Edhec-Risk
Features
Performance - March 18, 2008

IPE-EDHEC Institutional Asset Management Awards (IAMA)

EDHEC is jointly organising the IPE-EDHEC Institutional Asset Management Awards (IAMA) in 2008 with leading European institutional investment publication Investment & Pensions Europe (IPE). The awards will be presented to winning asset managers at a gala reception on June 12, 2008 in Paris on the occasion of the EDHEC Institutional Days, before an invited audience of investors, asset managers, investment banks, and other industry advisers and suppliers.

The aim of the IAMAs is to use state-of-the-art financial research to reward asset managers on an objective basis. For the first time Europe’s institutional asset management industry will have an awards programme based on objective and transparent criteria.

The IAMAs are the result of a quantitative evaluation of the quality of the institutional asset management offerings from investment management firms in Europe. This evaluation will take account not only of the performance of active portfolio management (alpha), but also of the relevance of the long-term allocation choices (beta) and the quality of risk management. The calculations for the IAMAs will be carried out by EuroPerformance, a member of Telekurs Financial.

Methodology

The idea behind the methodology for these awards is to use concepts for which there is a certain consensus among academics and practitioners. The goal is not necessarily to rely on the latest research but to apply a standard that is reasonably well understood and broadly accepted. In this way, the IAMAs improve on the ratings and methodologies habitually used in fund and investment awards, while remaining mainstream enough to be widely understood and accepted.

With regard to the presentation of the awards, the IPE-EDHEC Institutional Asset Management Awards have a self-imposed constraint which is that the methodology should be repeatable by those who receive (or do not receive) awards, so anybody with a reasonable degree of financial knowledge should be able to reproduce it.

The IPE-EDHEC Institutional Asset Management Awards therefore use public data rather than statistical artifacts such as principal component analysis. Although the latter could be useful, the factors would not be readily observable. The IPE-EDHEC Institutional Asset Management Awards, in short, wish to allow outsiders to check the results by reproducing them. In this context, and for the sake of robustness, the IPE-EDHEC Institutional Asset Management Awards favour economic analysis over statistical analysis.

The IAMAs will reward the best active investment management offerings from European asset management firms. The funds will broadly come under two categories:

  • Benchmarked investment management, through which the manager adds value by beating the benchmark (producing alpha). Equity and fixed-income funds will be included in this category.
  • Investment that is not benchmarked or uses dynamic allocation, whereby the allocation represents the added value and which is not evaluated by the alpha but by an indicator that is appropriate for the management goal, namely return/VaR. Balanced and absolute return funds will be included in this category.

In order to ensure that the competing asset management companies are sufficiently representative to be included in pan-European awards, the following management rules have been implemented:

  • the asset management firm must operate in at least three European countries;
  • each of the funds ranked in the award category should have institutional assets under management of at least 150 million euros.

Governance

To oversee the corroboration of the rules and methodology of the awards, EDHEC and IPE have formed an advisory committee consisting of 12 key representatives from Europe’s institutional investment community.

On the basis of a methodology drawn up by EDHEC, the committee notably had the role of validating the relevance and usefulness of the calculations proposed for institutional investors. The committee has defined the rules for the prizes, in particular by validating the categories that are representative of the main asset management offerings and correspond to institutional investors’ manager selection and/or allocation practices.

Members of the International Advisory Committee for the IPE-EDHEC Institutional Asset Management Awards (IAMAs) as of March 20, 2008:

  • Eric Breval, Director AVS Compensation Fund (Switzerland)

  • Riccardo Gandini, Director of Investments, Inarcassa (Italy)

  • Jean-Pierre Grimaud, Chief Investment Officer, Swiss Life (France) and President, French Association of Institutional Investors

  • Theo Jeurissen, Director, Investments, PMT (Netherlands)

  • Peter Moon, Chief Investment Officer, Universities Superannuation Scheme (United Kingdom)

  • Paola Muratorio, President, Inarcassa (Italy)

  • Risto Murto, Chief Investment Officer, Varma Mutual (Finland)

  • Lars Rohde, Chief Executive Officer, ATP (Denmark)

  • Günther Schiendl, Chief Investment Officer, VBV-Pensionskasse (Austria)

  • Michael J. Somers, Chief Executive Officer, National Treasury Management Agency (Ireland)

  • Tom Steenkamp, CIO of Allocation and Research and Member of the Board, ABP Investments (Netherlands)

  • Erik Valtonen, Chief Investment Officer, AP3 (Sweden)


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http://www.edhec-risk.com/features/RISKArticle.2008-03-18.4109

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