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EDHEC-Risk Information

EDHEC-Risk in the Press

Articles published in 2008

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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 - Registration required]


  • 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 - Registration required]


  • 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. (...)"
    Copyright Hedge Funds Review [Full text]


  • 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. (...)
    Copyright Financial News [Full text - Registration required]


  • 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). (...)"
    Copyright La Tribune [Full text - Registration required]


  • 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 (...)"
    Copyright HedgeWorld News [Hedgeworld - Registration required]


  • 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 - Registration required]


  • 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. (...)"
    Copyright Pensions & Investments [Full text]


  • 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 - Registration required]


  • L'Agefi (12/06/2008)
    Everyone complains about cap-weighted indexes, but fundamental indexes—valued by ETF managers—are no panacea
    "(...) “Today’s challenge is to find a method, not for selecting components, but for reweighting, that makes it possible to create more efficient indexes than cap-weighted ones, while retaining the same universe of companies,” points out Lionel Martellini, Professor of Finance and Scientific Director of EDHEC’s Risk and Asset Management Research Center (see interview). (...) A consensus has begun to emerge—at least around one issue: cap-weighted indexes are inefficient, as several studies, including EDHEC’s, have shown. “It is relatively easy to do better than a cap-weighted index, both in terms of performance and risk,” Martellini says. "For the same universe of companies (for example, those of the S&P 500), weighting stocks equally would produce better results over a long period than cap-weighting, regardless of the period or the universe of companies selected.” (...)"
    Copyright L'Agefi [Full text]


  • L'Agefi (12/06/2008)
    We've got to get back to the fundamentals of portfolio theory
    Interview with Lionel Martellini, Professor of Finance and Scientific Director of EDHEC’s Risk and Asset Management Research Center
    "(...) We suggest a new approach that involves returning to the fundamentals of portfolio theory. This approach, based on maximizing the Sharpe ratio, relies on estimating the parameters of yield risk (variances and co-variances). We do not currently have good long-term statistical estimators of average yield. Given that, we chose to favour a more economic approach, beginning with the premise that over a long period, the yield parameter should be proportional to the risk parameter, which is easier to estimate using appropriate statistical techniques. (...)"
    Copyright L'Agefi [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
    Copyright Hedge Funds Review [Full text - Registration required]


  • 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. (...)"
    Copyright Financial Times [Full text]


  • 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. (...)"
    Copyright Les Echos [Full text - French - Registration required]


  • 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." (...)
    Copyright The Economist [Full text]


  • 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. (…)"
    Copyright Hedge Funds Review [Full text - Registration required]


  • 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". (…)"
    Copyright The Wall Street Journal [Full text – Registration required]


  • 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. (...)"
    Copyright Le Monde [Full text - Registration required - French]


  • 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. (...)"
    Copyright Financial Times [Full text]


  • 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. (...)"
    Copyright Financial Times [Full text]


  • 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. (...)"
    Copyright Financial Times [Full text]


  • 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. (...)"
    Copyright Pensions & Investments [Full text]


  • 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. (…)"
    Copyright Hedge Funds Review [Full text - Registration required]


  • 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 (...)"
    Copyright Financial Times [Full text]


  • 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 - Registration required]


  • 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 (...)"
    Copyright les Echos [Full text - French - Registration required]


  • 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). (...)"
    Copyright Le Monde [Full text - Registration required - French]


  • 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. (…)"
    Copyright Hedge Funds Review [Full text - Registration required]


  • 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]