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EDHEC-Risk Information

EDHEC-Risk in the Press

Articles published in 2004

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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]