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EDHEC-Risk Information

EDHEC-Risk in the Press

Articles published in 2010

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December 2010

  • Funds Europe (December 2010)
    Where next for exchange-traded funds?
    The final article in the ETF series considers trading and future developments. Written by Felix Goltz and Lin Tang, of EDHEC, the article is based on research carried out as part of the Core-Satellite and ETF Investment research chair sponsored by Amundi ETF
    "(…) On the whole, investment management professionals are thus requesting access to non-standard beta (emerging markets and alternative asset classes) or to traditional equity beta through new weighting schemes. On the other hand, investment managers are far less interested in ETFs that select securities either through ethical screening or through active stock picking by a manager. (...)"
    Copyright Funds Europe [www.funds-europe.com]


  • Commodities Now (December 2010)
    Diversification Not Sufficient for Managing Risk
    Article by Felix Goltz, PhD, Head of Applied Research, EDHEC-Risk Institute, and Stoyan Stoyanov, PhD, Head of Research, EDHEC Risk Institute- Asia.
    "(...) The global financial crisis has shifted the attention of all investors to risk. A survey of the practices of European pension funds conducted by EDHEC-Risk Institute highlights three great challenges – gaining additional access to performance through optimal diversification, improving the hedge of the stream of liabilities, and respecting the minimum funding ratio constraint by insuring downside risk away. (...)"
    Copyright Commodities Now [Full text]


  • L'Agefi Suisse (23/12/2010)  
    Lacunes dans la personnalisation
    "(...) Trois conclusions principales se dégagent de l'étude qui vient de publier l'EDHEC-Risk Institute, basé à Nice et à Londres, sur la base d'une enquête réalisée auprès de 159 gérants européens de patrimoine, dont près de la moitié sont basés en Suisse. Si les gérants considèrent les relations nouées avec leurs clients comme la source principale de valeur ajoutée, ils ne parviennent cependant pas à exploiter cette relation de proximité pour personnaliser les services dispensés. Et lors de l'élaboration des portefeuilles clients, les facteurs spécifiques aux marchés sont intégrés bien plus fréquemment que les spécificités propres à chaque client. Selon les auteurs de l'étude, les gérants de patrimoine parviennent difficilement à mettre à disposition une véritable allocation d'actifs établie en fonction de l'horizon d'investissement. (...)"
    Copyright L'Agefi [Full text - French - Registration required]


  • Investment International (17/12/2010)
    Private Wealth Managers failing to customise services for their clients, survey finds
    "(...) Private Wealth Managers see the relationships with their clients as the principle source of added value but they fail to exploit this close relationship to customise the services they offer their clients, a survey says. When portfolios are designed for clients, market factors are taken into account more frequently than are the individual characteristics of the clients, the European wide survey by EDHEC-Risk Institute also shows. Wealth managers often assess their clients’ level of risk aversion, but other individual risk factors such as longevity risk, individual income risk, and individual spending objectives, are accorded much less importance. (...) The survey, carried out in partnership with Ortec Finance draws on responses from 159 private wealth managers whose clients include the mass affluent with financial assets of less than $1 million as well as so-called ultra high net worth individuals with financial assets of more than $30 million. (...)"
    Copyright Investment International [Full text]


  • Money Week (17/12/2010)
    Value-based alternatives to index tracking
    "(...) But not everyone is happy with the idea of tracking such indices. Indeed, the French business school EDHEC-Risk has found that two-thirds of Europe's large institutional funds view cap-weighting as flawed, because you end up buying stocks when they are most popular, rather than when they are cheap. For example, during the 1999/2000 internet bubble, tech stocks soared to represent more than a third of the S&P 500. At the height of Japan's bubble in 1989, Japanese stocks made up more than half of a global equity index. So if you'd bought a cap-weighted index fund then, you'd be exposing yourself to an overvalued sector at just the wrong time. (...)"
    Copyright MoneyWeek [Full text - Registration required]


  • Investor Today (17/12/2010)
    Customised risk management failings revealed
    "(...) European private wealth managers wish to offer clients customised risk management but generally fail to do so, according to a survey by EDHEC-Risk Institute. The key findings of the survey can be summarised along three lines: PWMs see the relationships with their clients as the principle source of value they add. But they fail to exploit this close relationship to customise the services they offer their clients PWMs also generally fail to provide state-of-the-art means of horizon-dependent asset allocation. Current practice is inconsistent in the sense that horizon effects are recognised as important but the factors that generate horizon effects—stochastic outside income and time-varying equity risk premia—are not * Finally, PWMs see the potential of taking into account client-specific spending objectives, but only a small minority actually attempts to realise this potential. (...)"
    Copyright Investor Today [Full text]


  • Financial News (16/12/2010)
    Private bankers admit their failings
    "(...) Noël Amenc, professor of finance and director of EDHEC-Risk and co-author of the new report, said: "Our survey shows that current practice recognises the importance of investors’ investment horizons, but uses sub-optimal means of accounting for it in asset allocation." He believes managers are more interested in customised risk management than any other aspect, while the wealthy consider this less important. Amenc said managers see the potential in taking into account clients' spending objectives, but only a small minority of them actually use the information to customise a portfolio. Survey respondents, asked to identify what their clients consider the greatest area of added value in private wealth management, said that clients prize relationships and trust, as well as superior investment products. The survey also showed the most popular methods of asset allocation among private bankers are traditional ones that focus on direct performance generation, or fund-selection concepts. Such concepts are unrelated to client-specific spending objectives, and private wealth managers acknowledge they are of little value in achieving objectives, said Amenc. (...)"
    Copyright Financial News [Full text - Registration required]


  • Hedge Funds Review (December 2010)
    Optimal portfolio selection
    Article by Lionel Martellini, professor of finance at EDHEC Business School and scientific director of the EDHEC-Risk Institute
    "(...) In the presence of non-normally distributed asset returns, optimal portfolio selection techniques require estimates for variance-co-variance parameters along with estimates for higher-order moments and co-moments of the return distribution. This is a formidable challenge that severely exacerbates the dimensionality problem already present with mean variance analysis. Recent research extends the existing academic literature, mostly focusing on the co-variance matrix by introducing improved estimators for the co-skewness and co-kurtosis parameters. We find that the use of these enhanced estimates generates a significant improvement in investors’ welfare. We also find it is only when improved estimators are used that portfolio selection with higher-order moments dominates mean-variance analysis from an out-of-sample perspective. (...)"
    Copyright Hedge Funds Review [Full text]


    Les Echos (15/12/2010)  
    Les placements verts se cherchent une identité
    "(...) Les fonds verts manquent de personnalité. Le message n'a pas vraiment plu aux gestionnaires d'actifs verts, rassemblés vendredi dernier au colloque sur l'investissement vert organisé par le centre de recherche de l'EDHEC, à Nice. C'est pourtant le constat que fait Noël Amenc, directeur du centre : « Nos études prouvent que les fonds verts ont des performances un peu supérieures aux investissements socialement responsables (ISR). Mais, globalement, aucun des deux ne parvient à dominer les fonds traditionnels. Ils n'ont pas été mieux protégés contre la crise non plus. » (...)"
    Copyright Les Echos [Full text - Registration required - French]


  • Financial Times (13/12/2010)
    Inflation protection is doubtful
    "(...) The research has been built on by further studies, such as Alternative Investments for Institutional Investors, written in 2009 by Noël Amenc, Lionel Martellini and Volker Ziemann of the EDHEC Risk and Asset Management Research Centre, which also suggested commodities were better than other asset classes, such as equities and real estate, in hedging inflation. (...)"
    Copyright Financial Times [Full text]


  • Le Temps (13/12/2010)  
    La compétitivité retrouvée
    "(...) D’autres débats majeurs s’imposent dans le private banking. Les gérants de fortune se concentrent toujours sur la performance des placements et le service aux clients. Mais de nouvelles pistes de recherche émergent. Nous pensons par exemple à la technique de gestion actif/passif destinée aux privés. Celle-ci recommande au gérant d’accorder la priorité non au rendement des actifs, mais aux besoins de consommation futurs de l’investisseur, selon Noël Amenc, directeur de l’institut EDHEC-Risk. Les implications de ce concept sont considérables. L’actif sans risque devient celui qui couvre ces besoins de consommation futurs. La dernière enquête de l’EDHEC-Risk montre toutefois que seuls 59% des gérants connaissent ces instruments et que moins d’un tiers les utilisent. (...)"
    Copyright Le Temps [Full text]


  • Financial News (10/12/2010)
    Europe's pension funds rethink government bonds
    "(...) As the sovereign debt crisis worsens, with ex-UK Prime Minister Gordon Brown predicting "high noon" for the euro sometime early next year, European pension funds' re-allocations of their government debt to safer nations are proceeding apace, according to speakers at an industry forum in Monaco. (...) The institutional-investment conference, organised by French business school EDHEC, has attracted several hundred delegates from around Europe and focused on a number of topics. (...)"
    Copyright Financial News [Full text - Registration required]


  • Financial News (09/12/2010)
    Big investors cool on traditional market indices
    "(...) Large investors and fund managers in Europe are increasingly unhappy with organising their portfolios according to the traditional market indices like the FTSE 100 or S&P 500, according to a new survey. The French business school EDHEC canvassed 104 of Europe’s bigger fund managers, pension schemes and insurers between October and November for their views on the subject, and presented the findings yesterday at their annual conference in Monaco. Most of the investors said these widely-used benchmarks are systematically biased towards over-priced companies, and unfairly tilted toward certain sectors of the economy, because they rank companies by how much the market thinks they are worth. Instead, they are inclining toward the various “alternative indices” that are on offer, which rank companies by market-neutral factors such as, for example, their turnover. Of EDHEC’s respondents, 68% said they “had concerns” about the traditional indices. Felix Goltz, EDHEC’s head of applied research, said: “85% agreed that cap-weighted indices are trend-following. 66% consider them inefficient.” (...)"
    Copyright Financial News [Full text - Registration required]


  • IPE (09/12/2010)
    EDHEC survey shows modest but growing use of ETFs by pension funds
    "(…) European pension funds remain modest users of ETFs, but their participation is growing. The EDHEC-Risk European ETF Survey 2010, unveiled at EDHEC-Risk's Institutional Day in Monaco, gives an insight into how ETFs are used by 192 respondents across Europe, 68% of which were institutional investors, of which 15% were pension funds. A panel discussion and views from the conference fringe also suggested pension providers use ETFs differently from the core wealth and asset management client base. The survey revealed that most respondents use ETFs to achieve buy-and-hold broad market exposure, rather than for tactical asset allocation (TAA) or diversification via style- or sector-specific vehicles. Felix Goltz, EDHEC-Risk's head of applied research, said: "That was surprising, seeing that the big advantage is the liquidity they offer." (…)"
    Copyright IPE [Full text - Registration required]


  • IPE Special Supplement (December 2010)
    EDHEC-Risk Institute Research Insights Winter 2010
    • Alternatives to cap-weighted indices; Lionel Martellini, Felix Goltz
    • Are currently available corporate bond indices optimal for investors; Carlos Heitor Campani, Felix Goltz
    • Rules-based strategies for pension funds; Samuel Sender
    • Integrated ALM; Lionel Martellini, Vincent Milhau
    • Will wealth managers adopt institutional risk management?; Felix Goltz
    • Optimal asset allocation for sovereign wealth funds; Bernd Scherer

    Copyright IPE [www.ipe.com - Registration required]


    Les Echos (09/12/2010)  
    « Quelle transparence veut-on pour les ventes à découvert ? »
    Interview d'Abraham Lioui, professeur de finance à l'EDHEC
    "(...) La proposition de régulation des ventes à découvert proposée par la Commission européenne prévoit un mécanisme qui garantirait la transparence de ce marché. Pour Abraham Lioui, professeur de finance à l'EDHEC, il faut cependant se demander vers quel type de transparence on doit aller ? « D'aucuns pourraient s'attendre à ce que le but soit de fournir à l'investisseur des informations en temps réel sur la quantité des ventes à découvert. Ce n'est apparemment pas le souci du régulateur. Jusqu'à un certain seuil de détention par rapport au flottant, le régulateur sera le seul au courant de l'activité des vendeurs à découvert qui devront l'en informer. Au-delà d'un certain seuil, le public sera au courant, puisque même l'identité du vendeur à découvert sera dévoilée. » Pour Abraham Lioui, le régulateur en fait donc « pas assez ou en fait trop ». (...)"
    Copyright Les Echos [Full text - Registration required - French]


  • Institutional Investor (December 2010)
    EDHEC Reviews Concept of Green Investing
    "(…) In a new EDHEC-Risk Institute Publication, entitled ‘Adoption of Green Investing by Institutional Investors: A European Survey’, EDHEC-Risk review the concept of green investing and report the results of a European survey on investment management professionals. One of the key results of the survey is that green investing is a significant movement in which survey respondents are heavily involved. Nearly 90 per cent of respondents consider environmental protection an investment theme and the same percentage plans to do more green investing in the future. (…)"
    Copyright Institutional Investor [Full text]


  • La Tribune (01/12/2010)  
    La régulation destructrice des ventes à découvert
    Article by Abraham Lioui, Professor of Finance, EDHEC
    "(...) Le souci de transparence est partagé par les professionnels. Mais trop de transparence comporte des effets néfastes pour l'industrie financière et pour les investisseurs que le régulateur est justement censé protéger. (...)"
    Copyright La Tribune [Full text - French - Registration required]


November 2010

  • Professional Pensions (30/11/2010)
    Green investing still misunderstood
    "(...) Institutional investors appetite for sustainable investment is significant but many still wrongly defined green investing and socially responsible investment, a European survey says. The EDHEC-Risk Institute publication - Adoption of Green Investing by Institutional Investors: A European Survey - found 61.9% of those polled regard sustainable development and SRI as two identical concepts. EDHEC said disagreement on basic definitions may further compound the fundamental difficulty of using extra-financial information in the investment process. Half of respondents reported that the main obstacle to green investing is the lack of credible standards for defining and assessing green investments EDHEC concluded that before green investment can sustain further growth, a sound conceptual underpinning of green investing has to be carried out. Total investor responsibility involves rigorous and well-defined investment processes and analyses, as well good intentions for a sustainable environment, EDHEC added. (...)"
    Copyright Professional Pensions [Full text]


  • Funds Europe (November 2010)
    Who likes ETFs?
    ETF users are satisfied by ETFs in certain asset classes, find Felix Goltz and Lin Tang, of EDHEC. Hedge fund exposure is among those that don’t please. This research looks at uses, satisfaction levels and preferred structures of ETFs
    "(…) We look this month at the results of a recent Edhec-Risk survey as part of our continuing series on exchange-traded funds (ETFs) based on research carried out as part of the Core-Satellite and ETF Investment research chair sponsored by Amundi ETF. We take a close look at the use of and satisfaction with ETFs and discuss possible explanations for the respondents’ answers. (...)"
    Copyright Funds Europe [www.funds-europe.com]


  • IPE (26/11/2010)
    EDHEC outlines ideal investment strategy for sovereign wealth funds
    "(…) EDHEC said that, with sovereign assets set to increase from $3trn (€2.2trn) to $10trn in the next decade, one of the challenges that remained was to optimise their investment strategies. Report authors Lionel Martellini, scientific director at the EDHEC Institute, and Vincent Milhau, a senior research engineer, argued that because the sovereign wealth fund is "averse to uncertainty over terminal real wealth", it is "optimal to hedge at least partially against inflation risk" by investing in a portfolio that best replicates the fluctuations of the price index. They added: "If an inflation-indexed zero-coupon bond is available, the inflation-hedging portfolio will be fully invested in this bond." (…)"
    Copyright IPE [Full text - Registration required]


  • L'Agefi Actifs (26/11/2010)  
    Un décryptage indispensable de l'information fournie par les indices de marché
    Interview de Felix Goltz, Ingénieur de recherche senior à l'EDHEC
    "(...) Depuis quelques années, l'industrie cherche une alternative aux indices pondérés par la capitalisation. De nouvelles formes d'indices utilisent des indicateurs prenant en compte les caractéristiques de rendement et de risque de chaque titre (corrélation, volatilité, espérance de rendement) ou bien les caractéristiques fondamentales (chiffre d'affaires, résultat d'exploitation... ). En changeant simplement la manière de pondérer les valeurs dans un indice, il est possible d'améliorer fortement son couple rendement/risque. Les gestionnaires actifs, qui doivent, en effet, battre les indices, se comparent le plus souvent aux indices classiques. En revanche, les investisseurs sophistiqués commencent à remplacer une partie de leur gestion passive par des portefeuilles qui suivent ces nouvelles formes d'indices. (...)"
    Copyright L'Agefi Actifs


  • Pensions & Investments (24/11/2010)
    Sovereign funds should take different investment approach — EDHEC
    "(...) Sovereign wealth funds should split their investments into returns-seeking and hedging portfolios tailored to each fund’s characteristics, according to a new paper by EDHEC. The paper, funded by Deutsche Bank, suggests SWFs create hedging portfolios tailored to their income from — and payouts to — their state sponsors. The approach “can in fact be seen as the extension to sovereign wealth funds of the liability-driven investing paradigm recently developed in the pension fund industry,” according to the paper, “Asset-Liability Management Decisions for Sovereign Wealth Funds.” (...)"
    Copyright Pensions & Investments [Full text - Registration required]


  • Reuters (23/11/2010)
    Pension-style investment to benefit SWFs - report
    (...) Sovereign wealth funds would benefit from adopting a pension fund-style investment strategy focusing on meeting future liabilities of the state, rather than outperforming market benchmarks, a new report said on Tuesday. The paper, published by Nice-based EDHEC Risk Institute, found that a state fund should combine a performance-seeking portfolio invested in equities, an endowment-hedging component customised to meet the risk exposure and another that invests in bonds to hedge interest risks. (...)
    Copyright Reuters [Full text]


  • The Hedgefund Journal (23/11/2010)
    Optimal investment strategy for sovereign wealth funds
    "(...) This new publication, “Asset-Liability Management Decisions for Sovereign Wealth Funds,” contains the results of the first-year research work conducted at EDHEC-Risk Institute within the Deutsche Bank research chair on asset-liability management techniques for sovereign wealth fund management. Under the responsibility of Professor Lionel Martellini, the scientific director of EDHEC-Risk Institute, this chair examines optimal allocation policies for sovereign wealth funds. (...) This work highlights in particular the need for a hedge against the risk emanating from fluctuating revenues to the fund. In an empirical application, the composition of a revenue-hedging portfolio for an oil-based sovereign fund is investigated. (...)"
    Copyright The Hedgefund Journal [Full text]


  • Financial Times (22/11/2010)
    Alternatives to cap-weighted indices
    Article by Noël Amenc, director, and Lionel Martellini, scientific director, at EDHEC-Risk Institute
    "(...) Two main options have been provided so far. On the one hand, minimum-variance indices focus on minimising risk. On the other hand, efficient indices (methodology developed by EDHEC-Risk Institute) and Tobam’s Anti-Benchmarks focus, explicitly for the former and implicitly for the latter, on maximising the risk-adjusted performance measured in terms of Sharpe ratio. From a conceptual perspective, a minimum variance portfolio can in fact be regarded as a specific case of a maximum Sharpe ratio portfolio under the very restrictive assumption that all constituents have identical expected returns. The efficient index initiative and Tobam’s Anti-Benchmarks allow this unrealistic assumption to be relaxed. It assumes that there is a positive link between expected return and risk, thus following common sense, comforted by 50 years of academic research in pricing theory. (...)"
    Copyright Financial Times Fund Management [Full text]


  • IPE Real Estate (November/December 2010)
    Reappraising the mix
    "(…) A white paper produced jointly by EDHEC Risk Institute and Ortec Finance has looked in more depth at the allocation between non-risky and risky assets, and at how the determination of what is optimal under Solvency II depends on the time frame. Ortec's managing director, Andrew Slater, says: "Solvency II is very much short-term and our paper is looking at long-term considerations, which boils down to if you optimise in a Solvency II world you end up with a low-risk portfolio, and low risk means low return. That comes back to bite you in the long term. The bigger dynamic is change of duration in your assets to be more in line with liabilities." (…)"
    Copyright IPE Real Estate [www.ipe.com/realestate/ - Registration required]


  • Le Monde (12/11/2010)  
    Les hedge funds soulagés par l'adoption d'une directive peu contraignante
    "(...) "La directive AIFM a-t-elle raté son objectif ? « Si le texte était trop sévère à l'origine, il n'a au final que très peu de valeur ajoutée en matière de gestion des risques », estime Noël Amenc, professeur de finance à l'EDHEC, spécialiste des hedge funds. « Il est trop ambigu, poursuit-il, et laisse d'importantes marges d'interprétation aux régulateurs nationaux. Il n'y a donc pas d'harmonisation et un risque non négligeable de "dumping" réglementaire intracommunautaire. » (...)"
    Copyright Le Monde [Full text - French - Registration required]


    Les Echos (10/11/2010)  
    L'investissement vert à Nice
    "(...) L'EDHEC, la ville de Nice et des institutions régionales organisent le 10 décembre prochain à Nice, en partenariat avec « Les Echos », une conférence internationale sur l'investissement dans le développement durable. Green Investing 2010 permettra à l'EDHEC d'exposer ses dernières recherches sur la mesure de la performance de l'investissement vert et l'effet des notations extra financières. (...)"
    Copyright Les Echos [Full text - Registration required - French]


  • The Hedgefund Journal (04/11/2010)
    EDHEC-Risk study: Optimal Hedge Fund Allocation
    "(...) A new study by Lionel Martellini, Scientific Director of EDHEC-Risk Institute, with Giovanni Zambruno and Asmerilda Hitaj of the University of Milano – Bicocca, entitled “Optimal Hedge Fund Allocation with Improved Estimates for Coskewness and Cokurtosis Parameters,” supported by Newedge Prime Brokerage as part of the research chair on “Advanced Modelling for Alternative Investments,” aims to enhance understanding of the dynamic and non-linear relationship between hedge fund returns and the returns on underlying fundamental systematic factors, and to analyse the implications for managing portfolios that include hedge funds. (...)"
    Copyright The Hedgefund Journal [Full text]


  • Pensions & Investments (01/11/2010)
    Managers ignore business-level risk: Professor says efforts don't go far enough
    "(...) Business-level investment risks are getting more attention from money managers, but the new focus doesn't go far enough, Bernhard Scherer contends. In a new white paper, Mr. Scherer, professor of finance at EDHEC Business School in London, suggests money managers should hedge market risks from their businesses to protect their shareholders or other owners from investment volatility. Such hedging would preserve capital to fund new projects and bring alpha generation into sharper focus, the paper said. It also would improve the link between compensation and adding value to shareholders, which would motivate employees to generate alpha, attracting those skilled in doing so while pushing out employees who rely on beta exposure for returns, according to the paper, “Market Risks in Asset Management Companies.” (...)"
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  • Pensions & Investments (01/11/2010)
    Funds begin to move risk to center stage
    "(...) According to Lionel Martellini, the Nice, France-based scientific director of EDHEC Risk Institute, the widespread pain institutional investors suffered in 2008 wasn't a failure that can be fixed by coming up with an even more sophisticated diversification mix. It was more a case of too many people equating diversification with risk management, he said. Diversification was never meant to be a panacea for markets such as 2008, where almost every asset class and market segment was falling 20% to 30%, Mr. Martellini said. Instead, diversification has to be combined with other forms of risk management. These would include hedging, by matching assets and liabilities, and insurance, or protecting against tail risks at the cost of some upside potential, he said. (...)"
    Copyright Pensions & Investments [Full text - Registration required]


  • Global Pensions (01/11/2010)
    Monday Movers
    "(...) EDHEC-Risk Institute has recruited six new members - including managers at large pension funds in the US, Canada and the UK - to its international advisory board. New board members include Christopher Ailman (pictured), present chief investment officer (CIO) at California State Teachers' Retirement System holding $138.6bn in assets under management. Other appointments include managing director James C. Davis, vice president for investment planning and economics asset mix and risk at Ontario Teachers' Pension Plan with C$96.4bn ($94.7bn) in net assets; NEST Corporation's CIO, Mark Fawcett; Tai Tee Chia from Government of Singapore Investment Corporation; Chong Tee Ong, deputy managing director at Monetary Authority of Singapore; and Bruno de Pampelonne, president at Tikehau Investment Management. (...)"
    Copyright Global Pensions [Full text]


  • Hedge Funds Review (November 2010)
    Hedging portfolio risk
    Article by Lionel Martellini, scientific director, and Vincent Milhau, research engineer, EDHEC-Risk Institute
    "(...) In recent research drawn from the “Structured Products and Derivative Instruments” research chair at EDHEC-Risk Institute sponsored by the French Banking Federation (FBF), we addressed the question of option pricing and hedging when the underlying asset is not available for dynamic trading, and some other asset is used as a substitute. (...)"
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October 2010

  • L'Agefi Hebdo (28/10/2010)  
    Les « benchmarks » obligataires comportent de nombreux biais
    "(...) « Les indices obligataires sont pondérés par la dette globale de chaque émetteur. Cela n'est pas satisfaisant car cela se traduit par un changement du niveau de risque crédit et du risque de taux dans la durée », explique Felix Goltz, directeur de la recherche appliquée de l'EDHEC-Risk Institute. Celui-ci mène actuellement une étude sur les indices obligataires, un secteur auquel la recherche universitaire s’est peu intéressée jusqu’à présent. En effet, le risque de taux d’un indice à l’instant « t » reflète la duration moyenne des émissions en cours sur le marché. Elle est donc susceptible, tout comme le niveau de risque crédit, d’évoluer dans le temps en fonction des nouvelles émissions et de celles arrivant à maturité. « Ces indices reflètent les préférences des émetteurs en termes de duration, mais pas les besoins des investisseurs », ajoute Felix Goltz(...)"
    Copyright L'Agefi Hebdo [Full text - French]


  • IPE (26/10/2010)
    Investment industry should consider ‘10 things’ post-crisis
    "(…) Sergio Focardi, co-author of the monograph and professor of finance at the EDHEC Business School, said: "Everyone in the industry will need more ‘science’, a more systematic consideration of the true risks that lie ahead, be they the risk of extreme events, liquidity risk, counterparty risk or systemic risk. "At the same time, investors are asking for more transparency in products and processes and are increasingly reluctant to pay high fees for low returns. The industry needs to propose strategies and a fee structure more aligned with today's reality." (…)"
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  • Global Investor Magazine (26/10/2010)
    Top ten considerations coming out of the crisis
    "(…) A new study by the CFA Institute lists the ten things the investment management industry should take into consideration following the financial crisis. (...) Sergio Focardi, co-author of the monograph and professor of finance at EDHEC Business School (Nice, France) said, “From mid-2007 through the first quarter of 2009, financial markets were shaken by a series of shocks. It is important that the investment management industry learns lessons from this crisis to understand what needs to be done differently going forward.” (…)"
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  • Financial Times (25/10/2010)
    A better approach to risk management
    Article by Lionel Martellini, professor of finance at EDHEC Business School and scientific director at EDHEC-Risk Institute
    "(...) Recent market turbulence and its strong negative impact on wealth levels around the globe have led private and institutional investors to seriously question the value added by professional money managers. For more than 50 years, the industry has mostly focused on security selection decisions as a single source of added value. This has distracted the industry from another key source of added value, namely risk management. Risk management is often mistaken for risk measurement. This is a problem since the capacity to properly measure risk is at best a necessary but insufficient condition to ensure proper risk management. Another misconception is that risk management is about risk reduction. In fact, it is at least as much about return enhancement as it is about risk reduction. (...)"
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  • FT Mandate (October 2010)
    The right exposure
    "(…) According to a recent ETF survey by the business school EDHEC, European institutional investors expressed a remarkably high level of satisfaction, with 90 per cent satisfied with equity, government bond and infrastructure ETFs. (…)"
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  • Canadian Investment Review (20/10/2010)
    Taking LDI to the Next Level
    "(...) Now it’s about portfolio solutions, write Noël Amenc, Lionel Martellini, Felix Goltz and Vincent Milhau, researchers at the EDHEC Risk Institute, in their paper “New Frontiers in Benchmarking and Liability-Driven Investing.” Portfolio solutions mean a greater emphasis on risk management, which in turn bifurcates portfolio construction. (...)"
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  • Datamonitor News (19/10/2010)
    Debate over France's commodity derivatives markets has global ramifications
    "(...) The risk analysis institute of the French Ecole des Hautes Etudes Commerciales has raised questions over France's new derivatives policies, providing further evidence of the schism of opinion in the country. This debate will no doubt elevate numerous important questions to the international stage as France takes presidency of the G20. (...) EDHEC asserts that the proposed derivative regulations are based on an inappropriate premise. Although agreeing that the moves would be a positive step, it argues that it is essential that the rules be based upon sound reasoning. Whether or not EDHEC is right about the government's reasoning being weak, this creates a fascinating prerequisite for future decisions in the energy market, and in commodity markets in general. (...)"
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  • Funds Europe (October 2010)
    Catch the drift
    ETFs are not bought and sold on the same basis as index-tracking funds. Continuing the EDHEC ETF series, Felix Goltz and Lin Tang look at pricing and performance
    "(…) Although exchange-traded funds (ETFs) are designed to track an index passively and provide exposure to its risk and performance features, ETFs that for legal reasons cannot fully replicate an index need to be managed more actively. Any deviation of an ETF’s returns from the underlying index returns results in a performance gap. Unlike index funds, which can be bought and sold only at their daily net asset value (NAV), ETFs can be exchanged in secondary markets at ask/bid prices that may differ from their NAV. Therefore, based on research carried out as part of the ‘Core-Satellite and ETF Investment’ research chair, sponsored by Amundi ETF, we are looking this month at the pricing and performance of ETFs. (...)"
    Copyright Funds Europe [www.funds-europe.com]


  • Agefi Luxembourg (October 2010)
    Résultats de l’EDHEC European ETF Survey 2010 : Le marché des ETF est entré dans une phase de maturité
    "(...) EDHEC-Risk Institute a publié les résultats de l’EDHEC European ETF Survey 2010, une enquête approfondie réalisée auprès de 192 investisseurs institutionnels, gérants d’actifs et gérants privés et menée entre janvier et mars 2010. D’une manière générale, les résultats de cette étude indiquent qu’en raison d’une forte croissance, le marché des ETF est entré dans une phase de maturité. (...)"
    Copyright Agefi Luxembourg [Full text - French]


  • Citywire (14/10/2010)
    SRI funds fail to create value, says study
    "(...) A majority of socially responsible investing (SRI) funds fail to create financial value and provide little protection from market downturns, according to a study conducted by one of Europe’s leading business schools. The EDHEC business school’s risk institute analysed the performance of French SRI funds over a period of eight years, ending in December 2009, and three years, from January 2007 to December 2009. The study found that a majority of the funds studied over long or short periods produce "negative but non-significant alpha", confirming findings from a previous report published in 2008. (...)"
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  • L'Agefi Hebdo (14/10/2010)  
    Les écoles françaises se font une place en Asie
    "(...) De son côté, l'EDHEC y a inauguré un pôle de recherche en finance en octobre dernier, en partenariat avec les autorités monétaires nationales. Coût de l'opération : 28 millions d'euros sur cinq ans. « Notre objectif est de favoriser les relations avec les entreprises, à travers de la recherche appliquée et des séminaires pour les cadres locaux », indique Peter O' Kelly, responsable marketing et communication de l'EDHEC.(...)"
    Copyright L'Agefi Hebdo [www.agefi.fr]


  • Exchange Traded Funds (13/10/2010)
    New EDHEC Risk Institute research shows that without the use of robust estimators, minimising extreme risks may be worse than not minimising them
    "(...) In recent research on advanced modelling for alternative investments, supported by Newedge Prime Brokerage, EDHEC Risk Institute analysed whether portfolio selection techniques with a focus on extreme risks are truly superior to traditional return and risk analysis in situations when risk management matters most. The results show that in trying to minimise extreme risk and make their risk evaluation more sophisticated, many asset managers increase the number of risk parameters to be estimated, which in turn leads to less robust and less relevant results than if they had stuck with a simple measure of portfolio volatility. (...)"
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  • La Tribune (11/10/2010)  
    Robeco se veut totalement « investissement responsable »
    "(...) Noël Amenc, directeur de l'EDHEC-Risk Institute reconnaît qu'il est aujourd'hui difficile de mesurer sérieusement la valeur ajoutée créée par un pur processus ISR (lire « La Tribune » du 13 septembre). (...)"
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  • L'Agefi Hebdo (07/10/2010)  
    L'ISR n'a pas protégé les investisseurs de la crise
    "(...) L'EDHEC-Risk Institute s'est particulièrement concentré sur cet aspect et soulève, dans une étude présentée il y a quelques semaines, que sur 45 fonds socialement responsables distribués en Europe, 43 délivrent un « alpha négatif » (une sous-performance) et deux seulement un « alpha positif » et ce, de janvier 2002 à décembre 2009. Une durée d'observation relativement courte, estiment certains défenseurs du développement durable pour qui cette gestion s'apprécie sur le très long terme. Pour sa part, l'EDHEC considère que ces résultats ne sont pas statistiquement significatifs et qu'on ne peut en conclure que l'ISR sous-performe.(...)"
    Copyright L'Agefi Hebdo [www.agefi.fr]


  • Pensions & Investments (04/10/2010)
    Alternatives to cap-weighted indexes gain favor
    "(...) Over the past five years, FTSE has launched other alternative index offerings as well, including its FTSE RAFI series — based on the patented fundamental index work of Research Affiliates — as well as a risk-efficient series based on work of the Paris-based EDHEC-Risk Institute. (...) With 86% of its overall assets in passive strategies, it's imperative that officials of the $8.3 billion Maine Public Employees Retirement System ask “is cap-weighted what you're married to or do you consider other ideas,” said Andrew Sawyer, the Augusta-based plan's chief investment officer. Mr. Sawyer said the educational process is a long one, but pension officials at Maine are eager to explore other ideas. Amid efforts to keep abreast of developments, they have talked this year with executives at Martingale Asset Management LP about their low-volatility strategies, EDHEC about that firm's efficiency indexes and Research Affiliates about fundamental indexes. (...)"
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  • The Straits Times (04/10/2010)
    3rd French school here
    "(...) Now a third French business school, EDHEC, is setting up a campus here to run two postgraduate degree courses - a PhD in finance and a new executive MSc in risk and investment management. Mr Olivier Oger, the dean of the school rated highly for its finance courses, said EDHEC was invited by the Singapore Government to set up a research institute and campus here as part of its plan to build Singapore into an education as well as finance hub. (...) EDHEC opened its investment and risk-management research organisation earlier this year. Reputed for its "research for business" approach, it aims to bridge the gap between academic research and industry practices. Mr Ducoulombier said the Singapore-based team will adapt research programmes to Asian specifications and will disseminate its research through publications and seminars. (...)"
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  • Hedge Funds Review (October 2010)
    Risk appetite of long-term investors shows mixed attitude towards illiquid assets
    Article by Samuel Sender, Applied Research Manager, EDHEC-Risk Institute
    "(...) Academic research and survey results on portfolio construction and the relative merits of investing in illiquid assets such as hedge funds for long-term institutional investors show diversity is key. As part of a recent survey of the asset liability management (ALM) practices of European pension funds taken from the AXA Investment Managers (AXA IM) ‘Regulation and Institutional Investment’ research chair at EDHEC Risk Institute, we looked at both the academic background and survey results on the construction of a performance-seeking portfolio and the relative merits of investing in illiquid assets, such as hedge funds, for long-term institutional investors. (...)"
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  • Global Pensions (04/10/2010)
    GP100 panel reveals SRI not adding value to portfolios
    "(...) Some 60% of respondents to the Global Pensions 100 Panel believe socially responsible investments have not added value to their portfolios. The results echo the findings of recent research by EDHEC Risk Institute, which found SRI strategies have not proven to outperform more traditional funds and did not safeguard assets during the financial crisis. EDHEC’s report paralleled findings from its earlier study in 2008 showing the funds did not produce significant alpha. “In most cases alpha is negative and not statistically significant,” wrote Nöel Amenc, director at EDHEC and Véronique le Sourd, senior research engineer. (...)"
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    Les Echos (04/10/2010)  
    Une performance à double détente financière et extra financière
    "(...) En 2007, l'EDHEC jette un pavé dans la mare en affirmant que ce type de gestion ne génère pas d'alpha et que la majorité des fonds dégageaient des résultats négatifs. Cette conclusion n'avait pas manqué de faire réagir les partisans de l'investissement responsable. Puis, la tension était retombée. En juin, le centre de recherche de la grande école a remis le couvert. La conclusion est la même. Toutefois, l'équipe menée par Noël Amenc, directeur de l'institut des risques de l'EDHEC, tempère et précise que son travail ne s'est attaché à mesurer que la seule composante financière de la performance de l'ISR. (...)"
    Copyright Les Echos [www.lesechos.fr]


  • Global Custodian (01 October 2010)
    Friday Interview: Samuel Sender, EDHEC-Risk Institute
    "(...) According to a recent study of European Pension Funds by the EDHEC-Risk Institute conducted as part of the Axa Investment Managers research chair, a significant number of funds are not defining their liabilities. The study of 129 asset/liability management specialists (pension funds, their advisers, regulators, and fund managers), discovered that liability-hedging portfolio (LHP) is poorly defined at 45% of pension funds and 25% of pension funds have not defined their liabilities precisely. GlobalCustodian.com speaks to Samuel Sender, applied research manager, EDHEC-Risk Institute, author of the report, about the consequences of these findings. (...)"
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September 2010

  • Asia Asset Management (28/09/2010)
    Survey suggests Euro pension funds have “blinkered view of their risks”
    "(…) According to Samuel Sender, applied research manager at EDHEC Risk Institute and author of the “EDHEC Survey of the Asset and Liability Management Practices of European Pension Funds”, the first challenge for a pension fund involves meeting its liability by fully or partially hedging it away. The survey suggests that the liability-hedging portfolio (LHP) is modelled imprecisely at 45% of pension funds. (…)"
    Copyright Asia Asset Management [Full text]


  • European Pensions (28/09/2010)
    Pension funds have restricted view of risks
    "(…) According to EDHEC, a pension fund needs to meet its liability by fully or partially hedging it away. It also needs to gain access to performance through optimal diversification within and between asset classes. Additionally, even though they are the longest-term investors and are subject to liquidity risk, pension funds invest relatively little in potentially illiquid assets and therefore do not benefit from the related risk premiums. The institute said that pension funds should also respect their minimum funding ratios by insuring risks away. (…)"
    Copyright European Pensions [Full text]


  • IPE (27/09/2010)
    EDHEC: European pensions funds have "blinkered" view of risk
    "(…) Most European pension funds have a "blinkered view" of their risks, according to a survey by the EDHEC Risk Institute. EDHEC's survey found that accounting risk – the volatility from the pension fund in the sponsor's books – is managed by only 33% of respondents, while more than half ignore sponsor risk, or the risk of a bankrupt sponsor leaving a pension fund with deficits. The survey also found that most schemes in Europe fail to assess the adequacy of their asset liability modelling, which could lead to "sub-optimal decisions being taken again and again", EDHEC said. (…)"
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  • Professional Pensions (27/09/2010)
    European funds mis-model liability hedges
    "(...) Nearly half of all European pension funds are imprecisely modelling their liability hedging portfolios, a new survey by EDHEC-Risk Institute finds. The research group found 45% of pension funds had poorly defined liability hedging portfolios while a quarter of schemes have not fully identified their liabilities. The EDHEC Survey of the Asset and Liability Management Practices of European Pension Funds interviewed 129 pension funds, advisers, regulators and fund managers with a total €3trn in assets under management. Pension fund assets represented €900bn. (...)"
    Copyright Professional Pensions [Full text]


  • Financial Times (27/09/2010)
    ETFs should be used to their full potential
    Article by Felix Goltz, head of applied research, EDHEC-Risk Institute
    "(...) The growing market for exchange traded funds provides asset managers with practical asset allocation tools, but currently ETFs are mainly used as buy-and-hold instruments in static asset allocation. This seems surprising as one of the main advantages investors see in ETFs is their liquidity, which remains largely unused in static asset allocation. A way of using ETFs to their full potential is to implement dynamic allocation strategies that require frequent rebalancing of asset class exposures. Such strategies have been analysed by EDHEC-Risk Institute’s research chair on core/satellite and ETF investment, supported by Amundi ETF. The main focus of this research has been on risk-controlled investing (RCI). Rather than considering risk only at a fixed horizon, RCI takes into account investors’ aversion to intra-horizon risk. After all, investors are averse not just to end-of-horizon risk but also to negative outcomes within the investment period. (...)"
    Copyright Financial Times Fund Management [Full text]


  • La Tribune (27/09/2010)  
    Fonds de pension : le risque de sous-financement mal appréhendé
    "(...) Une étude de l'EDHEC-Risk Institute auprès d'acteurs européens ausculte les techniques pour limiter le risque de sous-provisionnement. (...) « Les techniques modernes de gestion actif-passif permettent de limiter le risque de sous-provisonnement », déclare Samuel Sender, directeur d'étude à l'EDHEC-Risk Institute et auteur d'une étude sur les pratiques de couverture de l'actif-passif des fonds de pension européens. Ces techniques reposent sur une séparation de l'actif en deux blocs : le portefeuille de réplication du passif et le portefeuille de recherche de performance. (...)"
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  • Responsible Investor (22/09/2010)
    RI Briefing
    "(...) The EDHEC-Risk Institute has released updated research that confirms its earlier findings that socially responsible funds do not outperform traditional ones. "They do not add value from a strictly financial viewpoint and investors need to be aware of this," said EDHEC director Noël Amenc. (...)"
    Copyright Responsible Investor [Full text]


  • Fund Strategy (20/09/2010)
    Distracted eurocrats sell investors short
    "(...) A paper published in May by Abraham Lioui, a professor at the EDHEC-Risk Institute, looked at the impact of the 2008 prohibition. Lioui found that shorting bans not only failed to relieve downward pressure on share prices, they caused a greater dispersion in investors’ beliefs about prices, exacerbating volatility. Standard deviation of stocks in America, Britain, France and Germany rose markedly after the bans were imposed, he says, and the “circuit-breaker” approach proposed by the EC simply encourages long investors to bail out of the market. (...)"
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  • Funds Europe (20/09/2010)
    The ethics of ethical investment
    "(…) Not everyone is convinced, however. The survey comes in the wake of a report released last week by the EDHEC Research Institute in Nice which said that an SRI approach adds no financial value to investments, as sometimes claimed by SRI proponents. EDHEC advocated “an approach that combines stock picking with SRI criteria and a well-diversified portfolio construction methodology”, saying that a pure SRI approach could sometimes force funds into creating portfolios that were too narrow and excessively risky. (...)"
    Copyright Funds Europe [Full text - Registration required]


  • Business Times (15/09/2010)
    Less liquid stocks give higher returns
    "(...) Meanwhile, EDHEC Risk Institute has published a paper of its findings on socially responsible investing (SRI) funds in France. It has found no evidence that SRI funds create financial value. EDHEC finds that the majority of SRI funds, which includes green funds, produced negative and non-significant alpha. The funds were studied over eight years until December 2009. It also studied the funds over a shorter period between 2007 and 2009, which was a crisis period. It found that the financial crisis raised the extreme risks of SRI funds considerably. "It is clear that on average, these funds provide no protection from market downturns." EDHEC said the SRI universe has expanded even through the crisis, "seeking to offer investors the image of a reliable investment that can withstand extreme volatility better than conventional investments". (...)"
    Copyright Business Times [Full text]


  • Responsible Investor (14/09/2010)
    France’s €6.5bn ERAFP to launch SRI index/mandate and back sustainable property and timber funds
    In-house SRI benchmark designed to back responsible investment and risk budgeting rather than market cap
    "(...) Speaking to Responsible-Investor.com, Philippe Desfossés, managing director of the Paris-based fund, said the new SRI/risk-based index – a novel construction for a pension fund – would be launched before the year end and a request for proposal (RFP) for the mandate initiated. The fund is working on the index with EDHEC, France’s specialist business and finance school. Desfossés said the index, which will focus on French small and medium sized companies (PME in French), will hold between 60 and 100 stocks. An SRI filter will be applied before the companies enter the index. He said the rationale was to create a benchmark based on risk budget rather than company market capitalisation: "One thing I noticed when I joined the fund, and which shocked me, when looking at the MSCI Euro index, was that the market cap of the financial sector amounted to 27%. The question was whether that sector contributed 27% of the value and if it made any sense to have that kind of risk commitment to the sector." (...)"
    Copyright Responsible Investor [Full text]


  • Professional Pensions (14/09/2010)
    SRI strategies no better than traditional funds
    "(...) EDHEC instead recommend using a global SRI process that incorporates SRI stock picking with traditional asset management techniques like diversification, forecasting market values and tactical asset allocation. SRI criteria could be important, but it's not enough to create outperformance, said Amenc in an interview with PP sister title Global Pensions. Investors can't "invest in SRI but forfeit 50 years of investment research," said Amenc. He said when quantitative investment practices are combined with SRI "the results are seriously better". (...)"
    Copyright Professional Pensions [Full text]


  • CPI Financial (14/09/2010)
    EDHEC queries French stance on commodity derivatives
    "(...) "This absence of a genuine and serious cause behind the request to regulate the derivatives market for commodities does not make the French position credible and in EDHEC’s opinion cannot seriously lead to support from all the European countries and more globally, the countries concerned by the subject," it said. "In these conditions, EDHEC Risk Institute thinks that the European Commission should not commit to regulatory initiatives that are as important for the structure of the financial markets without the facts and arguments being clearly and objectively established," it added. (...)"
    Copyright CPI Financial [Full text]


  • IPE (14/09/2010)
    EDHEC: No new evidence SRI funds create financial value
    "(…) As a result of its latest study, EDHEC recommended that SRI be integrated in a more global process, whereby quantitative research in finance is not abandoned in favour of a solely qualitative approach. It said an approach that combined stockpicking with SRI criteria and a well-diversified portfolio-construction methodology could be an alternative to pure SRI, which it said was often practised with relative risk constraints linked to poorly diversified and inefficient cap-weighted indices. (…)"
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  • Global Pensions (13/09/2010)
    SRI strategies no better than traditional funds
    "(...) Funds touting socially responsible investment strategies have not proven to outperform more traditional funds and did not safeguard assets during the financial crisis, research from EDHEC-Risk Institute shows. EDHEC's report, released today, paralleled findings from its earlier study in 2008 showing the funds did not produce significant alpha. (...)"
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  • FTfm (13/09/2010)
    No proof SRI outperforms traditionals
    "(...) At least that is what research from EDHEC-Risk Institute shows. “SRI funds do not outperform traditional funds. They do not add value from a strictly financial viewpoint and investors need to be aware of this,” says Noël Amenc, professor of finance and the institute’s director. EDHEC analysed performance for best-in-class SRI funds and green funds, including environmental funds, between January 2008 and December 2009. They confirmed results from an earlier EDHEC study over five years to 2009 showing a failure to outperform. In the financial crisis a large number of politicians and asset managers said SRI was a way to limit risk because it excluded many financial stocks, says Mr Amenc. “This is not true. It is wrong to say SRI is a way to limit risk.” He believes it is not possible “to limit risk with security selection but only with asset allocation by choosing to invest in less risky assets”. (...)"
    Copyright Financial Times Fund Management [Full text]


  • La Tribune (13/09/2010)  
    « Les critères ISR seuls ne suffisent pas à créer de la performance »
    Interview de Noël Amenc, directeur de l'EDHEC Risk Institute
    "(...) Selon une étude réalisée par l'EDHEC, les fonds ISR (investissement socialement responsable) vendus en France n'offrent pas de surperformance vérifiable et significative. (...)"
    Copyright La Tribune [Full text - French - Registration required]


  • FTfm (13/09/2010)
    Institutional investors lured by simple tools
    "(...) An increasing number of institutional investors are using exchange traded funds as they look for low-cost ways to build and manage portfolios and gain exposure to a range of markets. (...) According to a recent survey by EDHEC, the business school, European institutional investors expressed a remarkably high level of satisfaction with ETFs. (...)"
    Copyright Financial Times Fund Management [Full text]


  • IPE (September 2010)
    From asset management to risk-and-asset management
    Article by Lionel Martellini
    "(…) Asset management justifies itself by its capacity to add value. For many decades, the industry has focused on a single source of added-value: delivering alpha through security selection decisions subject to (often tight) tracking error constraints, and using commercial indices as benchmarks. Given the difficulty in delivering added-value through security selection only, the old paradigm has been questioned. In particular, the focus on adding value through security selection has somewhat distracted the industry from another key source of added value: risk management. Today, the industry is witnessing a shift in perceived added-value – there is an emerging consensus about the need to move away from stand-alone asset management products towards risk and asset management solutions that can address investors’ needs through customised dynamic asset allocation strategies. (…)"
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  • Commodities Now (08/09/2010)
    EDHEC: Better Regulation of the Derivatives Markets for Commodities
    "(...) The assumption that underlies the French initiative, namely that derivative instruments are currently one of the causes of the high level of volatility in commodity prices, has absolutely not been demonstrated and is contradicted both by EDHEC Risk Institute's own work and also by two recent empirical studies conducted by the two main international economic organisations with whose work the European Union is associated, namely the IMF and the OECD. (...)"
    Copyright Commodities Now [Full text]


  • Risk.net (08/09/2010)
    EDHEC-Risk slams France on commodity derivatives regulation
    "(...) Influential risk management and analytics business school, the EDHEC-Risk Institute, has criticised France for its hardline approach to commodity derivatives market regulation on lack of evidence. The EDHEC-Risk Institute says it supports tighter regulation in the commodity derivatives market, but has criticised the motives behind the request by three French ministers for better regulatory measures due to a lack of evidence. (...) "The assumption that underlies the French initiative, namely that derivative instruments are currently one of the causes of the high level of volatility in commodity prices, has absolutely not been demonstrated and is contradicted both by EDHEC-Risk Institute's own work and also by two recent empirical studies conducted by the two main international economic organisations with whose work the European Union is associated, namely the International Monetary Fund (IMF) and the Organisation for Economic Co-operation and Development (OECD)," EDHEC-Risk says. (...)"
    Copyright Incisive Media Investments Limited [Full text]


  • Hedge Funds Review (September 2010)
    Optimal allocation
    "(...) Research on optimal hedge fund allocation carried out at EDHEC Risk Institute as part of the Advanced Modelling for Alternative Investments research chair, supported by the prime brokerage group at Newedge, has important potential implications for hedge fund and fund of hedge fund managers who routinely use portfolio optimisation procedures incorporating higher moments, writes Lionel Martellini. (...)"
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  • Funds Europe (September 2010)
    ETFs: magic and mystery
    Advanced users of ETFs can leverage and short sell them. Felix Goltz and Lin Tang, of the EDHEC-Risk Institute, explain how these uses can fit in with portfolio practices
    "(…) In our last issue (Funds Europe July/August 2010), a first article in a series on exchange-traded funds (ETFs) based on research carried out as part of the "Core-Satellite and ETF Investment" research chair sponsored by Amundi ETF, we looked at ETFs from different asset classes. This month, we turn to more specific ways of using ETFs. These strategies offer more flexible approaches to investors than simple long positions in a given asset class or segment. We provide below an overview of advanced types of ETF products, as well as of advanced ways of using ETFs in portfolio practice, and the key issues of tracking error and liquidity. (...)"
    Copyright Funds Europe [Full text - Registration required]


  • Pensions Insight (03/09/2010)
    Bear necessities
    "(...) The popularity of absolute return and hedge funds in UK pension portfolios does not sit comfortably with the need to manage inflation. According to the EDHEC survey of asset and liability management practices of European pension funds published in June, 60% of pension funds include hedge funds in their investment strategy, “which seems inconsistent with the very notion of a liability hedging strategy”. (...)"
    Copyright Pensions Insight [Full text]


  • Exchange Traded Funds Magazine (02/09/2010)
    Building the ETF toolbox
    "(...) A recent report, the EDHEC European ETF Survey 2010, looked at how investors are using ETFs in their portfolios. EDHEC-Risk Institute head of applied research Felix Goltz said the survey revealed European investors are using ETFs widely, but in many cases this is in a long-term buy and hold manner. Goltz said: "It is surprising if you think about one of the arguments for ETFs, which is their liquidity. Investors can easily buy and sell ETFs, but they are quite rarely used for dynamic asset allocation strategies where they would be very appropriate." Amundi ETF supported the report and the firm’s managing director Valérie Baudson said: "The recent EDHEC European ETF Survey 2010 confirmed a very high level of satisfaction towards ETFs and revealed that the European ETF market is maturing." Yet the survey also highlighted a need for new products to complete the toolbox for their asset allocation. (...)"
    Copyright Exchange Traded Funds Magazine [Full text]


August 2010

  • Hedge Funds Review (31/08/2010)
    People News
    "(...) The Institute for Quantitative Investment Research (Inquire) Europe has awarded its First Prize for 2009/2010 to Prof Lionel Martellini, scientific director of EDHEC-Risk Institute. The prize was given for research presented at the Inquire autumn seminar 2009 in Madrid. The winning presentation, done in conjunction with Vincent Milhau, was entitled "Dynamic Allocation Decisions in the Presence of Funding Ratio Constraints". (...)"
    Copyright Hedge Funds Review [Full text]


  • Investment Advisor (30/08/2010)
    EDHEC-Risk Researchers Win Top Prize at Quantitative Investment Research (Inquire) Europe
    "(…) Research by Professor Lionel Martellini, scientific director of the EDHEC-Risk Institute, and Vincent Milhau, research engineer with EDHEC-Risk Institute, have won the First Prize 2009/2010 from the Quantitative Investment Research (Inquire) Europe. The pair won the prize with their report, "Dynamic Allocation Decisions in the Presence of Funding Ratio Constraints," which was presented at Inquire’s Autumn Seminar 2009 in Madrid. Their Madrid presentation was based on research they conducted on "Asset-Liability Management and Institutional Investment Management," and focused on "funding ratio constraints," as they relate to institutions' "reluctance to implement risk-management strategies that are optimal given such short-term constraints." (...)"
    Copyright Investment Advisor [Full text]


  • Hedge Funds Review (August 2010)
    What’s the alternative?
    "(...) Investors have extended the use of exchange traded funds (ETFs) to alternative investments. Commodities, infrastructure and real estate are popular but hedge funds less so, writes Felix Goltz, head of applied research, EDHEC Risk Institute. (...) Part of a recent EDHEC Risk Institute survey, sponsored by Amundi ETF, looked at the usage of exchange traded funds (ETFs) in Europe and at the question of alternative asset class ETFs. (...)"
    Copyright Hedge Funds Review [www.hedgefundsreview.com]


  • Hedgeweek (27/08/2010)
    Critics question long-term appeal of "Newcits" funds
    "(...) According to a recent survey conducted by the EDHEC-Risk research centre, asset managers fear that structuring hedge fund strategies as Ucits will distort strategies and diminish returns, because many strategies need to be altered to comply with the Ucits regime, and liquidity requirements would put the liquidity risk premium out of reach. Sixty-nine per cent of participants in the survey believed that the liquidity premium of hedge fund strategies would disappear and performance would fall when strategies were structured within Ucits. (...)"
    Copyright Hedgeweek [Full text]


    Les Echos (25/08/2010)  
    Florencio Lopez, une pointure de la finance à l'EDHEC
    "(...) Premier chercheur de renommée internationale à avoir posé ses valises à la « business school » en 2007, Florencio Lopez de Silanes est une pointure. A quarante-quatre ans, il est classé numéro deux mondial des professeurs en économie et en gestion pour le nombre de citations dans les meilleures revues scientifiques. Et pour la France, il arrive en tête. « Je ne regarde pas ma notoriété, confie-t-il. J'essaie de publier le plus possible sur les sujets qui m'intéressent. » Sa spécialité, c'est de cerner en quoi la régulation du droit peut influer sur le marché des capitaux et l'économie, avec l'idée d'une nécessaire transparence. (...)"
    Copyright Les Echos [Full text - French - Registration required]


  • Financial Times (20/08/2010)
    The real losers in the battle for alpha
    "(...) Data suggest these advantages have given hedge funds a performance edge. Over the period 1999 to 2009, hedge funds overall achieved annualised returns (net of fees) of some 8.5 per cent. Returns for seven principal strategies as measured by the EDHEC-Risk Efficient Indices ranged from 6.5 per cent to 11 per cent. (...)"
    Copyright Financial Times [Full text]


  • Agefi Luxembourg (July 2010)
    De la pertinence de la calibration du risque private equity dans la formule standard de Solvency II
    "(...) Dans cette étude intitulée "De la pertinence de la calibration du risque private equity dans la formule standard de Solvency II", l’EDHEC remet en question la méthodologie et le choix de l’indice retenus par le régulateur prudentiel européen pour mesurer le risque de placements en private equity, en particulier le coefficient de corrélation entre la performance du private equity et celle des actions cotées. L’évaluation du risque retenue par Solvency II est devenue un sujet de préoccupation majeure pour le secteur du private equity, car elle est de nature à dissuader les assureurs à investir dans cette classe d’actifs.. (...)"
    Copyright Agefi Luxembourg [Full text - French]


  • L'Agefi (11/08/2010)  
    Le FRR accuse une perte de 1,7 % sur le premier semestre
    "(...) Dans une étude publiée début août, l’EDHEC prônait pour sa part la préservation du FRR. « Cette prise de position publique nous semble importante car il nous est apparu que peu de voix s’étaient élevées contre la disparition d’un outil de sécurisation des retraites dont l’objectif avait au moment de sa création fait l’objet d’un large consensus », relevait l’EDHEC. Et de poursuivre: « une situation d’équilibre du régime des retraites à compter de 2018 apparaît comme un pari très risqué, ce qui nécessite un réexamen de la stratégie de suppression à terme du FRR ». (...)"
    Copyright L'Agefi [Full text]


  • Asian Banker (10/08/2010)
    Banning naked shorts has far‐reaching negative consequences
    Article by Stoyan Stoyanov, Programme Director, Executive MSc in Risk and Investment Management (Asia) at EDHEC‐Risk Institute
    "(…) In a recent position paper, Abraham Lioui of EDHEC-Risk Institute examined the ban on short sales enacted by the SEC and European regulators in 2008. Not only did he find no evidence that it eased downward pressure but he also observed that market volatility increased, most likely as a result of the greater dispersion of investor beliefs about future prices. Although the dust has not yet settled, the short-term impact of the German ban also appears unlikely to foster stability. For one, the German measures will be of highly dubious efficacy: since Berlin acted on political grounds and with no coordination with EU or US authorities, the ban applies only to institutions operating under BaFin and can be circumvented by shorting credit default swaps on sovereign debt in New York or London. (…)"
    Copyright Asian Banker [Full text]


  • Hedge Funds Review (09/08/2010)
    Reviewing the use of alternative asset class ETFs
    Article by Felix Goltz, head of applied research, EDHEC Risk Institute
    "(...) Investors have extended the use of exchange traded funds (ETFs) to alternative investments. Commodities, infrastructure and real estate are popular but hedge funds less so. Part of a recent EDHEC Risk Institute survey, sponsored by Amundi ETF, looked at the usage of exchange traded funds (ETFs) in Europe and at the question of alternative asset class ETFs. (...)"
    Copyright Hedge Funds Review [Full text]


  • Asia Asset Management (02/08/2010)
    Cap-weighted indices: shortcomings and solutions
    Article by Stoyan Stoyanov, scientific director at EDHEC-Risk Institute–Asia
    "(…) The following article analyses the shortcomings of standard cap-weighted stock market indices and proposes a solution on the basis of EDHEC-Risk's indexes and benchmarking research. (…)"
    Copyright Asia Asset Management [Full text]


July 2010

  • Funds Europe (July/August 2010)
    Take your pick
    There is a broad array of exchange-traded funds which investors can choose from. Felix Goltz and Lin Tang, of the EDHEC-Risk Institute, give an overview of the instruments available
    "(…) In the first of a series of articles on exchange-traded funds (ETFs) based on research carried out as part of the ‘core-satellite and ETF investment’ research chair sponsored by Amundi ETF, we look at ETFs across different asset classes. (...)"
    Copyright Funds Europe [www.funds-europe.com]


  • Money Week (23/07/2010)
    Buy sectors rather than whole markets
    "(...) When putting together a portfolio of equity exchange-traded funds (ETFs), many investors think no further than country indices: the FTSE100, CAC40, S&P500, and so on. But they may not be investing in the most efficient way, say researchers at French business school EDHEC. Investing in industry sector funds is a better way to get a diversified equity portfolio than just selecting broad market benchmarks, they argue. (...)"
    Copyright MoneyWeek [Full text]


  • L'Agefi (22/07/2010)  
    Le Ceiops n'a pas su calibrer le « risque private equity »
    "(...) Dans sa première partie, l’étude de l’EDHEC intitulée De la pertinence de la calibration du risque private equity dans la formule standard de Solvency II remet en cause le choix de la mesure de risque retenue par le Comité européen des superviseurs de l’assurance (Ceiops), la fameuse Value-at-Risk (VaR) à 99,5 % sur un horizon d’un an. « Au-delà de cet horizon trop court, cette mesure a pour défaut de ne pas vérifier la propriété de sous-additivité », explique Philippe Foulquier, professeur à l’EDHEC. En théorie, l’exigence en capital pour la somme de deux risques différents devrait être inférieure ou égale (selon qu’ils sont corrélés ou pas) à celle pour ces deux mêmes risques pris séparément. « Afin d’intégrer la diversification ou la corrélation entre ces risques, le Ceiops a dû mettre en œuvre des matrices de corrélation souvent discutables. » (...)"
    Copyright L'Agefi [Full text]


  • Financial Times (18/07/2010)
    Merits of a well-built commodity benchmark
    Article by Joëlle Miffre, Professor of Finance at EDHEC-Risk Institute, EDHEC Business School
    "(...) While investors are interested in the risk diversification and inflation-hedging properties of commodity futures, the strategic decision to invest in commodities is often reduced to the risk-return trade-off that commodities offer. Our research demonstrates that a well-constructed commodity benchmark not only acts as a portfolio diversifier, but also offers a risk-return trade-off that is far superior to that earned on a long-only position. We suggest this new benchmark should be used as a building block for strategic asset allocation. (...)"
    Copyright Financial Times [Full text]


  • Business Times (16/07/2010)
    Why market cap-weighting doesn't work
    "(...) One prominent source is European business school EDHEC, which in a 2006 study found that most well-known international indices were inefficient because they were either underdiversified and/or were poor asset allocation benchmarks because of wide variations in sector exposure. Interestingly, this study also found that even using the much simpler method of equal weights, instead of market weights, led to a more efficient portfolio - that is, lower risk, better returns. More importantly for local index practitioners, the writers of the study also noted a big problem with market cap-weighted indices. (...) To correct for these inefficiencies, EDHEC uses a set of sophisticated statistical techniques and has designed a series of "risk-efficient" indices with index provider FTSE, which it says offer better risk/reward ratios than the traditional method of market-cap weighting because they are based on the straightforward idea that stocks with higher risk should compensate their holders with higher returns. (...)"
    Copyright Business Times [Full text]


    Les Echos (09/07/2010)  
    Une réponse à Christine Lagarde
    Par Noël Amenc, Professeur de Finance et Directeur de l'EDHEC-Risk Institute
    "(...) De ce point de vue, l'affirmation par la ministre que les produits dérivés « sont aujourd'hui une des causes de la forte volatilité des prix des matières premières » ne nous paraît pas aller dans la bonne direction. Elle ne semble pas non plus pouvoir servir de point de départ à un consensus international sur la régulation desdits marchés. Partir d'un tel a priori, que ne soutient aucune recherche académique sérieuse et qui, au contraire, a été démenti par deux études empiriques récentes conduites par les deux principales organisations économiques internationales dont la France fait partie, à savoir le FMI et l'OCDE, ne crédibilise pas la position française et la confine à une schizophrénique posture « anti-marché », quand on sait que par ailleurs la place de Paris souhaite jouer un rôle important dans le développement des marchés dérivés. (...)"
    Copyright Les Echos [Full text - French - Registration required]


  • Investment Advisor (08/07/2010)
    EDHEC-Risk Institute Study: Cap-Weighted Index Investing Is Losing Its Shine
    "(…) Although cap-weighted indexing continues to dominate the investment landscape, some researchers are questioning its efficacy and alternative indexing methodologies are coming to the fore. In a Financial Times op-ed piece published on Monday, June 21, Felix Goltz, EDHEC-Risk Institute’s head of applied research, argued that the indexing industry should offer investors viable alternatives because the academic literature does not support investment in cap-weighted indexes. Goltz based his argument on a paper he and a colleague, Véronique Le Sourd, published in January. (...)"
    Copyright Investment Advisor [Full text]


  • Ignites Europe (06/07/2010)
    Keep Newcits funds pure, stress managers
    "(...) According to a recent study by EDHEC, appetite for Ucits III products is on the increase among large investors such as pension funds. Figures from EDHEC's Risk Institute survey shows around 60 per cent of institutional investors it questioned have asked their alternative managers to repackage their strategies as Ucits funds, mainly out of uncertainty over the alternative investment managers directive. (...)"
    Copyright Ignites Europe (a Financial Times service) [Full text - Registration required]


  • Financial Times (05/07/2010)
    EDHEC builds on financial expertise
    "(...) French business school EDHEC is expanding into London and Singapore, offering masters and doctoral programmes in both financial centres from January 2011. The French grand école has developed a strength in research and teaching in finance and its PhD in finance, taught in Nice on the French Riviera, has proven particularly popular. Now EDHEC plans to triple the size of this programme, enrolling 15 students in both Singapore and London, in addition to the 15 a year planned each year for France. The school will also launch an executive masters degree in risk and investment management in both London and Singapore, in addition to the Nice programme.(...)"
    Copyright Financial Times [Full text]


  • Futures and Options World Intelligence (05/07/2010)
    Don’t believe the hype about indices, study argues
    "(…) France’s EDHEC-Risk Institute has published a study arguing that financial theory does not support investing in capitalisation-weighted stock indices, such as the Euro Stoxx 50 or S&P 500. The researchers, Felix Goltz and Véronique Le Sourd, have reviewed some 17 studies conducted by other academics since the early 1970s. On the basis of this evidence, they attack the usual argument for cap-weighted indices in two ways. Proponents of indices, the authors argue, often invoke the Capital Asset Pricing Model theory, developed by William Forsyth Sharpe in the 1960s, which argued that if an investor could hold the market portfolio – a capitalisation-weighted portfolio of all risky assets – that investment would be efficient, in other words, the best available. But Goltz and Le Sourd argue that the CAPM theory only predicts that the market portfolio is efficient under highly unrealistic assumptions, which in practice never occur. The theory relies on assuming that investors not only have identical preferences and investment horizons but also unlimited borrowing at their disposal. Moreover, all existing assets have to be tradable, and taxes and transaction costs are ignored. At a second level, Goltz and Le Sourd attack the common idea that equity indices are a good proxy for the market portfolio. In fact, they argue, “stock market indices appear to be very poor proxies for the market portfolio”. (...)"
    Copyright Euromoney Institutional Investor PLC [Full text - Registration required]


  • Financial Times (04/07/2010)
    How to prepare for extreme conditions
    Article by Lionel Martellini, Professor of Finance at EDHEC Business School
    "(...) In recent research on advanced modelling for alternative investments, supported by Newedge Prime Brokerage, we have analysed whether portfolio selection techniques with a focus on extreme risks are truly superior to traditional return and risk analysis in situations when risk management matters most. (...) Our research confirms that if one uses naive sample estimates, mean-variance analysis is actually better than portfolio selection taking extreme risks into account, even in situations where deviations from normality are severe. (...)"
    Copyright Financial Times [Full text]


  • Hedgeworld News (02/07/2010)
    We All Scream for UCITS?
    "(...) Not everyone is so certain UCITS funds are the way of the future. A risk survey released on May 12 from the EDHEC-Risk Institute in Nice, France, "Are Hedge-Fund UCITS the Cure-All?" suggests overwhelming skepticism that UCITS vehicles can attract more than a small share of the hedge fund market. Among the findings from 437 UCITS and alternative investment managers, service providers, investors and external observers, "most respondents fear that structuring hedge fund strategies as UCITS will distort strategies and diminish returns. ... 69% of participants think that the "liquidity premium of hedge fund strategies will disappear and that performance will fall" when hedge fund strategies are structured as UCITS." (...)"
    Copyright HedgeWorld News [Full text - Registration required]


  • Business Times (02/07/2010)
    How relevant are market cap‐ weighted indices?
    "(...) Earlier this week, researchers at European business school EDHEC's risk institute published a paper titled Does Finance Theory Make the Case for Capitalisation-Weighted Indexing? (...), in which it concluded that financial theory does not support investment in these types of indices. (...) "Though the true market portfolio is assumed to contain a vast collection of assets, stockmarket indices include only a small fraction of listed assets ... and only represent a small fraction of the wealth in the economy, ignoring the share of wealth represented by human capital, social security benefits and illiquid assets," said writers Felix Goltz and Veronique Le Sourd. They also point out that the theory's assumptions - such as investors having identical preferences and time horizons - are unrealistic in practice, just as is the assumption that everyone has access to unlimited borrowing. (...)"
    Copyright Business Times [Full text]


  • The Banker (01/07/2010)
    Access and assurance: Bridging asset classes: Derivatives structuring
    "(…) This will certainly curtail the freedom with which hedge funds can be marketed to sophisticated private investors in the EU, and a recent survey demonstrates that providers are flocking to the UCITS structure to avoid its strictures. Sixty per cent of alternative investment funds surveyed by the EDHEC Business School in France, managing a collected EU7000bn, agreed that the AIFMD leads to uncertainty about the distribution of funds; 65% reported that they plan to restructure their funds as UCITS. (…)"
    Copyright The Banker [www.thebanker.com]


June 2010

  • Funds Europe (June 2010)
    Knowledge is bliss
    Enhanced portfolio techniques are not sufficiently used in the investment management industry. Felix Goltz, of the EDHEC-Risk Institute, explores the reasons behind this
    "(…) In a ‘call for reactions’ carried out last year, the EDHEC-Risk Institute canvassed the views of investment professionals on the conclusions of the EDHEC European Investment Practices Survey, sponsored by Newedge. Fifty-seven investment management professionals sent us the completed questionnaire. Our first objective was to establish whether there is any agreement with our conclusion that enhanced portfolio construction techniques are not sufficiently used in the industry today. Almost 95% of respondents agreed with this statement. One respondent plainly summarised the overall perception of respondents when he said that “many of the improvements found in the literature are not used by the industry”. (...)"
    Copyright Funds Europe [Full text - Registration required]


  • Global Investor Magazine (June 2010)
    A new wrapper
    "(…) At the heart of the appeal of UCITS funds to managers and distributors is the ease with which they can be sold throughout Europe." The core distribution argument has always been at the heart of the UCITS proposition: a single funds structure that can be sold to any European investor," explains Samuel Sender, co-author of the EDHEC report. (…)"
    Copyright Global Investor Magazine [www.globalinvestormagazine.com]


  • Ignites Europe (30/06/2010)
    iShares: no plans for active ETFs in Europe
    "(...) Despite a handful of US fund houses venturing into actively managed ETFs, a recent survey by EDHEC of 192 European institutions, asset managers and private wealth managers found just 10 per cent would like to see active ETFs brought to Europe. (...)"
    Copyright Ignites Europe (a Financial Times service) [Full text - Registration required]


  • Hedge Funds Review (29/06/2010)
    No justification for cap-weighted indexes
    "(...) Investors should seek alternatives to capitalisation-weighted stock market indexes, according to research by the EDHEC-Risk Institute. Cap-weighted indexes would be efficient investments only under unrealistic underlying assumptions, according to the report. It refuted the widely held theory, the capital asset pricing model (CAPM), that underpins the workings of cap-weighted indexes. (...)"
    Copyright Hedge Funds Review [Full text]


  • The Hedgefund Journal (29/06/2010)
    EDHEC-Risk Study on cap-weighted indices
    "(...) In view of these arguments, financial theory alone does not justify the current practice of cap-weighting. In fact, from a theoretical perspective, cap-weighted stock market indices seem to offer no particular advantage. (...)"
    Copyright The Hedgefund Journal [Full text]


  • Hedgeweek (29/06/2010)
    Study finds no justification for cap-weighted indices
    "(...) After the financial crisis and the accompanying falls in the stock markets, many commentators have questioned the appropriateness of tracking cap-weighted indices. These indices are particularly inefficient and, through their momentum properties, favour the emergence of speculative bubbles. Research from the EDHEC-Risk Institute shows that financial theory, despite widely-held views to the contrary, does not support investment in these types of indices. It is therefore urgent for investors to seek alternatives to these indices which are justified by neither fact nor theory. (...)"
    Copyright Hedgeweek [Full text]


  • La Tribune (28/06/2010)  
    L'EDHEC s'installe à Singapour : Le centre de recherche ouvre un campus avec le soutien des autorités locales
    "(...) « Après Nice, Londres et Paris, nous ouvrons EDHEC-Risk Institute Asia à Singapour », se félicite Noël Amenc, directeur de l'EDHEC-Risk Institute. (...) Dirigé par un Français, doté d'un budget de 28 millions d'euros sur cinq ans, le centre compte aujourd'hui six personnes qui seront douze à la rentrée. Ses objectifs : diffuser l'ensemble de la recherche de l'EDHEC-Risk Institute et la formation de haut niveau dans la zone Asie-Pacifique. (...)"
    Copyright La Tribune [Full text - French - Registration required]


  • Asian Investor (25/06/2010)
    Hedge fund dash to Ucits will harm returns
    "(…) The flow of hedge-fund investors into the highly regulated Ucits III fund structure is set to become a flood. In March, French business school EDHEC surveyed 437 members of the global assetmanagement community, including investors, managers and distributors, with combined assets under management of over €13 trillion. Of these, 92% reported "a trend towards packaging HF strategies as Ucits". Half of insurance companies surveyed said it was very likely that they would ask promoters and managers to restructure. Among hedge funds, 65% reported that they planned to restructure their funds as Ucits; only 25% said they did not. (…)"
    Copyright Asian Investor [Full text]


  • L'Agefi Suisse (23/06/2010)  
    De la difficulté de mesurer le risque en matière de private equity
    "(...) Dans une étude intitulée « De la pertinence de la calibration du risque private equity dans la formule standard de Solvency II », l’EDHEC remet en question la méthodologie et le choix de l’indice retenus par le régulateur prudentiel européen pour mesurer le risque de placements en private equity, en particulier le coefficient de corrélation entre la performance du private equity et celle des actions cotées. (...)"
    Copyright L'Agefi Suisse [Full text - French - Registration required]


  • L'Agefi Suisse (22/06/2010)  
    L’indice LPX 50 n’est pas la référence adaptée
    "(...) Private equity. L’EDHEC propose une alternative pour mesurer les risques de cette classe d’actifs. La corrélation entre les 50 plus grandes sociétés européennes de private equity cotées représentées par l’indice LPX 50 et les marchés actions n’est pas représentatif des risques de cette classe d’actifs. C’est pourtant la référence retenue par le CEIOPS (l’organisme travaillant sur les normes de solvabilité II pour les assureurs). (...)"
    Copyright L'Agefi Suisse [Full text - French - Registration required]


  • American Chronicle (21/06/2010)
    Call for exchange traded funds up
    "(…) European investors prefer exchange traded funds (ETFs) to index funds, trade them in a more sophisticated manner and are demanding riskier products, according to EDHEC-Risk Institute's annual survey of the market. EDHEC-Risk found the ETF market has become more mature, with investors deploying ETFs instead of index funds, trading them over the counter and using them to borrow securities. (…)"
    Copyright American Chronicle [www.americanchronicle.com]


  • Financial Times (20/06/2010)
    Flawed beliefs in the worth of cap-weighting
    Article by Felix Goltz, Head of Applied Research, EDHEC-Risk Institute
    "(...) The standard practice of equity index providers is to weight stocks by their market capitalisation. This practice has come in for criticism as researchers have found that the commercially available equity indices are far removed from providing an efficient risk/reward profile. Such indices are overly concentrated in a few large stocks and blindly trend-following in that they mechanically increase weights attributed to stocks that rise in price relative to the rest. Alternative weighting schemes have been shown to improve risk-reward efficiency but advocates of cap-weighting often point out that cap-weighting is the only theoretically optimal weighting scheme. (...) Having observed that investment in cap-weighted indices is not supported by any academic evidence, it is time to stop equating these indices with passive investment and for the indexing industry, and notably ETF providers, to offer investors viable alternatives. (...)"
    Copyright Financial Times [Full text]


  • Financial News (18/06/2010)
    Short selling comes up trumps
    "(...) The combination of the May 6 flash crash and volatility across the markets proved catastrophic for many hedge funds last month resulting in billions being wiped from portfolios. But while almost all hedge fund strategies posted losses across the board, one classic bucked the trend: short selling. According to research from the EDHEC-Risk Institute in Paris, many hedge fund strategies reported their worst losses last month since November 2008, when hedge funds experienced losses of 3% in the wake of the Lehman Brothers’ bankruptcy. (...) But in contrast, "short selling" delivered a 4.73% return (although it remains 4.1% for the year to date). (...)"
    Copyright Financial News [Full text]


  • IPE (18/06/2010)
    Speculators do not drive commodity prices, says OECD
    "(…) The EDHEC-Risk Institute welcomed the report, saying it reinforced the conclusion of two previous EDHEC-Risk position papers – "Oil Prices: the True Role of Speculation" and "Has There Been Excessive Speculation in the US Oil Futures Markets?". Noel Amenc, director of the institute, said: "At a time when numerous politicians are attempting to pin the blame on participants in the financial industry for all the current ills, this contribution is welcome. "As an academic research centre, the EDHEC-Risk Institute has long maintained the questions of regulation should be based not on emotion or populism, but on facts." (…)"
    Copyright IPE [Full text - Registration required]


  • CNBC (18/06/2010)
    Hedge Funds' Best Strategy in May: Short-Selling
    "(…) Short-selling was the only hedge fund strategy that worked in May while emerging markets performed the worst, according to analysis from a European institute. Funds that bet against market performance gained 4.73 percent in a month that saw the Standard & Poor's 500 lose 8 percent on the way to correction status, according to the EDHEC Risk Institute, based in Nice, France. (…)"
    Copyright CNBC [Full text]


  • L'Agefi Actifs (18/06/2010)  
    Les investisseurs en ETF réclament davantage de nouveaux produits innovants
    "(...) Dans sa cinquième édition, l'ETF Survey présentée par L'EDHEC-Risk Institute au cours de sa Conférence 2010 de la gestion institutionnelle, souligne que 96 % des 192 sondés indiquent utiliser des ETF actions. Il s'agit là d'un chiffre stable depuis quelques années, la croissance étant plus forte du côté de l'utilisation des ETF obligations d'Etat (68 %) et obligations crédit (60 %). Malgré l'entrée dans cette phase de maturité, « il reste une place importante pour l'innovation sur le marché des ETF, notamment en matière de nouveaux produits », insiste Felix Goltz, directeur des études de l'EDHEC-Risk Institute. (...)"
    Copyright L'Agefi Actifs


  • Global Custodian (17/06/2010)
    EU Parliament Demands "Tougher" Deriv Rules
    "(...) Despite the report, and a number of studies from EDHEC-Risk institute arguing that the increase in financial investment in commodities does not cause price volatility, the EU Parliament wishes to introduce upper risk limits for agricultural derivatives and for each separate commodity, aiming to “reduce speculation and help these markets to function transparently.” (...)"
    Copyright Global Custodian [Full text - Registration required]


  • IPE Asia (17/06/2010)
    The long term view grows shorter
    "(…) What new models and approaches will institutional investors need to address today’s more complex markets? Russell and other leading-edge institutions such as EDHEC are in the midst of researching the conundrum. (…)"
    Copyright IPE Asia [Full text - Registration required]


  • Insurance Day (17/06/2010)
    Study questions private equity calibration
    "(...) According to the study, which was carried out by the EDHEC Financial Analysis and Accounting Research Centre, Solvency II has become a matter of “major concern” for the private equity sector because the current measure for private equity risk as proposed by the Committee of European Insurance and Occupational Pensions Supervisors (Ceiops) is likely to dissuade insurers from investing in this asset class. (...)"
    Copyright Insurance Day [Full text - Registration required]


  • L'Hebdo (17/06/2010)  
    Choix d'actifs: La boussole du risque
    "(...) Pour François-Serge Lhabitant, il convient de recenser d’abord les différents risques – de taux, de crédit, de marché, de liquidité, etc. –, puis d’attribuer un budget maximal à chacun d’eux. Ensuite seulement intervient le choix d’actifs: « Une fois défini un budget risque crédit, on recherche la manière la plus efficace de l’allouer en fonction du rendement recherché. » (...)"
    Copyright L'Hebdo [Full text]


  • Hedge Funds Review (June 2010)
    Depositaries and custodians in Ucits
    "(...) In the May issue we reported the results of a recent EDHEC-Risk Institute survey on structuring hedge fund strategies as Ucits. Samuel Sender, applied research manager at the institute, discusses the problems. (...)"
    Copyright Hedge Funds Review [Full text]


  • L'Agefi Hebdo (17/06/2010)  
    Les réassureurs entendent bien tirer profit de Solvabilité II
    "(...) Avec Solvabilité I, la prise en compte de la réassurance est plafonnée. Dans la nouvelle réglementation, cette limitation disparaît. Il devient donc possible pour un assureur, avec certains produits de réassurance, de « céder » (c'est-à-dire de transférer) tout ou partie d'un risque et de répercuter 100% de cette opération dans ses calculs prudentiels pour abaisser son besoin en fonds propres. Mais « il n'est toujours pas certain aujourd'hui que les produits les plus efficaces contre les risques, comme la réassurance non proportionnelle, seront les mieux pris en compte par Solvabilité », prévient Philippe Foulquier, professeur à l'EDHEC. (...)"
    Copyright L'Agefi Hebdo [www.agefi.fr]


  • Ignites Europe (16/06/2010)
    Managers must diversify revenue streams: Fitch
    "(...) Bernhard Scherer, a researcher at EDHEC-Risk Institute, says the markets “make a mockery” of the annual revenue and inflow predictions that fund houses make in their business plans. He is surprised that investment firms have not done more to diversify their revenue streams. (...)"
    Copyright Ignites Europe (a Financial Times service) [Full text - Registration required]


  • L'Hebdo (16/06/2010)  
    Obligations indexées: Les sociétés pourraient devenir des acteurs clés
    "(...) Actif prisé. EDHEC-Risk et Rothschild créent une chaire pour étudier les obligations d’entreprises indexées sur l’inflation. A l’heure où certaines multinationales apparaissent comme des émetteurs obligataires plus sûrs que les Etats très endettés, et alors qu’augmente la crainte d’un retour de l’inflation dans quelques années, un actif pour l’instant disponible en quantité limitée suscite un réel regain d’intérêt: les obligations d’entreprises indexées sur l’inflation. EDHEC-Risk et Rothschild viennent ainsi d’annoncer la création d’une chaire de recherche sur ces obligations protégeant l’investisseur de la chute de valeur subie par les obligations classiques, dans les périodes de hausse des taux. (...)"
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  • La Tribune (14/06/2010)  
    Les institutionnels réclament toujours plus de fonds indiciels côtés
    "(...) Dix ans après le lancement des ETF en Europe, une étude réalisée par l'EDHEC-Risk Institute détaille l'évolution des pratiques des investisseurs sur un marché encore appelé à se développer. (...) « Mais la forte croissance du marché européen montre aussi une certaine maturité », constate Felix Goltz, directeur des études à l'EDHEC-Risk Institute et auteur de la quatrième édition de l'« EDHEC European ETF Survey 2010 » (...)"
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    Les Echos (14/06/2010)  
    La gestion d'actifs dans le 3 e acte de la crise
    "(...) « Année après année, les sociétés de gestion réalisent des business plans précis basés sur leurs prévisions de revenus et de collecte, des prévisions que les marchés tournent ensuite en dérision, souligne Bernhard Scherer, chercheur à l'EDHEC-Risk Institute (2). Il reste très étonnant que les "asset managers" n'aient pas fait plus d'efforts pour réduire la volatilité de leurs revenus et les protéger, alors qu'ils mettent en oeuvre dans leurs propres fonds et pour leurs clients des méthodes de couverture, qui pourraient être adaptées à leur propre cas. » (2) « Fees at Risk », EDHEC Risk Institute. (...)"
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  • L'Agefi Suisse (11/06/2010)  
    La gestion institutionnelle se cherche
    "(...) Lors de la première conférence institutionnelle de la banque privée Wegelin & Co. organisée à Lausanne, François-Serge Lhabitant de Kedge Capital (qui gère, entre autres, les avoirs de la famille Bertarelli) a souligné que celle-ci ne tient plus: « les corrélations ont tendance à augmenter en périodes de stress, se rapprochant de 1, à l’exception notable des bons du Trésor ». Après deux années 2008 et 2009 exceptionnelles, où rien, respectivement tout a marché, il s’agit maintenant de trouver le nouveau paradigme de la gestion institutionnelle, dont la complexité se trouve renforcée par une réglementation toujours plus contraignante. (...) Concernant les actions, en revanche, le gestionnaire de Kedge Capital, également connu en tant que professeur à l’EDHEC, a un avis très tranché: « Nous sommes négatifs là-dessus depuis 4 ans », précisément parce que les risques à prendre, tout particulièrement ceux à la baisse, paraissent trop élevés par rapport à la rémunération potentielle, autrement dit, « l’asymétrie risque-rendement est trop grande ». (...)"
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  • IPE (08/06/2010)
    EDHEC calls for “critical” research into inflation-linked corporate bonds
    "(…) The EDHEC-Risk Institute, part of France’s EDHEC Business School, has underlined the “critical importance” of inflation-linked corporate bonds with the creation of a new research chair. Led by Professor Lionel Martellini, the institute’s scientific director, the chair will support all research examining the benefits of inflation-linked bonds for issuers and investors. Martellini said inflation hedging had become a concern of critical importance for pension funds, given that pension payments were typically indexed with respect to consumer price or wage level indexes. (…)"
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  • Exchange Traded Funds Magazine (08/06/2010)
    ETF growth potential in dynamic asset allocation
    "(...) The potential for ETFs to be used in dynamic asset allocation in precisely defined market segments or styles has not yet been fully exploited, according to the EDHEC-Risk Institute. In its EDHEC European ETF Survey 2010, the institute says although the ETF industry has entered a phase of increased maturity, there is still room for growth, with survey respondents seeing a need for new products on emerging markets and alternative asset classes. (...)"
    Copyright Exchange Traded Funds Magazine [Full text]


  • bfinance (07/06/2010)
    Can high octane hedge funds be tamed under UCITS?
    "(...) The forgone liquidity premium of UCITS funds was a central conclusion in a recent EDHEC risk survey, which found that structuring hedge fund strategies under UCITS would distort strategies and diminish returns. Yet while 69% of the survey’s participants think that the liquidity premium of hedge fund strategies will disappear and performance will fall, a majority of insurance companies envisaged asking managers to structure hedge fund strategies as UCITS. (...)"
    Copyright bfinance [Full text]


  • Le Temps (07/06/2010)  
    Quand l’Europe met les marchés en échec; Les hedge funds accusés de parier contre les emprunts d’Etat n’ont rien gagné en mai
    "(...) Ce revers des fonds dits spéculatifs pourrait s’avérer de courte durée. Cela fait des semaines que ceux-ci ont changé de cible, notamment pour écumer le marché plus anonyme des monnaies. « Les profits à faire, sur la Grèce notamment, ont été engrangés depuis longtemps », prévient Abraham Lioui, professeur de l’EDHEC, à Nice. (...)"
    Copyright Le Temps [Full text]


  • bfinance (07/06/2010)
    ERAFP reflects on market turbulence on sovereign portfolio
    Interview with Philippes Desfossés, CEO of ERAFP
    "(...) In partnership with the EDHEC Risk and Asset Management Centre, we are currently working on defining an SRI index that works for small- and mid-caps. We would like to extend this approach to large-caps, for which we are also proposing our own SRI index. This is a way of helping institutional investors and traditional investment managers take their first steps in SRI. This index should adopt our best-in-class approach. For us, this approach, which is set to become a core component of the investment process, must be capable of distinguishing companies that have chosen not to make sacrifices on major long-term issues for the sake of an immediate return. It should also be based on a fundamental index-linking or risk management approach, since market capitalisation indices have shown their limits by fuelling the formation of bubbles. (...)"
    Copyright bfinance [Full text]


  • Financial Times (06/06/2010)
    Investors shun active ETFs
    "(...) Institutional investors may be increasingly falling in love with exchange traded funds, but they have little appetite for ETFs launched by active fund managers. A smattering of actively managed ETFs have been launched in North America, but a survey of 192 European institutions, asset managers and private wealth managers found just 10 per cent would like to see the practice spread across the Atlantic. “Ethical” ETFs are also largely off the radar screen, with just 14 per cent of respondents keen for such products. In contrast, more than half of those surveyed want to see more emerging market equity ETFs, while at least a third would welcome a broader choice of commodity, emerging market bond and high-yield bond products, according to the EDHEC Risk Institute’s 2010 European ETF survey, to be unveiled in Paris on Wednesday. (...)"
    Copyright Financial Times [Full text]


  • The Asset (04/06/2010)
    EDHEC-Risk Institute, Rothschild to research inflation-linked corporate bonds
    "(...) EDHEC-Risk Institute and Rothschild have announced the creation of a research chair entitled "The Case for Inflation-Linked Corporate Bonds: Issuers’ and Investors’ Perspectives". The purpose of the research chair is to support research undertaken at the institute on the benefits of inflation-linked corporate bonds both from the issuer as well as from the investor points of view. The chair will also focus on contrasting the analysis, in corporate finance, and perceptions of inflation-linked corporate bonds both by issuers and investors. The chair is led by Lionel Martellini, scientific director of EDHEC-Risk Institute. (...)"
    Copyright The Asset [Full text]


  • Ignites Europe (04/06/2010)
    "No outperformance" from SRI funds
    "(...) Ethical and green funds are becoming increasingly popular across Europe, especially in France, Germany and the UK, but sceptics will be encouraged by the latest data from EDHEC-Risk Institute. The research body says the majority of these funds deliver (albeit minor) negative alpha over the short and long term. The study shows “no evidence of outperformance by SRI funds, nor of risk reduction”, claims EDHEC director Noël Amenc. Over both the long and short term, any significant alpha generated by the 210 funds EDHEC surveyed was always negative; any positive alpha was minor. (...)"
    Copyright Ignites Europe (a Financial Times service) [Full text - Registration required]


  • Hedgeweek (03/06/2010)
    EDHEC-Risk and Rothschild set up research chair on inflation-linked corporate bonds
    "(...) Martellini says: "While a dominant fraction of inflation-linked debt is issued by sovereign states, there has been recent interest amongst various state-owned agencies, municipalities and also corporations, in particular from the utility, financial-services and real estate sectors, to issue inflation-linked bonds." (...)"
    Copyright Hedgeweek [Full text]


  • L'Agefi (03/06/2010)  
    EDHEC-Risk et Rothschild créent une chaire de recherche
    "(...) EDHEC-Risk et Rothschild annoncent la création d’une nouvelle chaire de recherche intitulée « L’intérêt des obligations d’entreprises indexées sur l’inflation : perspectives du point de vue des émetteurs et des investisseurs ». La chaire sera placée sous la responsabilité de Lionel Martellini, directeur scientifique d’EDHEC-Risk.(...)"
    Copyright L'Agefi [Full text]


  • L'Agefi Hebdo (03/06/2010)  
    Dossier spécial à l'occasion de la Conférence de la Gestion Institutionnelle 2010, organisée par EDHEC-Risk Institute les 8 et 9 juin à Paris
    Les risques au centre des préoccupations
    "(...) En attendant, l'EDHEC-Risk Institute estime que la gestion des risques non financiers est du ressort de chacun des maillons de la chaîne : le gérant d'actifs, le prime broker, le dépositaire, ainsi que le distributeur. En outre, l'investisseur ne serait pas totalement exonéré en attestant être conscient des risques encourus dans le cadre d'un investissement « exotique » par exemple... (...)"
    Rencontre avec Noël Amenc, directeur de l'EDHEC-Risk Institute
    "(...) On ne peut pas ne pas se préoccuper du court terme du fait notamment des réglementations prudentielles ou comptables qui pèsent sur les assureurs comme sur les fonds de pension. C'est leur dilemme : comment se protéger à court terme et bénéficier de l'horizon d'investissement de long terme. Or, la mise en oeuvre des techniques traditionnelles d'ALM (gestion actif-passif) pour protéger le capital à court terme revient au final à être sous-investi en actifs risqués. Si les investisseurs ne savent pas concilier le court et le long terme, ils sont condamnés soit à accepter une faible rentabilité de leur allocation d'actifs, soit à s'en remettre au « bonheur » des marchés pour garantir leur solvabilité. (...)"
    Le marché des ETF rentre dans sa phase de maturité
    "(...) Menée pour la cinquième année consécutive, l'ETF Survey de l'EDHEC confirme que le marché des ETF est entré dans sa phase de maturité. Cette année, 192 utilisateurs d'ETF européens ont répondu à l'étude. Ainsi, 95 % des investisseurs interrogés déclarent utiliser des ETF actions. Un chiffre stable par rapport à l'enquête précédente.. (...)"
    Les fonds ISR ne créent pas de surperformance à long terme
    "(...) L'EDHEC-Risk Institute publie une étude sur la performance des fonds ISR dont les conclusions risquent de faire camper sur leurs positions les partisans comme les détracteurs de l'ISR. Une première étude avait été menée en 2008 par Noël Amenc et Véronique Le Sourd. Les deux chercheurs ont renouvelé et approfondi le sujet cette année pour parvenir à un résultat identique : les fonds ISR ont en majorité sous performé leurs marchés (dits « alpha négatif » dans l'étude), mais de façon non significative, sur longue période. « Notre étude ne permet pas de démontrer de surperformance des fonds ISR, ni de réduction du degré de risque », confirme Noël Amenc, directeur de l'EDHEC-Risk Institute. (...)"
    L' « investissement vert » gagne ses lettres de noblesse
    "(...) Le constat s'impose. La protection de l'environnement est un sujet bien ancré dans la société, y compris auprès des investisseurs. Ainsi, près de 86 % d'entre eux considèrent que c'est un thème d'investissement pour leur institution, selon une étude réalisée par l'EDHEC-Risk Institute auprès d'une centaine d'investisseurs institutionnels. Il ne s'agit pas d' une simple profession de foi puisque nombre d'entre eux ont mis en place des approches spécifiques. (...)"
    Copyright L'Agefi Hebdo [www.agefi.fr]


  • Ignites Europe (01/06/2010)
    Get ahead, get an MBA, suggest managers
    "(...) Postgraduate qualifications are likely to remain in high demand, says Frédéric Ducoulombier, director at EDHEC Asset Management Education. “A highly trained workforce is key to growth in high-value-added activities,” he says. “Research can make significant contributions to industry innovation, and executive education is one way research advances engineered in academia can be disseminated in the industry.” In a January 2009 EDHEC Risk Institute study, 95 per cent of investment professionals surveyed said improvements in investment practices were needed, and 86 per cent of respondents said further education and effort were needed to close the gap between real-world practice and research, Mr Ducoulombier notes. EDHEC Risk Institute has recorded interest from nearly 3,000 investment professionals for its Executive MSc programme, he says. (...)"
    Copyright Ignites Europe (a Financial Times service) [Full text - Registration required]


May 2010

  • Funds Europe (May 2010)
    An efficient alternative to cap-weighted indices
    Felix Goltz, of EDHEC, introduces a novel method for the construction of equity indices that offer an efficient risk/return trade-off
    "(…) Continuing our series on equity indices, in which we have drawn attention to the shortcomings of cap-weighted stock market indices, this article introduces a novel method for the construction of equity indices that, unlike their cap-weighted counterparts, offer an efficient risk/return trade-off. The index construction method goes back to the roots of modern portfolio theory and focuses on the tangency portfolio, the portfolio that weights index constituents so as to obtain the highest possible Sharpe ratio, that is, the risk-adjusted return in excess of a risk-free asset. (...)"
    Copyright Funds Europe [www.funds-europe.com]


  • Les Echos (31/05/2010)  
    A Singapour, l'EDHEC mise sur la finance
    "(...) L'école va utiliser son nouveau campus pour proposer des formations de haut niveau et des travaux de recherche en finance. Et, surtout, pour renforcer sa coopération avec les entreprises asiatiques. (...) « Nous allons mener ici des recherches de haut niveau, pour les présenter à l'industrie financière », poursuit Frédéric Ducoulombier. Deux problématiques propres à la région ont été choisies : les nouvelles possibilités d'investissement pour traiter l'inflation et la gestion des fonds souverains - la Deutsche Bank finance une chaire consacrée à ce dernier sujet. (...)"
    Copyright Les Echos [Full text - French]


  • Financial Times (30/05/2010)
    Pensions falling short on risk management
    Article by Samuel Sender, senior researcher at EDHEC-Risk Institute
    "(...) News of huge pension deficits and closures of defined benefit pension funds suggest that risk management by pension funds may not be entirely up to scratch. To examine the issue of risk management practices, EDHEC-Risk Institute recently surveyed pension funds, their advisers, regulators and fund managers. An initial finding of the survey, conducted as part of the Axa Investment Managers research chair at EDHEC-Risk Institute, is that most of the 129 respondents have a restrictive view of the risks they face. (...)"
    Copyright Financial Times [Full text]


  • Indices (May 2010)  
    Mille milliards de dollars
    La chronique de François-Serge Lhabitant, Chief Investment Officer chez Kedge Capital Fund Management et Professeur de Finance, à l’EDHEC Business School
    "(...) A l’heure où nous écrivons ces lignes, les dirigeants européens et le FMI se sont entendus pour fournir à la Grèce une aide de 120 milliards d’euros. Ce montant est un multiple important de ce qui avait été discuté précédemment, mais nul ne semble s’en offusquer. En contrepartie, il est vrai, la Grèce s’est engagée à mettre en place son quatrième plan d’austérité afin d’économiser 30 milliards d’euros sur trois ans. Les dirigeants politiques se sont immédiatement auto-félicités de ces brillants résultats, probablement sans réaliser qu’ils venaient de poser ce qui pourrait bien devenir la première pierre de la future crise de solvabilité européenne. (...)"
    Copyright L'Agefi Suisse [www.agefi.com]


  • L'Agefi Hebdo (27/05/2010)  
    L'OPCVM « long-short equity » a la cote
    "(...) Ainsi, selon une étude récente de l'EDHEC, 62,5 % des compagnies d'assurances envisagent de demander à leurs gérants de restructurer les stratégies de hedge funds en Ucits. (...) D'ailleurs, les professionnels, tant gérants qu'investisseurs, en sont conscients : ils sont 69 % à estimer, toujours selon l'EDHEC, que la prime de liquidité des hedge funds disparaîtra avec le passage en Ucits.(...)"
    Copyright L'Agefi Hebdo [www.agefi.fr]


  • Le Temps (25/05/2010)  
    Wegelin veut renouveler la gestion de fortune privée
    "(...) La banque saint-galloise introduit des mandats qui mettent en pratique la technique du budget risque jusqu’ici utilisée pour les clients institutionnels. La recherche en finance, à l’image des travaux de François-Serge Lhabitant, professeur à ­l’EDHEC, a non seulement souligné les limites de l’allocation d’actifs traditionnelle, mais aussi proposé une alternative. (...)"
    Copyright Le Temps [Full text]


  • Financial Times (23/05/2010)
    Europe plans ban on naked short selling
    "(...) Noël Amenc, director at the Nice-based EDHEC Risk Institute, said a ban on naked shorting of credit default swaps “would be terrible” for sovereign debt markets and cross-border trade, particularly that involving relatively unstable countries. “You will increase the cost of sovereign debt because people would not be able to manage the risk, and you would affect commercial activities because part of international trade is based on long-term contracts with the public sector,” said Prof Amenc. (...)"
    Copyright Financial Times [Full text]


  • International Financing Review (22/05/2010)
    BaFin's empty gesture
    "(...) However, the regulator was not able to shed light on one other impact of the ban, one highlighted by EDHEC-Risk Institute, a financial research firm, which pointed out that the exemption only allowed for hedging another "financial instrument", thus appearing to exclude broader country risk derived from, for example, a contract to provide a sovereign or a state-owned company with a particular service. A BaFin spokesperson told IFR on Friday that the regulator was unable to answer that point but expected to be able to do so this week. (...)"
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  • L'Agefi Suisse (21/05/2010)  
    L’incohérence des choix allemands
    "(...) Outre le fait que la divergence avec les autorités américaines sur ces questions laisse peu d’espoir que les mesures soient effectives, EDHEC-Risk Institute estime que cette interdiction pose de nombreux problèmes et se heurte à des obstacles juridiques et pratiques qui la rendent inapplicable voire contreproductive. (...)"
    Copyright L'Agefi Suisse [Full text - French -Registration required]


  • The Guardian (20/05/2010)
    German action on euro crisis could trigger EU referendum in Britain
    "(...) The euro was near a four-year low against the dollar on concern others would follow Germany's draconian action, which the EDHEC-Risk Institute – part of a business school in France – described as "counterproductive, inconsistent and liable to hinder European growth".(...)"
    Copyright The Guardian [Full text]


  • The Economist (20/05/2010)
    When the French are defending the markets...
    "(...) And just to prove that Anglo-Saxons are not the only people against the ban, here is the analysis of the French business school EDHEC. The German plan is impractical, it says, because it will be impossible for intermediaries and ultimately for regulators to verify investors’ holdings of the securities representative of the risk the credit default swaps are assumed to cover. (...)
    Copyright The Economist [Full text]


  • Financial Times Alphaville (20/05/2010)
    "Germany’s restrictive measures are liable to hinder European growth"
    "(...) EDHEC-Risk, a unit of the France-based business school, on Thursday released a withering criticism of Germany’s unilateral ban on naked short selling of eurozone debt. We quote: EDHEC-Risk Institute considers that the unilateral measures taken by Chancellor Merkel on the sovereign debt markets, both on the short selling of sovereign bonds and credit default swaps (CDS), are counterproductive, inconsistent and liable to hinder European growth. (...)"
    Copyright Financial Times Alphaville [Full text]


  • Les Echos (20/05/2010)  
    L'interdiction des ventes à découvert serait contre-productive
    "(...) Pour les Etats, interdire la vente à découvert nue sur les « credit default swaps » (CDS) présente bien plus d'inconvénients que d'avantages. L'EDHEC-Risk Institute fait en effet valoir qu'en « complexifiant et rendant plus difficile le marché des couvertures de risque de défaut, on risque de priver le marché de la dette des Etats mal notés, d'investisseurs et donc de liquidité, ce qui renchérira inévitablement le coût de leur dette ». (...)"
    Copyright Les Echos [Full text - French]


  • Le Monde (20/05/2010)  
    En interdisant les ventes à découvert d'emprunts d'Etat, Berlin déstabilise les marchés et agace ses partenaires
    "(...) "Pour certains experts, la mécanique pourrait même avoir des effets contre-productifs. Selon une étude réalisée par l'institut de recherche EDHEC Risk, l'interdiction des ventes à découvert appliquée en 2008, au plus fort de la tempête boursière, a in fine augmenté la volatilité des cours, sans endiguer leur chute. "Cette mesure n'est le fruit que de la démagogie, elle ne repose sur aucune étude sérieuse", s'agace Noël Amenc, directeur de l'EDHEC Risk. (...)"
    Copyright Le Monde [Full text - French]


  • Hedge Funds Review (May 2010)
    Questions abound over Ucits hedge funds
    "(...) The alternative investment fund managers directive will not necessarily allow professional investors to buy the funds offered to them. Controversy around the legislation, together with uncertainty about the distribution of funds it will allow, will deter investment companies from making investments if they think the fund may not comply with the expected requirements. Samuel Sender, applied research manager at EDHEC Risk Institute, reports. (...)"
    Copyright Hedge Funds Review [Full text - Registration required]


  • Risk magazine (May 2010)
    Capturing fat tails
    "(...) Financial institutions are more aware of the risks posed by high-impact events since the crisis, but the question is how to encapsulate these in models. Zari Rachev, Boryana Racheva-Iotova and Stoyan Stoyanov discuss three approaches for capturing fat tails. (...)"
    Stoyan Stoyanov is a professor of finance at EDHEC Business School and the scientific director for EDHEC-Risk Institute in Asia.
    Copyright Risk magazine [Full text - Registration required]


  • The Straits Times (19/05/2010)
    Hedge funds eyeing Singapore, HK
    "(...) Scrutiny of hedge funds has heightened in Europe as politicians in Germany and France blamed the industry for causing the financial crisis - though the crisis was caused more by regulated banks in the United States, Mr Martellini said. (...)"
    Copyright The Straits Times [Full text - Registration required]


  • The Globe and Mail (Canada) (17/05/2010)
    Uh-oh, another short-selling ban?
    "(...) The move was intended to calm ruffled markets, but it brought mixed results. At least one study has concluded that the ban did the opposite of its intentions. According to a recent paper from the EDHEC-Risk Institute, the U.S. ban actually sent stock market volatility higher and failed to relieve downward pressure on stock prices. These declined simply because long investors bailed out. (...)"
    Copyright The Globe and Mail [Full text]


  • Ignites Europe (17/05/2010)
    Newcits the next mis-selling scandal: poll
    "(...) A survey by EDHEC Risk Institute last week found strong appetite for Ucits III hedge funds among institutional investors. Some 60 per cent of investors say they intend to ask their alternative managers to repackage their strategies as Ucits funds, according to the findings. (...)"
    Copyright Ignites Europe (a Financial Times service) [Full text - Registration required]


  • Financial News (17/05/2010)
    Index trackers veer from the straight and narrow
    "(...) The products on offer have proliferated in recent years, with firms such as Research Affiliates and Global Wealth Associates establishing the intellectual case, index-providers like FTSE providing the technical knowhow, and others, such as the French business school EDHEC, taking their ideas on in fresh directions. (...)"
    Copyright Financial News [Full text]


  • Fund Strategy (17/05/2010)
    Poll reveals Ucits hedge fund fears
    "(...) Increasing use of the Ucits regime to distribute hedge funds is the “perverse outcome of messy regulations”, a prominent business school claims. A survey by the EDHEC-Risk Institute in Nice also reports widespread fear that structuring hedge funds as Ucits will distort strategies and diminish returns. Noel Amenc, the director of the Institute, says managers are concerned at uncertainties surrounding the Alternative Investment Fund Management (AIFM) directive and may migrate to the Ucits wrapper as a result. (...)"
    Copyright Fund Strategy [Full text]


  • Reuters (17/05/2010)
    Seeking less scrutiny, hedge funds flock to Asia
    (...) "Asia, and Singapore in particular, could definitely benefit from the stupid regulatory environment in Europe," said Lionel Martellini, director of France's EDHEC Risk and Asset Management Research Center. (...)
    Copyright Reuters [Full text]


  • Risk magazine (May 2010)
    A dynamic model for leveraged funds
    "(...) Leveraged investment products have become a widely used asset class in both the derivatives market and the exchange-traded fund (ETF) market (see EDHEC, 2009). (...) It is interesting to note that the mathematical description of a leveraged trading strategy can be modified to describe a (leveraged) short fund strategy, which has also become increasingly popular in the ETF market (see EDHEC, 2009). (...)"
    Copyright Risk magazine [Full text - Registration required]


    La Tribune (17/05/2010)  
    Les fonds alternatifs Ucits ne sont qu'une offre complémentaire aux hedge funds
    "(...) Ensuite, « parce qu'aujourd'hui le cadre Ucits est le seul outil juridique permettant d'assurer une distribution paneuropéenne auprès des particuliers, indique Noël Amenc, directeur de l'EDHEC-Risk Institute. Par ailleurs, cela permet à de nombreux institutionnels d'investir sans restriction dans la gestion alternative ». (...) « L'Ucitisation des hedge funds aura donc certainement une influence sur la future réglementation européenne sur les rôles et responsabilités du dépositaire », conclut Noël Amenc. (...)"
    Copyright La Tribune [Full text - French - Registration required]


  • Ignites Europe (14/05/2010)
    Inst'l investors ask for Newcits launches: survey
    "(...) The findings come as the European Parliament tries to come to a compromise on the controversial alternative investment fund managers (AIFM) directive. The EDHEC Risk Institute survey says current uncertainty over AIFM is one factor behind the growth of so-called Newcits. "The use of Ucits to distribute hedge funds is the perverse outcome of a messy set of regulations," EDHEC says. Fifty per cent of insurance companies interrogated by EDHEC say they want their managers to turn to the Ucits regime. Another 12.5 per cent say that they "somewhat" envisage asking promoters to restructure their hedge fund strategies. (...) Samuel Sender, research manager at EDHEC Risk, adds: “The regulatory backdrop is pushing the demand for Ucits. This was not the original intention. “Packaging hedge funds into Ucits does not entirely respond to that demand and there may be issues with performance and distribution.” (...) The EDHEC Risk group interviewed 437 Ucits and alternative asset managers, representing €7 trillion of assets. Service providers and investors were also surveyed. Ninety-two per cent of all those surveyed said they saw a trend towards packaging hedge fund strategies as Ucits products. (...)"
    Copyright Ignites Europe (a Financial Times service) [Full text - Registration required]


  • L'Agefi (14/05/2010)  
    Newcits : l'EDHEC préconise des règles claires
    "(...) Parmi les suggestions de l'EDHEC, dans le cadre de la chaire de recherche Caceis sur les risques non financiers des fonds d'investissement, figure une amélioration de la réglementation sur les fonds ainsi qu'un certain nombre d'incitations. Par exemple, il conviendrait d'inciter à investir dans des actifs illiquides au travers de fonds fermés régulés avec un horizon fixé. Il serait également possible d'inciter à l'adoption de la directive AIFM en modifiant les règles prudentielles applicables aux investisseurs institutionnels européen, en particulier les assureurs, qui devraient être autorisés à investir directement dans des fonds conformés à la directive AIFM. (...)"
    Copyright L'Agefi [Full text - French]


  • Citywire (12/05/2010)
    Survey reveals Newcits concerns
    "(...) A leading risk European assessment institute has revealed its latest survey shows a majority of fund managers believe hedge funds using the Ucits format will see their strategies distorted and potential returns reduced. The EDHEC Risk Survey, carried out as part of the CACEIS research chair, revealed that of the 437 fund managers questioned, 69% believed the "liquidity of hedge fund strategies will disappear and that performance will fall" when hedge fund strategies are structured as Newcits. (...)"
    Copyright Citywire [Full text]


  • The Hedgefund Journal (12/05/2010)
    Results of EDHEC-Risk's UCITS survey
    "(...) As part of the CACEIS research chair on non-financial risks in investment funds, EDHEC-Risk Institute has surveyed UCITS and alternative asset managers, their service providers, external observers, and investors for their views of structuring hedge fund strategies as UCITS. The 437 respondents report assets under management of more than €13 trillion. (...)"
    Copyright The Hedgefund Journal [Full text]


  • Les Echos (10/05/2010)  
    Les fonds alternatifs réinventent leur modèle
    "(...) Un risque est que les hedge funds sous format Ucits (fonds coordonnés européens) enregistrent une baisse de leurs rendements et voient leurs stratégies dévoyées du fait des contraintes des fonds coordonnés, selon une enquête de l'EDHEC sponsorisée par Caceis. (...)"
    Copyright Les Echos [Full text - French - Registration required]


  • Hedgeweek (06/05/2010)
    Short sale ban did not ease downward pressure in financial markets
    "(...) The 2008 ban on short sales did not relieve the downward pressure on stock prices, according to a position paper by Abraham Lioui, professor of finance at EDHEC Business School. The study found that the ban leads to a considerable increase in the dispersion of investor opinions and this dispersion, in turn, leads to great increases in the volatility of stocks and indices. (...)"
    Copyright Hedgeweek [Full text]


  • The Asset (03/05/2010)
    EDHEC-Risk Institute opens Asia centre in Singapore
    "(...) Asia’s fast-growing asset and wealth management industries will soon get a boost from research by the EDHEC-Risk Institute, Europe’s leading research organization for investment and risk management. The EDHEC-Risk Institute, part of France’s century-old EDHEC Business School, has opened an office in Singapore to study and survey issues of particular relevance to institutional investors and asset managers in the Asia-Pacific region." (...)"
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  • AsianInvestor (03/05/2010)
    Get ready for the next blow-up
    "(...) Modern portfolio theory hasn't been static. Lionel Martinellini and Noël Amenc, finance professors at EDHEC Business School in Nice, France, note in a new paper that it's gone through paradigm shifts and that the credit crisis is ushering in a new one. (...) The crisis is moving the industry to a new paradigm, say the EDHEC professors, in which asset managers must incorporate risk management into their investment processes." (...)"
    Copyright AsianInvestor [www.asianinvestor.net]


  • CFO News (03/05/2010)
    Private equity – still down but not out
    Article by Dr Arjuna Sittampalam, Research Associate with EDHEC-Risk Institute and Editor, Investment Management Review
    "(...) Private equity is supposed to outperform its public counterpart, but the opposite was true for most of 2009. The best players continued nonetheless to demonstrate their entrepreneurial spirit." (...)"
    Copyright CFO News [Full text]


April 2010

  • Business Times (30/04/2010)
    Business research institute sets up office in S'pore
    "(...) EDHEC-Risk Institute, known for its "research for business" thrust, has set up an office in Singapore from which it aims to study issues central to investment and wealth management in Asia. The Singapore team will adapt existing research programmes for Asian needs. But it will also develop new programmes. One will look at inflation hedging solutions, and a second effort will look into asset/liability management techniques for sovereign wealth fund management. Noel Amenc, EDHEC-Risk Institute director, said: "These are exciting times to be in Asia ... We have recorded strong interest in our work in Asia and expect to see a surge in demand for high quality research and education from professional investment managers in Asia..." (...)"
    Copyright Business Times [Full text]


  • Global Pensions (29/04/2010)
    Indices in the spotlight
    "(...) Global Pensions gathered industry experts to discuss how the development of indices have evolved beyond market-cap weights to meet investors’ changing needs. (...) Lionel Martellini: "In terms of the major challenges that I have seen investors facing over the last few years, the main one is their inability to achieve smart spending on their risk budget. As painful as it is, pension funds are willing to move away from liability-hedging assets and invest in equity markets, only because they need to generate performance so as to alleviate the burden of contribution. What they hope to get in exchange for that very expensive risk budget is a fair access to some risk premium, which they do not get with cap-weighted stock indices." (...)"
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  • IPE Asia (29/04/2010)
    Deutsche supports Asia research into sovereign fund portfolios
    "(…) In search of an investment model that can be relevant to all sovereign funds, Deutsche Bank has endowed a three-year research chair in Singapore as part of a new Asian initiative by the French academic institution EDHEC. The project, which began in 2009, has been yielding a model that is not significantly different from liability-driven investment strategies used by pension funds in developed Western markets. Lionel Martellini, Scientific Director of the EDHEC Risk and Asset Management Research Centre, says sovereign funds may find a more optimal way to allocate assets and manage risk by working within an asset-liability management framework. (…)"
    Copyright IPE Asia [Full text - Registration required]


  • Pensions & Investments (29/04/2010)
    New collection of essays examines causes of economic meltdown
    "(...) Frank J. Fabozzi, professor in the practice of finance, Yale School of Management, and Sergio M. Focardi, professor of finance, EDHEC Business School, in an essay discuss the limits of quantitative economic analysis. "One should be aware of the objective limits of introducing mathematics in economics," they wrote, noting, "we do not yet have the conceptual and mathematical tools for understanding how economies and human societies at large self-organize. Developing this level of undertstanding will require conceptual breakthroughs ... thinkers will eventually rise to this challenge. (...)"
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  • Exchange Traded Funds Magazine (April 2010)
    Index Evolution
    "(...) “There is increasing evidence of big problems with cap weighted indices,” said Felix Goltz, head of applied research at the Nice-based EDHEC-Risk Institute. “They were initially designed by stock exchanges to measure where the market is and not meant as a tool for long-term investors.” (...) In January the EDHEC-Risk Institute teamed up with the FTSE Group to address these issues by launching a new index series. The approach selects stocks based on their risk premium, rather than the traditional method of market capitalisation. “Rational investors should be interested in finding out about reward relative to risk,” said Goltz. (...)"
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  • Global Investor Magazine (27/04/2010)
    In search of optimal risk management
    "(…) Funding ratio constraints have been criticised as counter-productive. Lionel Martellini assesses the cost of such regulatory short-termism" (…)"
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  • Agefi Luxembourg (April 2010)
    Considérations sur les hedge funds UCITS
    "(...) Tandis que la nouvelle directive AIFM (Alternative Investment Fund Managers), visant à introduire en Europe un cadre réglementaire harmonisé pour les fonds non UCITS, prend du temps à être finalisée, les acteurs de la gestion alternative reprennent en main leur développement en transformant certains de leurs fonds offshore en fonds UCITS III. Dans ce cadre, il nous a semblé intéressant de revenir sur ce sujet à travers la très récente étude de l’EDHEC, suite à l’enquête très large et significative qu’elle a réalisée auprès d’institutionnels actifs dans ce domaine. (...)"
    Copyright Agefi Luxembourg [Full text - French]


  • Financial Times (25/04/2010)
    Don't be fooled by SEC's short sales check
    Article by Abraham Lioui, professor of finance at EDHEC Business School
    "(...) In February, the Securities and Exchange Commission introduced a so-called circuit breaker that will ban short sales of stocks whose prices fell by more than 10 per cent on the previous day's closing. (...) The SEC appears unwilling to learn even from recent experiences (July/August and September/October 2008). (...) A recent position paper by EDHEC-Risk Institute describes the effects of the 2008 ban on short selling on the stocks subject to the ban as well as its effects on broad market indices. The main finding is that the ban led to a considerable increase in the dispersion of investor opinions and this dispersion, in turn, led to great increases in the volatility of stocks and indices. (...)"
    Copyright Financial Times [Full text]


    La Tribune (19/04/2010)  
    Le marché secondaire des fonds fermés doit s'organiser
    Entretien avec Noël Amenc, Professeur de Finance et Directeur de l'EDHEC-Risk Institute
    "(...) La crise a mis en lumière des différences entre la liquidité des fonds et celles des sous-jacents qui les composent, notamment pour des produits investis dans des stratégies ou classes d'actifs peu liquides. Avec comme conséquence, la difficulté d'une bonne gestion de l'actif et du passif que les fonds ouverts sont censés proposer. Dans un entretien accordé à La Tribune, Noël Amenc, directeur de l'EDHEC-Risk Institute, prône au contraire le développement des fonds fermés car les horizons de liquidation correspondent à ceux des actifs sur lesquels ils sont investis. (...)"
    Copyright La Tribune [Full text - French - Registration required]


  • Financial Times (18/04/2010)
    Tweaks to improve long-term savings plan
    Article by Noël Amenc, professor of finance at EDHEC Business School and director, EDHEC Risk Institute and Lionel Martellini, professor of finance at EDHEC Business School and scientific director, EDHEC Risk Institute
    "(...) Last month the European Fund and Asset Management Association released a “call for action from the asset management industry” on long-term savings and retail product distribution, (“Industry’s call to arms on savings gap”, FTfm, March 22). The main aim of this report is to enable European citizens to take personal charge of their pensions. The EDHEC Risk Institute feels that the compulsory individual long-term savings plan with opt-out clauses recommended by Efama constitutes an excellent proposal. However, there are also, in our view, three improvements that could be made. (...) The best incentive for developing long-term savings would be for pension funds to have a better risk/return trade-off thanks to the capacity of asset managers and investment professionals to manage pension scheme allocations and risks properly. (...)"
    Copyright Financial Times [Full text]


  • The Wall Street Journal Europe (12/04/2010)
    Back to the Drawing Board: Investors are having to rethink the foundations on which they build their portfolios
    "(…) Prof. Martellini, however, believes more complex models can offer investors a sound basis for portfolio construction. Last September, he and fellow EDHEC academics published a paper describing a new portfolio construction system, which Prof. Martellini contends will be a great improvement on modern portfolio theory. It relies on combining three investment principles already in use by large institutional investors and applying them to private client portfolios. Crucially, this approach has a different outcome for each individual investor, and therefore does not result in a plethora of virtually identical portfolios. Prof. Martellini says: "These three principles go beyond modern portfolio theory, and if they are implemented would make private investment portfolios behave much better." (…)"
    Copyright The Wall Street Journal Europe [Full text]


  • Funds Europe (April 2010)
    EDHEC Research: Are cap-weighted indices justified?
    Article by Felix Goltz, head of applied research at EDHEC-Risk Institute
    "(…) In this month’s article, we will determine whether theory predicts that the market portfolio will be efficient. The capital asset pricing model (CAPM) makes a range of assumptions that lead to the prediction of a mean-variance-efficient market portfolio at equilibrium. We review each of these assumptions and outline how the result of the efficient market portfolio changes when the assumption does not hold. We will see that the failure to hold any one of these assumptions may mean that theory does not predict an efficient market portfolio. It is then important to ask whether the assumptions are reasonable. (...)"
    Copyright Funds Europe [Full text - Registration required]


  • Indices (April 2010)  
    La croissance chinoise est-elle trop rapide?
    La chronique de François-Serge Lhabitant, Chief Investment Officer chez Kedge Capital Fund Management et Professeur de Finance, à l’EDHEC Business School
    "(...) On ne cesse de nous le répéter, la situation économique s’améliore dans l’ensemble du monde occidental. Une fois nos dettes remboursées, notre chômage résorbé, nos banques muselées et nos traders moins payés, nous devrions retrouver le chemin de la croissance et du bien-être. Soit, mais il existe pourtant un pays qui semble d’ores et déjà au nirvana – la Chine et sa croissance de 8,7% en 2009. L’Occident ne devrait-il pas s’en inspirer? (...)"
    Copyright L'Agefi Suisse [www.agefi.com]


  • Hedge Funds Review (April 2010)
    Beyond diversification: absolute return funds of ETFs
    Article by Noël Amenc, director, and Felix Goltz, head of applied research, at EDHEC-Risk Institute, and Adina Grigoriu, head of asset allocation, AM International Consulting.
    "(...) Combining equity ETFs and bond ETFs may, as a result of diversification, lead to risk reduction, but weighting stocks and bonds statically does not fully exploit the possibilities of risk management. So this article assesses the ways in which dynamic adjustments of exposure to a bond core (short maturity EuroMTS (the fixed-income electronic trading platform) ETF) and an equity satellite (equity ETF) can ensure that an absolute return fund reaches its objectives. (...)"
    Copyright Hedge Funds Review [Full text - Registration required]


  • L'Agefi Hebdo (08/04/2010)  
    Innovation financière; L'EDHEC élabore de nouveaux indices actions
    "(...) Après une gamme d’indices de gestion alternative, puis de benchmarks immobiliers, l’EDHEC vient de créer cinq indices actions dits « efficients ». Partant du principe que les indices boursiers, essentiellement capi-pondérés, sont par conséquent mal diversifiés et ne présentent pas le meilleur rapport rentabilité/risque (ratio de Sharpe), l’EDHEC a ainsi retravaillé cinq indices FTSE en revisitant les pondérations de chacun de leurs titres. Cette nouvelle méthodologie développée par l’équipe de chercheurs de l’EDHEC vise la construction d’indices « efficients » au sens où ceux-ci délivreraient sur longue période des ratios de Sharpe optimisés. Il s’agit notamment d’estimer la rentabilité des titres retenus à partir de leur risque passé. (...)"
    Copyright L'Agefi Hebdo [www.agefi.fr]


March 2010

  • Les Echos (29/03/2010)  
    Fonds à maturité: un produit pour la vie
    "(...) « La modification de l'allocation d'actifs des fonds à cycle de vie reste bien trop simpliste : elle ne tient pas compte de l'évolution des conditions de marché, ni de l'aversion pour le risque des individus. Ainsi, certains d'entre eux voudront à l'approche de la retraite s'assurer d'un montant minimal assuré alors que d'autres seront prêts à y renoncer en partie en échange de la possibilité de profiter de manière opportuniste des évolutions (rebonds ...) des marchés », explique Lionel Martellini directeur scientifique de l'EDHEC Risk and Asset Management Research Centre. Pour celui-ci, « les fonds à maturité restent une bonne réponse à la problématique des retraites » si tant est qu'ils intègrent deux nouveaux facteurs, l'aversion pour le risque de l'individu et les conditions de marché.(...)"
    Copyright Les Echos [Full text - French - Registration required]


  • Funds Europe (March 2010)
    EDHEC Research: Testing an old theory
    "(…) Felix Goltz and Véronique Le Sourd, of EDHEC, ask if cap-weighted stock market indices – which gave rise to indexation in the 1970s – can provide efficient risk-return portfolios. (...)"
    Copyright Funds Europe [Full text - Registration required]


  • Risk.net (March 2010)
    Isda: CDS speculation not to blame for Greek crisis
    "(...) This thesis was dismissed as spurious by the Nice-based EDHEC Risk Institute in a letter to European internal market commissioner Michel Barnier yesterday, which warned against any attempts to impose an “inapplicable or counterproductive” prohibition on naked CDS positions. (...)"
    Copyright Incisive Media Investments Limited [Full text]


  • Risk magazine (March 2010)
    Mitigating risk through the use of ETFs
    "(...) Amundi ETF has collaborated in a survey conducted by the Asset Management Research Center of the EDHEC-Risk Institute in order to provide research insights into ETFs and the ways they are used in core/satellite asset management. This survey shows clearly that ETFs are increasingly used by investors, mainly in the core segment, but also in the satellite component of their portfolios. (...)"
    Copyright Risk magazine [Full text - Registration required]


  • Business Week (15/03/2010)
    U.S. Working With EU to ‘Protect Public’ From Derivatives Risks
    "(...) Any ban on naked trades “would pose numerous problems and run up against legal and practical obstacles that would make it inapplicable or even counterproductive,” the Nice, France-based EDHEC-Risk Institute, said in an e-mailed statement yesterday. (...)"
    Copyright Business Week [Full text]


    La Tribune (15/03/2010)  
    CDS : une réglementation contre-productive
    Point de Vue : Noël Amenc, Professeur de finance, directeur de l'EDHEC-Risk Institute
    "(...) Alors que Nicolas Sarkozy et Gordon Brown se sont entretenus du projet d'interdire les ventes "nues" de CDS souverains, aujourd'hui accusés de porter une lourde part de responsabilité dans la crise grecque, et que le projet doit être abordé lors de l'Ecofin de mardi, le professeur de finance à l'EDHEC en décortique les nombreux obstacles juridiques et pratiques. Pour lui, assécher le marché des CDS souverains, c'est priver d'endettement les Etats. (...)"
    Copyright La Tribune [Full text - French]


  • Indices (March 2010)  
    Ces règles impératives à ne pas respecter
    La chronique de François-Serge Lhabitant, Chief Investment Officer chez Kedge Capital Fund Management et Professeur de Finance, à l’EDHEC Business School
    "(...) Le Traité de Maastricht (1992) et le Pacte de Stabilité (1997) sont souvent considérés comme les principaux actes fondateurs de l’Union Européenne. Ils contiennent en particulier les deux critères de convergences que doivent respecter les pays membres de l’Union économique et monétaire européenne, à savoir un déficit public annuel inférieur à 3% du PIB et une dette publique inférieure à 60% du PIB. Sans ces limites, un Etat membre de la zone euro pourrait en effet être tenté de s’endetter en profitant des faibles taux d’intérêt obtenus grâce au comportement vertueux des autres pays membres. A terme, bien évidemment, une telle attitude serait néfaste et conduirait à une hausse générale des taux et/ou à une faiblesse de l’euro. Les déficits publics se sont pourtant fortement creusés après la signature du traité de Maastricht. Avec plus de la moitié des Etats membres ne respectant pas les critères de convergence, difficile de faire régner l’ordre. (...)"
    Copyright L'Agefi Suisse [www.agefi.com]


  • Financial Times (14/03/2010)
    Take the risks you have control over
    Article by Bernd Scherer, Professor of Finance at EDHEC Business School
    "(...) Profits at asset management companies came under severe pressure from market risk during the financial crisis because of the market exposure built into asset management fee contracts. One interesting question this raises is whether asset managers should simply hedge those risks. (...)"
    Copyright Financial Times [Full text]


  • Le Monde (13/03/2010)  
    « Les Européens doivent agir au lieu de dénoncer la main invisible de la spéculation »
    Noël Amenc, professeur de finance à l'EDHEC, spécialiste des hedge funds, réagit.
    "(...) "Il faut distinguer plusieurs choses. Améliorer les règles de transparences sur ce marché et le centraliser en créant un grand livre, une chambre de compensation, où toutes les transactions seront enregistrées, est légitime et sans doute nécessaire. Mais vouloir interdire les « ventes à nu » de CDS, qui consistent à échanger ces contrats sans détenir la dette sous-jacente comme semble l'exiger l'Europe en dénonçant la spéculation est infaisable et contre-productif." (...)"
    Copyright Le Monde [Full text - French]


  • Hedge Funds Review (March 2010)
    Dynamic risk budgeting through the core-satellite approach
    Article by Noël Amenc and Felix Goltz
    "(...) A recent EDHEC-Risk Institute publication on risk control through dynamic core-satellite portfolios of exchange traded funds (ETFs) supported by Amundi reviewed a risk management method based on the dynamic core-satellite approach that we apply to the management of portfolios of ETFs. (...)"
    Copyright Hedge Funds Review [Full text - Registration required]


  • bfinance (05/03/2010)
    EDHEC prescribes risk control using dynamic core-satellite approach
    "(...) A new study by EDHEC shows that dynamic core-satellite strategies offer attractive risk/return tradeoffs with a focus on controlling risk. The analysis describes a dynamic risk management technique that makes it possible to provide relatively smooth returns with limited risk. (...)"
    Copyright bfinance [Full text]


  • Financial Times (02/03/2010)
    GAM Holdings
    "(...) The sector-wide rebound in assets, though, is more a result of the market recovery than investor optimism. In a year when the FTSE 100 and S&P 500 both gained almost one-fifth, it was hard to lose. Apart from misguided short-sellers, the average hedge fund trading strategy yielded 20 per cent, according to the EDHEC-Risk Institute. (...)"
    Copyright Financial Times [Full text]


February 2010

  • Pensions & Investments (22/02/2010)
    Short-sale ban made matters worse in crisis
    "(...) The ban on short selling financial stocks, implemented after the collapse of Lehman Brothers Holdings Inc. in September 2008, caused more volatility in global stock markets than the financial crisis itself, said Abraham Lioui, a professor of finance at EDHEC Risk and Asset Management Research Centre, Nice, France. He presented his paper, “The undesirable effects of banning short sales” at the EDHEC-Risk Alternative Investment Days conference in London on Feb. 8. (...)"
    Copyright Pensions & Investments [Full text - Registration required]


  • Structured Products Magazine (February 2010)
    FTSE and Standard & Poor's deploy risk controls
    "(…) The FTSE EDHEC-Risk Efficient Index Series uses the Sharpe Ratio - which measures the reward per unit of risk of an investment to optimise risk-reward efficiency. It does this by ensuring an index is not weighted too heavily towards a particular sector. The initial launch comprises indexes for developed Asia-Pacific ex-Japan, Eurobloc, Japan, UK and USA, all based on the constituents of the corresponding FTSE All World Index Series. (...)"
    Copyright Structured Products Magazine [Full text - Registration required]


    La Tribune (22/02/2010)  
    « La protection de la planète doit aussi être une bonne affaire financière »
    Entretien avec Noël Amenc, directeur de l'EDHEC-Risk Institute
    "(...) Le professeur de finance estime qu'il faut rendre plus objectifs et plus transparents les critères de décision et d'évaluation des risques et de la performance de l'investissement durable. (...)"
    Copyright La Tribune [Full text - French - Registration required]


  • Funds Europe (16/02/2010)
    Research: EDHEC's call to reaction
    "(…) The EDHEC-Risk Institute surveyed pension funds to see how regulation impacts asset/liability matching and the reasons for pension underfunding. Samuel Sender reports on the findings. (...)"
    Copyright Funds Europe [Full text]


  • Indices (February 2010)  
    Marchés émergents: des briques aux cochons
    La chronique de François-Serge Lhabitant, Chief Investment Officer chez Kedge Capital Fund Management et Professeur de Finance, à l’EDHEC Business School
    "(...) La finance est un monde qui adore les acronymes et les symboles. Nous sommes probablement déjà tous familiers avec le taureau (bull) et l’ours (bear), utilisés pour représenter des marchés haussiers et baissiers. (...) Plus récemment, les investisseurs ont adopté l’image d’une brique (BRIC) pour désigner un groupe de pays émergents constitué par le Brésil, la Russie, l’Inde, et la Chine. Une brique évoque en effet quelque chose de solide et construit pour durer. (...) Depuis, la crise est passée par là et le dernier acronyme à la mode dans le monde anglo-saxon semble être celui nettement moins élogieux des cochons (PIGS). Il désigne les quatre pays de l’Union Européenne qui alarment les économistes, à savoir le Portugal, l’Irlande, la Grèce et l’Espagne (Spain). (...)"
    Copyright L'Agefi Suisse [www.agefi.com]


  • Funds Europe (16/02/2010)
    Transaction Costs: the price is right - or is it?
    "(…) But Jean-René Giraud, director of development of the EDHEC Risk and Asset Management Research Centre, believes that the non-specific guidelines set out by MiFID has led to a certain inertia regarding TCA. He says: “The way the best execution obligation is defined is a clear regulatory hole. It’s in the middle of nowhere, between an obligation of means and obligation of result. It mixes a number of different criteria and factors and everyone can therefore measure things the way they want. In the end, no-one is doing anything that can be considered as relevant, comparable and objective.” (...)"
    Copyright Funds Europe [Full text]


  • Financial News (15/02/2010)
    French academics get to grips with alternatives risk
    "(...) Ever since the scale and speed of 2008’s financial meltdown wrong-footed most of the investment industry, it has become received wisdom that fund managers’ tools for gauging risk are not up to scratch. But developing new ones is proving difficult, particularly with alternative investments. Lionel Martellini, a professor of finance at French business school EDHEC, thinks it can be done. His work, due to be published in the Review of Financial Studies, an academic journal, focuses on ways to modify “value at risk”. This is the traditional centrepiece of most investment risk analysis, universally referred to as VaR. Like a lot of investment risk analysis, Martellini’s work, sponsored by Société Générale’s Newedge Prime Brokerage, is highly technical. (...)"
    Copyright Financial News [Full text - Registration required]


  • Le Temps (15/02/2010)  
    Le principe de budgétisation du risque
    "(...) Comme Lionel Martelini, professeur de finance à l’EDHEC l’a récemment rappelé, l’industrie financière, au sens large du terme, justifie son apport, en termes de valeur ajoutée, par sa capacité à trouver des solutions en termes d’investissement qui viennent satisfaire un besoin d’un investisseur, privé ou institutionnel. Or, jusqu’il y a peu encore, cette industrie focalisait ses recherches dans la sélection de vecteurs d’investissement (i.e actions ou obligations) comme unique source de plus-value significative en termes de gestion de portefeuille. Cependant, les récentes crises survenues sur les marchés financiers sont venues faire évoluer ce paradigme de gestion. (...)"
    Copyright Le Temps [Full text]


  • Investors Offshore (15/02/2010)
    Lords Criticize EU Hedge Fund Directive
    "(...) There would appear to be a growing consensus within the UK investment community - which potentially has the most to lose from a badly-drafted alternative investment directive - that the regulations in their current state pose a risk on several fronts. Speaking at the EDHEC Risk Summit on February 8, Dan Waters, sector leader for asset management at the FSA, warned that "significant risks" still exist in the draft directive. "It could still go badly wrong in some important areas," he said. (...)"
    Copyright Investors Offshore [Full text]


  • Hedge Funds Review (February 2010)
    Tactical allocation in commodity futures
    "(...) A recent working paper from EDHEC-Risk Institute and Cass Business School digs deeper into the tactical opportunities of commodity futures by introducing an active double-sort strategy that combines momentum and term structure signals. This novel strategy aims at consistently buying the backwardated winners whose prices are expected to appreciate, and shorting the contangoed losers whose prices are expected to depreciate. (...)"
    Copyright Hedge Funds Review [Full text - Registration required]


  • Financial News (10/02/2010)
    News Analysis: Too many shades of green
    "(...) Do green-themed funds, or other socially-aware and ethical investments, add value or destroy it? Not only do we not know the answer, but we will never know it until the investment industry agrees a common approach to evaluation, according to the French business school EDHEC. (...)"
    Copyright Financial News [Full text - Registration required]


  • Wealth Bulletin (09/02/2010)
    EC refuses to budge on hedge fund directive
    "(...) Christopher Becher, a policy officer at the EC, speaking at a conference organised by French business school EDHEC, said the EC was standing by the rules it had proposed on marketing, referred to as the rules on passports. (...) Others at the EDHEC conference said that, no matter how sound the principal might be in an ideal world, applying it would be disastrous. (...)"
    Copyright Wealth Bulletin [Full text]


  • Ignites Europe (09/02/2010)
    Brussels stands firm on AIFM directive
    "(...) Each of the last two countries to have held the EU presidency – Sweden and Spain – want to see the passport proposal removed, as does the European Parliament. But speaking to a conference organised by French business school EDHEC, Christopher Becher, a policy officer at the Commission, said there would be no backing down. He said the Commission would “continue to push for these passports”, adding that it was simply a question of ensuring a level playing field by not discriminating against EU managers, reports Financial News. Other conference participants were quick to criticise Mr Becher. According to Ana Haurie, CEO of hedge fund marketing firm Dexxion Capital, the equivalence test is “quite unmanageable”. She described the directive as “dreadful”, and said it should be “started again from scratch”. Dan Waters, asset management sector leader at UK regulator the FSA, said the directive in its current guise would have a “really catastrophic outcome”. The amount of change required to the proposals should not be underestimated, he insists. (...)"
    Copyright Ignites Europe (a Financial Times service) [Full text - Registration required]


  • The Guardian (08/02/2010)
    FSA warns against heavy-handed EU regulation of hedge funds
    "(...) Dan Waters, sector leader for asset management at the FSA, said at the EDHEC-Risk Summit: "I would not underestimate the significant risks that still exist in this draft directive. It could still go badly wrong in some important areas."(...)"
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  • Reuters (08/02/2010)
    EU hedge fund regulation plans still risky: UK FSA
    (...) "EU plans for regulating the hedge fund industry still carry "significant risks," warned Britain's Financial Services Authority (FSA), even though many of the stricter rules have been toned down. "I would not underestimate the significant risks that still exist in this draft directive. It could still go badly wrong in some important areas," Dan Waters, sector leader for asset management at the FSA, said at the EDHEC-Risk Summit on Monday. (...)
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  • Ignites Europe (04/02/2010)
    Invesco PowerShares launches three Italy ETFs
    "(...) The news comes just a few weeks after Noël Amenc, the director of EDHEC’s Risk Institute, called on asset managers to be more careful when selecting benchmarks for their products. He described cap-weighted indices as "no longer valid", adding that they cause investors to pile into stocks that create speculative bubbles. (...)"
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  • Financial News (01/02/2010)
    VaR measure can mask toxic positions
    "(...) Although Ucits funds tend to be thought of as plain vanilla strategies, fund managers can take an advanced risk management approach to measuring the risk in a portfolio that can allow some potentially quite toxic positions to be included. Research last week from the EDHEC-Risk Institute in Paris suggested that more than 80% of the hedge funds following every strategy are already able to meet the risk requirements for Ucits. (...)"
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January 2010

  • IPE Asia (29/01/2010)
    Asset Allocation: Don’t try to be too smart
    "(…) That is the advice of French research institute EDHEC, as it increases its activity in the Asian region. Lionel Martellini, professor of finance and scientific director of the EDHEC Risk Institute, explains the group’s attempts to develop an alternative to traditional index benchmarking. Martellini suggests that while traditional equity market indices provide a useful benchmark and a recognised industry standard, their use might actually result in inefficient portfolios. (…)"
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  • Global Custodian (January 2010)
    UCITS: Are custodians depositories or insurers?
    "(...) The abundant confusion that surrounds the role of depositories within UCITS has not been helped by the AIFM Directive, as pointed out earlier by the Association of Global Custodians. In a response to the Directive, EDHEC Business School stated: "The regulations that apply to the depositary may need to undergo total reworking rather than mere modification." The response highlights a number of factors that are left unanswered by the Directive, perhaps most importantly the notion that "it is possible to he held liable only for what is under one's control." (...)"
    Copyright Global Custodian [www.globalcustodian.com]


  • Investment Week (26/01/2010)
    Risk-adjusted indices created by FTSE / EDHEC
    "(...) EDHEC-Risk Institute director Noël Amenc says: "Overall, traditional commercial capitalisation-weighted indices are not designed to be at the pinnacle of efficiency or provide well-diversified portfolios, as they principally track the market." Consequently EDHEC has conducted research to create this methodology, which minimises excessive risk concentration while enabling investors to benefit from the maximum Sharpe ratio portfolio. Amenc adds this method is based on the concept of a positive and robust long-term relationship between the risk of a stock and its return. (...)"
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  • Fund Strategy (25/01/2010)
    Measuring up: Stockmarket indices as benchmarks
    "(...) The EDHEC-Risk Institute, an asset and risk management research specialist, was commissioned by Af2i to look at how appropriate stockmarket indices are for use as benchmarks. (...) One of its conclusions is that the existing stockmarket indices are highly inefficient compared with mean variance optimal portfolios, and that the indices lie below the efficient frontier. Interestingly, it notes, even a simple weighting method such as equal weighting of the component stocks leads to more efficient portfolios than the traditional capitalisation-weighted indices.(...)"
    Copyright Fund Strategy [www.fundstrategy.co.uk]


  • La Tribune (25/01/2010)  
    Interview avec Noël Amenc, Professeur de Finance, Directeur de l'EDHEC-Risk Institute
    « La directive européenne UCITS peut pénaliser la performance des hedge funds »
    "(...) Noël Amenc commente l’enveloppe réglementaire sur les fonds et SICAV, l'évolution de l'offre de produits alternatifs en Europe et leurs conséquences, notamment en termes de protection de l'épargnant. (...)"
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  • Fund Strategy (25/01/2010)
    Rule of thumb
    "(...) The benchmarking area has seen some innovations. This month EDHEC-Risk Institute, an asset and risk management research firm, launched a range of risk-efficient indices in conjunction with the FTSE. The FTSE EDHEC-Risk Efficient Indices use a risk-adjusted strategy to provide investors with an optimal risk/return ratio. The series, says EDHEC-Risk, can be used to capture equity market returns with improved risk/reward efficiency. This efficiency is achieved by maximising the Sharpe ratio and weighting the constituents of the indices accordingly. This enhanced methodology, combined with a constituent base deriving from the FTSE All World index series, aims to allow investors to develop new passive investment strategies. (...)"
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  • Financial Times (24/01/2010)
    Questions linger over Ucits hedge offerings
    Article by Noël Amenc, professor of finance and director at EDHEC-Risk Institute, and Samuel Sender, senior researcher
    "(...) As part of a recent study, supported by Caceis, EDHEC-Risk canvassed managers of Ucits and alternative assets, their service providers, external observers such as regulators and trade bodies, as well as buyers of funds, for their views on the structuring of hedge fund strategies as Ucits. More than 400 (428) professionals, representing assets under management of around €13,000bn (£11,300bn, $18,270bn), responded to the survey. (...)"
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  • Financial Times (20/01/2010)
    Arbitrage boosts hedge funds
    "(...) Hedge funds that looked to arbitrage anomalies between convertible bonds and the prices of the related shares were the best-performing sector of the industry last year, returning almost 47 per cent. That compares with an average annual return of 6.5 per cent, according to the EDHEC-Risk Institute, which compiles the data. (...)"
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  • Euromoney Institutional Investor (20/01/2010)
    FTSE, EDHEC-RISK Launch New Indices
    "(...) The FTSE Group and EDHEC-Risk Institute, an institute for applied asset and risk management research, have launched new risk efficient indices, FTSE Group reports. The FTSE EDHEC-Risk Efficient Indices use a risk adjusted investment strategy to deliver investors with an optimal risk to return ratio. (...)"
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  • Hedge Funds Review (19/01/2010)
    EDHEC indexes end 2009 in positive territory
    "(...) The majority of hedge fund strategies monitored by EDHEC’s alternative indexes ended 2009 with positive returns. Only short selling and global CTA posted negative returns for the year. (...)"
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  • Exchange Traded Funds Magazine (19/01/2010)
    FTSE and EDHEC create risk adjusted indices
    "(...) FTSE Group and the EDHEC-Risk Institute have collaborated to create a range of risk adjusted indices, providing an alternative to traditional market capitalisation-weighted index ranges. The FTSE EDHEC-Risk Efficient Index Series, available to investors globally, is designed to capture equity market returns with an enhanced risk-return ratio. (...)"
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  • Pensions & Investments (18/01/2010)
    FTSE, EDHEC create indexes based on Sharpe ratios
    "(...) FTSE Group and EDHEC-Risk Institute launched a series of equity indexes today that rely on Sharpe ratios to provide optimal risk-return performance, confirmed FTSE spokeswoman Mittal Shah. The FTSE EDHEC-Risk Efficent Index Series aims "to improve the risk-reward efficiency" over traditional indexes weighted by market capitalisation... (...)"
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  • Benefits Canada (18/01/2010)
    FTSE, EDHEC-Risk Institute introduce risk efficient indices
    "(...) FTSE Group and EDHEC-Risk Institute have launched an index series which uses a risk adjusted investment strategy to deliver investors with an optimal risk/return ratio. The FTSE EDHEC-Risk Efficient Index Series can be used to capture equity market returns with improved risk/reward efficiency. According to FTSE, this is achieved by maximizing the Sharpe ratio and weighting the constituents of the indices accordingly. (...)"
    Copyright Benefits Canada [Full text]


  • Plan Sponsor (Asset International) (18/01/2010)
    "Risk Efficient" Index Series Debuts
    "(...) Index provider FTSE Group and the EDHEC-Risk Institute have launched a new set of “risk efficient” indexes. According to a press release, the FTSE EDHEC-Risk Efficient Indices are an index series which uses a risk adjusted investment strategy to that of traditional market capitalization-weighted indices, to deliver investors with an optimal risk: return ratio. (...)"
    Copyright Plan Sponsor (Asset International) [Full text]


  • Exchange Traded Funds (18/01/2010)
    FTSE Group and EDHEC-Risk Institute collaborate to create innovative benchmarking with new risk efficient indices
    "(...) Mark Makepeace, Chief Executive FTSE Group said: “Increasingly, investors are looking to diversify their core passive funds across a range of benchmarks weighted by market cap and other weighting schemes. The weighting methodology developed by the EDHEC-Risk Institute provides a robust and transparent approach to constructing a benchmark seeking to achieve an efficient risk return.” (...)"
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  • Funds Europe (December 2009/January 2010)
    Towards a more client-centred approach to private wealth management
    Article by Professor Lionel Martellini, PhD, scientific director, EDHEC-Risk Institute
    "(…) The client’s specific objectives, constraints, and associated risk factors are simply not taken into account in the design of the optimal allocation. (...) Satisfaction of the investor’s long-term objectives is fundamentally dependent on an ALM exercise. What will prove decisive is the ability to design an asset allocation programme that depends on the particular risks to which the investor is exposed. (...)"
    Copyright Funds Europe [Full text]


  • The Hedgefund Journal (18/01/2010)
    FTSE EDHEC-Risk Efficient Indices is launched
    "(...) Professor Noël Amenc, Director of EDHEC-Risk Institute, said: “Overall, traditional commercial capitalisation-weighted indices are not designed to be at the pinnacle of efficiency or provide well-diversified portfolios, as they principally track the market. EDHEC-Risk Institute has therefore undertaken major research in a methodology that minimises excessive concentration of risk and affords investors the ability to benefit from the maximum Sharpe ratio portfolio.” (...)"
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  • Hedge Funds Review (18/01/2010)
    FTSE and EDHEC launch index series
    "(...) FTSE Group and EDHEC-Risk Institute, a centre for applied asset and risk management research, have launched the FTSE EDHEC-Risk Efficient Indices. The index series uses a risk-adjusted strategy similar to traditional market capitalisation-weighted indexes to deliver an optimal risk/return ratio. (...)"
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  • IndiaInfoline (18/01/2010)
    FTSE Group and EDHEC-Risk Institute launches FTSE EDHEC-Risk efficient indices
    "(...) These indices serve a different purpose to traditional market capitalisation-weighted indices which are created to track the performance of the market, using an advanced methodology to achieve efficient risk to return. (...)"
    Copyright www.indiainfoline.com [Full text]


  • IndexUniverse (18/01/2010)
    FTSE, EDHEC Collaborate On Index Launch
    "(...) Index provider FTSE Group and the EDHEC-Risk Institute are collaborating to launch a new index series. The FTSE EDHEC-Risk efficient index series will take as its base the FTSE All World equity indices. Index constituents will be weighted by their Sharpe ratio rather than by the traditional method of market capitalisation. (...)"
    Copyright IndexUniverse [Full text]


  • Financial Times (17/01/2010)
    Market cap indices face new rivals
    "(...) As a result a number of alternative approaches have emerged in recent years, such as fundamental indices – in which stocks are weighted by metrics such as book value, dividends and sales – and minimum variance, in which portfolios are designed to reduce volatility. FTSE will expand this range today by launching a family of Risk Efficient indices, designed in conjunction with France’s EDHEC-Risk Institute, which aims to deliver the highest Sharpe ratio, a measure of risk-adjusted return. (...)"
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  • Hedgeweek (17/01/2010)
    EDHEC-Risk offers Executive MSc in Risk and Investment Management
    "(...) EDHEC-Risk Institute is offering an Executive MSc in Risk and Investment Management for experienced practitioners. Its curriculum builds on the results of a survey of 229 financial institutions, which identified major inefficiencies in the organisation of risk and investment management as well as at each step of the investment process. It delves into advanced asset allocation and risk management techniques and develops a dynamic risk budgeting framework allowing for the respect of hard downside risk constraints. (...)"
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  • Hedge Funds Review (January 2010)
    Taking an asset-liability management approach to private wealth management
    Article by Lionel Martellini, professor of finance, EDHEC Business School, and scientific director, EDHEC-Risk Institute
    "(...) While the private banking industry is in general relatively well equipped on the tax planning side, with tools that can allow private bankers to analyse the situation of high net worth individuals operating offshore or in multiple tax jurisdictions, the software packages used on the financial simulation side often suffer from significant limitations and cannot satisfy the needs of a sophisticated clientele. (...)"
    Copyright Hedge Funds Review [www.hedgefundsreview.com]


  • Le Temps (15/01/2010)  
    En réponse à la crise, les cursus des masters en finance se réorganisent
    "(...) En France, l’EDHEC-Risk Institute, le centre de recherche appliquée de l’école de commerce EDHEC, vient de lancer la campagne de promotion de son nouveau master exécutif en gestion d’actifs et gestion du risque (Executive MSc in Risk and Investment Management). La formation se déroulera à temps partiel, sur dix-sept mois, elle sera donnée à choix en Europe, à Londres et à Nice, ou en Asie, à Singapour. (...) Les questions liées à la gestion des risques sont au coeur du programme et sont prises en compte à chaque étape de la construction et de la gestion du portefeuille. (...)"
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  • Futures Magazine (January 2010)
    Speculative position limits: How hard will they be?
    "(...) The EDHEC Risk Institute study “Has There Been Excessive Speculation in the U.S. Oil Futures Market?,” written by Hilary Till and released in November, indicates that there was not. Till uses Holbrook Working’s Speculative T-Index to examine whether outright positioning by speculators and index investors may have been excessive relative to hedging. (...)"
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  • Ignites Europe (12/01/2010)
    Benchmark selection overlooked, says EDHEC
    "(...) Asset managers and investors too often overlook the selection and assessment of benchmark indices, according to EDHEC’s Noël Amenc. So reports Les Echos. The director of EDHEC’s Risk Institute says selecting a benchmark index plays a “major role in investment risk and performance”. He believes, however, that asset management firms tend to neglect that stage in the process because investors and their advisers do not spend enough time evaluating the benchmark when deciding to which manager their money should be entrusted. Mr Amenc feels investors need to devote more time to analysing benchmarks, particularly given the sharp rise in passive management, where these indices reflect more precisely the asset allocation of a particular fund. (...)"
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  • Les Echos (11/01/2010)  
    « L'évaluation des indices est trop négligée dans les appels d'offres au profit du choix du gérant »
    Interview de Noël Amenc, Directeur de l'EDHEC-Risk Institute
    "(...) Les indices de référence utilisés par les gérants connaissent une vague d'innovation importante depuis deux ou trois ans. Des « benchmarks » intelligents sont apparus, qui viennent notamment corriger les nombreux inconvénients induits par les indices boursiers pondérés par les capitalisations boursières, encore largemment prédominants. Mieux gérer peut passer aussi par une attention particulière apportée au choix des indices de référence, explique Noël Amenc, directeur de l'EDHEC-Risk Institute. (...)"
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  • Ignites Europe (08/01/2010)
    Demand for manager education up 40-70%
    "(...) Signs that demand for manager training is on the rise come as findings from an EDHEC Risk Institute survey highlight a strong desire for more asset management qualifications. According to results from its survey of 229 financial institutions, 86 per cent of respondents said that education was required to raise standards in the industry. The Risk Institute’s survey also uncovered that although investment professionals felt they were aware of research advances in the industry, only a minority actually used these advanced techniques. More often than not, the survey found, these were inconsistent with sound risk and investment management. In the run-up to Christmas, the EDHEC Risk Institute announced the launch of its Executive MSc in Risk and Investment Management. The course will be offered from January 2011 in Europe, from London and Nice, and Asia, from Singapore. Noël Amenc, director of the EDHEC Risk Institute, says the qualification “will help the investment profession bridge the gap between research advances and industry practices”. (...)"
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    Hedgeweek (07/01/2010)
    EDHEC-Risk re-brands risk and asset management research centre
    "(...) EDHEC-Risk Institute, a centre for asset and risk management research, is changing the official name for the holding entity governing its entire range of activities to EDHEC-Risk Institute. Formerly called the EDHEC Risk and Asset Management Research Centre, EDHEC-Risk Institute was set up in 2001 to conduct academic research and highlight its applications to the industry. (...)"
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  • Indices (January 2010)  
    Les actions dissimulent leur prime de risque
    La chronique de François-Serge Lhabitant, Chief Investment Officer chez Kedge Capital Fund Management et Professeur de Finance, à l’EDHEC Business School
    "(...) Durant la dernière crise, on a assisté à un effondrement des cours de bourse et à une formidable chute des taux d’intérêt. Qu’en est-il de la prime de risque? D’après la méthode historique, elle serait en forte baisse suite à l’impact des pertes colossales de l’année 2008 et du début 2009. Mais d’après l’approche prospective, elle serait au contraire en forte hausse. Non seulement les cours boursiers ont baissé plus que les prévisions des analystes, mais en plus les investisseurs sont devenus plus averses au risque et réclameraient donc une prime plus importante pour se lancer sur les actions. Qui faut-il donc croire? (...)"
    Copyright L'Agefi Suisse [www.agefi.com]


  • The Hedgefund Journal (January 2010)
    US Oil Futures: Has there been excessive speculation in the markets?
    Interview, Hilary Till, Research Associate, EDHEC-Risk Institute
    "(...) Hilary Till, research associate with the EDHEC-Risk Institute, discusses the latest EDHEC-Risk position paper on the issue of whether there is excessive speculation in the US oil futures markets, the transparency of global oil markets and changes in the commodities markets. In this interview, she also discusses how her research on the oil derivatives markets could have broader applicability within over-the-counter financial derivatives markets. (...)"
    Copyright The Hedgefund Journal [Full text]