28 % de plus que le montant payé par Vinci pour le concessionnaire autoroutier. (...)"
Copyright Les Echos [Full text - French]
Les Echos (23/01/2006)
Les vrais « stock pickers » sont une minorité
"(...) Le « stock picking » est ainsi devenu un argument commercial. C'est ce qui ressort d'une étude de l'EDHEC Risk and Asset Management Research Centre et portant sur 100 documentations commerciales sur la gestion actions émanant de 45 sociétés de gestion françaises. 82 % de ces prospectus mentionnaient la sélection de valeur comme premier facteur de création de valeur. (...)"
Copyright Les Echos [Full text - French]
Les Echos (23/01/2006)
En déclin, le « stock picking » reste la chasse gardée des spécialistes
"(...) Quand les gestionnaires d'actifs européens d'une certaine taille pratiquent la sélection de titres, près des deux tiers en laissent le choix final aux gérants, selon une enquête de l'EDHEC réalisée en 2004. (...)"
Copyright Les Echos [Full text - French]
IPE (18/01/2006)
Hedge funds reduce portfolio risk - EDHEC
"(…) Using hedge funds can halve the probability of extreme loss in a portfolio, according to a new study from EDHEC Risk and Asset Management Research Centre. Rather than consider hedge funds as a separate asset class, the study – The Benefits of Hedge Funds in Asset Liability Management -- says they should be treated as a complementary management style to asset classes such as equities and bonds. (…)"
Copyright IPE [Full text]
La Tribune (17/01/2006)
Value-at-Risk, les raisons du succès
"(...) La maîtrise ds risques d'investissement est devenue une préoccupation majeure des gérants. L'objectif est de déterminer les pertes potentielles et la probabilité qu'elles se réalisent. (...)". Article by Jean-Christophe Meyfredi, Finance Professor, EDHEC
Copyright La Tribune [www.latribune.fr]
Les Echos (16/01/2006)
Les OPCI risquent de signer la mort des SCPI
"(...) Sans pour autant discréditer l'OPCI, l'EDHEC, une école de commerce et de management vient de publier dans un rapport plusieurs critiques sur ce nouvel véhicule d'investissement. (...)"
Copyright Les Echos [Full text - French]
La Tribune (10/01/2006)
L'impact du mode de gouvernance sur l'épargne retraite
"(...) En épargne retraite, la gestion repose sur la délégation. La gouvernance se base sur l'exigence de compétence et d'indépendance des organes de représentation. (...)" Article by Daniel Haguet, Professor, and Jean-François Lepetit, Associate Professor, EDHEC
Copyright La Tribune [www.latribune.fr]
Les Echos (09/01/2006)
Les « hedge funds » restent les incompris de la gestion moderne
"(...) Malgré les efforts de pédagogie de certains professionnels, les « hedge funds » restent mal compris et mal utilisés par les investisseurs institutionnels européens, selon une étude de l'EDHEC Risk and Asset Management Research Centre (...)"
Copyright Les Echos [Full text - French]
La Tribune (03/01/2006)
Des produits structurés taillés sur mesure
"(...) Ces produits sont créés en fonction des besoins des investisseurs, de leurs anticipations, attentes et profils de risque, mais également en fonction des conditions de marché. (...)" Article by Lionel Martellini, Koray Simsek, Professors, and Felix Goltz, Research Engineer, EDHEC
Copyright La Tribune [www.latribune.fr]
The Hedgefund Journal (January 2006)
EDHEC hedge fund days
"(...) Here is a short preview offered by EDHEC, in partnership with the Hedge Fund Journal, of some of the key topics that will be discussed during the EDHEC Hedge Fund Days... EDHEC European Alternative Diversification Practices Survey(...)"
Copyright The Hedgefund Journal [Full text]
Funds Europe (January 2006)
Setting the scene
"(...) In part two of a three-part series on MiFID, Jean-René Giraud of EDHEC clarifies the Directive’s definitions of the new operating regimes, and examines their likely impact. (...)"
Copyright Funds Europe [www.funds-europe.com]
Hedge Funds Review (January 2006)
The "capacity effect" conundrum
"(...) For several months, investors and their advisors have been worrying about the profitability prospects for hedge funds. (...)"
By Mathieu Vaissié, EDHEC Risk and Asset Management Research Centre
Copyright Hedge Funds Review [Full text - Registration required]

December 2005

Professional Wealth Management (December 2005)
Hedge fund strategies for traditional investors
"(…) Mathieu Vaissié presents a pragmatic solution for investors to build their core hedge fund portfolio and then shows how they can implement a style rotation to design a satellite hedge fund portfolio. This core/satellite approach to alternatives can reduce risk exposure as well as increasing returns. (…)"
Copyright Professional Wealth Management [Full text]
Les Echos (09/12/2005)
La commercialisation des produits d'épargne après la publication du rapport Delmas-Marsalet
"(...) Un des grands arguments pour vendre le conseil est qu'il est "remboursé" par les économies d'impôts », explique Noël Amenc, directeur de l'EDHEC Risk and Asset Management Center. (...)"
Copyright Les Echos [Full text - French]
La Tribune (16/12/2005)
La gestion actif-passif : les approches modernes
"(...) Les méthodes traditionnelles de la gestion actif-passif ne sont pas forcément optimales. ll existe des approches plus sophistiquées pour optimiser l'excédent de valeur de l'actif par rapport au passif. (...)" Article by Lionel Martellini and Philippe Foulquier, EDHEC
Copyright La Tribune [www.latribune.fr]
La Tribune (13/12/2005)
Les fonds alternatifs sont-ils victimes de leur succès ?
"(...) Ils permettent une diversification des risques dont les attraits sont indéniables. Même si leur performance depuis 2004 est plus basse que celle attendue. (...)" Article by Walter Géhin, Research Associate, EDHEC, and Mathieu Vaissié, Senior Research Engineer, EDHEC
Copyright La Tribune [www.latribune.fr]
La Tribune (13/12/2005)
La gestion s'institutionnalise
"(...) Les hedge funds sortent peu à peu d'une gestion traditionnelle et optent pour une diversification de leur portefeuille. (...)" Article by Noël Amenc, Finance Professor, EDHEC
Copyright La Tribune [www.latribune.fr]
European Pensions and Investment News (05/12/2005)
Fears over buy and sellside effects and increasing costs means MiFID adoption faces another stumbling block
"(…) But not everyone is convinced by these figures. "It’s not going to cost what the consultants say it’s going to cost," argues Jean-René Giraud, chief executive officer of EDHEC-Risk Advisory. "It’s not another Y2K or euro." (…)"
Copyright European Pensions and Investment News [Full text]
Les Echos (01/12/2005)
Fonds alternatifs : Les vrais atouts
"(...) ...précise Noël Amenc, directeur du centre de recherche EDHEC-Risk. (...)"
Copyright Les Echos [Full text - Registration required - French]
Funds Europe (December 2005)
Does this movie have a happy ending?
"(...) In part one of a three-part series on MiFD, Jean-René Giraud of EDHEC looks at the new directive’s implications for financial institutions. (...)"
Copyright Funds Europe [www.funds-europe.com]
Hedge Funds Review (December 2005)
The fine art of spotting and measuring hedge fund risk
"(...) Many investors return to the same tools and metrics when analysing hedge fund risk, but a growing body of academic research is suggesting the most tried and tested tools may not always be the best. (...)"
By François-Serge Lhabitant, EDHEC Business School
Copyright Hedge Funds Review [Full text - Registration required]

November 2005

Financial Times (25/11/2005)
Get off the fence and look at the hedge funds
"(...) However, Professor Lionel Martellini of the EDHEC Business School points out that, in diversification terms, long-short funds are the last things equity investors should buy. (...)"
Copyright Financial Times [Full text]
La Tribune (22/11/2005)
La diversification alternative : de la diversité naît la richesse
"(...) Les stratégies alternatives ont progressivement trouvé leur place dans le portefeuille "Core" des investisseurs, avec pour objectif la réduction des risques normaux et extrêmes. (...)" Article by François-Serge Lhabitant, Associate Professor, and Mathieu Vaissié, Research Engineer, EDHEC
Copyright La Tribune [www.latribune.fr]
European Pensions and Investment News (21/11/2005)
Capacity Effect or Incapacity Effect?
Article by Noël Amenc, PhD, professor of finance at EDHEC and director of the EDHEC Risk and Asset Management Research Centre, Nice
"(…) Noël Amenc provides a perspective on hedge fund performance and the role of beta. (…)"
Copyright European Pensions and Investment News [Full text]
La Tribune (15/11/2005)
Evaluation de la performance : la mesure de l'alpha
"(...) Dans toute évaluation d'un portefeuille, il faut distinguer la performance de la gestion passive de celle de l'alpha, issue de la gestion active. (...)" Article by Véronique Le Sourd, Research Engineer, EDHEC
Copyright La Tribune [www.latribune.fr]
Les Echos (14/11/2005)
« L'alpha » reste l'affaire des spécialistes
"(...) C'est l'un des enseignement du classement des sociétés de gestion agréées en France, établi par Europerformance Groupe Fininfo, en collaboration avec l'EDHEC et que « Les Echos » dévoilent en exclusivité. (...)"
Copyright Les Echos [Full text - French]
Les Echos (14/11/2005)
Noël Amenc : « Le grand public devrait être prudent »
"(...) Pour Noël Amenc, patron du centre de recherche de l'EDHEC, présenter les OPCI comme des « OPCVM immobiliers » peut induire en erreur les épargnants en leur laissant croire qu'ils bénéficieront d'un niveau de protection équivalent aux autres produits de gestion collective. (...)"
Copyright Les Echos [Full text - French]
La Tribune (08/11/2005)
La gestion par les styles s'impose
"(...) En agissant avec constance un gérant peut dégager une meilleure performance. L'allocation dynamique entre styles apporte une valeur ajoutée tactique à la gestion de portefeuilles. (...)". Article by Véronique L Sourd, Research Engineer, EDHEC
Copyright La Tribune [www.latribune.fr]
Financial Times (07/11/2005)
Alphabet Street Hedge fund returns
"(...) EDHEC business school, for instance, reckons that pure alpha accounts...has increased significantly from 2003 to 2005, according to EDHEC. (...)"
Copyright Financial Times [Full text]
Funds Europe (November 2005)
Investor's choice
"(...) Noël Amenc and Lionel Martellini of EDHEC, followed by Veronique Le Sourd of EDHEC, outline different asset allocation and portfolio construction techniques. (...)"
Copyright Funds Europe [www.funds-europe.com]
Hedge Funds Review (November 2005)
Do funds of hedge funds really add value for investors?
"(...) Funds of hedge funds remain the most oft-used funnel to pour money into hedge funds. So does using this conduit increase chances of profit?. (...)"
By Mathieu Vaissié, EDHEC Risk and Asset Management Research Centre
Copyright Hedge Funds Review [Full text - Registration required]

October 2005

Financial Times (31/10/2005)
US hedge funds
"(...) Furthermore, there is little they can do about low volatility or the fall in the credit risk premium, which EDHEC Business School suggests may have affected returns. (...)"
Copyright Financial Times [Full text]
La Tribune (25/10/2005)
Indices et benchmarks, deux termes bien distincts
"(...) Il convient de ne pas confondre les termes, qui sont souvent employés, à tort, comme synonymes. Les méthodes sophistiquées de construction de benchmarks apportent une réelle valeur ajoutée dans la stratégie d'allocation. (...)". Article by Véronique Le Sourd, Research Engineer, and Noël Amenc, Professor of Finance, EDHEC
Copyright La Tribune [www.latribune.fr]
La Tribune (18/10/2005)
Les limites du modèle de Markowitz
"(...) Les principales limites de ce modèle résident dans des paramètres difficiles à éstimer. Mais aussi dans un manque d'adaptation à la réalité des préoccupations et pratiques des gérants et investisseurs. (...)". Article by Noël Amenc & Lionel Martellini, Professors of Finance, EDHEC
Copyright La Tribune [www.latribune.fr]
La Tribune (11/10/2005)
Les enjeux de l'allocation stratégique
"(...) Cette allocation consiste à répartir le portefeuille entre différentes classes d'actifs en fonction des objectifs des investisseurs. Les techniques d'allocation peuvent se heurter au manque de stabilité des données utilisées. (...)". Article by Noël Amenc & Lionel Martellini, Professors of Finance, EDHEC
Copyright La Tribune [www.latribune.fr]
Funds Europe (October 2005)
Optimum efficiency
"(...) Philippe Malaise, Lionel Martellini and Noël Amenc of EDHEC introduce a robust model for the core-satellite approach. (...)"
Copyright Funds Europe [www.funds-europe.com]
Hedge Funds Review (October 2005)
What future for hedge funds? Revisiting capacity constraints
"(...) As hedge funds have come into vogue, the concern in the industry has been that rapid growth would eliminate opportunity and attract lesser managers. Experts from EDHEC look at the theories behind the speculation. (...)"
By Mathieu Vaissié and Walter Géhin, EDHEC Risk and Asset Management Research Centre
Copyright Hedge Funds Review [Full text - Registration required]

September 2005

La Tribune (27/09/2005)
L'approche "core-satellite"
"(...) Cette nouvelle forme d'allocation d'actifs permet de rendre plus claire la lecture des rendements. Elle présente également des avantages en termes de gestion des risques et des frais de gestion. (...)". Article by Noël Amenc & Philippe Malaise, Professors of Finance, EDHEC
Copyright La Tribune [www.latribune.fr]
Les Echos (26/09/2005)
L'externalisation, réponse stratégique des gérants à la concurrence
"(...) Il ressortait d'un sondage effectué par l'EDHEC en 2003 auprès des grands « assets managers » européens que le quart d'entre eux avaient sous-traité à une de leur filiale, l'administration et la valorisation de leurs fonds - solution privilégiée notamment par ceux appartenant à des groupes bancaires ayant développé leur propre « filière titre » comme BPSS pour BNP Paribas -, 17 % le faisait à un fournisseur extérieur, tandis que 53 % d'entre eux continuaient à effectuer eux-mêmes ces activités. (...)"
Copyright Les Echos [Full text - French]
Les Echos (21/09/2005)
Les financiers préoccupés par l'ouverture des Bourses européennes à la concurrence
"(...) Qualifiée d'« utopique » par Jean-René Giraud, le président d'EDHEC Risk Advisory, la clause semble délicate à mettre en oeuvre. (...)"
Copyright Les Echos [Full text - French]
La Tribune (20/09/2005)
Rendre aux gestions active et passive tout leur sens
"(...) La gestion passive ne se limite pas à la simple réplication d'indices. Distinguer la gestion des "alpha" et des "beta" est plus pertinent. (...)". Article by Noël Amenc & Philippe Malaise, Professors of Finance, EDHEC
Copyright La Tribune [www.latribune.fr]
Funds Europe (September 2005)
Diversification effect
"(...) Mathieu Vaissié of EDHEC introduces a technique that allows investors inexperienced in alternative investments to make the most of the benefits a portfolio including hedge funds offers. (...)"
Copyright Funds Europe [www.funds-europe.com]
Hedge Funds Review (September 2005)
How hedge funds work in ALM
"(...) While libraries could be filled by the books on the benefits of hedge funds in investors' portfolios, how far they are helpful in pension funds' asset/liability-matching tasks has been less explored, until now. By Lionel Martellini and Volker Ziemann, EDHEC. (...)"
Copyright Hedge Funds Review [Full text - Registration required]
Financial News (September 2005)
Academic insight: Structured investment strategies in institutional investors' portfolios
"(...) Investing in such products allows pension funds to profit from equity risk premium without full exposure to downside risk, write Lionel Martellini, Koray Simsek and Felix Goltz of the EDHEC Risk and Asset Management Research Centre. (...)"
Copyright Financial News [www.efinancialnews.com]

August 2005

European Pensions and Investment News (29/08/2005)
Ensuring ratings reflect performance
Article by Noël Amenc, PhD, professor of finance at EDHEC and director of the EDHEC Risk and Asset Management Research Centre, Nice
"(…) Noël Amenc examines the performance measurement of investment funds and finds it is not showing the whole picture. (…)"
Copyright European Pensions and Investment News [Full text]
European Pensions and Investment News (29/08/2005)
Upbeat managers shrug
"(…) Alternative investment professionals are optimistic about future prospects for the industry and do not see the so-called "capacity effect" as a major threat to future profitability, according to a survey by EDHEC Risk and Asset Management Centre. (…)"
Copyright European Pensions and Investment News [Full text]

July 2005

European Pensions and Investment News (04/07/2005)
The benefits of guaranteed structured products
A research paper presented by Lionel Martellini, scientific director of the EDHEC Risk and Asset Management Research Centre; Koray Simsek, associate professor of finance at EDHEC Business School; and Felix Goltz, research engineer with the EDHEC Risk and Asset Management Research Centre
"(…) The market downturns of recent years have dramatically affected most institutional investors, and this is particularly true of pension funds. This is perhaps surprising given that an increasingly thorough range of structured products has been developed recently to allow investors to tailor the risk-return profile of their portfolio in a more efficient way than simple linear exposure to traditional asset classes. (…)"
Copyright European Pensions and Investment News [Full text]
Les Echos (04/07/2005)
Moins performants, les « hedge funds » affrontent le doute des investisseurs
"(...) Tel est l'un des enseignements d'une étude réalisée par deux chercheurs de l'EDHEC-Risk Asset Management Research, Walter Géhin et Mathieu Vaissié. (...)"
Copyright Les Echos [Full text - French]
Les Echos (04/07/2005)
La gestion alternative pénalisée par une conjoncture défavorable
"(...) « Une grande partie de la contre-performance récente des "hedge funds" s'explique par une évolution défavorable de la conjoncture qui a impacté négativement leur exposition à certains risques », explique Noël Amenc, directeur de l'EDHEC Risk and Asset Management Research Centre. (...)"
Copyright Les Echos [Full text - French]
Funds Europe (July 2005)
Is an index a benchmark?
"(...) Véronique Le Sourd and Felix Goltz of EDHEC sweep away the confusion between benchmarks and indices. (...)"
Copyright Funds Europe [www.funds-europe.com]
Banque & Finance (July/August 2005)
Produits structurés : Presque le meilleur des mondes !
"(...) Premier travail académique du genre, une récente étude de l’Edhec s’est attachée à déterminer la proportion optimale de produits structurés (PS) qui devraient être inclus dans les portefeuilles d’investisseurs institutionnels. Selon les chercheurs, les PS présentent deux avantages majeurs. (...)"
Copyright Banque & Finance [Full text - French]

June 2005

The Hedgefund Journal (June/July 2005)
No evidence of capacity effect in hedge fund industry, argues latest research from EDHEC
"(...) According to research by French business school EDHEC's Risk and Asset Management Research Centre, this pessimism doesn’t hold up when we examine the facts.(...)"
Copyright The Hedgefund Journal [Full text]
Financial Times (21/06/2005)
Studies will give funds little to cheer about
"(...) EDHEC, the French business school, has looked at the thorny question of whether the flood of money into the sector might be reducing the ability of managers to produce alpha, or superior risk-adjusted returns. (...)"
Copyright Financial Times [Full text]
La Tribune (21/06/2005)
Du bon usage de la gestion alternative
"(...) La gestion alternative n'est pas supérieure à la gestion traditionnelle. Elle est différente, notamment par ses bêtas, et c'est tout son intérêt. (...)" Article by Noël Amenc, Finance Professor, EDHEC, and Director of the EDHEC Risk and Asset Management Research Centre
Copyright La Tribune [www.latribune.fr]
European Pensions and Investment News (20/06/2005)
Hedge fund industry calls for consumer-driven approach to alpha packaging
"(…) A study carried out at EDHEC Risk and Asset Management Research Centre has called for the hedge fund industry to adopt a consumer-driven approach to the packaging of alpha, as opposed to what it terms the current producer perspective. The study also calls for the creation of new types of products better suited to the expectations of institutional investors. (…)"
Copyright European Pensions and Investment News [Full text]
Les Echos (20/06/2005)
Les succès du laboratoire de recherche de l'EDHEC
"(...) Son centre de recherche en finance multiplie les partenariats avec les entreprises. (...)"
Copyright Les Echos [Full text - French]
Hedge Funds Review (June 2005)
Alpha: From delivery to packaging
"(...) EDHEC provides an illustration from active bond-portfolio management to explain the use of fixed-income derivatives to design hedge fund-type offerings that better fit investors' needs . (...)"
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Funds Europe (June 2005)
Optimal allocation
"(...) Lionel Martellini, Koray Simsek and Felix Goltz of EDHEC look at the role of structured products in institutional investors’ portfolios. (...)"
Copyright Funds Europe [www.funds-europe.com]
IPE (June 2005)
A match made in heaven
"(…) Within the scope of its "Asset Allocation and Alternative Diversification" research programme, the EDHEC Risk and Asset Management Research Centre has carried out a survey in conjunction with IPE to obtain a better understanding of pension funds’ approaches to alternative diversification. The questionnaire was sent out to the top 1,000 pension funds in Europe. The preliminary results that will be presented in the remainder of this article rely on answers given by 96 pension funds. (…)"
Copyright IPE [Full text]
IPE (June 2005)
Case for active style allocation
Article by Lionel Martellini, scientific director of the EDHEC Risk and Asset Management Research Centre
"(…) Although the existing literature seems to concur on the interest of hedge funds as valuable investment alternatives, there seem to be several shortcomings in current industry practice when it comes to fully capitalising on the advantages of including hedge funds in an investor's asset allocation. (…)"
Copyright IPE [Full text]

May 2005

Funds Europe (May 2005)
Technology Report: The battle begins
"(...) A report from France-based research and advisory group EDHEC-Risk Advisory highlights the number of bank-based offerings now on the market. (...)"
Copyright Funds Europe [Full text]
European Pensions and Investment News (23/05/2005)
The alternative future for indices
Noël Amenc, Professor of Finance at EDHEC and director of the EDHEC Risk and Asset Management Research Centre, outlines a role for alternative indices
"(…) For many years, hedge funds have been sold and perceived as investment management entities for which the objective measure of absolute performance excluded all reference to any index. Today there are three major reasons why that approach has outlived its usefulness. (...)"
Copyright European Pensions and Investment News [Full text]
Les Echos (11/05/2005)
Lancement dans la recherche appliquée
"(...) Créé en 2001, l'EDHEC Risk Asset Management Research s'est hissé parmi les centres de recherche réputés en gestion d'actifs en Europe. (...)"
Copyright Les Echos [Full text - French]
Les Echos (11/05/2005)
Actifs : l'EDHEC et Lyxor créent des outils de diversification
"(...) Un apport majeur que rappellent l'EDHEC Risk Asset Management Research et Lyxor, qui annoncent aujourd'hui la création conjointe de deux outils de diversification, l'un pour les portefeuilles investis en actions, l'EDHEC Equity Diversifier, l'autre pour les portefeuilles obligataires, l'EDHEC Bond Diversifier. (...)"
Copyright Les Echos [Full text - French]
Funds Europe (May 2005)
Performance persistence
"(...) Walter Géhin of EDHEC introduces a way of pinpointing funds that offer positive returns over several years. (...)"
Copyright Funds Europe [www.funds-europe.com]
Life & Pensions (May 2005)
The theory of LDI
"(...) This paper considers the optimal LDI allocation problem for a pension fund. Using the liability portfolio as a numeraire, it shows that the solution involves a three fund separation theorem that provides formal justification to recently introduced liability-driven investment solutions. By Lionel Martellini. (...)"
Copyright Life & Pensions [Full text - Registration required]
Financial News (May 2005)
Using derivatives: from static hedging to dynamic asset allocation
"(...) Fund managers are looking to make greater use of derivatives for the benefit of investors, writes Felix Goltz, research engineer with the EDHEC Risk and Asset Management Research Centre. (...)"
Copyright Financial News [www.efinancialnews.com]
IPE (May 2005)
Right at the core
"(…) This concept of dynamic core satellite was introduced by Noël Amenc, professor of finance at EDHEC Business School and director of the EDHEC Risk and Asset Management Research Centre in Lille. Amenc points out that when investors allocate their investment between the core and the satellite they generally do not know whether they will get a negative or positive tracking error. "The idea of dynamic core satellite integration is to integrate the distinction between good and bad tracking error in the apportionment of the core-satellite of the investments and therefore allow optimisation of the size of the satellite," he says. (…)"
Copyright IPE [Full text]
Hedge Funds Review (May 2005)
Selecting the right strategy for the right diversification profile
"(...) As hedge fund strategies are not a homogenous alternative class and managers increasingly paint their strategy as non-correlated to their alternative investment peers, we examine which strategies provide the best diversification for various investors. (...)"
By Mathieu Vaissié, EDHEC Risk and Asset Management Research Centre
Copyright Hedge Funds Review [Full text - Registration required]
Banque & Finance (May/June 2005)
L’analyse de style, mode d’emploi
"(...) En ce qui concerne son application pratique à un univers tel que celui des fonds de placement, nous avons démarré nos travaux sur le Style Rating à la fin de l’année 2002, grâce à la collaboration de l’EDHEC qui nous a apporté son expertise sur ces techniques appliquées à la mesure de performance. (...)"
Copyright Banque & Finance [Full text - French]

April 2005

Hedge Funds Review (28/04/2005)
Are the Sharpe ratio’s days numbered?
"(...) A recent survey by EDHEC in January raised some interesting points regarding the degree of transparency that investors should expect today and how the information available should best be used, says Jean Turrettini from EIM SA.. (...)"
Copyright Hedge Funds Review [Full text]
IPE (27/04/2005)
Hedge funds "should be part of core portfolio"
"(…) Hedge fund investments should be part of the core as well as satellite portfolio – according to a professor at the EDHEC French business school. (…)"
Copyright IPE [Full text]
Le Temps (25/04/2005)
Une notation de fonds identifie les capacités réelles des gérants
"(...) L'institut français vient de lancer une nouvelle méthode de notation des fonds: l'Europerformance-EDHEC Style Rating. (...)"
Copyright Le Temps [Full text - Registration Required - French]
Les Echos (25/04/2005)
Les multigérants alternatifs, artisans de la sélection de fonds
"(...) « L'industrie des fonds de fonds prétend faire de la réallocation dynamique entre les différentes stratégies et styles de "hedge funds", mais cette tâche est en contradiction avec les efforts et les difficultés pour investir dans les meilleurs fonds, estime Noël Amenc, directeur de l'EDHEC Risk and Asset Management Research Centre. (...)"
Copyright Les Echos [Full text - French]
Financial Times (25/04/2005)
BGI to expand short-sell business
"(...) EDHEC, the French business school, said the average hedge fund made just 1 per cent in the first quarter. (...)"
Copyright Financial Times [Full text]
IPE (22/04/2005)
Schemes should "look at structured products"
"(…) The pension fund world lacks risk management and should look at structured products, an investment conference in Geneva has been told. Koray Simsek, a professor of finance at the EDHEC business school, advocated pension funds gaining exposure to guaranteed structured products. (…)"
Copyright IPE [Full text]
Les Echos (18/04/2005)
Les carences des classements de fonds dénoncées par l'EDHEC
"(...) Une étude de l'EDHEC Risk & Asset Management évalue la pertinence des divers classements de fonds disponibles pour les investisseurs et rend des conclusions tranchées. (...)"
Copyright Les Echos [Full text - French]
The Hedgefund Journal (April 2005)
Hedge fund transparency
"(...) A recent industry survey (EDHEC-January 2005) has raised some interesting points regarding the degree of transparency that investors should expect today, and how that information available should best be used. (...)"
Copyright The Hedgefund Journal [Full text]
Hedge Funds Review (01/04/2005)
The nature of the beast
"(...) EDHEC defines risk and the way it should be reported by funds of hedge funds. (...)"
Copyright Hedge Funds Review [Full text - Registration required]
Funds Europe (April 2005)
Investing with style
"(...) Felix Goltz of EDHEC describes the way to exploit the benefits of hedge fund diversification benchmarks. (...)"
Copyright Funds Europe [www.funds-europe.com]

March 2005

The Hedgefund Journal (March 2005)
Funds of Hedge Funds Reporting
Article by Mathieu Vaissié, Research Engineer with the EDHEC Risk and Asset Management Research Centre
Copyright The Hedgefund Journal [Full text]
Funds Europe (March 2005)
Light at the end of the tunnel
"(...) Mathieu Vaissié of EDHEC demonstrates how FoHF investors' information needs and the constraints of fund managers can be reconciled. (...)"
Copyright Funds Europe [www.funds-europe.com]
IPE (March 2005)
Investors facing hedge fund "disappointment"
"(…) Noel Amenc, director of the EDHEC Risk and Asset Management Research Centre, told a briefing today that people were now moving from beta from alpha in the hedge fund universe. He called this "alternative beta". (…)"
Copyright IPE [Full text]
Hedge Funds Review (March 2005)
Is performance persistence a viable criterion for selecting hedge funds?
"(...) While track record is a problematic guide to picking a hedge fund manager, different ways of analysing past performance can still offer useful insights. (...)"
By Walter Géhin, EDHEC Risk and Asset Management Research Centre
Copyright Hedge Funds Review [Full text - Registration required]

February 2005

European Pensions and Investment News (28/02/2005)
"Alpha", did you say alpha"?
Noël Amenc, professor of finance at EDHEC Business School and director of the EDHEC Risk and Asset Management Research Centre, analyses the dominance of alpha
"(…) This separation of beta management from alpha production is both the aim and the basis of the core-satellite approach, the subject of EDHEC's original and extensive research which has received international recognition. (...)"
Copyright European Pensions and Investment News [Full text]
European Pensions and Investment News (28/02/2005)
Hedge fund of funds industry slated
EDHEC report says improved reporting is required for institutions
"(…) The hedge fund of funds industry needs to go further to meet the reporting requirements of institutional investors, particularly on measures of extreme risk. This is the conclusion of a study of 98 hedge funds and their investors carried out by the EDHEC Risk and Asset Management Research Centre based in Nice. (...)"
Copyright European Pensions and Investment News [Full text]
Les Echos (25/02/2005)
D'après une étude, le reporting des fonds de fonds alternatifs s'améliore
"(...) D'après l'EDHEC, le reporting des fonds de fonds alternatifs s'améliore en Europe en intégrant des outils de mesure de risque et de performance plus pertinents. Les grands multimanagers sont prêts à fournir une information abondante. (...)"
Copyright Les Echos [Full text - French]
Hedge Funds Review (18/02/2005)
FoHF must improve disclosure practices, says EDHEC
"(...) Funds of hedge funds, worth $541bn or approximately half the overall hedge fund industry need to improve reporting standards significantly, according to Mathieu Vaissié, research engineer at EDHEC Risk and Asset Management Research Centre. Vaissie is also author of a report published this week by EDHEC on FoHF reporting.. (...)"
Copyright Hedge Funds Review [Full text]
Hedge Funds Review (February 2005)
Revisiting hedge funds: the institutional investor's perspective
"(...) Institutions are increasingly looking at investing in hedge funds, but should they invest directly in individual managers, via funds of hedge funds or investable hedge fund indices?. (...)"
By Felix Goltz, EDHEC Risk and Asset Management Research Centre
Copyright Hedge Funds Review [Full text - Registration required]
Funds Europe (February 2005)
Hedge fund indices as asset allocation tools
"(...) Felix Goltz of EDHEC shows how it is possible to build hedge fund indices that are both representative and investable. (...)"
Copyright Funds Europe [www.funds-europe.com]

January 2005

Le Temps (26/01/2005)
Quand la gestion alternative devient traditionnelle
Article by François-Serge Lhabitant, Associate Professor, EDHEC Business School
Copyright Le Temps [Full text - French]
Funds Europe (January 2005)
A need for new ratings
"(...) Increasingly demanding investors require fund perfomance measurements that are both relevant and scientifically rigorous, says Noël Amenc of EDHEC Business School. (...)"
Copyright Funds Europe [www.funds-europe.com]
Funds Europe (January 2005)
Investment education: the qualification showdown
"(...) The French business school EDHEC offers preparatory courses on an exclusive basis through EDHEC Alternative Investment Education. (...)"
Copyright Funds Europe [Full text]
Hedge Funds Review (January 2005)
Time for relative returns
"(...) The shift from individual to institutional investors is necessitating a change to the way the success or failure of hedge funds is measured. (...)"
By Walter Géhin and Mathieu Vaissié, EDHEC Risk and Asset Management Research Centre
Copyright Hedge Funds Review [Full text - Registration required]

December 2004

Funds Europe (December 2004)
Risk evaluation
"(...) In the second of two articles, Noël Amenc, Jean-René Giraud, Felix Goltz and Lionel Martellini of EDHEC look at different types of risk and the techniques used by asset management firms to evaluate them. (...)"
Copyright Funds Europe [www.funds-europe.com]
Hedge Funds Review (December 2004)
Alternative investments: Tactical asset allocation
"(...) While there has been a significant amount of research on the predictability of traditional asset classes, and the implications in terms of tactical asset-allocation strategies, very little is known about the predictability of returns emanating from alternative vehicles such as hedge funds. (...)"
By Noël Amenc, Lionel Martellini and Mathieu Vaissié, EDHEC Risk and Asset Management Research Centre
Copyright Hedge Funds Review [Full text - Registration required]

November 2004

Les Echos (23/11/2004)
Création d'un nouveau classement de fonds
"(...) C'est pour répondre à ces faiblesses que l'EDHEC Risk & Asset Management Research Centre et Europerformance-Groupe Fininfo ont conjointement mis au point une nouvelle méthodologie de classement - après deux ans de travail. (...)"
Copyright Les Echos [Full text - French]
Funds Europe (November 2004)
Modelling risk
"(...) Noel Amenc, Jean-René Giraud, Felix Goltz and Lionel Martellini of EDHEC-Risk and Asset Management Research Centre highlight the importance of risk management and analyse the techniques available. (...)"
Copyright Funds Europe [www.funds-europe.com]
Hedge Funds Review (November 2004)
Alternative investments: asset allocation in multimanagement
"(...) Asset allocations in models can be difficult to apply. Below, we explain optimal asset allocation models that take a broader view of hedge funds return distribution . (...)"
By Noël Amenc, Lionel Martellini and Mathieu Vaissié, EDHEC Risk and Asset Management Research Centre
Copyright Hedge Funds Review [Full text - Registration required]

October 2004

European Pensions and Investment News (25/10/2004)
Hedge funds: the pensions fund era?
"(…) Prof. Lionel Martellini, of the EDHEC Risk and Asset Management Research Centre in Nice, expresses views of a similar vein (...). He believes increased pension fund assets will drive demand for products with greater transparency and lower risk. He also thinks some forward-thinking pension funds may use hedge fund styles in their mainstream portfolio – credit arbitrage instead of high yield, for example. (...)"
Copyright European Pensions and Investment News [Full text]
European Pensions and Investment News (25/10/2004)
Where long-only meets absolute
Scientific director at EDHEC's risk and asset management centre talks about future plans
"(…) Known for their hedge fund research and index calculations, the centre and its 25 teaching and research staff are keen to emphasise their credentials in long-only management. Funded by selected asset managers through sponsorship, the centre wants to act as a lynchpin in promoting the exchange of research-based ideas between investors and the industry as well as between hedge funds, investment banks and "traditional" long-only asset managers. (...)"
Copyright European Pensions and Investment News [Full text]
Funds Europe (October 2004)
Best practice
"(...) Jean-René Giraud of EDHEC-Risk Advisory analyses the results of the company’s survey of European investment managers’ practice. (...)"
Copyright Funds Europe [www.funds-europe.com]
Hedge Funds Review (October 2004)
Quantifying hedge funds' operational risks
"(...) This final piece of three on hedge funds' operational risk investigates some areas of future development related to op risk quantification. This quantification requires an in-depth analysis of the probability and size of operational losses through various methods. . (...)"
Article by Jean-René Giraud, EDHEC Risk and Asset Management Research Centre
Copyright Hedge Funds Review [Full text - Registration required]

September 2004

Funds Europe (September 2004)
Measuring performance: benchmarks
"(...) In the second of two articles analysing performance measurement, Noel Amenc and Jean-René Giraud of EDHEC Risk and Asset Management Research Centre focus on how managers construct benchmarks (...)"
Copyright Funds Europe [www.funds-europe.com]

August 2004

Hedge Funds Review (August 2004)
Necessary operational due diligence
"(...) This second article of three on hedge funds’ operational risks proposes a pragmatic approach to conduct operational due diligence to understand why some hedge funds are potentially more exposed to support a wellinformed investment process. Based on top-down assessment of the likelihood of operational events occurring within hedge funds, we also investigate the important costs associated with such a systematic and repeatable process.. (...)" By Jean-René Giraud, EDHEC Risk and Asset Management Research Centre
Copyright Hedge Funds Review [Full text - Registration required]

July 2004

European Pensions and Investment News (19/07/2004)
Greenwich warns that cheap credit will result in increased regulation
"(…) Greenwich’s findings follow EDHEC Business School’s 32-page discussion paper aimed at improving fund of hedge fund reporting. The French-based research centre says that the lack of transparency in the hedge fund market is the last major obstacle to the industrialisation of the sector. (...)"
Copyright European Pensions and Investment News [Full text]
Les Echos (08/07/2004)
Finance : à la recherche des outils de demain
"(...) Qui plus est, en France, « la recherche n'est pas au coeur de l'activité, c'est plutôt un centre de coûts destiné à donner une bonne image scientifique, alors qu'aux Etats-Unis elle doit être pertinente et rentable, c'est-à-dire répondre aux interrogations du moment et apporter un courant d'affaires », juge Noël Amenc, directeur du centre EDHEC Risk de recherche en gestion d'actifs. (...)"
Copyright Les Echos [Full text - French]
Funds Europe (July/August 2004)
Measuring performance: alpha analysis
"(...) Noël Amenc and Jean-René Giraud of EDHEC Risk and Asset Management Research Centre present the first of two articles analysing performance measurement. This one considers the contradictions between theory and practice in the measurement of outperformance. (...)"
Copyright Funds Europe [www.funds-europe.com]
Hedge Funds Review (July 2004)
Managing hedge funds' operational risks
"(...) It is widely accepted that due to their trading activities and unregulated status, hedge funds exhibit potentially large exposures to non-financial risks.This, the first of three articles, attempts to assess how far hedge funds are exposed to operational risks, develops the framework of what can be considered appropriate operational due diligence and investigates how operational risks can potentially be quantified. . (...)"
Article by Jean-René Giraud, EDHEC Risk and Asset Management Research Centre
Copyright Hedge Funds Review [Full text - Registration required]
Banque & Finance (July/August 2004)
Notation de fonds : De la préhistoire à l’histoire
"(...) Telle paraît être l’opinion d’EuroPerformance, société acquise en 1998 par Fininfo, leader de diffusion de données financières sur le marché français. Coopérant avec l’EDHEC depuis 2002 dans le domaine de la mesure de la performance des fonds, elle a mis au point une méthodologie qui, selon Noël Amenc, professeur de finance à l’EDHEC et directeur de l’EDHEC Risk and Asset Management Research Center: « permet de scruter efficacement l’univers des fonds et de contourner les divers problèmes liés aux méthodes quantitatives traditionnelles ». (...)"
Copyright Banque & Finance [Full text - French]

June 2004

Les Echos (01/06/2004)
Au coeur du processus d'allocation d'actifs
"(...) D'après une enquête du centre de recherche EDHEC-Risk réalisée en 2002, près des deux tiers des sociétés de gestion européennes recourent à cette approche, baptisée « top down ». (...)"
Copyright Les Echos [Full text - French]
Funds Europe (June 2004)
Portabla beta and alpha in the Eurozone
"(...) Noël Amenc, Philippe Malaise, Lionel Martellini and Daphné Sfeir of EDHEC show why portfolio managers should use the derivatives markets for their asset allocation. (...)"
Copyright Funds Europe [www.funds-europe.com]

May 2004

Funds Europe (May 2004)
Bond ETFs: The natural vehicle for a core-satellite approach
"(...) Noël Amenc, Jean-René Giraud, Philippe Malaise and Lionel Martellini of the EDHEC Business School show that ETFs can be used in the full range of investement strategies and that they let investors practice sophisticated risk management at low cost. (...)"
Copyright Funds Europe [www.funds-europe.com]
Hedge Funds Review (May 2004)
The fund of hedge funds reporting quandry
"(...) As alternative investments become more common, investors are requiring greater transparency and better reporting. However, competing indices are confusing the issue rather than clarifying it. (...)"
By Mathieu Vaissié, EDHEC Risk and Asset Management Research Centre
Copyright Hedge Funds Review [Full text - Registration required]
IPE (May 2004)
Building an index of indices
"(…) The chief obstacle to the institutionalisation of hedge funds is the absence of proper performance evaluation. This is conclusion of a recent report from EDHEC Risk and Asset Management Research Centre, part of the EDHEC Business School, based in Lille and Nice. (…)"
Copyright IPE [Full text]
IPE (May 2004)
Portable beta and alpha strategies for long/short
"(…) Research work recently carried out by the EDHEC Risk and Asset Management Research Center has demonstrated that active portfolio managers, who attempt to generate abnormal profits through bets on well-identified risks, can benefit from using suitably packaged derivatives satellite portfolios as portable alpha and beta vehicles. (…)"
Copyright IPE [Full text]

April 2004

Les Echos (28/04/2004)
Les sociétés de gestion n'ont pas encore intégré l'impact de la DSI
"(...) C'est l'une des premières tendances qui se dégage d'une étude lancée au début du mois par le cabinet de conseil EDHEC-Risk Advisory auprès de 150 sociétés de gestion européennes. (...)"
Copyright Les Echos [Full text - French]
European Pensions and Investment News (12/04/2004)
Hedge fund transparency needed
EDHEC calls for removal of "last major obstacle" in sector
"(…) EDHEC Business School has issued a 32-page discussion paper aimed at improving fund of hedge fund reporting. The French-based research centre says that the lack of transparency of hedge funds is the last major obstacle to the industrialisation of the sector and that funds have to communicate details of their returns by asset group, sector, country and management style in order for investors to approach alternatives as confidently as they approach bonds and equities. (...)"
Copyright European Pensions and Investment News [Full text]
Portfolio International (01/04/2004)
French business school to improve hedge fund reporting
"(...) EDHEC Business School has set up a European consultation process for the improvement of fund of hedge fund reporting. This initiative is intended to be a response to criticism of the inappropriate content of the reports produced by European multimanagers that are addressed to European investors, as highlighted by the EDHEC European Alternative Multimanagement Practices Survery. (...)"
Copyright Portfolio International
Funds Europe (April 2004)
Shadows on the Wall
"(...) Mathieu Vaissié of the EDHEC Business School asks whether investors should really trust hedge fund indices or are they, like the prisoner in Plato's cave, condemned forever to mistake shadows for reality? (...)"
Copyright Funds Europe [www.funds-europe.com]

March 2004

IPE (19/03/2004)
AIMA launches survey for common hedge fund NAV policy
"(…) AIMA is asking institutional investors, fund of funds managers, hedge fund managers, CTAs, prime brokers and fund administrators to complete a questionnaire by the end of March. The findings will be reported by EDHEC Risk, an asset management research organisation based in Lille and Nice. (…)"
Copyright IPE [Full text]
La Tribune (16/03/2004)
L'analyse de style des indices
"(...) Avec le concours du centre de recherche en gestion d'actifs de l'EDHEC, La Tribune proposera chaque semaine une évaluation du style des grands indices internationaux. Ces résultats s'appuient sur la mise en oeuvre d'une technique d'analyse de style développée dans les années 90 par le Prix Nobel William Sharpe. Cette analyse effectuée à partir des rentabilités hebdomadaires des indices sur une période glissante de six mois sera actualisée tous les mois. (...)"
Copyright La Tribune [www.latribune.fr]
Les Echos (05/03/2004)
Des indices boursiers pour tous les goûts
"(...) Une étude montre en effet qu'au sein de l'ensemble des indicateurs existants, les indices de l'EDHEC obtiennent les meilleurs résultats en termes de représentativité et de pureté. (...)"
Copyright Les Echos [Full text - French]
The Wall Street Journal (03/03/2004)
Funds of funds are falling short
"(…) But according to a recent survey by the French business school EDHEC, funds of funds by and large lack the scale, technical ability and focus to do a thorough job for institutional investors. Most of the 1,700 funds rely on inappropriate quantitative analysis of hedge-fund data, the survey found. (…)"
Copyright The Wall Street Journal [www.online.wsj.com]
IPE (March 2004)
Clearing the hurdles
"(…) A recent study by EDHEC (EDHEC European Alternative Multimanagement Practices Survey, Lille/Nice Nov 2003) shows, that there are not that many hedge funds of that type around. Apparently not many hedge fund of fund managers can pass institutional due diligence regarding these investors’ requirements for top-down economic model-driven hedge fund strategy allocation, systematic, not only quantitative, hedge fund universe screening, hedge fund strategy tactical allocation/rotation, and transparent hedge fund qualitative assessment. (…)"
Copyright IPE [Full text]
Hedge Funds Review (March 2004)
Portable alpha and beta for long/short equity managers
"(...) Avoiding the pitfalls of unintentional market, sector and style bets.. (...)" Article by Noël Amenc, Philippe Malaise, Lionel Martellini and Daphné Sfeir
Copyright Hedge Funds Review [Full text - Registration required]
Funds Europe (March 2004)
Absolute and Relative Performance Evaluation
Hedge Funds are not a homogeneous asset class, say Noël Amenc and Jean-René Giraud of the EDHEC Risk and Asset Management Research Centre, so building a hedge fund portfolio requires the appropriate tools to analyse their specific risk factors
Copyright Funds Europe [www.funds-europe.com]

February 2004

Funds Europe (February 2004)
Respecting the rules
"(...) Turning compliance into a value proposition is a priority for most asset managers, say Noël Amenc and Jean René Giraud of EDHEC Risk and Asset Management Research Centre. (...)"
Copyright Funds Europe [www.funds-europe.com]

January 2004

Le Temps (27/01/2004)
Les fonds alternatifs, de la théorie à la pratique
Article by François-Serge Lhabitant, Associate Professor, EDHEC Business School
Copyright Le Temps [Full text - French]
Le Temps (27/01/2004)
Des indices de hedge funds plus représentatifs
"(...) Fort heureusement, une possibilité pour disposer d'indices de hedge funds réellement représentatifs a été récemment suggérée par l'EDHEC. (...)"
Copyright Le Temps [Full text - French]
IPE (January 2004)
Hedge interest surges
"(…) Institutional investors' allocations to European funds of hedge funds are growing rapidly, according to a study by EDHEC Group, one of the leading French Business Schools. But high net worth investors still represent the main category of investors. EDHEC conducted the survey into alternative multimanagement to which there were 61 funds of hedge funds manager respondents, managing €136bn. (…)"
Copyright IPE [www.ipe.com]
Funds Europe (December 2003/January 2004)
Core portfolio, specialist satellites
"(...) Noël Amenc and Lionel Martellini of EDHEC Risk and Asset Management Research Centre outline a new passive/active management approach that fulfils the need for mainstream money management and accesses the performance available to more entrepreneurial, flexible managers. (...)"
Copyright Funds Europe [www.funds-europe.com]

December 2003

Les Echos (19/12/2003)
Les institutionnels plafonnent leurs investissements
"(...) L'étude de l'EDHEC consacrée à la multigestion alternative en Europe montre que les « hedge funds » représentent moins de 5 % des actifs des investisseurs institutionnels. (...)"
Copyright Les Echos [Full text - French]
FT Mandate (15/12/2003)
Funds of funds practice comes under French fire
"(…) A leading French business school has attacked fund of hedge funds for focusing too much on quantitative rather than qualitative portfolio construction, having too many funds in their portfolios and failing to undertake adequate due diligence. EDHEC Business School, in Lille and Nice, has surveyed 61 respondents in Europe, managing a total of €136bn. (…)"
Copyright FT Mandate [www.ftmandate.com]
FT Mandate (15/12/2003)
EDHEC to issue paper on hedge fund risk
"(…) Appropriate benchmarks need to be defined to measure hedge fund risk and return, according to French business school, EDHEC. Dr. Noël Amenc, professor of finance at EDHEC and head of research at Misys Asset Management Systems, said the Lille and Nice-based business school would issue a White Paper on this next year. (…)"
Copyright FT Mandate [www.ftmandate.com]
La Tribune (11/12/2003)
La multigestion alternative européenne a encore des progrès à faire
"(...) Le centre de recherche sur la gestion de l'EDHEC publie aujourd'hui les résultats d'une enquête qui devrait chambouler certaines idées reçues sur les pratiques de l'industrie de la multigestion alternative européenne, porte d'accès la plus facile vers les fonds alternatifs (hedge funds). (...)"
Copyright La Tribune [www.latribune.fr]
International Pensions News (10/12/2003)
Institutional hedge fund allocation growing rapidly
"(…) Hedge funds continue to gain ground as an increasingly significant section of the global alternative investment industry, with a new survey revealing that institutional investor allocation in European funds of hedge funds is rising swiftly. The review by the EDHEC group found that though high net worth investors still represented the main category of investors, institutional investor allocations were increading rapidly. (…)"
Copyright International Pensions News
European Pensions and Investment News (08/12/2003)
Taking the lid off innovation
"(…) A recent conference organised by the French management school EDHEC and the Europlace Institute of Finance, together with Misys Asset Management Systems, heard that the choice of index has significant influence on performance. Professor Lionel Martellini, scientific director of the EDHEC risk and asset management research centre, said that a careful combination of style or sector indices could provide better returns and less volatility than a market reference index. (...)"
Copyright European Pensions and Investment News [Full text]
Le Monde (06/12/2003)
Trois questions à... Noël Amenc
"(...) "« Vous êtes professeur de finance à l'EDHEC. Selon vous, un scandale comme celui des « mutual funds » pourrait-il éclater en France ? ». (...)"
Copyright Le Monde [Full text - Registration required - French]
IPE (05/12/2003)
Institutions raising hedge allocation - EDHEC
"(…) "The growing importance of institutional investors is leading to a greater concentration on diversification rather than absolute return," says EDHEC, who conducted the survey into alternative multimanagement in the second half of 2002, to which there were 61 funds of hedge funds manager respondents, managing 136 billion euros at the time. (…)"
Copyright IPE [Full text]
La Tribune (05/12/2003)
Les hedge funds en voie d'institutionnalisation
"(...) En Europe, la tendance est au contraire à l'ouverture. "Les régulateurs ont réalisé qu'ignorer les hedge funds, ce n'est pas protéger les investisseurs. Et ne pas leur donner de cadre favorable, c'est condamner à terme la gestion européenne", analyse Noël Amenc, directeur du centre de recherche sur la gestion de l'EDHEC. (...)"
Copyright La Tribune [www.latribune.fr]
Reuters (05/12/2003)
Fund of hedge fund investors face big risks - study
(...) Investors in some funds of hedge funds risk losing a big chunk of their investments because many providers fail to structure portfolios to account for a variety of risks, according to research published on Friday. Some funds of hedge funds - compilations of separate funds - ignore key risks in their portfolios often using methods of analysis which are only appropriate to traditional funds, according to research by the EDHEC Business School in Paris. (...)
Copyright Reuters [www.reuters.com]
Hedge Funds Review (December 2003)
Investible indices vs funds of funds: a better alternative?
"(...) Hedge fund indices' failure to truly represent the entire hedge fund universe has been addressed by academic researchers in the recent paper by Noël Amenc of EDHEC Graduate School of Business and Lionel Martellini at the University of Southern California. They show that indices are so different in their construction that sometimes monthly returns have differed by as much as 20%, with some showing negative correlation with one another over time. (...)"
Copyright Hedge Funds Review [www.hedgefundsreview.com]

November 2003

Financial Times (09/11/2003)
When tactical is practical
"(...) According to a recent survey by academics at EDHEC, the French business school, only a few European managers use the classic model-driven quantitative approach to TAA. (...)"
Copyright Financial Times [Full text]
Funds Europe (November 2003)
Shouldering the burden
"(...) Noël Amenc and Jean-René Giraud of EDHEC Risk and Asset Management Research Centre explain why the responsibility for best execution has shifted from the broker to the asset manager. (...)"
Copyright Funds Europe [www.funds-europe.com]

October 2003

L'Agefi (30/10/2003)
Les gérants étrangers s'imposent face aux français
"(...) Pour la seconde année consécutive, L'Agefi fonde son Grand Prix de la Gestion d'Actifs sur les travaux de l'EDHEC et d'EuroPerformance en partenariat avec Omgéo et Misys Asset Management. (...) EuroPerformance a mis en oeuvre une méthode originale proposée par l'EDHEC et issue des travaux de William Sharpe sur l'analyse de style. (...)"
Copyright L'Agefi [www.agefi.fr]

September 2003

European Pensions and Investment News (27/09/2003)
Asset allocation: a European perspective
"(…) Misys Asset Management Systems supported a survey into the practices of European asset management companies, carried out by EDHEC. This enabled an evaluation of the development of the asset allocation process. An overview by Noël Amenc. (…)"
Copyright European Pensions and Investment News [www.epn-magazine.com]
The Wall Street Journal (17/09/2003)
Tracking hedge funds: an inexact science
"(…) Professor Lionel Martellini's hedge-fund research team at the French business school EDHEC found that not only do the various published indexes not agree with each other but "the degree to which they don't agree is frightening". (…)"
Copyright The Wall Street Journal [www.online.wsj.com]
FT Mandate (08/09/2003)
Broadening your horizons
"(…) A research and design collaboration with EDHEC, a leading French business school, ensures that Misys Asset Management Systems’ evolution of Apollo is built around sophisticated modelling and advanced asset allocation theories. (…)"
Copyright FT Mandate [Full text]
Funds Europe (September 2003)
Basel II: Forestalling Risk?
"(...) Overly restrictive regulations may not only encourage companies to work around them but also discourage honest and competent firms from entering the market at all. EDHEC's Noël Amenc and Jean-rené Giraud examine the options for public authorities attempting to inhibit operational risk. (...)"
Copyright Funds Europe [www.funds-europe.com]

August 2003

International Financing Review (09/08/2003)
Operational risk: Asset managers miss the point
"(...) "Internal loss databases completely miss the point. You don't measure extreme risk by measuring daily (operational) losses," said Giraud, co-author of a study of European asset manager operational risk practices produced by EDHEC, the French business school. (...)"
Copyright International Financing Review [www.ifre.com]
Wealth Manager (09/08/2003)
If you think hedge funds are tough to analyze, consider hedge fund indexes
"(...) One of the more ambitious efforts for improving the status quo comes from the Risk and Asset Management Research Center at EDHEC, a respected business school in France. EDHEC's brand of alternative indexes combines existing benchmarks from various commercial providers and is an effort to create a superior product from flawed components. (...)"
Copyright Wealth Manager [http://wealth.bloomberg.com/]

July 2003

International Funds Services Review (July 2003)
Surveying the asset management landscape
"(...) An analysis of the key results of the EDHEC European Asset Management Practices Survey. (...)"
Copyright International Funds Services Review
Hedge MAR (July 2003)
French academics launch HF index composite
"(...) French Business School EDHEC has created a new set of indices in order to cope with the heterogeneity and bias problems it finds in established alternative strategy indices. EDHEC's indices bring together data from all major hedge fund and managed futures indices in an effort to make them more representative and more stable than any others. EDHEC hopes its indices will be useful as benchmarks for monitoring and evaluating the most common alternative strategies. (...)"
Copyright Hedge MAR

June 2003

Financial Times (09/06/2003)
Indexing the fringe
"(...) A conference in London last week on hedge fund indices attracted 200. EDHEC, the French business school, has jumped into (or perhaps on top of) an increasingly crowded field by launching an "index of indexes". (...)"
Copyright Financial Times [Full text]
Pensions Week (09/06/2003)
Alternative is the new mainstream
"(...) Research by the EDHEC Risk and Asset Management Resarch Centre showed that globally alternative investment currently represents more than £420bn in managed assets, and claimed that it is rapidly becoming part of mainstream asset allocation decisions. EDHEC said more than half of the alternative investment came from institutional investors. EDHEC, however, does claim that there needs to be greater transparency before alternative investments are recognised as an industry norm. (...)"
Copyright Pensions Week [www.pensionsweek.com]
IPE (04/06/2003)
EDHEC announces index of indices for hedge fund investors
"(…) "French business school EDHEC, specialising in asset management, has launched an "index of indices" for alternative investments. It says the aim is to provide institutional investors with a better benchmark for their hedge fund investors. Currently there are more than a dozen hedge fund indices. A team from EDHEC’s risk and asset management research centre near Nice proposes to incorporate data from all of them within a single index. (…)"
Copyright IPE [Full text]
Funds Europe (June 2003)
European managers focus on risk and technology, says survey
"(...) Around 47% of asset managers envisage a renewal of their software or technical infrastructure within the next two years according to a joint survey by EDHEC, the French business school and technology firm Misys. (...)"
Copyright Funds Europe [www.funds-europe.com]

May 2003

Les Echos (27/05/2003)
La gestion indirecte confirme son succès
"(...) « Malgré l'engoument qu'elle suscite et ses taux de croissance récents, la multigestion représente aujourd'hui moins de 5 % de l'offre des grandes sociétés de gestion européennes », peut-on lire dans une récente étude de l'EDHEC, reprise par l'agence Reuters. (...)"
Copyright Les Echos [Full text - French]
IPE (23/05/2003)
Multi-management has 4% of market – survey
"(…) "A new survey has found that multi-management accounts for just over four percent of European asset management offerings. "Despite its popularity and success, multi-management only represents 4.14% of the existing offerings," said Noel Amenc, professor of finance at EDHEC Business School. (…)"
Copyright IPE [Full text]
Les Echos (22/05/2003)
Les pratiques des gérants européens passées au crible
"(...) L'EDHEC publie aujourd'hui, en partenariat avec Misys Asset Management Systems, éditeur de progiciels de gestion d'actifs, et EuroPerformance-Groupe Fininfo, les résultats d'une enquête sur les pratiques des gestionnaires européens. Unique en Europe, cette enquête a été réalisée entre juillet et octobre 2002 sur un échantillon de 60 sociétés de gestion européennes. (...)"
Copyright Les Echos [Full text - French]

April 2003

Absolute Return (April 2003)
Funds of funds in drag
"(…) One of the most comprehensive critiques of the emerging hedge fund index market was published in February by two academics, Noël Amenc of the EDHEC Graduate School of Business and Lionel Martellini, an assistant professor of finance at the Marshall School of Business, University of Southern California. In their paper, "The Brave New World of Hedge Fund Indices", the two economists note that existing hedge fund indices "provide a somewhat confusing picture of the investment universe". (…)"
Copyright Absolute Return

March 2003

La Tribune (14/03/2003)
« Gare aux idées reçues sur la gestion alternative »
Interview : Noël Amenc, professeur à l'EDHEC
"(...) « La stratégie long-short, l'une des plus utilisées, est sensible à la baisse des marchés actions. D'autres, comme l'arbitrage sur les convertibles, sont plus décorrélées». (...)"
Copyright La Tribune [www.latribune.fr]

February 2003

Financial Times (19/02/2003)
Hedge fund chaos can still yield cash
"(...) A recent paper by three authors led by Noël Amenc, professor of finance at EDHEC, the French business school, has taken on the task of pinning down the benefits and risks of these alternative investments. (...)"
Copyright Financial Times [Full text]
Le Monde (09/02/2003)
3 questions à Noël Amenc, Professeur de Finances à l'Ecole des Hautes Etudes Commerciales (EDHEC)
"(...) "« Jugez-vous le placement en Bourse dangereux pour les particuliers ? ». (...)"
Copyright Le Monde [www.lemonde.fr - French]

January 2003

Banque & Finance (January/February 2003)
Hedge Funds: Let the sun shine!
"(...) En guise de synthèse, il paraît judicieux de reprendre la conclusion de Noël Amenc, Professeur à EDHEC, responsable du pôle d’excellence « Risk and Asset Management » et Directeur de la R&D pour le groupe Misys Asset Management Systems, dans son étude intitulée « Alternative diversification and risks ». A la question de savoir quelle attitude adopter face aux risques que présentent les stratégies alternatives, Noël Amenc répond : « contrairement à ce que voudraient faire croire certains promoteurs de hedge funds, les investissements alternatifs présentent des risques, et ceci est également valable pour les stratégies non-directionnelles qui présentent un bêta de zéro ou une très faible volatilité. Mais ces risques constituent également leur principale force ». (...)"
Copyright Banque & Finance [Full text - French]