Cette nouvelle étude de l'EDHEC souligne les incertitudes sur l'équilibre des régimes de retraite à compter de 2018 et prône la préservation du Fonds de Réserve pour les retraites . Lire la suite

Cette étude évalue quantitativement une réforme de la protection de l’emploi des seniors parallèlement à l’augmentation de l’âge de départ à la retraite. Lire la suite

This survey has been taken as part of the second year of the AXA Investment Managers "Regulation and Institutional Investment" research chair at EDHEC-Risk Institute. Lire la suite

EDHEC-Risk Institute vient de publier 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. Lire la suite

The Gaze of Art and Perspectives on a Cultural Approach to Marketing. Lire la suite

This paper addresses 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. Lire la suite

This paper addresses 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. Lire la suite

Cette étude remet en question la méthodologie et les données retenues 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. Lire la suite

As part of the CACEIS research chair on non-financial risks in investment funds, EDHEC surveyed UCITS and alternative asset managers, their service providers, external observers, and investors for their views of structuring hedge fund strategies as UCITS. Lire la suite

Dans cette étude les auteurs proposent une analyse inédite et détaillée des rendements de l’immobilier résidentiel ancien sur Paris et sa proche périphérie. Lire la suite

The ban on shorting had negative effects on the hedge fund industry. It also had a negative impact on the returns and the market quality of the stocks placed off limits by the ban. Lire la suite

Sur la base d’un exercice de microsimulation dynamique, nous analysons la valorisation nette des études supérieures en isolant l’effet propre des différentes composantes du système socio-fiscal portant sur les revenus du travail. Lire la suite

In the presence of non-normally distributed asset returns, optimal portfolio selection techniques require estimates for variance-covariance parameters, along with estimates for higher-order moments and comoments of the return distribution. Lire la suite

Les salariés employés sur des postes faiblement rémunérés sortent plus fréquemment de l'emploi que les autres. Est-il par conséquent souhaitable de réformer le système de protection des emplois afin de leur garantir une plus grande sécurité ? Lire la suite

Proponents of cap-weighted stock market indices often argue that such indices provide efficient risk/return portfolios. Lire la suite

This paper introduces a novel method for the construction of equity indices that, unlike their cap-weighted counterparts, offer an efficient risk/return tradeoff. Lire la suite

This paper draws on dynamic risk-budgeting techniques to emphasise the importance of risk management when decisions to allocate to ETFs are made. Lire la suite

Recent studies find that a position in at-the-money (ATM) straddles consistently yields losses. This is interpreted as evidence for the non-redundancy of options and as a risk premium for volatility risk. Lire la suite

We show that non-linear transaction costs generate external effects between accounts due to trade volume dependent marginal transaction costs. Lire la suite

wide variety of risk–return ratios is routinely reported in sales pitches as well as academic publications. Lire la suite

Because many facets of the global oil markets have not been sufficiently transparent, it is unclear how much of the oil-price rally that peaked in July 2008 can be put down to speculation. Lire la suite

Following the 2008 financial crisis, private financial institutions such as hedge funds and private equity funds have been faced with multiple calls for their regulation, both for consumer protection and systemic reasons. Lire la suite

EDHEC has surveyed pension funds, their advisers, their regulators, their fiduciary managers, and their asset managers for their reactions to an EDHEC study entitled “Impact of Regulations on the ALM of European Pension Funds.” Lire la suite

The vast current account surpluses of commodity-rich nations, combined with record current account deficits in developed markets (US, Britain), have created a new type of investor. Lire la suite

Evoquer la conformité réglementaire, ce n’est pas uniquement s’interroger sur l’intérêt qu’ont les entreprises à se soumettre à la norme juridique, mais également se livrer à un constat objectif sur certaines caractéristiques de cette norme. Lire la suite

All insurers, regardless of their characteristics (public companies, mutual insurers, provident societies) will be subject to the new prudential rules and will thus have to make heavy investments in the data collection, risk measurement, and simulations required by the supervisor. Lire la suite

The immediate recognition of the volatility of pension surpluses and deficits in the profit and loss accounts of the sponsor may lead pension funds to shed risky assets. Lire la suite

La Commission Européenne souhaite harmoniser la fonction de dépositaire et renforcer les mécanismes de protection. Lire la suite

The objective of this paper is to shed light on the ways new forms of welfare- improving financial innovation inspired by the use of asset-liability management techniques, originally developed for institutional money management, can be used in private wealth management. Lire la suite

In this paper we extend Hasanhodzic and Lo (2007) by assessing the out-of-sample performance of various non-linear and conditional hedge fund replication models. Lire la suite

The existence of oil stabilization funds as the largest category of sovereign wealth funds relies on oil prices as a main source of macroeconomic risk for oil exporting countries. Lire la suite

We solve for the equilibrium of a standard real business cycle model with money under model ambiguity. Lire la suite

In September 2008, the U.S. Securities and Exchange Commission (SEC) surprised the investment community by adopting an emergency order that temporarily banned most short sales in nearly 1,000 financial stocks. Lire la suite

This position paper looks at the changes that have been effected in the European capital markets more than one year after the implementation of MiFID (Markets in Financial Instruments Directive). Lire la suite

Une explication récemment avancée de la sous-représentation des femmes à des postes à hautes responsabilités est que celles-ci sont moins favorisées par un système d’évaluation assis sur la performance relative. Lire la suite

Aujourd’hui, plus que jamais, les entreprises ont besoin de dirigeants légitimes à leur tête et les équipes dirigeantes de nouvelles pratiques de légitimité : mais comment se fabrique la légitimité des dirigeant(e)s d’entreprises ? Lire la suite

Du point de vue de la régulation de la gestion d’actifs, l’analyse des dirigeants européens, notamment français et allemands, dans l’été 2007 n’a pas été à la hauteur des enjeux de la crise financière que nous connaissons depuis deux ans. En désignant les hedge funds, puis les ventes à découvert comme responsables de la déstabilisation des marchés, les dirigeants politiques et les régulateurs de marchés ont retardé la prise de conscience quant à la gravité de la crise et la faillite du système de régulation. Lire la suite

Cette étude vise à réfléchir aux contours d'une réforme structurelle du système d'indemnisation chômage en France, et plus particulièrement du mode d'indemnisation des chômeurs de courte durée. Lire la suite

Cette étude montre qu’il peut être opportun de capitaliser sur les investissements exigés à des fins purement réglementaires, afin de servir des ambitions plus intrinsèques à la société, notamment en perfectionnant ou en élaborant un tableau de bord économique, outil de pilotage destiné à mieux gérer la société. Lire la suite

The recent pension crisis has triggered a fierce debate in most developed countries between advocates of a tighter regulation designed to provide explicit incentives for pension funds to increase their focus on risk management, and those arguing that imposing short-term funding constraints and solvency requirements on such long-term investors would only increase the cost of pension financing. Lire la suite

This survey is the first piece of work done as part of the Crédit Agricole Structured Asset Management (CASAM) "Core-Satellite and ETF Investment" research chair. Lire la suite

A l’heure où le retour de l’Etat fait consensus dans la classe politique, un ouvrage écrit par Benoït Mafféï, directeur d'études au centre de recherche en économie de l'EDHEC Business School, et Noël Amenc, professeur de finance à l'EDHEC Business School et directeur de l'EDHEC Risk and Asset Management Research Centre, et intitulé « L'impuissance publique, le déclin économique français depuis Napoléon », remet en cause le mythe de la toute puissance publique et de la capacité des politiques publiques à enrayer le long déclin économique de la France et la banalisation de sa place sur la scène internationale. Lire la suite

The development of alternative investment has not yet been accompanied by a genuine consideration of the specific characteristics of the risks and returns of hedge funds with regard to the provision of information to investors. Lire la suite

We use an error correction model in order to predict the changes in equity risk premia for a set of emerging markets and the US market. Lire la suite

This paper attemps to determine what fraction a static investor should optimally allocate to investment strategies with convex exposure to stock market returns in a general economy with stochastically time-varying interest rates and stock market excess returns. Lire la suite

An in-depth study of the short-selling market calls into question both the reasons for the decision to ban short selling and the prejudices that weigh on those who short. Lire la suite

This letter focuses on hidden orders and shows how they contribute to liquidity. Lire la suite

In 2003, the pension fund industry was severely affected by the steep fall in equity prices and the fall in interest rates. Lire la suite

Cette étude analyse l'impact des contraintes prudentielles et comptables sur la gestion actif-passif (l’ALM) des fonds de pension aux Pays-Bas, au Royaume-Uni, en Allemagne et en Suisse. Lire la suite

Le décalage entre une exigence de leadership toujours plus forte et une offre de formations jugée décevante par les managers invite à se questionner à la fois sur les offres des entreprises en matière de formation au leadership mais également sur les attentes des managers en la matière. Lire la suite

A vast literature has documented the value premium and the small firm effect as pervasive stylized facts in empirical asset pricing and yet research has been largely unable to provide entirely convincing explanations of why these phenomena exist. Lire la suite

Les investisseurs institutionnels allouent une part importante de leurs portefeuilles à l’immobilier, essentiellement pour profiter des bénéfices de la diversification. Lire la suite

We analyse twelve years of data on EDHEC Alternative Indexes for different hedge fund strategies to provide some perspective on their performance. Lire la suite

For more than seventeen years, Bernard Madoff operated what was viewed as one of the most successful investment strategies in the world. Lire la suite

En 2007, le taux d’emploi des 55-64 ans en France dépassait à peine 38%, là où la moyenne européenne équivalait à 45% (UE des 27), et où dans des pays comme l’Angleterre et les Etats-Unis ces taux avoisinaient 60%, voire 70% pour le Japon et la Suède. Lire la suite

La réduction des mandats des dirigeants d’entreprises et au-delà la fragilisation des fonctions de direction, n’est plus une « bonne pratique » de gouvernance mais bien plutôt l’un des révélateurs d’une crise profonde : celle de la légitimité managériale des équipes dirigeantes. Lire la suite

Il existe des marges de manoeuvre pour augmenter les ressources de l’éducation du supérieur tout en préservant une forme d’équité, grâce à l’introduction de dispositifs de prêt à remboursement conditionnel au revenu. Lire la suite

The EDHEC European Investment Practices Survey 2008 (EDHEC 2008) sheds light on current practices in the industry and compares these practices with the recent state of the art as described in the investment literature. Lire la suite

The present publication is the first to be drawn from the EDHEC/Morgan Stanley Investment Management research chair on Financial Engineering and Global Alternative Portfolios for Institutional Investors. Lire la suite

Parce que la contraction des prix de l’immobilier peut avoir des conséquences sévères sur la situation économique et financière des ménages et des banques, connaître son ampleur est aujourd’hui un enjeu majeur. Cette prévision nécessite de prendre en compte les spécificités du marché des biens immobiliers. Lire la suite

The financial crisis has put great pressure on banks and led to a number of emergency measures intended to restore confidence in the banking system: tentative changes to accounting standards, recapitalisation of the banking industry, and higher capital requirements. Lire la suite

Un appel à réactions a été effectué par l'EDHEC auprès des investisseurs institutionnels et des gérants d’actifs internationaux pour confronter leur perception des amendements aux normes IAS 39 et IFRS 7 non seulement aux conclusions de la première étude de l'EDHEC, mais surtout aux ambitions de ces réformes comptables préparées et mises en œuvre dans la plus grande hâte. Lire la suite

A “call for reaction” was sent by EDHEC to international institutional investors and asset managers to compare investor views of amendments to the IAS39 and IFRS 7 standards not just with the conclusions of an initial EDHEC study, but also with the ambitions of these reforms prepared and adopted in great haste. Lire la suite

L’EDHEC a réalisé en 2008 une étude portant sur l’évaluation de la performance des fonds d’investissement socialement responsable (ISR) distribués en France. Cette étude couvrait une période de six ans (2002-2007) et analysait plus particulièrement les fonds investis en actifs couvrant la France, la zone Euro et l’Europe. Lire la suite

Pour faire face à une crise financière majeure, les gouvernements européens ont mis en place des mesures de recapitalisation et de soutien à la liquidité du secteur bancaire. Lire la suite

Hull (2007) writes: “For an asset manager the greatest risk is operational risk”. In 2008, however, asset management companies came under severe pressure not from operational risk, but from market risk. Lire la suite

In this paper we analyze the conditions under which the presence of a multiplicative background risk induces a more “prudent” behavior. Lire la suite

Dans le cadre de l’élaboration de mesures visant à juguler la crise financière actuelle, un large débat s’est ouvert sur la part de responsabilité de la comptabilité en juste valeur dans l’accélération des tendances. Lire la suite

In the context of the measures being taken to put an end to the current financial crisis, the extent to which fair value accounting can be blamed—or whether it can be blamed at all—for the intensification of the slump has been widely debated. Lire la suite

Le constat des retards pris dans l’agenda de Lisbonne 2000-2010 en faveur de la recherche et de l’enseignement supérieur implique que des efforts importants doivent être fournis, en particulier en matière de financement de l’enseignement supérieur. Lire la suite

The position this paper takes is that if all institutional investors are bound by regulations that force them to sell risky assets during downturns, these assets will ultimately be absorbed by unregulated long-term investors. Lire la suite

The EDHEC Hedge Fund Reporting Survey is representative of the European hedge fund industry. Lire la suite

De la fin de l’année 2001 au 31 juillet 2008 le prix du pétrole a augmenté de 525% en USD. Nous pensons que les déséquilibres du marché et les problèmes de capacité de production dans les pays producteurs sont à l’origine de cette augmentation spectaculaire, même si la tentation de blâmer les spéculateurs se révèle trop forte pour de nombreux observateurs. Lire la suite

this paper describes the role of Transaction Cost Analysis in the fulfilment of the best execution obligation as well as the limits of existing frameworks. Lire la suite

Following recent research on the relevance of idiosyncratic risk in asset pricing models, Lionel Martellini proposes to use total volatility as a model-free estimate of a stock's excess expected return, and analyze the implications in terms of the design of improved equity benchmarks. Lire la suite

The recent pension crisis has triggered a fierce debate in most developed countries between advocates of tighter regulation designed to provide explicit incentives for pension funds to increase their focus on risk management and those arguing that imposing short-term funding constraints and solvency requirements on such long-term investors would only increase the cost of pension financing. Lire la suite

In summary, our position paper argues that with the fundamental supply-and-demand balance so tight and that with effective OPEC spare capacity so low it is logical to see very high prices to ration demand and/or encourage additional supply. That is the job and message of price, even if the message is unpopular. Lire la suite

A number of major investment banks and asset management consultants have recently launched investment products that promise to replicate hedge fund returns by following rule-based strategies that invest in liquid financial products. Lire la suite

We examine simple timing strategies for commodity momentum, based on whether the market is in backwardation or contango. Lire la suite

The publication that we are pleased to present here covers the industry reactions to an EDHEC study entitled “Asset-Liability Management Decisions in Private Banking,” which was drawn from EDHEC’s ALM and Asset Management research programme. Lire la suite

Depuis leur apparition, les stock-options ont connu un succès important en tant que moyen d'incitation qui lie la rémunération des dirigeants à la performance boursière de leur entreprise. Lire la suite

Hedge funds are often referred to as absolute return strategies, yet investors are aware that most hedge funds do in fact take on a variety of systematic and quasi-systematic exposures. Lire la suite

This paper develops a capital asset pricing model based on the production side of a monetary economy. Lire la suite

Not all insiders are the same; some are more effective than others in processing the information they have access to, and invest their own wealth accordingly. Lire la suite

The survey we are pleased to present here is part of the EDHEC Risk and Asset Management Research Centre’s Indices and Benchmarking research programme headed by Felix Goltz and Lionel Martellini. Lire la suite

Cette étude évalue quantitativement le " double dividende " sur l'emploi d'une hausse de l'âge de départ en retraite. Nous montrons que si les individus partaient en retraite un an plus tard, typiquement en faisant passer de 60 à 61 ans l'âge minimum légal de départ, il pourrait en résulter une augmentation du taux d'emploi des 60-64 ans de 8 points. Lire la suite

The article analyses the impact of trading costs on the profitability of momentum strategies in the UK and concludes that losers are more expensive to trade than winners. Lire la suite

This paper examines the combined role of momentum and term structure signals for the design of profitable trading strategies in commodity futures markets. Lire la suite

Numerous studies have documented the failure of the static and conditional capital asset pricing models to explain the differences in returns between value and growth stocks. Lire la suite

In this paper, we analyze the rules and the practices of disclosure by parliamentarians in 126 countries. Lire la suite

While an ever increasing share of equity assets is invested in indexing strategies, the standard practice of using capitalisation weighting to construct stock market indices has been the object of much criticism. Lire la suite

Equity returns are more dependent in bear markets than in bull markets. Lire la suite

The article studies the temporal variations in the conditional return correlations between commodity futures and traditional asset classes (global stock and fixed-income indices). Lire la suite

This paper analyses a set of characteristics-based indices that have recently been launched on the US market and have been said to outperform standard market cap-weighted indices
over particular backtest samples. Lire la suite

During the last few years, there has been growing interest in the use of factor models for performing risk and exposure analysis of hedge funds. Lire la suite

In a context of moderate performance in the stock and bond markets in 2007, Funds of Hedge Funds, which are often taken to give an aggregate view of the industry's performance, returned 10.07% on average for the year, compared to 3.53% for the S&P 500 and 4.14% for the Lehman Global US Treasury Bond index. Lire la suite

La problématique du pouvoir d'achat et de la forte concentration des bas salaires en France conduit aujourd'hui à s'interroger sur le bien-fondé des allégements de charges tels qu'actuellement mis en oeuvre. L'instauration d'un dispositif alternatif, dont les modalités restent à préciser, a récemment été évoquée par Nicolas Sarkozy. Lire la suite

In its response to the CEIOPS consultation on the preliminary technical specifications for the fourth quantitative impact survey (QIS4), EDHEC argues that the main risk faced by life insurance companies is not taken into account in the standard formula. Lire la suite

Le protocole d'accord signé par une partie des partenaires sociaux laisse-t-il présager d'une flexisécurité " à la française " ? On est loin de la feuille de route initialement fixée par Nicolas Sarkozy durant la campagne présidentielle, c'est à-dire l'instauration d'un contrat unique à droits progressifs. Renoncer à ce dispositif n'est pas critiquable en soi, si une forme de contrat plus pertinente est proposée. Lire la suite

Djankov et al. (2003a) propose and measure for 109 countries in the year 2000 an index of formalism of legal procedure for two simple disputes: eviction of a non-paying tenant and collection of a bounced check. For a sub-sample of 40 countries, we compute this index every year starting in 1950, which allows us to study the evolution of legal rules. Lire la suite

The use of asset-based style analysis (ABS) in the context of hedge fund investmentts continues to take hold within the industry. Lire la suite

This survey assesses the current investment practices of asset management firms, institutional investors, and private wealth managers. Lire la suite

This study assesses whether the widely documented momentum profits can be ascribed to time-varying risk as described by a GJR-GARCH(1,1)-M model. Lire la suite

Hedge fund indices have been criticised for a lack of representativity and for their biases, to the point that serious doubts about the usefulness of hedge fund indices have been raised by investors and regulators. Lire la suite

We describe an approximation method, based on binomial distribution adjustments, for constructing independent loss distributions. Lire la suite

L'immobilier, probablement la plus traditionnelle des classes alternatives, connaît une nouvelle faveur auprès d'investisseurs institutionnels en recherche de diversification et de performance. Lire la suite

In the presence of non-normally distributed asset returns, optimal portfolio selection techniques require not only estimates of variance-covariance parameters, but also estimates of higher-order moments and comoments of the return distribution. Lire la suite

Several studies have put forward that hedge fund returns exhibit a non-linear relationship with equity market returns, captured either through constructed portfolios of traded options or piece-wise linear regressions. Lire la suite

In the last decade, economists have produced a considerable body of research suggesting that the historical origin of a country's laws is highly correlated with a broad range of its legal rules and regulations, as well as with economic outcomes. Lire la suite

Fund ratings play a significant role in fund selection for investors: the funds being made available are more and more numerous and increasingly diversified in terms of assets and style management. Lire la suite

A partir d’un exercice de microsimulation de la TVA acquittée par les ménages, cet article cherche à éclairer la question de la répartition
des montants de TVA acquittée tout au long de la vie et ainsi illustrer la contribution relative des différentes classes d’âge au financement de la protection sociale dans l’hypothèse de la mise en oeuvre d’une « TVA sociale ». Lire la suite

Dans un contexte de persistance du chômage structurel des travailleurs peu qualifiés à un niveau élevé, la formation professionnelle peut constituer un levier essentiel de la politique publique. La loi du 4 mai 2004 relative à la formation professionnelle tout au long de la vie et au dialogue social est une traduction de cette volonté gouvernementale. Lire la suite

This paper investigates why traders hide their orders and how other traders respond to the detection of hidden depth. Lire la suite

This paper introduces a multivariate copula approach to Value-at-Risk estimation for fixed income portfolios. Lire la suite

In this paper, we introduce a suitable extension of the Black-Litterman Bayesian approach to portfolio construction in the presence of non-trivial preferences about higher moments of asset return distributions. Lire la suite

L'article étudie la performance des stratégies dites " momentum " et " contrarian " dans le contexte des commodités. 13 stratégies momentum s'avèrent rentables : elles génèrent en moyenne une performance ajustée pour le risque de 9,38% par an. Lire la suite

Soucieux de trouver rapidement une explication évitant de les remettre en cause, les dirigeants de certains pays européens ont mis en exergue le rôle une fois de plus néfaste qu'auraient joué les hedge funds dans la crise de cet été. Cette crise est le résultat d'un ajustement brutal du prix des actifs lié à une augmentation de l'aversion pour le risque de l'ensemble des investisseurs. Lire la suite

A recent publication1 by the EDHEC Risk and Asset Management Research Centre has drawn conclusions that highlight the shortcomings of well known capitalisation- or price-weighted stock market indices and argues that the choice of benchmark for asset allocation or performance measurement is a task requiring particular care. Lire la suite

The focus of this article will be on risk management within the context of a total-return futures program centered on commodities. Lire la suite

Risk aversion functions extracted from observed stock and option prices can be negative as shown by Aït-Sahalia and Lo (2000) and Jackwerth (2000). Lire la suite

In this paper, we examine how standard exchange-traded fixed-income derivatives (futures and options on futures contracts) can be included in a sound risk and asset management process so as to improve risk and return performance characteristics of managed portfolios. Lire la suite

This paper presents evidence of predictability in the time-varying shape of the U.S. term structure of interest rates using a robust recursive modelling approach based on a Bayesian mixture of multi-factor models. Lire la suite

On September 18th, 2006, market participants were made aware of a large hedge fund's distress. Lire la suite

Une étude conduite par Gérard Maarek pour le compte du pôle de recherche en Economie de l'EDHEC, et intitulée : La réforme du financement de la protection sociale, essais comparatifs entre la "TVA Sociale " et la " TVA Emploi ", montre que le gain attendu d'une baisse de 25 milliards d'euros des cotisations sociales (salariales ou employeurs), soit 3,8 % de la masse salariale brute (660 Mds d'euros) compensée par une hausse de 3,6 points de TVA, aurait sur le long terme un effet positif mais modéré sur l'emploi (+61 000 emplois) et permettrait une amélioration du solde du commerce extérieur (les importations baissent de 0,3 % ; les exportations sont plus soutenues avec une croissance de +1,7 %). Lire la suite

L'objectif de cet article est d'analyser l'effet de la mise en place d'une " TVA sociale " sur les inégalités et le pouvoir d'achat des ménages. Lire la suite

This paper focuses on the use of market variables that exploit the linkages between spot, futures and derivatives markets, as opposed to the business cycle indicators employed in most of the earlier studies. Lire la suite

Over the last few years, alternative investment strategies have dramatically gained in popularity. Lire la suite

This document outlines our position on the third quantitative impact survey on the standard formula for the calculation of capital requirements for insurance companies under Solvency II. Lire la suite

This document outlines our position on the third quantitative impact survey on the standard formula for the calculation of capital requirements for insurance companies under Solvency II. Lire la suite

In this paper we provide a detailed critical analysis of various methodologies involved in the so-called passive replication of hedge fund returns, a subject that has sparked renewed interest following recent initiatives by major investment banks such as Merrill Lynch and Goldman Sachs. Lire la suite

Many investors do not know with certainty when their portfolio will be liquidated. Lire la suite

This article will argue that one can indeed intelligently invest in the commodity markets and will briefly touch on three approaches, which in turn are drawn from the Intelligent Commodity Investing book. Lire la suite

As part of a newly created research programme focusing on Best Execution and Operations Performance', EDHEC's research team has actively contributed to the review of existing approaches to measuring execution quality and recently introduced an innovative framework for analyzing transaction costs and measuring execution performance: EBEX. Lire la suite

Volatility is an alternative betaa risk premium captured by hedge fund managers and investment bank proprietary tradersthat is today moving closer to the mainstream and should be thought of as a veritable asset class. Lire la suite

A la suite de l'EDHEC Publication " Reconsidérer les effets de la protection de l'emploi en France ", ainsi que le Position Paper " Le contrat de travail unique : un outil de sécurisation des parcours professionnels ? ", cette note propose une analyse critique, faisant notamment référence à des travaux académiques publiés, des grandes mesures en faveur de l'emploi proposées par François Bayrou, Nicolas Sarkozy et Ségolène Royal. Lire la suite

Il y a quelques semaines, l'EDHEC s'est adressée aux candidats à la présidence de la république pour proposer une réforme du Code du travail propre à créer des emplois et à sécuriser les parcours professionnels. Lire la suite

In this paper, we examine how standard exchange-traded fixed-income derivatives (futures and options on futures contracts) can be made part of sound risk and asset management in such a way as to improve the risk and return performance characteristics of managed portfolios. Lire la suite

Dans un rapport intitulé : " Hedge Fund Performance: A Vintage Year for Hedge Funds? ", Véronique Le Sourd, Ingénieur de Recherche Senior à l'EDHEC Risk and Asset Management Research Centre, fournit un exposé détaillé de la performance de chacune des stratégies de hedge fund qui constituent les indices alternatifs EDHEC. Lire la suite

The relevance of the information ratio and the alpha, two leading performance measures for multi-index models, depends on the type of portfolio held by investors. Lire la suite

MiFID (The Markets in Financial Instruments Directive) is probably one of the most significant regulatory initiatives that is about to transform the European Capital Markets. Lire la suite

Labour legislation reform promises to be central to the debate surrounding the French economy in the upcoming presidential campaign. Lire la suite

This document contains our answer to CP20, a consultation process initiated by CEIOPS (Committee of European Insurance and Occupational Pensions Supervisors) on the "Advice to the European Commission in the Framework of the Solvency II Project on Pillar I Issues". Lire la suite

The number of professionally managed funds in the financial markets is increasing. Lire la suite

Face à l'évolution des risques et à leurs perceptions, les règles prudentielles actuelles sont totalement inadéquates et la Commission européenne a mis en oeuvre un vaste chantier de refonte du calcul de la solvabilité des sociétés d'assurance. Lire la suite

Grâce à une croissance économique soutenue dans plusieurs régions du monde, l'industrie de la gestion privée s'est octroyée une place considérable dans le paysage financier mondial. Lire la suite

The paper examines the role of non-normality risks in explaining the momentum puzzle of equity returns. Lire la suite

This paper compares a number of different approaches for determining the Value at Risk (VaR) and Expected Shortfall (ES) of hedge fund investment strategies. Lire la suite

This document contains our participation in the consultation process initiated by the CESR on the eligibility of hedge fund indices for the purpose of UCITS (CESR/06-530) Lire la suite

This paper, which is being written to provide an overview of the multitude of publications we have seen on hedge fund performance, is the result of a reading and analysis of about 200 studies on this subject. Lire la suite

De plus en plus de voix s'élèvent parmi les praticiens et les chercheurs, pour souligner les insuffisances de la logique traditionnelle du marketing qui ne suffit plus pour déployer des parades aux problèmes de croissance des offres discount, de décroissance des marchés et de baisse globale d'efficacité des actions marketing. Lire la suite

After collecting all available information on 109 hedge fund defaults between 1994 and 2005, we investigated two statistical methods in order to shed some light on the risk profile of hedge funds. Lire la suite

Cette étude met en évidence les effets bénéfiques d'une réforme de la protection de l'emploi consistant à instaurer un contrat unique en substitut du système dual actuel CDD-CDI. De façon originale, nous soulignons l'apport d'une approche en termes de cycle de vie pour définir les contours de ce contrat unique. Lire la suite

In this paper, the authors examine the question of the eligibility of hedge fund indices as financial instruments for use by European investment funds. Lire la suite

We present a new measure of legal protection of minority shareholders against expropriation by corporate insiders: the anti-self-dealing index. Lire la suite

Depuis la mise en place de la Stratégie Européenne pour l'Emploi (SEE), l'Union européenne fixe des objectifs et définit des indicateurs destinés à développer un benchmarking des politiques sociales. Lire la suite

La profonde mutation de la gestion des sociétés d'assurance engendrée par la complexification et la multiplication des risques au cours de ces deux dernières décennies a suscité une nécessaire refonte des règles prudentielles (Solvency II) en complément de l'adaptation des normes comptables internationales (IFRS). Lire la suite

In a new survey, The EDHEC European ETF Survey 2006, the EDHEC Risk and Asset Management Research Centre has carried out an in-depth study on the use of ETFs (Exchange-Traded Funds) by European investors. Lire la suite

Recent finance research that draws on behavioral psychology suggests that investors systematically make errors in forming expectations about asset returns. Lire la suite

We examine how Amaranth, a respected, diversified multi-strategy hedge fund, could have lost 65% of its $9.2 billion assets in a little over a week. Lire la suite

This chapter will cover investing in commodities through futures contracts. Lire la suite

Academic criticism of classic Capital Asset Pricing Model (CAPM) performance measures is not new. Lire la suite

This article continues in the spirit of the August 2002 Quantitative Finance feature on Measuring Risk-Adjusted Returns in Alternative Investments. Lire la suite

An article in the June 2006 edition of the European Central Bank's Financial Stability Review (FSR) claims that hedge fund activities pose considerable risk to the financial system. Lire la suite

The article shows that country-specific exchange-traded funds (ETFs) enhance global asset allocation strategies. Lire la suite

In this paper we observe that it appears possible to time commodity markets by observing the (lagged) actions of various classes of market participants. Lire la suite

Most previous tests of hedge fund performance have failed to model the exposure of hedge fund returns to systematic non-normality risks, nor have they taken the tactical asset allocation decisions of hedge funds managers into account. Lire la suite

By now it has become well known that commodities have had superior performance over the past four and a half years. Lire la suite

In this paper, we consider an intertemporal portfolio problem in the presence of liability constraints. Lire la suite

In this paper, the authors examine the role of backwardation in the performance of passive long positions in soybeans, corn and wheat futures over the period of 1950 to 2004. Lire la suite

L'étude réalisée par Arnaud Cheron du Pôle de Recherche en Economie de l'EDHEC et intitulée " Le plan national d'action pour les seniors ": " bien, mais peut mieux faire ", établit que la faiblesse du taux d'emploi des seniors compte pour moitié dans le problème de l'emploi en France. Lire la suite

Despite institutional investors' growing interest in funds of hedge funds, little attention has been paid so far to their added value and/or the sources of their added value. Lire la suite

Enterré au terme d'un long débat parlementaire au printemps 2003 par monsieur Jean-Pierre Raffarin, le dossier des privatisations des sociétés concessionnaires d'autoroutes (cession de 50,4% d'ASF, 75,7% de SANEF et 70,2% d'APRR) a finalement refait surface le 8 juin 2005 lors d'un discours de monsieur Dominique de Villepin. Lire la suite

La réforme de l'Etat dans le but de le rendre plus efficace est une alternative à la privatisation des services publics. Lire la suite

The goal of modelling is to find one or more factors that offer the best explanatory power for a given variable. Lire la suite

Hedge funds have an absolute return performance objective stated independently of the global
market conditions. Lire la suite

The goal of modelling is to find one or more factors that offer the best explanatory power for a given variable. Lire la suite

The recent outperformance of commodities versus equities has caused a positive re-evaluation of commodities by both retail and institutional investors. Lire la suite

This article comprehensively covers the new field of natural-resources fund-of-funds investing. Lire la suite

In this article, we note how a set of active commodity strategies could potentially add value to an investor's commodity allocation. Lire la suite

This paper proposes a nonparametric efficiency measurement approach for the static portfolio selection problem in mean-variance-skewness space. Lire la suite

When an investor elects to invest in a commodity index product, that investor realizes that he or she will earn the inherent return of the asset class and will be able to do so cheaply, but will not be provided with any downside risk protection. Lire la suite

In this article, we provide the busy reader with a survey of articles that were written over the past four years on hedge funds. Lire la suite

For several months, investors and their advisors have been worrying about the profitability prospects for hedge funds. Lire la suite

We generalize Markowitz analysis to the situations involving an uncertain exit time. Lire la suite

Using an original database of 634 market neutral hedge funds, this study formally analyses the market neutrality of market neutral funds which are particular in the hedge fund universe since the only objective of these funds is to provide positive returns completely independent of the market conditions. Lire la suite

Two studies, by Watson Wyatt and UBS (both from March 2005), give a pessimistic view of the hedge fund industry's capacity to generate long-term returns, due to its increasing size. Lire la suite

In this paper, we emphasize the need for the hedge fund industry to adopt a consumer (investor)-driven approach, as opposed to the current producer (manager) perspective, and we call for the emergence of new types of offerings with characteristics better suited to the needs of institutional investors. Lire la suite

This paper presents a multi-period stochastic network model for integrating corporate financial and pension planning. Lire la suite

The delegation of asset management services is a source of potential agency problems between investors and their portfolio managers. Lire la suite

There is a requirement for decisions taken by risk managers in investment banks to be based upon reliable measures. Lire la suite

As a consequence of its greater maturity, the hedge fund industry has extended its investor base to
institutional investors, who are now faced with a large number of product offerings including not only single hedge funds, but also funds of funds and, more recently, investible indexes. Lire la suite

Hedge funds do not easily fit into the current way institutions go about investing. Lire la suite

This paper provides a risk framework for fiduciaries considering using a core-satellite approach to investing. Lire la suite

In a previous column, I touched upon the difficulty of using standard measures to evaluate a number of hedge fund strategies. Lire la suite

If you saw that a well-known Commodity Trading Advisor (CTA) was in a Top 20 CTA table with returns of 44.1% during the year 2000, you would probably think that CTA did a great job for his or her investors, right? Lire la suite