EDHEC-Risk Newsletter
December 15, 2017 Asset Management Research
 
 
Events
 
Books


EDITORIAL

Index Transparency – a Survey Between August and November 2013, EDHEC-Risk Institute surveyed institutional end-investors across Europe on their perceptions and expectations with respect to the governance and transparency of indices. The survey’s 109 respondents include Europe’s largest pension and reserve funds, insurance and provident institutions and their asset management subsidiaries. Hailing from 20 countries and dependencies, respondents collectively provide protection to hundreds of millions of scheme participants and clients in Europe and beyond. More...


INDUSTRY ANALYSIS

Alphas and the Choice of Rate of Return in Regressions Alpha has had a remarkably long run as the Holy Grail of investment. Many investment managers claim to have alpha, and all desire it. A top investment web site is called Seeking Alpha. The Financial Times’s daily news commentary on financial markets is named Alphaville. Journalist Sebastian Mallaby, in his 2010 paean to hedge funds, “More Money Than God,” rests his case for the superiority of hedge funds in general on one academic study’s conclusion that although the average hedge fund trailed the S&P 500, it earned three percentage points of alpha. The persistence of the impression that small company stocks are superior to large company stocks is due chiefly to a finding of positive small-cap stock alpha in a 30-year-old paper. It is no coincidence that “alpha” is to investment machismo what “alpha male” is to manhood. Yet arguments for the value of alpha are tenuous. More...

Mutual and Hedge Fund Industries in Marketing Conflict US hedge funds have been allowed a new freedom to market themselves to the public at large, against the intense opposition of the mutual fund industry. Even top hedge funds are not enthusiastic. The Jumpstart Our Business Start-ups Act, signed in 2012, made it easy for small fledging companies to be more accessible to investors. It was widely believed at the time that the act was not intended to give hedge funds greater freedom, as opposed to facilitating wider industry start-ups. But in fact it did so. More...


FEATURES

The EDHEC European ETF Survey 2013 The latest edition of the European ETF Survey has been conducted as part of the Amundi ETF & Indexing "Core-Satellite and ETF Investment" research chair at EDHEC-Risk Institute. This chair analyses the developments in the use of exchange-traded funds as part of the asset allocation process and looks at advanced forms of risk budgeting within the framework of a core-satellite approach. With the survey, we aim to analyse the current practices and perceptions among ETF users in Europe and by comparing our results with those of our previous surveys, we intend to shed light on trends within the European ETF market. More...


INTERVIEW

Merrill Lynch Wealth Management and EDHEC Business School join forces to advance goals-based wealth management - an interview with Anil Suri In this month's interview, we speak to Anil Suri, Managing Director and Head of Portfolio Construction & Investment Analytics at Merrill Lynch Wealth Management about the creation by Merrill Lynch Wealth Management and EDHEC-Risk Institute of a research chair on "Risk Allocation and Goals-Based Wealth Management." Anil Suri also discusses the role of research in Merrill Lynch Wealth Management's overall business strategy. More...


EDHEC PUBLICATIONS

The Fund of Hedge Fund Selection Puzzle: A Pragmatic Approach to Identify the X-FactorSerge Darolles, Mathieu Vaissié. The authors use the regime switching approach introduced in Pelletier (2006), and adapted by Giamouridis and Vrontos (2007) to the context of hedge fund portfolios, to design a new tactical style allocation factor. They then propose to leverage on this factor to identify fund of hedge fund managers who turn out to be good at capturing the upside while controlling for the downside risk. By so doing, they provide investors with a pragmatic though robust approach to address the fund of hedge fund selection puzzle. More...

Asset Prices in General Equilibrium with Transactions Costs and Recursive UtilityAdrian Buss, Raman Uppal, Grigory Vilkov. This paper studies the effect of proportional transactions costs on asset prices and liquidity premia in a general equilibrium economy with multiple agents who are heterogeneous. The agents in the model have Epstein-Zin-Weil utility functions and can be heterogeneous with respect to endowments and all three characteristics of their utility functions—time preference, risk aversion, and elasticity of intertemporal substitution. The securities traded in the financial market include a one-period bond and multiple risky stocks. The paper shows how the problem of identifying the equilibrium can be characterized in a recursive fashion even in the presence of transactions costs, which make markets incomplete. It finds that transactions costs on stocks or the bond lead investors to reduce the magnitude of their positions in financial assets. More...


EDHEC-RISK NEWS

PhD in Finance programme adds six alumni Over the course of the last six months, six EDHEC-Risk Institute PhD candidates have successfully defended their dissertations. Their research work brings new insights on strategic and tactical asset allocation, inflation modelling and hedging, asset pricing, corporate financial policy, pension fund management, and systemic risk. More...

EDHEC-Risk Days Asia conference to take place in Singapore Organised by an academic research centre for the benefit of professionals, EDHEC-Risk Days Asia is an annual conference taking place in Singapore, which presents the research conducted by EDHEC-Risk Institute and discusses it with the institutional investment and wealth management communities. More...

New Yale School of Management–EDHEC-Risk Institute executive seminar unveiled In the wake of the successes of the “Strategic Asset Allocation and Investment Solutions” and “Equity Investment” seminars – which drew over one hundred and fifty participants – EDHEC-Risk Institute and Yale School of Management have unveiled their third joint executive seminar. Looking at “Fixed Income Investment”, the new seminar will feature EDHEC-Risk PhD in Finance core faculty member Professor Frank Fabozzi, Chueng Kong Graduate School of Business Chair Professor of Finance Li Haitao and EDHEC Business School Affiliated Professor of Finance Dominic O’Kane. More...

Professor Lionel Martellini presenting at 67th CFA Institute annual conference The flagship CFA Institute Annual Conference rotates continents each year and is one of the investment industry’s largest and longest running educational gatherings of investment professionals, attracting as many as 1,800 delegates from 70 countries in prior years. Lionel Martellini, Scientific Director of EDHEC-Risk Institute and Professor of Finance at EDHEC Business School, has been invited to speak at the event and will make a presentation entitled, "New Frontiers in Risk and Asset Allocation."More...

Felix Goltz discusses Asia-Pacific index practices in CFA Institute webcast In a CFA Institute webcast entitled, "Asia Pacific Index Investing Practices: A Global Comparison", Dr. Felix Goltz, Head of Applied Research at EDHEC-Risk Institute, discusses the index investing practices in the Asia Pacific region based on results of the EDHEC-Risk Asian Index survey. The practices in Asia are compared to those in North America and Europe, which are based on the EDHEC-Risk North American Index survey and the EDHEC-Risk European Index survey. More...