AMENC Noël, PhD

The present survey has been conducted as part of the Amundi ETF "Core-Satellite and ETF Investment" research chair at EDHECRisk Institute.

This study shows that Smart Beta 1.0 indices present systematic and specific risks that are neither documented nor explicitly controlled by their promoters.

Dans le cadre de la recherche sur la thématique de la meilleure pris en compte des risques non financiers qu'elle conduit depuis trois ans avec le soutien de CACEIS, l'EDHEC-Risk Institute a souhaité synthétiser l'ensemble de ses analyses et conclusions sous forme d'une série de propositions destinées tout autant aux régulateurs européens qu'aux professionnels de l'industrie de la gestion des fonds ou aux investisseurs.

After a short summary of some of the main challenges facing European pension systems, this paper discusses the Commission’s proposals point by point.

The authors argue in this paper that improved long-term investing strategies can be designed for private wealth management.

With an ever-growing number of alternative index construction methods on offer, investors should, in principle, be thankful for comparative analysis.

The EDHEC-Risk North American Index Survey 2011 aims to analyse the current uses of and opinions on stock, bond and equity volatility indices.

This survey has been conducted with the support of Amundi ETF in the context of the EDHEC-Risk Institute research programme on indices and benchmarking.

This survey has been conducted within the research chair "Risk and Regulation in the European Fund Management Industry" sponsored by CACEIS.

The Solvency II Directive introduces a prudential framework for the computation of regulatory capital requirements for insurers.

Exchange-traded funds have traditionally been perceived as vehicles combining the diversified exposure of mutual funds with the low-cost, flexibility, ease and liquidity of trading enjoyed by publicly listed stocks, while also offering lower-expense ratios and better tax-efficiency relative to mutual funds.

The present position paper addresses the measures for implementation of the alternative investment fund managers’ directive (AIFMD).

As the choice of an index is a crucial step in both asset allocation and performance measurements, it is useful to investigate index use and perceptions about indices. The EDHEC-Risk European Index Survey 2011 analyses the current uses of and opinions on stock, bond and equity volatility indices with the aim of providing unique insight into the users’ perspective in the index industry. Opinions from 104 institutional investment managers were gathered, representing approximately seven trillion euros of assets under management.

Since the global financial crisis of 2008, improving risk management practices management of extreme risks, in particular—has been a hot topic.

UCITS, the European retail regulated investment funds, were created shortly after the 1985 passage of the first UCITS directive. Since then, non-financial risks have increased, but European authorities and investment professionals failed to study the impact of these risks when they allowed UCITS funds to evolve.

This document reviews the concept of green investing and reports the results of a European survey of investment management professionnals.

This paper analyses a set of equity indices whose aim is to improve on capitalisation weighting and thus to provide “improved beta”.

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.

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.

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

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

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

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.

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.

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.

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.

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.

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.

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.

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.

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.

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.

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.

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.

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.

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.

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.

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

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.

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.

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.

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.

This paper clarifies that methodological choices can be made independently on two steps in the construction of alternative equity index strategies – the constituent selection and the choice of a diversification-based weighting scheme.

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.

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.

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.

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

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).

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.

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.

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.

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.

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.