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Indexes Which Indices for Alternative Investment? 3rd June 2003 - London A conference organised by EDHEC and IKOS
    The EDHEC Indices

    A corrollary of the development of the alternative class has been the increasing number of representative indices for the different investment strategies followed by hedge funds. However, the lack of consensus on the definitions of the styles, and the fact that it is impossible to dispose of unquestionable "representativity" criteria, has led to a genuine level of heterogeneity in the returns of alternative indices. Investors and managers therefore find themselves confronted with benchmarks that truly lack credibility when, for the same strategy and the same month, two competing indices display differences in returns of as much as 22%.

    In order to cope with the lack of representativity of alternative indices, EDHEC is proposing an original approach: the construction of indices of indices.

    Rather than trying to create a new competing index on the basis of selection criteria that would necessarily be subjective, EDHEC proposes indices that are made up of all the available indices. In addition, for a given strategy, the weighting of each of the indices used is based on a simple, indisputable statistical method (Principal Component Analysis) which guarantees that the EDHEC indices are as representative as possible.

    The fact that they are representative, stable and easy to replicate make the EDHEC indices high quality benchmarks for the alternative investment world.

    Support from IKOS

    For its London presentation, Edhec has received the support of IKOS.

    IKOS generates and applies state of the art technology to benefit from markets which are becoming increasingly electronic. The IKOS expertise in fully automated systematic methods is employed in several asset classes: Equities, Financial Futures and Currencies, with identical investment processes being applied to each. Consistent performance in all IKOS strategies is attained through diversification of sources of return, with multiple models designed to exploit different types of pricing anomaly.

    Support from Alteram

    In France, the first company to implement the Edhec indices was Alteram, a company specialised in alternative multimanagement.

    Agenda


    6.00 - 6.30 pm Registration


    6.30 - 6.40 pm Introduction


    6.40 - 6.55 pm Alternative Investment Styles

    Simon Ruddick, Managing Director - ALBOURNE Partners


    6.55 - 7.35 pm Presentation of the EDHEC Alternative Indices and their Use

    Constructing representative indices for alternative investment:
    • The heterogeneity of hedge fund indices
    • The usefulness of indices of indices
    • The construction method used for the EDHEC indices
    • The representativity of the EDHEC indices
    The Characteristics of EDHEC Indices for Portfolio Management:
    • Greater stability
    • Better replication
    • Better quality insertion in a multistyle - multiclass allocation
    Lionel Martellini, USC and EDHEC Professor


    7.35 - 8.00 pm Transcending Style: A Case Study - IKOS Funds

    Dr Peter Ho, IKOS


    8.00 pm Cocktail - Reception


    Event Details
      When   Between 03/06/2003 06:00 PM and 03/06/2003 08:00 PM
    Where   The Reading and Writing Room, The National Liberal Club, One Whitehall Place, Westminster, London SW1A 2HD
     
    Contact Details
      Name   Carolyn Essid
    E-mail   carolyn.essid@edhec-risk.com
    Phone   +33 (0)4 92 96 89 50
     
    Attachments
      Presentation by Lionel Martellini: "The Edhec Alternative Indices and their Use"