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EDHEC-Risk Information

EDHEC-Risk in the Press

Articles published in 2009

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December 2009

  • Hedge Funds Review (December 2009)
    Has there been excessive speculation in the US oil futures markets? What can we (carefully) conclude from new CFTC data?
    Article by Hilary Till, Research Associate at the EDHEC Risk and Asset Management Research Centre and co-founder of the proprietary trading firm, Premia Capital Management, LLC.
    "(...) Our new paper on the oil markets examines whether this increased transparency can provide any answers on whether there has been excessive speculation in the US oil markets. Using a traditional metric for evaluating speculative participation, we find that the level of outright position-taking in US exchange-traded oil derivatives contracts has largely fluctuated in a normal range based on historically relevant benchmarks. (...)"
    Copyright Hedge Funds Review [Full text]


  • IndexUniverse (28/12/2009)
    Beyond Cap Weight
    "(...) The EDHEC “efficient index” portfolio is based on presuming that return is linearly linked to a general measure of total risk (semi-deviation) and then using Markowitz mean-variance optimization to identify the tangency portfolio. Both ideas are fascinating variants of the broad concept of minimum variance. (...)"
    Copyright Journal of Indexes (January/February 2010) [Full text]


  • L'Agefi Suisse (28/12/2009)  
    L’absence de représentativité des indices de hedge funds
    "(...) D'autre part, l'Ecole des Hautes Etudes Commerciales (l'EDHEC) proposait d'utiliser des indices d'indices, une façon assez ingénieuse pour diversifier les biais. (...)"
    Copyright L'Agefi Suisse [Full text - French - Registration required]


    Hedgeweek (16/12/2009)
    EDHEC-Risk launches risk and investment management programme
    "(...) EDHEC-Risk Institute has launched a risk and investment management programme after a survey found that further education was needed to close the gap between real-world practice and research. The Executive MSc in Risk and Investment Management will provide experienced practitioners with a 17-month part-time programme. (...)"
    Copyright Hedgeweek [Full text]


  • Middle East North Africa Financial Network (16/12/2009)
    EDHEC-Risk Institute unveils major initiative for the investment industry
    "(...) In a recent consultation conducted by EDHEC-Risk Institute in the wake of the financial crisis, 95% of investment professionals surveyed felt that improvements in investment practices were needed and 86% of respondents believed that further education and effort were required to close the gap between real-world practice and research. In this context, EDHEC-Risk Institute announced today the launch of a major initiative to address the educational needs of the investment industry. The Executive MSc in Risk and Investment Management will provide experienced practitioners with the conceptual and practical tools to embrace and lead the major changes that will redefine the profession. (...)"
    Copyright MENAFN [Full text]


  • Pensions Week (14/12/2009)
    SRI: Awaiting the public vote
    "(...) Outperformance claims in particular are hotly contested. Although many studies have examined the question of the performance of SRI versus conventional strategies, results have often been contradictory. (...) In contrast, a prominent paper by EDHEC in December 2008 showed that none of the 62 funds examined managed to produce both positive and significant alpha (outperformance) over a six-year period. (...)"
    Copyright Pensions Week [Full text]


  • Les Echos (14/12/2009)  
    La gestion actif-passif s'invite au menu des gérants privés
    "(...) Interrogés par l'EDHEC sur les principaux risques auxquels doivent faire face leurs clients, une soixantaine de banquiers et gérants privés mettent d'abord en avant une inflation plus forte qu'attendu, les soubresauts de la Bourse, l'évolution des taux d'intérêt, puis celle des prix de l'immobilier. Les freins à la mise en place de solutions de gestion actif-passif sont perçus comme étant en premier lieu le manque d'expertise en interne pour les mettre en œuvre (qui nécessitera donc des recrutements extérieurs), la complexité de ces solutions, puis les difficultés à les faire comprendre à leurs clients. (...)"
    Copyright Les Echos [Full text - French - Registration required]


  • Financial Times (13/12/2009)
    Article by Noël Amenc, director of EDHEC-Risk Institute and Felix Goltz, head of applied research
    Private wealth management needs better risk control
    "(...) Managing the assets of wealthy individuals has always been one of the main businesses of banks. Currently there are close to 9m individuals worldwide who have investable wealth in excess of $1m. The main advantage private wealth managers offer these clients is to come up with customised solutions that take into account the client’s specific needs. Unlike retail clients, these individuals can expect their adviser to take their personal situation and preferences into consideration when defining investment strategy. And private wealth managers see customisation as their primary source of added value. However, in current practice, customisation mainly takes the form of tax advice. In investment risk management, customisation all too often stops at the client’s overall level of risk aversion, without specific consideration of his or her particular situation. (...)"
    Copyright Financial Times [www.ft.com]


  • L'Agefi Hebdo (10/12/2009)  
    Solvabilité II pousse les assureurs à des arbitrages
    "(...) La question qui émerge est de savoir comment offrir encore des rendements attractifs si les placements deviennent principalement obligataires, souligne Philippe Foulquier, professeur à l'EDHEC et auteur d'une étude sur Solvabilité II. Pour rester compétitifs face à l'offre bancaire et des gestionnaires d'actifs, les assureurs vont devoir repenser leurs produits, les options offertes, mais aussi la tarification et la couverture de ces produits. » (...)"
    Copyright L'Agefi Hebdo [www.agefi.fr]


  • Wealth Bulletin (08/12/2009)
    Oil price hike 'not caused by speculators'
    "(...) The 2008 spike in crude prices, widely believed to have been caused by speculation in the oil futures market, is likely to have had a different trigger according to new research. EDHEC Risk Institute research associate Hilary Till has found that the level of outright position taking in US exchange traded oil derivatives contracts stood at the same level in historical terms over the course of the bubble in prices. (...)"
    Copyright Wealth Bulletin [Full text]


  • Financial Times (08/12/2009)
    US Commodity Trading
    "(...) Bringing derivatives under the purview of the Commodity Futures Trading Commission and giving the agency the ability to tell exchanges when to raise margin requirements is their prescription. But the CFTC's own recent effort to enhance reporting of 22 different products has given outside experts better information to refute this canard. Most recently, the EDHEC-Risk Institute examined data for oil futures markets and detected no evidence of abnormal speculation. (...)"
    Copyright Financial Times [www.ft.com]


  • Les Echos (07/12/2009)  
    Le dilemme des fonds pétroliers
    "(...) « Nos travaux montrent que les fonds pétroliers devraient détenir un montant considérable de leurs actifs dans des obligations d'Etat à long terme américaines afin de se couvrir contre l'évolution défavorable des cours du pétrole et des taux d'intérêt à court terme », constate Bernhard Scherer professeur de finance à l'EDHEC. (...)"
    Copyright Les Echos [Full text - French - Registration required]


  • Le Temps (07/12/2009)  
    La gestion asymétrique du «tracking error»
    "(...) Comme l’a souligné Noël Amenc dans ses travaux de modélisation d’une approche «core-satellite» dynamique auprès de l’EDHEC (Amenc et al. «Revisting Core-Satellite – A Dynamic Model of Relative Risk Management), ce dernier soulignait que l’écart de déviation (i.e «tracking error») n’était pas forcément mauvais. Pour reprendre les propos introductifs de son étude qui a fait œuvre de pionnier dans le domaine, «le tracking error n’est pas forcément mauvais; tout comme avec le bon et mauvais cholestérol, il y a du «bon tracking error» et du «mauvais tracking error», faisant respectivement référence à la «sur» et «sous»-performance d’un portefeuille par rapport à son «bench­mark». (...)"
    Copyright Le Temps [Full text]


  • Le Temps (07/12/2009)  
    Le nouveau rôle des hedge funds
    "(...) Les récentes turbulences permettent aussi à la recherche financière de progresser et de resituer chaque catégorie d’actif. Il n’est par exemple pas du tout sûr que les actions constituent un placement valable à long terme, selon Arjuna Sittampalam, chercheur auprès de l’institut EDHEC-Risk. (...) Les dividendes versés aux actionnaires augmentent-ils plus vite que le PIB? C’est une autre idée fausse, selon EDHEC. (...)"
    Copyright Le Temps [Full text]


  • Le Temps (07/12/2009)  
    «Les fonds diversifiés étaient tous dans Madoff»
    Interview de François-Serge Lhabitant, Chief Investment Officer de Kedge Capital Fund Management (Jersey), et professeur de Finance à l’EDHEC Business School (France).
    "(...) Les hedge funds qui choisissent de devenir accessibles au grand public doivent à mon avis être réglementés. Malheureusement, le dernier projet de directive européenne est un non-sens à mes yeux. Bâclé et populiste, il témoigne d’une grande méconnaissance du monde des hedge funds. Son but caché est simplement d’interdire aux gérants alternatifs anglo-saxons l’accès au marché européen, et si possible de limiter leur rémunération. S’il est adopté en l’état, cela coûtera tout simplement des milliards en manque à gagner aux investisseurs institutionnels européens en les coupant de plusieurs stratégies d’investissement. (...)"
    Copyright Le Temps [Full text]


  • Financial Times (06/12/2009)
    Sorting hedging facts from fiction
    "(...) A paper, Alternative Investments for Institutional Investors, written by Noël Amenc, Lionel Martellini and Volker Ziemann of the EDHEC Risk and Asset Management Research Centre in Nice, France, also suggested commodities were better than other asset classes, such as equities and real estate, in hedging inflation. “The inflation-hedging properties of different asset classes depends on the time horizon. Stocks are pretty poor at hedging in the short run but they are good in the long run. “For commodities, the situation is already good to start with. There is much higher correlation on a short-term basis,” says Mr Martellini. The paper’s findings are also pleasingly plausible. “Commodity prices, in particular oil prices, are an increasing component of consumer price inflation, so when oil prices go up inflation will go up as well,” Mr Martellini adds. (...)"
    Copyright Financial Times [Full text]


  • Financial Times (06/12/2009)
    Speculation in oil futures not excessive
    Article by Hilary Till, research associate at EDHEC-Risk Institute
    "(...) The US Commodity Futures Trading Commission has recently made significant progress in introducing more transparency into the commodity futures markets. In October the CFTC released three years of enhanced market participant data for 22 commodity futures markets in its new Disaggregated Commitments of Traders report. For statisticians and economists, this is a welcome announcement of additional transparency in the workings of the US futures markets. A new position paper on the oil markets examines whether this increased transparency can provide any answers on whether there has been excessive speculation in the US oil markets. This is a brief summary of the findings. (...)"
    Copyright Financial Times [Full text]


  • Indices (December 2009)  
    Secousses en vue sur le marché du crédit
    La chronique de François-Serge Lhabitant, Chief Investment Officer chez Kedge Capital Fund Management et Professeur de Finance, à l’EDHEC Business School
    "(...) Les dernières statistiques publiées par Standard and Poor’s début novembre indiquent qu’en 2009, ce ne sont pas moins de 243 entreprises américaines qui ont déjà fait défaut sur leurs obligations pour un montant total de 573 milliards de dollars de dette – à comparer avec 128 entreprises en faillite pour 433 milliards de dollars d’obligations en 2008. Ces montants donnent le vertige. En termes relatifs, sur les 12 derniers mois, le taux de défaut atteint 9,71%, soit près de 12 fois le niveau plancher de 2007 (0,79%). (...)"
    Copyright L'Agefi Suisse [www.agefi.com]


November 2009

  • Funds Europe (November 2009)
    Time to rewrite the rules
    Setting a realistic timetable for the EC examination of the Ucits depositary function is a must, writes Samuel Sender, of EDHEC
    "(…) The Alternative Investment Fund Managers (AIFM) Directive may seem a natural extension to the alternative universe of Ucits regulation, which has above all to do with funds meant for retail investors. But the Ucits directives did not clarify the depositary role, and it was the Madoff fraud and the Lehman bankruptcy that highlighted the disparities in domestic regulations on depositaries and the degrees of protection afforded investment firms and end-investors. (...)"
    Copyright Funds Europe [www.funds-europe.com]


  • IPE (27/11/2009)
    SWFs – case for ALM
    "(…) Recent academic research conducted by EDHEC-Risk Institute 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 that allows one to formalise the impact on the optimal allocation policy in the presence of risk factors affecting the state surplus dynamics, and the (implicit or explicit) liabilities the fund is facing. (…)"
    Copyright IPE [Full text - Registration required]


  • Indices (November 2009)  
    La récession est finie. Vive la crise !
    La chronique de François-Serge Lhabitant, Chief Investment Officer chez Kedge Capital Fund Management et Professeur de Finance, à l’EDHEC Business School
    "(...) Presque tous les grands économistes l’affirment: la récession serait terminée et la reprise proche. La preuve: les consommateurs recommencent à dépenser, les marchés d’actions s’envolent depuis plus de six mois et même les hedge funds jettent l’éponge pour les ventes à découvert – un signal qui ne saurait tromper. Un an après la faillite de Lehman Brothers, l’optimisme serait-il donc de mise? (...)"
    Copyright L'Agefi Suisse [www.agefi.com]


  • IPE Asia (27/11/2009)
    EDHEC challenges conventional index thinking
    "(…) The French research institute EDHEC is increasing its activity in the Asian region, bringing its expertise in investment matters to an audience of the biggest investors in the region. In Singapore this month, Lionel Martellini, professor of finance at EDHEC Business School and scientific director of EDHEC Risk Institute, explained the group’s attempts to develop an alternative to traditional index benchmarking. (…)"
    Copyright IPE Asia [Full text - Registration required]


  • Le Monde (26/11/2009)  
    Bruxelles veut réglementer les hedge funds pour éviter tout risque systémique
    "(...) ""Ce texte "ne comporte pas un socle suffisant d'exigences", juge aussi Noël Amenc, patron du centre de recherche de l'EDHEC. Selon lui, il n'empêche pas à un fonds domicilié dans un pays de l'Union à la régulation accommodante de bénéficier du passeport européen. In fine, "on risque d'accroître le dumping réglementaire intracommunautaire", alerte M. Amenc. (...)"
    Copyright Le Monde [Full text - French]


  • The Hedgefund Journal (23/11/2009)
    EDHEC survey: Impact of Regulations
    "(...) In a newly-released report by Samuel Sender, Applied Research Manager at EDHEC-Risk, EDHEC has surveyed pension funds, their advisers, their regulators, their fiduciary managers, and their asset managers for their reactions to an EDHEC study entitled "Impact of Regulations on the ALM of European Pension Funds". The call for reaction elicited 142 responses and is the first international survey in which both regulatory constraints and the means of managing them - modern ALM techniques - are assessed jointly. (...)"
    Copyright The Hedgefund Journal [Full text]


  • L'Agefi Hebdo (19/11/2009)  
    Les Grands Prix de la Gestion d'Actifs 2009 :

    Les indépendants ont le vent en poupe
    "(...) La raison d'être des Grands Prix de la Gestion d'Actifs de L'Agefi, qui fêtent cette année leur dixième anniversaire, est de distinguer des fonds capables de surperformer leur véritable univers d'investissement avec la marge la plus importante, en un mot capables de générer de l'alpha. Pour ce faire, l'EDHEC et EuroPerformance mettent en oeuvre une méthodologie qui consiste à calculer l'alpha des OPCVM dans chaque catégorie, sur une période de trois ans (de fin juin 2006 à fin juin 2009). (...)"
    Copyright L'Agefi Hebdo [Full text - French]

    Mesurer la vraie performance de la gestion active
    Article par Noël Amenc, professeur de finance, directeur de l’EDHEC-Risk Institute
    "(...) Pour répondre à ces critiques et difficultés, les classements des Grands Prix de la Gestion d’Actifs de L’Agefi réalisés par EuroPerformance s’appuient sur une méthodologie originale proposée par l’EDHEC et issue des travaux de William Sharpe sur l’analyse de style. Cette méthode est fondée sur une approche de type « return-based style analysis » (RBSA) qui permet, sans avoir connaissance des titres détenus par le fonds, de caractériser son style et, par voie de conséquence, de construire un benchmark adapté et représentatif des risques pris par le gérant. (...)"
    Copyright L'Agefi Hebdo [Full text - French]


  • Global Fund Wire (11/11/2009)
    Insurers can capitalise on investments to meet Solvency II requirements
    "(...) The prudential framework of Solvency II might give a boost to the cultural revolution underway in the managerial practices in insurance companies: integration of risks and consideration of the cost of capital and value creation, rather than mere analysis of profit margins. These are the findings of a study published by EDHEC and sponsored by Swiss Re, entitled Solvency II: An Internal Opportunity to Manage the Performance of Insurance Companies. (...)"
    Copyright Global Fund Wire [Full text]


  • Hedge Funds Review (November 2009)
    Performance of passive hedge fund replication strategies
    Article by Noël Amenc, professor of finance at EDHEC Business School and director of EDHEC-Risk
    "(...) Following initiatives by major investment banks, the financial industry has expressed renewed interest in passive hedge fund replication. (...) The emergence of these products has taken place even though there is as yet no consensus on whether the technology that could allow satisfactory hedge fund replication is in place. In fact, academic research on hedge fund replication has been relatively limited. (...)"
    Copyright Hedge Funds Review [Full text]


  • Les Echos (09/11/2009)  
    « Cette directive ouvre la voie au dumping réglementaire intracommunautaire »
    Interview de Noël Amenc, directeur de l'EDHEC Risk and Asset Management Research Centre
    "(...) Noël Amenc, directeur de l'EDHEC Risk and Asset Management Research Centre, pointe les insuffisances et les incohérences d'un projet de directive sur les gérants de fonds alternatifs (AIFM) qui est parvenu à faire l'unanimité contre lui. (...)"
    Copyright Les Echos [Full text - French - Registration required]


  • L'Agefi Suisse (06/11/2009)  
    EDHEC: Etude sur fonds de pension bien accueillie
    "(...) L’étude de l’institut français EDHEC sur la politique de placement des fonds de pension européens présentée cette année propose des changements d’approche importants. Elle encourage notamment les caisses de pension à gérer de manière dynamique la part des placements visant la performance et celle servant à la couverture des engagements, une stratégie permettant de limiter l’impact négatif du renforcement des exigences réglementaires. (...)"
    Copyright L'Agefi Suisse [Full text - French - Registration required]


  • IPE (01/11/2009)
    Case for new forms of equity indices
    "(…) Stockmarket index providers should design their indices to help investors construct efficient portfolios rather than just focusing on being representative of the overall market, argues Felix Goltz. (…)"
    Copyright IPE [Full text - Registration required]


  • Pensions Management (01/11/2009)
    Euro hedge funds make a comeback
    "(...) The European hedge fund industry has continued to see a resurgence in returns, while there is cautious optimism for amendments to the much maligned EU directive. According to the latest EDHEC indices, a number of hedge fund strategies have seen double-digit returns so far this year, with convertible arbitrage achieving 41.3% and emerging markets 31.2%. Only short selling significantly underperformed, down 17.8% year to date. (...)"
    Copyright Pensions Management [Full text]


October 2009

  • Investor Services Journal (October 2009)
    Custody concern of EU rule draft: Domiciliation issues in alternative fund proposals may hit asset services.
    "(...) On 26th and 27th February, well before the Directive appeared, the European Commission organised a debate for "emerging policy issues" that included representatives of the alternative investment industry, as well as Jean-Rene Giraud, director of development, from the French business school, EDHEC's Risk & Asset Management Research Centre. In Giraud's view : "Because the regulator (any regulator) is rarely able to prevent all risks through systematic control of industry practices, it seems that a structure whereby control is mutually organised throughout the industry is (a better way to go)." (...)"
    Copyright Investor Services Journal [http://isj.tv/]


  • L'Agefi (30/10/2009)  
    Fonction dépositaire: une étude approfondie des règlementations et pratiques serait nécessaire
    "(...) Un nouveau position paper de l'EDHEC approuve la consultation de la Commission Européenne sur la fonction dépositaire d'OPCVM du 15 septembre 2009 mais souligne qu'une étude approfondie des règlementations et pratiques des différents acteurs de la chaîne de valeur, à laquelle contribue la consultation, est nécessaire. (...)"
    Copyright L'Agefi [Full text - French]


  • L'Agefi Hebdo (29/10/2009)  
    Directive MIF : Deux ans après, un bilan mitigé
    "(...) Ils devraient faire l'objet de dispositions nouvelles adaptées à leurs spécificités », estime Jean-René Giraud, directeur du développement de l'EDHEC Risk and Asset Management Research Centre. Lui qui n' est « pas certain de l'apport d'une liquidité nouvelle par les "dark pools"ou les places alternatives » regrette que tous ces acteurs nouveaux dispensés de transparence « pre-trade » ne participent plus au processus de formation des prix : « Le prix pratiqué sur les marchés de référence pourrait bientôt cesser d'être représentatif du prix réel. » (...)"
    Copyright L'Agefi Hebdo [www.agefi.fr]


  • Funds Europe (October 2009)
    Out of balance
    "(…) Asset allocation could be out of step with asset liability management. Lionel Martellini, of EDHEC, reviews common ALM strategies in light of the financial crisis. (...)"
    Copyright Funds Europe [www.funds-europe.com]


  • FT Adviser (21/10/2009)
    Convertible bonds deliver top hedge fund gains
    "(...) Convertible bonds have produced some of the most remarkable hedge fund gains this year after savage deleveraging in the asset class in 2008, according to research house reports on recent industry returns. The EDHEC-Risk Institute and US company Morningstar both flagged up massive returns in convertible arbitrage strategies as participants entered the market at record valuations, with EDHEC's Convertible Arbitrage strategy topping levels reached in October 2007. (...)"
    Copyright FT Investment Adviser [Full text]


  • Les Echos (21/10/2009)  
    « Si les règles ne sont plus crédibles, elles ne seront pas utilisées
    Interview de Philippe Foulquier, Professeur à l'EDHEC Business School
    "(...) Si, sous Solvabilité II, les exigences réglementaires sont trop déconnectées de la réalité économique, les entreprises ne les utiliseront pas comme référentiel pour améliorer leur gestion des risques, estime Philippe Foulquier. Dans l'étude « Solvabilité II : une opportunité de pilotage de la performance des sociétés d'assurances », réalisée en partenariat avec SwissRe, il explique en quoi l'utilisation d'un modèle de capital économique compatible avec les contraintes de Solvabilité II peut pourtant servir les ambitions intrinsèques des assureurs. (...)"
    Copyright Les Echos [Full text - French - Registration required]


  • La Tribune (19/10/2009)  
    Une bonne gestion des risques repose sur un principe de subsidiarité
    Entretien avec Noël Amenc, directeur de l'EDHEC Risk Management Research Centre.
    "(...) Le professeur de finance revient sur la consultation de la Commission européenne sur le dépositaire. (...)"
    Copyright La Tribune [Full text - French - Registration required]


  • Hedgeweek (18/10/2009)
    EDHEC welcomes consultation paper on the UCITS depositary function
    "(...) EDHEC has welcomed the European Commission's consultation paper on the UCITS depositary function, but believes the EC timetable has been drawn up too hastily. (...)"
    Copyright Hedgeweek [Full text]


  • The Hedgefund Journal (15/10/2009)
    EDHEC's response to the EC's Consultation Paper
    "(...) In a recent position paper by Noël Amenc, director of EDHEC-Risk Institute and professor of finance at EDHEC, and Samuel Sender, director of applied research at EDHEC-Risk, in response to the European Commission Consultation on the UCITS depositary function of 15 September 2009, EDHEC expresses its approval of the consultation paper and stresses that: an in-depth study of the regulations and practices of those who are part of the value chain (to which the consultation contributes) is necessary. To take into account only the liability of the depositary in the management of non-financial risks would be a design flaw in the regulation. (...)"
    Copyright The Hedgefund Journal [Full text]


  • Indices (October 2009)  
    Le grand retour des hedge funds
    La chronique de François-Serge Lhabitant, Chief Investment Officer chez Kedge Capital Fund Management et Professeur de Finance, à l’EDHEC Business School
    "(...) Près de 90% des entreprises en Suisse sont des sociétés en mains familiales. Ces sociétés seront toutes confrontées un jour au problème de leur transmission (que la société soit vendue à un tiers ou reprise par un membre de la famille). Le nombre des reprises effectuées par un membre de la famille (actuellement environ 53 %) ne cesse de diminuer. Pour inverser cette tendance et favoriser les reprises au sein de la famille, le Conseil fédéral s’est récemment penché sur une proposition consistant à assouplir pour les entreprises les règles du droit des successions, en particulier en matière d’évaluation. (...)"
    Copyright L'Agefi Suisse [www.agefi.com]


  • International Custody & Fund Administration (15/10/2009)
    Ucits timetable too hasty
    "(...) Research group EDHEC-Risk has welcomed the European Commission's consultation paper on the Ucits depositary function - but said the timetable needs to be slowed down. In a position paper EDHEC called on the commission to undertake an indepth study of the non-financial risks weighing on those in the asset management industry and to identify the uncertainties as to responsibility and the possible absence of protection of investors or asset managers before making proposals. (...)"
    Copyright International Custody & Fund Administration [Full text]


  • Institutional Alternative Investment (13/10/2009)
    EDHEC warns that the proposed revision to IAS 19 would lead pension funds to shed risky assets
    "(…) In a new position paper produced as a response to the proposed revision to IAS 19 by the International Accounting Standards Board (IASB), EDHEC has shown that the immediate recognition of the volatility of pension surpluses and deficits in the profit and loss accounts of the sponsor may lead pension funds to shed risky assets. According to EDHEC, the IASB proposal gives pension funds no incentives to manage risk properly; instead, by suggesting that pension assets and liabilities can be considered held for trading, pension funds are given incentives to shed these liabilities. (…)"
    Copyright Institutional Alternative Investment [Full text]


  • Marketsmedia (13/10/2009)
    Pensions Risk Losing Risky Assets
    "(…) A proposed revision to an international accounting standard which suggests that pension assets and liabilities can be considered held for trading encourages funds to shed those liabilities, warns Samuel Sender, applied research manager with EDHEC-Risk. (…)"
    Copyright Marketsmedia [Full text - Registration required]


  • L'Agefi (12/10/2009)  
    L'EDHEC met en garde contre la révision de l'IAS 19
    "(...) La proposition de révision de la norme IAS 19 de l'International Accounting Standards Board conduira les principaux fonds de pension à se défaire des actifs risqués, prévient l'EDHEC dans un nouveau "position paper". Selon l'EDHEC, la proposition de l'IASB ne donne aux fonds de pension aucune incitation pour gérer le risque correctement. (...)"
    Copyright L'Agefi [Full text - French]


  • Global Fund Wire (11/10/2009)
    Revision to IAS 19 would lead pension funds to shed risky assets, says EDHEC
    "(...) In a paper responding to the proposed revision to IAS 19, EDHEC says the immediate recognition of the volatility of pension surpluses and deficits in the profit and loss accounts of the sponsor may lead pension funds to shed risky assets. (...)"
    Copyright Global Fund Wire [Full text]


  • OpRisk and Compliance (October 2009)
    He who laughs last
    "(...) Metzger points to studies carried out in 2003 by consulting firm Capco, and in 2007 by French business school, EDHEC, both of which found that more hedge funds collapse because of operational weaknesses than risky investment strategies - 67% versus 33%, according to EDHEC - but throughout the long, pre-crisis bull run, Metzger says there was almost no appetite for change. (...)"
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  • Hedge Funds Review (October 2009)
    Fund performance raises specific issues
    Article by David Schröder, business analyst, and Felix Goltz, head of applied research, EDHEC Risk and Asset Management Research Centre
    "(...) Unlike the returns of common stocks and mutual funds, hedge fund returns are generally not normally distributed. This has considerable consequences on a number of hedge fund risk measures, as presented in last month’s article, which was drawn from the EDHEC Hedge Fund Reporting Survey conducted with the support of Newedge Prime Brokerage. (...)"
    Copyright Hedge Funds Review [Full text]


  • IPE (08/10/2009)
    Corridor, smoothing would assist pensions risk ‐ EDHEC
    "(…) Companies and pension funds must be allowed to continue to use the "corridor approach" when assessing a sponsor’s pension fund liabilities under IAS19 as any move otherwise would encourage schemes to shed risky assets, according to research by the French business school EDHEC. (…)"
    Copyright IPE [Full text - Registration required]


  • L'Agefi Hebdo (08/10/2009)  
    Les modèles d' allocation d'actifs tendent vers plus de réactivité
    "(...) Le niveau de perte maximale acceptable par le client est désormais au centre des préoccupations. Cette démarche va de pair avec un pilotage précis du ratio de solvabilité, donc du risque du portefeuille. C'est notamment l'un des axes de travail de la chaire EDHEC BNP Paribas sur la gestion actif-passif. (...)"
    Copyright L'Agefi Hebdo [www.agefi.fr]


  • Global Banking News (06/10/09)
    EDHEC criticises traditional approach to private wealth management
    "(...) According to EDHEC-Risk research, technical tools employed by private bankers are inappropriate and do not give the clients any insight on the risks associated with accomplishing financial objectives. Even though the client is routinely asked all kinds of questions about current situation, goals, preferences, constraints, etc, the resulting service and product offering mostly narrows down to a basic classification in terms of risk profiles. The study was produced by EDHEC-Risk as part of the Ortec Finance "Private ALM" research chair. (...)"
    Copyright electronicnewspublishing.com [www.electronicnewspublishing.com]


  • FT Adviser (05/10/2009)
    Firms fall short for sophisticated clients
    "(...) The private wealth management industry cannot satisfy the needs of a sophisticated clientele, a study from the EDHEC-Risk Institute reveals. (...)"
    Copyright FT Investment Adviser [Full text]


  • Al Bawaba (Middle East) (05/10/2009)
    EDHEC says traditional approach to private wealth management is misguided
    "(...) In this new paper, EDHEC provide a formal framework suggesting that asset-liability management can ensure that private wealth managers are able to offer their clients investment programmes and asset allocation advice that improve the probability of meeting their individual objectives. (...)"
    Copyright Al Bawaba [www.albawaba.com]


  • European Pensions and Investment News (01/10/09)
    Professional Wealth Management (PWM): Focus On: Multi-Asset Investing - Asset Allocation - Is diversification dead? A new look at asset allocation.
    "(...) According to the EDHEC European Investment Practices Survey 2008, 95 per cent of the practitioners who responded share EDHEC's opinion that improvements need to be made to portfolio construction practices with the right risk management measures. (...)"
    Copyright European Pensions and Investment News [www.epn-magazine.com]


September 2009

  • Funds Europe (September 2009)
    Swiss tease
    "(…) Switzerland has relatively lax laws regarding funding. Samuel Sender, of EDHEC, talks about the challenges this poses. (...)"
    Copyright Funds Europe [Full text]


  • FT Adviser (30/09/2009)
    Computers blamed for wealth managers' asset allocation shortcomings
    "(...) The institute's report (...) said inadequate computer models were making it difficult for wealth managers to match clients' asset allocation with their future liabilities. "While the private banking industry is relatively well equipped on the tax planning side... the software packages used on the financial simulation side often suffer from significant limitations," they said. (...)"
    Copyright FT Investment Adviser [Full text]


  • IPE (30/09/2009)
    Liquidity fears dampen alternative ETF allure
    "(…) Since 2006, the percentage of users of ETFs has doubled in most asset classes, according to research from EDHEC, the French Business School. While ETF products for the alternative investment universe are still gaining traction, growing dissatisfaction suggests that these gains might be hard to sustain. Satisfaction with hedge fund and real estate products fell in 2009, according to the EDHEC European ETF Survey 2009. Dissatisfaction with hedge fund ETFs, for example, caused a fall from 7% to 5% in their share of total hedge fund investment. (…)"
    Copyright IPE [Full text - Registration required]


  • Hedge Funds Review (29/09/2009)
    Traditional private wealth management is misguided claims EDHEC report
    "(...) The traditional approach to private wealth management is misguided, according to research published by EDHEC. The results of the EDHEC-Risk study suggest the extension of portfolio optimisation techniques used by institutional investors can be used for private wealth management. This is because the techniques used in the portfolio construction are investor specific, geared for an individual's exact context, objectives and horizon. (...)"
    Copyright Hedge Funds Review [Full text]


  • Hedgeweek (29/09/2009)
    Traditional approach to private wealth management misguided, says EDHEC
    "(…) Suitable extensions of portfolio optimisation techniques used by institutional investors can be transposed to private wealth management, according to a study by EDHEC Business School. The study entitled "Asset-Liability Management in Private Wealth Management", by Noël Amenc, Lionel Martellini, Vincent Milhau and Volker Ziemann, says these techniques have been engineered to incorporate in the portfolio construction process an investor's specific context, objectives, and horizon. (…)"
    Copyright HedgeWeek [Full text]


  • The Times (28/09/2009)
    Asset liability offers an another way of measuring value of money
    "(...) One solution could be for private wealth managers to adopt techniques long used by institutional pension investors for private investors — asset-liability management (ALM). According to Lionel Martellini, Professor of Finance at EDHEC Business School and scientific director of the school’s Risk Institute in Nice, we are on the cusp of a change in direction in wealth management towards ALM. Historically, wealth managers have concentrated on asset-only techniques and have not taken into account liabilities, but that, he says, could be about to change. (...)"
    Copyright The Times [Full text]


  • Wealth Bulletin (28/09/2009)
    Wealth management optimisation efforts can suffer "significant limitations"
    "(...) A new study has shown that the tools and software packages used to simulate financial situations by wealth managers suffer significant limitations and cannot satisfy the needs of a sophisticated clientele... EDHEC proposes that suitable extensions of portfolio optimisation techniques used by institutional investors, e.g., pension funds, could be transposed to private wealth management. (...)"
    Copyright Wealth Bulletin [Full text]


  • Le Temps (28/09/2009)  
    La banque privée suisse reste inégalée
    "(...) Cette compétence est confirmée par l’EDHEC qui, dans une analyse des sociétés de gestion suisses, explique leur bon score par leur « véritable capacité à délivrer de l’alpha de façon significative et régulière à travers une très large gamme de produits ». La même étude conclut que « la dimension offshore de la gestion active en Suisse est un atout important qui aboutit à ce que les produits suisses soient probablement les mieux disséminés en Europe ». (...)"
    Copyright Le Temps [Full text]


  • Financial Times (27/09/2009)
    Life cycle funds need to be improved
    Article by Lionel Martellini and Vincent Milhau
    "(...) One key innovation is the development of life cycle, or target date, funds that reduce the exposure to equities over a period leading up to the target date. This is a good attempt at providing added value to unsophisticated investors. However, the question remains whether existing life cycle funds make sense in their current format. (...)"
    Copyright Financial Times [Full text]


  • Financial Times (27/09/2009)
    Top hedge fund clones add to fee pressure
    "(...) Separately EDHEC the French business school, released a report claiming that none of the clones has thus far generated "fully satisfactory results", with their performance "systematically inferior" to actual hedge funds. EDHEC judged equity market neutral and risk arbitrage strategies as amongst the hardest to replicate. It judged the concept as "very much a work in progress", although clones "might still be useful" to investors and fund of hedge fund managers, EDHEC said. (...)"
    Copyright Financial Times [Full text]

  • Financial Times (25/09/2009)
    The rich raise the cry of "No surrender"
    "(...) So, have hedge fund managers ridden to the rescue of the wealthy? They have certainly been trumpeting their success of late. Convertible arbitrage hedge funds gained 3.28 per cent in August alone, according to the EDHEC indices, with event-driven strategies up 2.37 per cent and long/short equities gaining 1.74 per cent. (...)"
    Copyright Financial Times [Full text]


  • Hedge Funds Review (September 2009)
    Performance, risk and measurement
    Article by David Schröder, business analyst, and Felix Goltz, head of applied research, EDHEC Risk and Asset Management Research Centre
    "(...) The typical hedge fund investor is, like any other investor, risk-averse. There will be a preference for high returns but a dislike of the risk related to investment. All risk and performance risk measures attempt to satisfy the investor’s need to be informed about the returns and about the related risks. (...)"
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  • Les Echos (21/09/2009)  
    Bonus : le double discours des politiques
    Le Point de Vue de Noël Amenc, Professeur de Finance à l'EDHEC
    "(...) Depuis quelques mois, la mise en cause des acteurs de la finance s'accélère. Après les « hedge funds » et les paradis fiscaux - qui ne peuvent être logiquement tenus pour responsables des difficultés des institutions financières les plus régulées -, les traders sont tenus d'endosser la responsabilité de la crise. Peu importe, ici aussi, que les faits ne soient pas aussi simples que les slogans et qu'au final les bonus de ces salariés ne soient pas non plus les principaux responsables de la crise du système financier. (...)"
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  • La Tribune (21/09/2009)  
    La gestion financière de l'épargne d'entreprise s'adapte à la crise
    "(...) Dans cette perspective, l'UFG a créé en partenariat avec l'EDHEC une chaire visant à analyser les nouvelles contraintes actif-passif et l'allocation stratégique dans une optique d'investissement à long terme. (...)"
    Copyright La Tribune [www.latribune.fr]


  • Australian Financial Review (16/09/2009)
    Benefits can flow from the right exchange
    "(...) Investors can now gain exposure to commodities more easily through exchange-trade commodities on the Australian Securities Exchange. Currently there are only five ETCs available on the ASX, however, research by the EDHEC Risk and Asset Management Research Centre has found an appetite for further ETCs, and the ASX is moving to grow the sector with its AQUA trading platform. (...)"
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  • Le Monde (15/09/2009)  
    L'aide financière versée aux banques rapporte de l'argent aux Etats
    "(...) ""Les Etats restent en risque tant qu'ils n'ont pas récupéré l'argent prêté aux banques", estime ainsi Noël Amenc, professeur de finances à l'EDHEC. Pour M. Amenc, les rémunérations affichées par les Etats sont "normales" compte tenu du risque exceptionnel pris. (...)"
    Copyright Le Monde [Full text - French]


  • Middle East North Africa Financial Network (08/09/2009)
    EDHEC-Risk, CACEIS set up research chair for EU fund industry
    "(...) EDHEC-Risk and CACEIS have announced the creation of a new research chair on "Risk and Regulation in the European Fund Management Industry", through which EDHEC researchers will develop solutions to the major risks currently faced by the asset management industry in Europe. (...)"
    Copyright MENAFN [Full text]


  • Le Temps (07/09/2009)  
    Les techniques de gestion semi-institutionnelle : Origine et avantages de l’utilisation de la gestion semi-institutionnelle pour les intermédiaires financiers et investisseurs privés
    "(...) Les conclusions de l’EDHEC abondent ainsi en faveur d’une approche « core-satellite » dynamique plutôt que sa déclinaison standard statique. (...)"
    Copyright Le Temps [Full text]


  • L'Agefi Hebdo (03/09/2009)  
    La théorie Minimum Variance, remède anticrise des gérants actions
    "(...) « L'idée est de partir du constat qu'un indice de marché est le plus souvent capi-pondéré, analyse Noël Amenc, directeur de l'EDHEC Risk and Asset Management Research Centre. Et que par conséquent, ce dernier tire sa performance d'une toute petite partie des titres dont la capitalisation, donc le poids au sein de l'indice, est la plus importante. Quelques valeurs représentent ainsi l'essentiel du risque de ce "benchmark". De fait, l'indice est mal diversifié et ne présente pas le meilleur rapport rentabilité/risque que pourrait attendre des investisseurs investis passivement ou en gestion "benchmarkée". » (...)"
    Copyright L'Agefi Hebdo [www.agefi.fr]


  • IPE (02/09/2009)
    Target date: "There is ample room for added value between one size-fits-all solutions and do-it-yourself approaches to long-term investment decisions": Guest Viewpoint
    "(…) To address these questions, the EDHEC Risk and Asset Management Research Centre recently launched a research chair, supported by UFG, dedicated to the analysis of life-cycle investing. More specifically, the purpose of the initiative is to analyse the optimal dynamic asset allocation strategy that takes into account the stochastic features of the investor’s investment objective as well as the random features of the assets held in his portfolio. (…)"
    Copyright IPE [Full text - Registration required]


August 2009

  • Hedge Funds Review (August 2009)
    Reporting throws up challenges
    Article by David Schröder, business analyst, and Felix Goltz, head of applied research, EDHEC Risk and Asset Management Research Centre
    "(...) The complexity of hedge fund investments poses a challenge for analysis as required by adequate and comprehensive disclosure of returns. Although some of the key elements of hedge fund reporting can in principle easily be captured by appropriate indicators, others are of a much more qualitative nature and are thus harder to formalise. (...)"
    Copyright Hedge Funds Review [Full text - Registration required]


  • Fund Strategy (31/08/2009)
    Taking the lead?
    "(…) Exchange-traded funds (ETFs) are arguably one of the greatest financial innovations of the past decade, according to a report by the Risk and Asset Management Research Centre of EDHEC, a French business school. ETFs combined the positive aspects of stocks and mutual funds, the report said, and had become a “serious alternative to other financial products” in less than 10 years since the first one was launched in Europe in 2000. “With these new instruments, investors can gain broad exposure to equity, fixed income and alternative asset markets with much less effort and at lower cost than they could before,” the research centre argued." (…)"
    Copyright Fund Strategy [Full text]


  • L'Agefi Hebdo (27/08/2009)  
    Des coûts de transaction chahutés par la MIF
    "(...) Car au-delà d'une recherche de baisse des coûts explicites, la directive a institué cette notion de « best execution » : « Une 'cote mal taillée' entre une obligation de moyens et une obligation der ésultats qui n'offre finalement aucune garantie au client et peut même engendrer un phénomène de 'sélection adverse' en défavorisant les acteurs investissant significativement pour un objectif qui n'est pas véritable », affirme Jean-René Giraud, directeur du développement de l 'EDHEC Risk and Asset Management Research Centre. (...)"
    Copyright L'Agefi Hebdo [www.agefi.fr]


  • Les Echos (24/08/2009)  
    Les pistes des économistes pour responsabiliser les opérateurs
    "(...) Mais supprimer les bonus au profit d'une augmentation du salaire fixe menacerait la solvabilité des banques », répond Noël Amenc, professeur de finances à l'EDHEC, qui demande de « replacer le débat dans le contexte international, sans rêver d'un monde idéal où l'on reconstruirait le capitalisme à partir de zéro ». (...)"
    Copyright Les Echos [Full text - French - Registration required]


  • Les Echos (19/08/2009)  
    Le dilemme des fonds de pension face au rebond des Bourses
    "(...) « Il existe des solutions d'allocation dynamique qui étendent des approches connues et pratiquées de longue date, notamment dans la banque d'investissement, et transposables aux fonds de pensions, leur permettant d'éviter d'avoir à augmenter leurs contributions dans des situations de déficit passager et de viser un encadrement raisonnable de leurs contraintes de solvabilité », explique toutefois Lionel Martellini, directeur scientifique de l'EDHEC Risk and Asset Management Research Centre et coauteur avec Vincent Milhau d'une étude sponsorisée par BNP Paribas Investment Partners sur ce sujet.(...)"
    Copyright Les Echos [Full text - French - Registration required]


  • Global Investor Magazine (19/08/2009)
    Hedge Funds Record 'Spectacular Recovery'
    "(…) Hedge funds have returned to the levels of October last year, staging a "spectacular recovery," says the latest research from EDHEC." (…)"
    Copyright Global Investor Magazine [Full text - Registration required]


  • Les Echos (07/08/2009)  
    Supprimer les bonus au profit d'une augmentation de salaire fixe menacerait la solvabilité des banques
    Interview de Noël Amenc, professeur de finance, directeur d'EDHEC-Risk
    "(...) En stigmatisant les pratiques des banques françaises, on les isole dans la compétition de la recherche des talents. D'abord, il ne faut pas oublier que les bonus sont une manière pour les entreprises d'avoir une masse salariale qui s'ajuste en fonction de leurs résultats. Si on leur substituait des rémunérations fixes, on augmenterait leur seuil de rentabilité et on menacerait leurs fonds propres.(...)"
    Copyright Les Echos [Full text - French - Registration required]


July 2009

  • Financial Times (27/07/2009)
    Hedge funds
    "(...) With such a strong tailwind it has been hard to lose money. For example convertible arbitrage funds, the best performer, have yielded an average 24 per cent return this year, according to EDHEC, the French business school. (...)"
    Copyright Financial Times [Full text]


  • Funds Europe (July 2009)
    Don’t panic, it’s Germanic!
    "(…) To continue our short series on pension fund regulation in some of the most important markets in Europe, Samuel Sender, of EDHEC, looks at Germany. "
    Copyright Funds Europe [Full text]


  • La Tribune (25/07/2009)  
    « Nyse-Euronext a acueilli 70 nouveaux ETF depuis janvier »
    "(...) L'étude de l'EDHEC sur le marché européen des ETF en 2009 montre que leur utilisation est passée de 45 % des sondés à 95 % entre 2006 et 2008, et que plus de 83 % des institutionnels interrogés déclarent que cette part va encore augmenter.. (...)"
    Copyright La Tribune [Full text - French]


  • Les Echos (24/07/2009)  
    Les Bourses européennes travaillent à contrer la concurrence des nouvelles plates-formes
    "(...) Dans une étude publiée hier par le centre de recherche de l'EDHEC, Jean-René Giraud déplore « la formation de systèmes de négociation "opaques " [les « darkpools », NDLR] et l'échec du statut d'internalisateur systématique ». Parmi les partenaires de cette étude figurent notamment Nyse Euronext et l'éditeur américain de logciels SunGard, qui a racheté l'an passé GL Trade, anciennement contrôlé par la Bourse transatlantique. (...)"
    Copyright Les Echos [Full text - French - Registration required]


  • Financial Times (23/07/2009)
    Overarching ambition
    "(...) But Paris trails London in most other financial services. It has little foreign exchange activity and the debt markets – even euro-denominated – are concentrated in London. “We are very far from being a first-rank financial centre such as London or New York, but Paris has a privileged place in the second division,” says Noël Amenc, professor of finance at EDHEC business school. (...)"
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  • IPE (16/07/2009)
    Study suggests alpha potential of sustainability research
    "(…) A study conducted by the EDHEC Risk and Asset Management Research Centre on the French market earlier showed that none of the 62 funds in its sample selected by socially responsible investment (SRI) criteria had managed to produce both positive and significant alpha over a six-year period. That said, it found thematic funds achieved much higher performance values than traditional SRI funds, and attributed performance to style biases rather than a selection of SRI securities alone. (…)"
    Copyright IPE [Full text - Registration required]


  • Pensions & Investments (13/07/2009)
    Siegel honored for paper on liquidity, alternatives
    "(...) Laurence B. Siegel won the inaugural EDHEC Robeco Journal of Portfolio Management Award for his paper, "Alternatives and Liquidity: Will Spending and Capital Calls Eat Your "Modern" Portfolio?" The paper was determined to have the most relevance for institutional investors among papers published in the journal in 2008. (...)"
    Copyright Pensions & Investments [Full text]


  • La Tribune (11/07/2009)  
    « Optimiser l'utilisation de la part la plus risquée d'un portefeuille d'ETF »
    "(...) Noël Amenc, directeur de l'EDHEC Risk, revient sur le concept de gestion « coeur-satellite » dynamique développé par la recherche de la business school. (...)"
    Copyright La Tribune [www.latribune.fr - French]


  • 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 [Full text - Registration required]


  • Business Week (06/07/2009)
    Number One Hedge Fund Strategy? Convertible Arbitrage
    "(...) After a miserable 2008, hedge funds are rallying back this year. And no strategy has mounted a bigger comeback than convertible arbitrage, which is up 21.6% through the end of May, the EDHEC Risk and Asset Management Research Centre reported on June 18. That’s 4.4 percentage points better than its nearest competitor, emerging markets. (...)"
    Copyright Business Week [Full text]


  • 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]


  • Funds Europe (June 2009)
    Go Dutch with pension funds
    "(…) The Netherlands provides an excellent example of how regulations are a driving force behind pension plan designs, says Samuel Sender, of EDHEC. "
    Copyright Funds Europe [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 - Registration required]


  • 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 - Registration required]


  • 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 - Registration required]


  • 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]


  • CFA Institute Conference Proceedings Quarterly (June 2009)
    Hedge Funds: A View from the Buy Side
    Presentation by François-Serge Lhabitant, CIO of Kedge Capital and Associate Professor of Finance at EDHEC Business School
    "(...) Those considering investing in hedge funds should take advantage of the new analytical tools available to assess them. They should also keep in mind that a hedge fund’s structure needs to be able to support its risk profile. Many funds are in trouble today because they offered high liquidity despite being deeply leveraged and holding illiquid assets. Nevertheless, hedge funds still offer notable value and their fees compare surprisingly well with those of mutual funds.(...)"
    Copyright CFA Institute [Abstract]


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]


  • Funds Europe (May 2009)
    Risk tolerance in UK pension funds
    "(…) Samuel Sender, of EDHEC, considers the impact of accounting constraints on UK pension funds. "
    Copyright Funds Europe [www.funds-europe.com]


  • 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]


  • bfinance (29/05/2009)
    Limits on corporate bond indices and emerging alternatives
    "(...) An increase in corporate credit spreads has attracted net inflows into corporate bonds in recent months. Yet constructing or selecting a suitable benchmark for corporate bond portfolios poses a number of challenges. The constraints are part of an ongoing study by David Schröder of the EDHEC Risk and Asset Management Research Centre. One of the problems of corporate bond indices is the duration mismatch between issuer and investor. “The duration structure of outstanding bonds reflects the preferences of the issuers in their aim to minimise the cost of capital,” notes Schröder. “This minimisation is fundamentally opposed to the interest of investors, which usually try to maximise returns.” (...)"
    Copyright bfinance [Full text]


  • 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 [Full text]


  • 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 - Registration required]


  • 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 (20/05/2009)
    Equity indices, a still imperfect world
    "(...) Cap-weighted indices are therefore not the cure-all. Moreover, according to Felix Goltz, an EDHEC Researcher, "it is relatively easy to do better than a cap-weighted index in terms of return and risk, simply by taking, for the same stock universes, an equally-weighted index." (...) But EDHEC does not intend to stop there. "Our approach consists in returning to the fundamentals of portfolio theory, by creating indices with the best risk-return relationship, that is to say efficient indices in terms of medium-variance, adds Felix Goltz. However, it is not easy to estimate the projected return. That is why we have considered that the highest risk stocks should offer the highest return. The tests which we have carried out on several stock universes have so far confirmed the good performance of this method." EDHEC's research is being closely followed by professionals, especially as they prefer not to put all their eggs in one basket. (...)"
    Copyright L'Agefi [Full text]


  • 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]


  • MondoHedge (April 2009)
    Liquidity, counterparty and valuation taking centre stage
    Article by François-Serge Lhabitant, CIO of Kedge Capital and professor of Finance at the University of Lausanne and at EDHEC Business School.
    "(...) The recent collapse of large players such as Bernard Madoff and Lehman Brothers has pushed the assessment of operational risk higher on the agenda of all investors. Not surprisingly, unregulated and less transparent entities such as hedge funds and their service providers have been rapidly identified as potential operational risk sources and have been subject to increased institutional and regulators scrutiny. (...)"
    Copyright MondoHedge [http://www.mondohedge.com/]


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 - Registration required]


  • 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 - Registration required]


  • 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 - Registration required]


  • 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 - Registration required]


  • 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 - Registration required]


  • 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]