Hedge fund industry: is there a capacity effect?
|
|
- Myles Gilbert Campbell
- 5 years ago
- Views:
Transcription
1 Hedge fund industry: is there a capacity effect? July 2005 Rudy Sillam Edhec Risk and Asset Management Research Centre
2 CONTENTS Foreword 1 Executive summary 2 Hedge fund industry: is there a capacity effect? 3 Introduction 3 Survey methodology 5 Have some strategies reached saturation point? 6 The alpha problem 7 Talented managers 9 Size effect? 9 Conclusion 10 References 11 Appendix: Statistical results 12 Edhec Risk and Asset Management Research Centre 20 Copyright Edhec 2005
3 FOREWORD: Capacity Effect or Incapacity Effect? For several months, investors and their advisors have been worrying about the profitability prospects for hedge funds. Modestly entitled the "capacity effect", the analysis of the reasons behind the fairly disappointing performance in 2004 constitutes, if we believe those who are putting the argument forward, a serious calling into question of the alternative investment industry's value proposition. Alphas would be tending to become rarer, for two main reasons: The significance of the sums drained into the alternative investment industry are making the implementation of "niche arbitrage" strategies more and more difficult (for example, convertible bonds or arbitrage on small stocks); more globally, the increase in operational volumes is reducing market inefficiency and market anomalies, which are allegedly the main source of performance for hedge funds. The windfall represented by the remuneration model and the very strong growth in assets under management is attracting more and more managers, which is leading to a dilution of the talent available in the industry. The "democratisation" of hedge funds is making them increasingly dull. However, this pessimism doesn't hold up when we examine the facts. It is related more to the incapacity on the part of both investors and managers to understand or explain the true benefits of investment in hedge funds than to the capacity effect. The capacity problem that is supposedly linked to the disappearance of arbitrage opportunities has not been demonstrated and cannot, in our opinion, be demonstrated. On the one hand, the alternative industry, even taking the leverage effects into account, represents less than 2% of worldwide stock market capitalisation and, on the other, even when considering specific market segments (the raw material derivatives market, stock loan/borrowing market, etc.), it is true that one can reach very significant proportions of activity relating to the intervention of hedge funds, representing up to 3 of operations on certain stocks or up to 5 of some open positions, but these volumes rarely correspond to arbitrage operations. They generally involve bets that are directional (CTA, Global Macro) or related to the unfolding of events on securities that by definition are intended to move between market segments in accordance with speculative opportunities. In certain situations, hedge fund profits can be limited by the depth of the market, but it is not strictly speaking a reduction in inefficiency, simply a concern on the part of managers not to be the only providers of liquidity. It has not been demonstrated either that the new entrants into the industry have less talent than the initial entrants. Academic research and empirical work on the "age" effect on hedge fund performance gives conflicting results. Besides, estimating a hypothetical increase in the number of fund failures is not possible either, given the reporting biases and the insufficiencies of databases in this area. In fact, the essential part of hedge fund performance comes from their betas. Their talent resides in the management of those betas, namely, correctly taking risks for which the premiums, i.e. the "normal" returns, are less easy to capture in the equity and bond markets. Allowing investors, for example, to access the credit and volatility markets in good timing and price conditions undeniably constitutes added value which justifies turning to specialists. Even the performances of so-called "Relative Value" strategies such as Long/Short Equity and Equity Market Neutral are conditioned by bets on particular risks like, for example, the evolution of the Large Cap - Small Cap spread. By constantly highlighting arbitrage alphas that are difficult to measure, hedge funds have themselves fallen into the trap of the capacity effect, with the risk of forgetting their true virtue - that of offering new betas to investors who are always looking for effective diversification. The aim of the current survey, which follows a recent Edhec research paper by Walter Géhin and Mathieu Vaissié entitled The Right Place for Alternative Betas in Hedge Fund Performance: an Answer to the Capacity Effect Fantasy, was to check whether the opinions on the capacity effect of the finance professionals in the field, and their views on the real sources of hedge fund performance, corresponded to the results of our research in this area. Noël Amenc, PhD Professor of Finance at Edhec & Director of the Edhec Risk and Asset Management Research Centre Hedge fund industry: is there a capacity effect? 1
4 EXECUTIVE SUMMARY Introduction Following recent studies claiming that the hedge fund industry will suffer from a capacity effect, the Edhec Risk and Asset Management Research Centre published a paper entitled "The Right Place for Alternative Betas in Hedge Fund Performance: an Answer to the Capacity Effect Fantasy", which refuted the idea of capacity constraints within the industry and promoted the importance of alternative betas in hedge funds' returns, rather than focusing exclusively on alpha. In order to analyse the opinions of industry professionals and academics, we decided to conduct a survey to try to respond to the question: Is there a capacity effect within the industry? Market capacity Most of our respondents think that only relative value arbitrage strategies suffer or will suffer from a capacity constraint. These results are in line with the impact of hedge funds in different markets, with overall hedge fund industry assets representing no more than 3% of worldwide financial assets, but accounting for up to 9 of the trading in the markets for relative value arbitrage strategies. Moreover, our respondents are confident about the growth prospects of the industry, with more than 65% expecting double-digit annual growth rates. The Alpha problem While investors seem preoccupied with the problem of alpha, they are aware of where hedge fund performance comes from. Approximately half of the respondents think that alpha is the main source of performance within the industry, but 95% of the respondents think that alpha is overestimated and they are aware of hedge funds' exposures to alternative betas as a source of return (69.8% of our respondents). Moreover, as the study by Gehin and Vaissié (2005) has shown, most of the respondents agree that alternative betas are predominant in relative value arbitrage strategies, and they find that cyclical factors (for 69.7% of our respondents), rather than a disappearance of "pure alpha", explain the disappointing performance that these strategies have experienced recently. Manager capacity and size effect While a market capacity problem seems to be refuted by our respondents, the results regarding the problem of manager capacity are mixed. Although the industry does not suffer from a shortage of talent, the huge growth in the number of hedge funds has increased the difficulty of selecting talented managers. Moreover, our respondents do not think that a critical hedge fund size exists within the industry. Conclusion The results of our survey show that the hedge fund industry is not suffering from a capacity constraint but is facing new challenges. The hedge fund industry has to understand that returns come more from the exposure to alternative risk premiums rather than alpha, and that the main advantages to investing in hedge funds relate to their diversification benefits with traditional assets (approximately 6 of our respondents invest in hedge funds for their diversification benefits with traditional assets). Moreover, the industry is maturing and becoming more competitive as 81% of our respondents claim. With professionalism and innovation, the hedge fund industry is more likely to keep growing and create high and stable returns. 2 Hedge fund industry: is there a capacity effect?
5 HEDGE FUND INDUSTRY: IS THERE A CAPACITY EFFECT? Introduction During the last five years, the hedge fund industry has experienced tremendous growth, with an average annual growth rate of 15%. According to Van Hedge Fund Advisors, the industry went from 6,200 funds representing $480 billion in assets under management (AUM) in 1999 to 8,700 funds representing $950 billion in AUM at the end of Moreover, analysts forecast that the industry will represent $1.7 trillion in assets in 2008 with more than 11,000 funds. The current 8,700 funds use different strategies, naturally, to manage their assets. Among these strategies, Long/Short Equity represents more than 33% of hedge fund industry assets (see exhibit 1). Exhibit 1: Breakdown of assets under management by strategy in the hedge fund universe 8% 11% 7% 5% 33% 7% 7% 7% Convertible Arbitrage CT A Global Emerging Markets Equity Market Neutral Event Driven Fixed Income Arbitrage Funds of Funds Global Macro Long/Short Equity Short Selling Other Source: Hedge Fund Research, Watson Wyatt (2005) 15% Hedge fund industry: is there a capacity effect? 3
6 After good returns in 2003 (11.45% for the EDHEC Fund of Funds Index, see exhibit 2), the industry has experienced decreasing positive performance in 2004 (7.08% for the EDHEC Fund of Funds Index) with even negative returns in the second quarter of These returns, confirmed by the returns of April 2005, have led some investors to talk about a capacity effect in the industry, claiming that the industry is a victim of its success and therefore that market opportunities will disappear and talented managers will be more difficult to find. The four major arguments behind this supposed capacity effect are the following: In some strategies, the huge number of players has reduced market opportunities Due to the capacity constraint, alpha is disappearing There is a shortage of talent in the industry to cope with the growth of assets Size is becoming a problem In order to analyse the arguments relating to the problem of capacity in the industry, we conducted a survey among investment professionals who have an interest in the hedge fund industry. The results produced by our survey are in line with those of the Gehin and Vaissié study, "The Right Place for Alternative Betas in Hedge Fund Performance: an Answer to the Capacity Effect Fantasy", which affirmed that the reduction in the number of market opportunities and the capacity effect are false problems and that recent disappointing performances come more from cyclical factors (for 69.7% of our respondents) than a reduction in market opportunities and more generally that hedge fund performance comes more from exposure to alternative risk factors (alternative betas) than from pure alpha. Exhibit 2: Historical returns of EDHEC Indices by strategy Edhec Indices Y 2002 Y 2003 Q Y 2004 Q April 2005 Convertible Arbitrage Annual Average Return since Inception % % -3.16% 6.18% CTA Global 14.57% 11.64% -9.39% 5.17% -4.39% -3.54% 6.31% Distressed Securities 5.86% 27.34% 2.87% 17.89% 2.04% -0.52% 14.36% Emerging Markets 5.76% 31.27% -4.09% % -0.49% 14.32% Equity Market Neutral 4.71% 6.29% -0.16% 4.71% 1.81% % Event Driven -1.08% 20.48% 0.92% 12.43% 1.44% -1.28% 8.98% Fixed Income Arbitrage 7.56% 8.35% 1.58% 6.26% 1.54% -0.03% 7.06% Funds of Funds 1.26% 11.45% -1.16% 7.08% 0.97% -1.41% 5.12% Global Macro 4.96% 17.25% -2.76% % Long/Short Equity -6.38% 19.31% % 0.95% -1.84% 4.16% Merger Arbitrage % -0.22% 4.83% 0.97% -1.05% 3.41% Relative Value 2.77% 12.15% % 0.51% -1.08% 6.41% Short Selling 27.27% % 3.06% -4.66% 7.66% 3.93% 4.2 Source: Edhec Risk and Asset Management Research Centre 4 Hedge fund industry: is there a capacity effect?
7 Survey Methodology In this survey, conducted from May 31st to July 8th 2005, we sent out an to financial professionals informing them that our questionnaire was available at and asking them to participate in the survey. We collected 183 responses, of which 65.6% work in funds of hedge funds and 10.9% in hedge funds. 11.5% of our respondents are institutional investors and 12% work in a consulting or research company (see exhibit 3). Statistical results are given in the appendix. Exhibit 3: Breakdown of respondents by category % 10.9% 65.6% Institutional Investors Hedge Funds Funds of Hedge Funds Others (advisors, consultants ) Source: Edhec Risk and Asset Management Research Centre Hedge fund industry: is there a capacity effect? 5
8 Have some strategies reached saturation point? To the question, "Of the following strategies, which suffer or will suffer from a capacity constraint?", results show that relative value arbitrage strategies may suffer from a capacity effect. Indeed, for 83.2% and 65.92% of the respondents respectively, the convertible arbitrage and merger arbitrage strategies suffer from a capacity constraint (see graph 9 below). Moreover, for 70.9% of the respondents, arbitrage opportunities have been reduced and will be difficult to exploit (see graph 8 below). These results are in line with the impact of hedge funds in different markets. Even if the hedge fund industry represents $1 trillion in assets today, the size of the industry remains small in comparison with the overall asset management industry. According to UBS, the worldwide financial market (equities + bonds) represents $87.4 trillion in assets, which means that the hedge fund industry represents only 1.1% of total financial assets. Moreover, if we include the use of leverage, the industry still represents no more than 3% of total financial assets. For instance, hedge fund investing in equities represents a mere 2% of the equity market. However, we have to note that professionals seem confident about the future of the industry and its capacity to keep growing. More than 65% of the respondents (see graph 2 below) think that industry assets will grow at a minimum annual rate of over the next five years with a large number of respondents putting this growth at between and 15%. The main reasons behind this belief that the industry will continue to grow at a double-digit annual rate are the capital inflows from institutional investors and the increase in regulation (48% of respondents) and the benefits of hedge funds in comparison with traditional investment (2). We should recall that the growth of the industry during the past five years was 15% per year. Therefore, most people expect to see the industry continue to grow at the same rate. If we look at relative value strategies, some arbitrage strategies can represent a huge share of the assets and trading. For example, convertible arbitrage funds account nowadays for 7 to 9 of the trading in the convertible market, and in 2004 and the first quarter of 2005 the strategy has experienced its worst returns since the LTCM crisis in 1998 (annual return of 1.1% for the EDHEC Convertible Arbitrage index in 2004 and a negative return of -2.91% for the first quarter 2005 against an historical average annual return of 6.18%). Market opportunities seem to have been eroded in these markets and "pure alphas" may be more difficult to find due to the huge number of players. 6 Hedge fund industry: is there a capacity effect?
9 The alpha problem For those claiming that the industry is suffering from a capacity constraint, the main problem would seem to be that alpha (manager skill) is becoming rarer. The results of our survey show that while investors seem preoccupied with the problem of alpha, the main concern in the industry now is to evaluate this alpha and to understand the benefits of hedge funds. We have seen previously that "pure alphas" seem to be difficult to find because some strategies may be overcrowded. However, no more than 53.3% of the respondents think that alpha is the main source of performance within the industry (see graph 3 below). Moreover, 95% of the respondents think that alpha, through poor measurement of different risk exposures, could be overestimated (see graph 6 below), showing that alpha is not such a major source of returns and that exposure to different risk exposures plays an important role in explaining returns. As Fung (2003) says, " hedge funds deliver alternative risk premia for bearing risk in factors different from traditional investment ", Indeed, 69.8% of respondents are aware of "alternative betas" i.e. betas coming from exposure to risk factors other than market risk (see graph 4 below). Not surprisingly, 74% of the respondents who are aware of alternative betas claim that alternative betas are predominant in relative value arbitrage strategies, mainly in convertible arbitrage (58.33%, see graph 5 below) and fixed income arbitrage strategies (5). Therefore, we can wonder whether the disappointing performance that these strategies have experienced recently are due to a reduction in the risk premiums with regard to the systematic risks that these funds are taking (credit risk, volatility risk, etc., see exhibit 4) rather than to "pure alpha" that would be becoming difficult to produce due to a shortage of market opportunities and to overcrowding in these strategies. These results confirm the analysis in Gehin and Vaissié (2005), which indicated that % and 95.81% of the performance level of Convertible Arbitrage funds and Fixed Income Arbitrage funds, respectively, comes from their exposures to static betas (see exhibit 5). by for instance being exposed to volatility risk, default risk or liquidity risk. Hedge fund industry: is there a capacity effect? 7
10 Equity Factors Bond Factors Other Exhibit 4: Exposure to risk factors by strategy From January 1997 to December 2004 Implied volatility (VIX) Change in Implied Volatility (VIX) Value versus Growth Change in Value Versus Growth Small Cap versus Large Cap Equity Market Neutral Fixed Income Arbitrage Convertible Arbitrage Merger Arbitrage Distressed Securities Long/Short Equity Global/Macro CTA Global Emerging Markets Change in Small Cap versus Large Cap S&P 500 Term Spread Change in Term Spread Credit Spread Source: Edhec Risk and Asset Management Research Centre Change in Credit Spread Lehman Global Bond Index (Bond Return) Historical Volatility in Bond Return T-Bill 3 Months US Dollar Commodity Index Exhibit 5: Decomposition of Hedge Fund Strategies' Return Variability From January 1997 through December 2004 Investment Styles Static Betas Dynamic Betas Pure Alpha Total Convertible Arbitrage 42.13% 21.15% 36.72% CTA Global 26.97% % Distressed Securities 66.76% 8.62% 24.62% Emerging Markets 60.91% 14.74% 24.35% Equity Market Neutral 51.53% 27.37% 21.09% Fixed Income Arbitrage 37.28% 36.32% 26.39% Global Macro 35.49% 34.52% 29.99% Long/Short Equity 83.06% 9.25% Merger Arbitrage 59.51% 26.21% 14.29% Average 51.52% 23.64% 24.84% Source: Edhec Risk and Asset Management Research Centre 8 Hedge fund industry: is there a capacity effect?
11 Talented managers The third argument behind the problem of capacity constraint within the industry would be that the industry suffers from a lack of talented individuals. According to Watson Wyatt (2005), no more than of current hedge fund managers are highly skilled. With the increase in the number of funds and the fact that many managers with good track records are closed to new investment, the argument would be that fund of hedge funds managers would have more difficulty finding talented hedge fund managers only and their future returns would be expected to go down. The results of our survey show mitigated opinions. 59.3% of respondents find it difficult today to select talented managers (see graph 10 below), but only 36.3% of the respondents claim that the manager capacity constraint is an important threat to returns in the industry (see graph 11 below). It appears that the industry suffers more from the proliferation of funds, which leads investors to improve their fund selection process in order to find talented managers, rather than from a shortage of talented managers. Size effect? Even if research on the "age" and "size" effect shows varying results, an argument of those alleging that the industry suffers from a capacity effect is that size would impact the fund performance and therefore that there would be a critical size for a fund. Our results seem to refute this idea. Half of the respondents think that there is no size limit for a fund of hedge funds, whereas the other half thinks that a critical size exists (see graph 13 below). However, those who think that a critical size exists differ in their definition of the critical size (see graph 14 below). For 23.2% of these respondents the critical size of the fund of hedge funds depends on the underlying strategies. For 18.3% the size is around $500 million and for 22% the critical size is between $1 billion and $2 billion. 40.2% of the funds of hedge funds questioned are willing to buy or merge with a competitor in order to gain capacity in the industry (see graph 15). Hedge fund industry: is there a capacity effect? 9
12 CONCLUSION Capacity constraint in the hedge fund industry is currently a matter of concern to investment professionals. However, as the results of our survey show, the industry does not suffer from a capacity constraint but is facing new challenges. 69.8% (see graph 7 below) of our respondents consider that cyclical factors were among the main reasons behind recent lower-than-expected returns (for 42.3% of our respondents cyclical factors were the only reason). This corresponds to the conclusions of Fransolet and Loeys (2004), for whom many of the current low returns of hedge funds are due to cyclical factors which prevent the emergence of momentum or large mispricing opportunities (no major change in economic views, low volatility, high correlation in markets, low credit spreads, etc.). Investing in hedge funds offers several benefits but has its risks. Hedge fund managers are not magicians who provide excess returns without taking any risk. They are managers who create returns by exploiting alternative risk premiums and offer the benefits of diversification for an investor's portfolio (for 53.5% and 47.7% of our respondents respectively, the benefits of hedge funds come from their diversification benefits with equities and bonds, see graph 1 below). Moreover, the hedge fund industry is maturing and becoming more competitive, with institutional investors' current interest in the industry, the high fees that have characterised the business and increasing regulations. As 81.3% of our respondents acknowledge (see graph 12 below), the hedge fund industry is becoming more professional. With professionalism and innovation, the industry is more likely to keep growing and creating high and stable returns. However, as Lo (2004) says, " new opportunities are constantly being created as certain species die out, as others are born, and as institutions and business conditions change ". By exploiting opportunities in different markets and therefore increasing liquidity in these markets, hedge funds reduce some opportunities, but at the same time create new ones. 10 Hedge fund industry: is there a capacity effect?
13 REFERENCES Géhin, W. and Vaissié, M., "The Right Place for Alternative Betas in Hedge Fund Performance: an Answer to the Capacity Effect Fantasy", Edhec Risk and Asset Management Research Centre, June UBS, "The Critique of Pure Alpha", March Watson Wyatt, "Capacity in the Hedge Fund Industry", March Hedge fund industry: is there a capacity effect? 11
14 APPENDIX: STATISTICAL RESULTS 7 Graph 1 1. If you invest in hedge funds, why do you do so? % % % 32.9% 21.2% 10.6% For their diversification benefits with bonds For their diversification benefits with equities Hedge funds offer absolute returns Better performance on average than that of traditional funds The volatility of hedge fund performance is lower than that of traditional assets The potential for maximal loss is lower than for traditional assets Other Graph 2 2. At what average annual rate do you expect hedge fund industry assets to grow over the next 5 years? 5 45% 4 35% 3 25% % 36.3% 20.3% 15% 5% 2.2% % Less than Between and 5% Between 5% and Between and 15% Between 15% and 2 Between More than 2 and 25% 25% Expected growth 12 Hedge fund industry: is there a capacity effect?
15 Graph 3 3. To your mind, is alpha (manager skill) the main source of performance within the hedge fund industry? % Yes 46.7% No Graph 4 4. Are you aware of what are referred to as alternative betas (betas coming from exposure to risk factors other than market risk)? % % Yes No Hedge fund industry: is there a capacity effect? 13
16 Graph Within which strategies do you think that alternative betas are predominant? 58% % 28% 33% 28% 4 31% 25% 26% 29% 25% Convertible Arbitrage Fixed Income Arbitrage Merger Arbitrage Relative Value Distressed Securities Event Driven Long/Short Equity Equity Market Neutral Short Selling Emerging Markets Global Macro CTA Global Graph 6 6. Do you think that alpha, through poor measurement of different risk exposures, could be overestimated? % % Yes No 14 Hedge fund industry: is there a capacity effect?
17 Graph 7 7. Do you think that the lower-than-expected returns in 2004 were due to cyclical factors or to capacity constraints? 45% 42.3% 4 35% 3 25% 2 15% 20.9% 27.5% 9.3% 5% Cyclical factors Capacity constraints Both Other Graph 8 8. Do you think that arbitrage opportunities will be difficult to find in future years due to capacity constraints? % % Yes No Hedge fund industry: is there a capacity effect? 15
18 Graph 9 9. Of the following strategies, which suffer or will suffer from a market capacity constraint? 9 83% % % 15% 24% 41% 45% 23% 5% 19% 4 11% Convertible Arbitrage CTA Global Distressed Securities Emerging Markets Equity Market Neutral Event Driven Fixed Income Arbitrage Funds of Funds Global Macro Long/Short Equity Merger Arbitrage Relative Value Short Selling Graph Do you find it more difficult today to find talented hedge fund managers? % % Yes No 16 Hedge fund industry: is there a capacity effect?
19 Graph What is the main threat for returns in the industry? 5 45% 4 35% 3 25% 2 15% 5% 36.3% Manager capacity constraints (manager skill) 43.4% Market capacity constraint (size of the industry) 20.3% Other Graph Do you think that the hedge fund industry is becoming more professional? % % Yes No Hedge fund industry: is there a capacity effect? 17
20 Graph Do you think that there is a critical size for a fund of hedge funds? % 49.45% Yes No Graph Critical size for a fund of hedge funds 35% 3 25% 2 15% 12.2% 18.3% 12.2% 9.8% 8.5% 15.85% 23.2% 5% Less than $300 million Around $500 million Around $1 billion Around $2 billion Around $5 billion Other size Depends on the strategies 18 Hedge fund industry: is there a capacity effect?
21 Graph If you are a fund of hedge funds, are you willing to buy or merge with a competitor in order to gain capacity in the industry? % % Yes No Hedge fund industry: is there a capacity effect? 19
22 EDHEC RISK AND ASSET MANAGEMENT RESEARCH CENTRE Edhec is one of the top five business schools in France owing to the high quality of its academic staff (over 100 permanent lecturers from France and abroad) and its privileged relationship with professionals that the school has been developing since it was established in Edhec Business School has decided to draw on its extensive knowledge of the professional environment and has therefore concentrated its research on themes that satisfy the needs of professionals. Edhec is one of the few business schools in Europe to have received the triple international accreditation: AACSB (US-Global), Equis (Europe-Global) and AMBA (UK-Global). Edhec pursues an active research policy in the field of finance. Its Risk and Asset Management Research Centre carries out numerous research programmes in the areas of asset allocation and risk management in both the traditional and alternative investment universes. The choice of asset allocation The Edhec Risk and Asset Management Research Centre structures all of its research work around asset allocation. This issue corresponds to a genuine expectation from the market. On the one hand, the prevailing stock market situation in recent years has shown the limitations of active management based solely on stock picking as a source of performance. On the other, the appearance of new asset classes (hedge funds, private equity), with risk profiles that are very different from those of the traditional investment universe, constitutes a new opportunity in both conceptual and operational terms. This strategic choice is applied to all of the centre's research programmes, whether they involve proposing new methods of strategic allocation, which integrate the alternative class; measuring the performance of funds while taking the tactical allocation dimension of the alphas into account; taking extreme risks into account in the allocation; or studying the usefulness of derivatives in constructing the portfolio. Percent of variation between funds % Strategic Asset Allocation 40. Tactical Asset Allocation Stock Picking 45.5% Fees Source: Edhec (2002) and Ibbotson, Kaplan (2000) 20 Edhec Risk and Asset Management Research Centre
23 An applied research approach In a desire to ensure that the research it carries out is truly applicable in practice, Edhec has implemented a dual validation system for the work of the Risk and Asset Management Research Centre. All research work must be part of a research programme, the relevance and goals of which have been validated from both an academic and a business viewpoint by the centre's advisory board. This board is made up of both internationally recognised researchers and the centre's business partners. The management of the research programmes respects a rigorous validation process, which guarantees both the scientific quality and the operational usefulness of the programmes. To date, the centre has implemented six research programmes: Multi-style/multi-class allocation This research programme has received the support of Misys Asset Management Systems, SG Asset Management and FIMAT. The research carried out focuses on the benefits, risks and integration methods of the alternative class in asset allocation. From that perspective, Edhec is making a significant contribution to the research conducted in the area of multi-style/multiclass portfolio construction. Performance and style analysis The scientific goal of the research is to adapt the portfolio performance and style analysis models and methods to tactical allocation. The results of the research carried out by Edhec thereby allow portfolio alphas to be measured not only for stock picking but also for style timing. This programme is part of a business partnership with the firm EuroPerformance (part of the Fininfo group). Indices and benchmarking Edhec carries out analyses of the quality of indices and the criteria for choosing indices for institutional investors. Edhec also proposes an original proprietary style index construction methodology for both the traditional and alternative universes. These indices are intended to be a response to the critiques relating to the lack of representativity of the style indices that are available on the market. Edhec was the first to launch composite hedge fund strategy indices as early as The indices and benchmarking research programme is supported by AF2I, Euronext, BGI, BNP Paribas Asset Management and UBS Global Asset Management. Asset allocation and extreme risks This research programme relates to a significant concern for institutional investors and their managers that of minimising extreme risks. It notably involves adapting the current tools for measuring extreme risks (VaR) and constructing portfolios (stochastic check) to the issue of the long-term allocation of pension funds. This programme has been designed in co-operation with Inria's Omega laboratory. This research programme also intends to cover other potential sources of extreme risks such as liquidity and operations. The objective is to allow for better measurement and modelling of such risks in order to take them into consideration as part of the portfolio allocation process. Asset allocation and derivative instruments This research programme focuses on the usefulness of employing derivative instruments in the area of portfolio construction, whether it involves implementing active portfolio allocation or replicating indices. "Passive" replication of "active" hedge fund indices through portfolios of derivative instruments is a key area in the research carried out by Edhec. This programme is supported by Eurex and Lyxor. ALM and asset management This programme concentrates on the application of recent research in the area of asset liability management for pension plans and insurance companies. The research centre is working on the idea that improving asset management techniques and particularly strategic allocation techniques has a positive impact on the performance of Asset- Liability Management programmes. The programme includes research on the benefits of alternative investments, such as hedge funds, in long-term portfolio management. Particular attention is given to the institutional context of ALM and notably the integration of the impact of the IFRS standards and the Solvency II directive project. Edhec Risk and Asset Management Research Centre 21
24 Edhec Risk and Asset Management Advisory Board In a desire to guarantee that its research work is both relevant and operational, the Edhec Risk and Asset Management Research Centre has set up an advisory board chaired by Mr. Jean-François Lepetit, associate professor with Edhec and former president of the French regulatory authority, the COB (Commission des Opérations de Bourse). The board is made up of around twenty members, chosen according to their experience and their expertise in the financial domain and, more specifically, in asset management. The functions of the board are, on the one hand, to validate the objectives of the research programmes proposed by the management of the centre and, on the other, to evaluate the results of the research with a view to the impact that they could have on the practices of the asset management industry. The board will also be called on to give its opinion on the content of the projects that Edhec develops from the research of its asset management research centre (initial training, executive training, etc.). The board meets on a yearly basis during plenary sessions that allow current and future research centre developments to be reviewed. The board chairman may also, on certain subjects, form adhoc working groups that would be in charge of preparing or studying in greater detail themes that have been or will be brought up in the plenary session. Research for business In order to facilitate the dialogue between the academic and business worlds, the centre has recently undertaken four major initiatives: Opening of a web site that is entirely devoted to the activity of international research into asset management. is aimed at a public of professionals who wish to benefit from Edhec's analyses and expertise in the field of applied portfolio management research such as detailed summaries, from a business perspective, of the latest academic research on risk and asset allocation as well as the latest industry news assessed in the light of the results of the Edhec research programme. is also the official site for the Edhec Indices. Launch of Edhec-Risk Advisory, the consulting arm of the research centre focusing on risk management issues within the buy-side industry, and offering a wide range of services aimed at supporting fund managers and their service providers in the fields of operational risk, best execution, structured products, alternative investment due diligence and risk management system implementation. Launch of Edhec Investment Research, in order to support institutional investors and asset managers in implementing the results of the Edhec Risk and Asset Management Research Centre s research. Edhec Investment Research proposes asset allocation services in the context of a coresatellite approach encompassing alternative investments. Launch of Edhec Alternative Investment Education, which is the exclusive official CAIA association course provider for Europe. The team The aim of the Edhec Risk and Asset Management Research Centre is to become the leading European centre of research into asset management in the coming years. To that end, Edhec has invested significantly to give the centre an international research team made up of both professors and permanent researchers, with whom professionals are affiliated in the capacity of research associates. To date, the Edhec Risk and Asset Management Research Centre has more than 28 members: 15 permanent members and 13 associates that are operating in firms that are reputed for their proficiency in asset management. This team is managed by Professor Noël Amenc, who has considerable experience in asset management as both an academic and a professional. 22 Edhec Risk and Asset Management Research Centre
25
26 Edhec Risk and Asset Management Research Centre Promenade des Anglais BP Nice Cedex 3 France Tel. +33 (0) Fax +33 (0) research@edhec-risk.com
An EDHEC Risk and Asset Management Research Centre Publication Hedge Fund Performance in 2006: A Vintage Year for Hedge Funds?
An EDHEC Risk and Asset Management Research Centre Publication Hedge Fund Performance in 2006: March 2007 Published in France, March 2007. Copyright EDHEC 2007 The ideas and opinions expressed in this
More informationAre You Rich Enough for A (Single) Family Office
Are You Rich Enough for A (Single) Family Office May 2018 Bernd Scherer Research Associate, EDHEC-Risk Institute Abstract Are you rich enough for a family office? Focusing purely on the financial economics
More informationsmart beta platform Choice: A More for Less Initiative for Smart Beta Investing Transparency: Clarity:
2 As part of its policy of transferring know-how to the industry, EDHEC-Risk Institute has set up ERI Scientific Beta. ERI Scientific Beta is an original initiative which aims to favour the adoption of
More informationAn EDHEC Risk and Asset Management Research Centre Publication Reactions to the EDHEC Study Assessing the Quality of Stock Market Indices
An EDHEC Risk and Asset Management Research Centre Publication Reactions to the EDHEC Study Assessing the Quality of Stock Market Indices September 2007 Published in France, September 2007. Copyright EDHEC
More informationState-of-the-Art Commodities Investing Seminar
State-of-the-Art Commodities Investing Seminar Singapore, 28-29 July 2011 > Drivers and risks of commodity markets > Integrating commodities into global portfolios strategic and tactical asset allocation
More informationThe Risk Considerations Unique to Hedge Funds
EDHEC RISK AND ASSET MANAGEMENT RESEARCH CENTRE 393-400 promenade des Anglais 06202 Nice Cedex 3 Tel.: +33 (0)4 93 18 32 53 E-mail: research@edhec-risk.com Web: www.edhec-risk.com The Risk Considerations
More informationCrude Oil Futures Markets: Are the Benefits of Roll Yield Real?
Crude Oil Futures Markets: Are the Benefits of Roll Yield Real? December 2014 Hilary Till Research Associate, EDHEC-Risk Institute Principal, Premia Research LLC Research assistance from Katherine Farren
More informationOVERVIEW OF HEDGE FUND CATEGORIES
OVERVIEW OF HEDGE FUND CATEGORIES HOW DO THEY GENERATE PERFORMANCE By Thomas Ian Alessie, Partner & Co-Founder November 2004 AGENDA HEDGE FUND STRATEGIES REVIEW Definitions Statistics PERFORMANCE GENERATION
More informationHEDGE FUNDS: HIGH OR LOW RISK ASSETS? Istvan Miszori Szent Istvan University, Hungary
HEDGE FUNDS: HIGH OR LOW RISK ASSETS? Istvan Miszori Szent Istvan University, Hungary E-mail: imiszori@loyalbank.com Zoltan Széles Szent Istvan University, Hungary E-mail: info@in21.hu Abstract Starting
More informationThe Dimensions of Quality Investing Seminar
The Dimensions of Quality Investing Seminar High Profitability and Low Investment Factors Boston, March 3, 2015 New York, March 5, 2015 Asset managers and index providers are increasingly touting the benefits
More informationCORESHARES SCIENTIFIC BETA MULTI-FACTOR STRATEGY HARVESTING PROVEN SOURCES OF RETURN AT LOW COST: AN ACTIVE REPLACEMENT STRATEGY
CORESHARES SCIENTIFIC BETA MULTI-FACTOR STRATEGY HARVESTING PROVEN SOURCES OF RETURN AT LOW COST: AN ACTIVE REPLACEMENT STRATEGY EXECUTIVE SUMMARY Smart beta investing has seen increased traction in the
More informationThe EDHEC European ETF and Smart Beta Survey
The EDHEC European ETF and Smart Beta Survey Felix Goltz Head of Applied Research, EDHEC-Risk Institute, and Research Director, ERI Scientific Beta This research has been carried out as part of the Amundi
More informationAdvisor Briefing Why Alternatives?
Advisor Briefing Why Alternatives? Key Ideas Alternative strategies generally seek to provide positive returns with low correlation to traditional assets, such as stocks and bonds By incorporating alternative
More informationInstitute. Yale School of Management EDHEC-Risk Institute Strategic Asset Allocation and Investment Solutions Seminar
Institute Yale School of Management EDHEC-Risk Institute Strategic Asset Allocation and Investment Solutions Seminar November 12-13, 2013, Yale Campus (New Haven, CT) - USA Yale SOM EDHEC-Risk Strategic
More informationHow to Time the Commodity Market
EDHEC RISK AND ASSET MANAGEMENT RESEARCH CENTRE 393-400 promenade des Anglais 06202 Nice Cedex 3 Tel.: +33 (0)4 93 18 32 53 E-mail: research@edhec-risk.com Web: www.edhec-risk.com How to Time the Commodity
More informationDynamic Smart Beta Investing Relative Risk Control and Tactical Bets, Making the Most of Smart Betas
Dynamic Smart Beta Investing Relative Risk Control and Tactical Bets, Making the Most of Smart Betas Koris International June 2014 Emilien Audeguil Research & Development ORIAS n 13000579 (www.orias.fr).
More informationCURRENCY MANAGEMENT SOLUTIONS
FOR PROFESSIONAL CLIENTS ONLY. NOT TO BE REPRODUCED WITHOUT PRIOR WRITTEN APPROVAL. PLEASE REFER TO ALL RISK DISCLOSURES AT THE BACK OF THIS DOCUMENT. CURRENCY MANAGEMENT SOLUTIONS AUGUST 2017 > Currency
More informationThe most complete and transparent platform for investing in smart beta
A More for Less Initiative More Academic Rigour, More Transparency, More Choice, Overview and Experience Launch of the EDHEC-Risk Alternative Indices Used by more than 7,500 professionals worldwide to
More informationSpotting Passive Investment Trends: The EDHEC European ETF Survey
Spotting Passive Investment Trends: The EDHEC European ETF Survey Felix Goltz Head of Applied Research, EDHEC-Risk Institute Research Director, ERI Scientific Beta This research has been carried out as
More informationEDHEC-Risk Institute establishes ERI Scientific Beta. ERI Scientific Beta develops the Smart Beta 2.0 approach
A More for Less Initiative More Academic Rigour, More Transparency, More Choice, Overview and Experience 2 Launch of the EDHEC-Risk Alternative Indices Used by more than 7,500 professionals worldwide to
More informationSTRATEGY OVERVIEW EMERGING MARKETS LOW VOLATILITY ACTIVE EQUITY STRATEGY
STRATEGY OVERVIEW EMERGING MARKETS LOW VOLATILITY ACTIVE EQUITY STRATEGY A COMPELLING OPPORTUNITY For many years, the favourable demographics and high economic growth in emerging markets (EM) have caught
More informationNew Frontiers in Risk Allocation and Factor Investing
New Frontiers in Risk Allocation and Factor Investing The Princeton Club, New York, 22 April 2015 Institute Exclusive sponsor New Frontiers in Risk Allocation and Factor Investing The Princeton Club, New
More informationInstitute. Yale School of Management EDHEC-Risk Institute Commodities & Hedge Funds Seminar. February 24-25, 2015, London United Kingdom
Institute Yale School of Management EDHEC-Risk Institute Commodities & Hedge Funds Seminar February 24-25, 2015, London United Kingdom Yale SOM EDHEC-Risk Commodities & Hedge Funds Seminar Seminar Description
More informationGreenwich Global Hedge Fund Index Construction Methodology
Greenwich Global Hedge Fund Index Construction Methodology The Greenwich Global Hedge Fund Index ( GGHFI or the Index ) is one of the world s longest running and most widely followed benchmarks for hedge
More information(cpt) (jhb) (w) (e)
What Hedge is funds, Portable funds Alpha? of hedge funds 01 and platforms 01 Investros, Hedge funds, Trustees funds and of hedge ESG investing funds and platforms 02 02 Hedge funds, funds of hedge funds
More informationFranklin Templeton Investment Funds Franklin Templeton Global Allocation Fund
Franklin Templeton Investment Funds Franklin Templeton Global Allocation Fund Fund Details Inception Date 29 July 2011 Investment Style Benchmark(s) Asset Allocation 50% MSCI All Country World Index 35%
More informationHow surprising are returns in 2008? A review of hedge fund risks
How surprising are returns in 8? A review of hedge fund risks Melvyn Teo Abstract Many investors, expecting absolute returns, were shocked by the dismal performance of various hedge fund investment strategies
More informationMan Group Stock Performance. US$ Per Share 35
Panel Sponsored by: Man Group Stock Performance US$ Per Share 35 30 25 20 15 10 5 0 95 96 97 98 99 00 01 02 03 What is a Hedge Fund? The term "hedge fund" is not formally defined by federal securities
More informationExperienced investment management
BRINKER CAPITAL Experienced investment management 30 years of excellence in investment management Our time-tested and disciplined investment process Better outcomes through experience, consistency, and
More informationBuilding Efficient Hedge Fund Portfolios August 2017
Building Efficient Hedge Fund Portfolios August 2017 Investors typically allocate assets to hedge funds to access return, risk and diversification characteristics they can t get from other investments.
More informationThe Performance of Socially Responsible Investment and Sustainable Development in France: An Update after the Financial Crisis
EDHEC-Risk Institute 393-400 promenade des Anglais 06202 Nice Cedex 3 Tel.: +33 (0)4 93 18 78 24 Fax: +33 (0)4 93 18 78 41 E-mail: research@edhec-risk.com Web: www.edhec-risk.com The Performance of Socially
More informationPortable alpha through MANAGED FUTURES
Portable alpha through MANAGED FUTURES an effective platform by Aref Karim, ACA, and Ershad Haq, CFA, Quality Capital Management Ltd. In this article we highlight how managed futures strategies form a
More informationCelebrating Eight Years of Absolute Return How our Absolute Return portfolio has fared
For Financial Advisor Use Only Celebrating Eight Years of Absolute Return How our Absolute Return portfolio has fared Venus Phillips Investment Manager Morningstar Investment Services Morningstar Investment
More informationChallenges in Commodities Risk Management
EDHEC RISK AND ASSET MANAGEMENT RESEARCH CENTRE 393-400 promenade des Anglais 06202 Nice Cedex 3 Tel.: +33 (0)4 93 18 32 53 E-mail: research@edhec-risk.com Web: www.edhec-risk.com Challenges in Commodities
More informationManagers who primarily exploit mispricings between related securities are called relative
Relative Value Managers who primarily exploit mispricings between related securities are called relative value managers. As argued above, these funds take on directional bets on more alternative risk premiums,
More informationTiming Indicators for Structural Positions in Crude Oil Futures Contracts
Timing Indicators for Structural Positions in Crude Oil Futures Contracts June 2016 Hilary Till Research Associate, EDHEC-Risk Institute Principal, Premia Research LLC This article will argue that it is
More informationCOPYRIGHTED MATERIAL. Investment management is the process of managing money. Other terms. Overview of Investment Management CHAPTER 1
CHAPTER 1 Overview of Investment Management Investment management is the process of managing money. Other terms commonly used to describe this process are portfolio management, asset management, and money
More informationHedge Funds and Hedge Fund Derivatives. Date : 18 Feb 2011 Produced by : Angelo De Pol
Hedge Funds and Hedge Fund Derivatives Date : 18 Feb 2011 Produced by : Angelo De Pol Contents 1. Introduction 2. What are Hedge Funds? 3. Who are the Managers? 4. Who are the Investors? 5. Hedge Fund
More informationThe Future of Alternatives and Their Role within Asset Allocations
NORTHERN TRUST 2009 INSTITUTIONAL CLIENT CONFERENCE GLOBAL REACH, LOCAL EXPERTISE The Future of Alternatives and Their Role within Asset Allocations John Krieg, CFA, CAIA Director of Global Investment
More informationIBM Business Consulting Services. Financial Markets. Fund managers: The challenge of hedge funds
IBM Business Consulting Services Financial Markets Fund managers: The challenge of hedge funds Introduction Hedge funds have grown rapidly and are now attracting significant institutional assets. To traditional
More informationFactor investing Focus:
Focus: adding value Factoring in the best approach a rose by any other name In association with: Quoniam Asset Management s Thomas Kieselstein explains to European Pensions how best to implement factor
More informationGrant Park Multi Alternative Strategies Fund. Why Invest? Profile Since Inception. Consider your alternatives. Invest smarter.
Consider your alternatives. Invest smarter. Grant Park Multi Alternative Strategies Fund GPAIX Executive Summary November 206 Why Invest? 30 years of applied experience managing funds during multiple market
More informationSmart Beta and the Evolution of Factor-Based Investing
Smart Beta and the Evolution of Factor-Based Investing September 2016 Donald J. Hohman Managing Director, Product Management Hitesh C. Patel, Ph.D Managing Director Structured Equity Douglas J. Roman,
More informationFactor Investing: 2018 Landscape
Factor Investing: 2018 Landscape Growth expected to continue The factor investing landscape has proliferated in recent years. Today, the factor industry is $1.9 trillion in AUM and has grown organically
More informationScientific Beta Smart Beta Performance Report, December 2018
Introduction Scientific Beta Smart Beta Performance Report, December 2018 Scientific Beta offers smart factor indices that provide exposure to the six well-known rewarded factors (Mid Cap, Value, High
More informationHedge Funds, Hedge Fund Beta, and the Future for Both. Clifford Asness. Managing and Founding Principal AQR Capital Management, LLC
Hedge Funds, Hedge Fund Beta, and the Future for Both Clifford Asness Managing and Founding Principal AQR Capital Management, LLC An Alternative Future Seven years ago, I wrote a paper about hedge funds
More informationAlternative Risk Premia: What Do We know? 1
Alternative Risk Premia: What Do We know? 1 Thierry Roncalli and Ban Zheng Lyxor Asset Management 2, France Lyxor Conference Paris, May 23, 2016 1 The materials used in these slides are taken from Hamdan
More informationThe State of the Hedge Fund Industry
INSIGHTS The State of the Hedge Fund Industry September 2017 203.621.1700 2017, Rocaton Investment Advisors, LLC EXECUTIVE SUMMARY Hedge fund strategies have faced increased scrutiny post-financial crisis
More informationHedge Fund Overview. Concordia University, Nebraska
Hedge Fund Overview Concordia University, Nebraska AUGUST 2016 Important Information Please remember that all investments carry some level of risk, including the potential loss of principal invested. They
More informationActive vs. Passive Money Management
Active vs. Passive Money Management Exploring the costs and benefits of two alternative investment approaches By Baird s Advisory Services Research Synopsis Proponents of active and passive investment
More informationKey reasons why you must attend this groundbreaking training course: Introducing the Investment Markets and Investment Fundamentals
Investment Management Effective Methods Course Highlights and Agenda Key reasons why you must attend this groundbreaking training course: You will get to grips with the practicalities of cutting-edge investment
More informationThe Pros and Cons of Managed Account Platforms
EAID 2008 Alternative Investment Conference Tuesday December 09, 4:00 pm 5:30 pm The Pros and Cons of Managed Account Platforms Jean René Giraud EDHEC Risk and Asset Management Research Center jrg@edhec-risk.com
More informationAll Alternative Funds are Not Equal
May 19 New York All Alternative Funds are Not Equal Patrick Deaton, CAIA, Senior Vice President, Alternatives, Neuberger Berman David Kupperman, PhD, Managing Director, Alternatives, Neuberger Berman Today
More informationActive vs. Passive Money Management
Active vs. Passive Money Management Exploring the costs and benefits of two alternative investment approaches By Baird s Advisory Services Research Synopsis Proponents of active and passive investment
More informationAlternative Investments: Risks & Returns
Alternative Investments: Risks & Returns THE FAMILY ALTERNATIVE INVESTMENT CONFERENCE February 2007, Monaco Hossein Kazemi, PhD, CFA Managing Partner, AIA Professor of Finance, Univ of Massachusetts kazemi@alternativeanalytics.com
More informationTaking Full Advantage of the Statistical Properties of Commodity Investments
Taking Full Advantage of the Statistical Properties of Commodity Investments June 2013 Hilary Till Research Associate, EDHEC-Risk Institute Principal, Premia Capital Management, LLC A version of this article
More informationSurvey of Allocators Investment Trends February 2016
Carl Berg, Catalyst Financial Partners, Susan Weerts, Research Analyst Scope of Survey The alternative investing industry stands at about $3 trillion in AUM with an average performance of 0.29%(BarclayHedge)
More informationSearching for a Hedge Fund Bubble
Searching for a Hedge Fund Bubble Keith Black, CFA, CAIA Illinois Institute of Technology Author Managing a Hedge Fund Gerald Laurain, CFA ABN Amro Asset Management Director of Alternative Investments
More informationTHE EVOLVING INVESTMENT STRATEGIES OF UCITS
THE EVOLVING INVESTMENT STRATEGIES OF UCITS EFAMA report on the so called Newcits phenomenon 08.04.2011 18 Square de Meeûs B 1050 Bruxelles +32 2 513 39 69 Fax +32 2 513 26 43 e mail : info@efama.org www.efama.org
More informationevestment: The evolution of hedge fund investing Institutions evolve investments at varying speed The challenges of manager selection and fee pressure
April 2015 evestment: The evolution of hedge fund investing Institutions evolve investments at varying speed The challenges of manager selection and fee pressure Guide to strategic direction of asset flows
More informationCFA Level III - LOS Changes
CFA Level III - LOS Changes 2016-2017 Ethics Ethics Ethics Ethics Ethics Ethics Ethics Ethics Topic LOS Level III - 2016 (332 LOS) LOS Level III - 2017 (337 LOS) Compared 1.1.a 1.1.b 1.2.a 1.2.b 2.3.a
More informationHedge Funds: Past, present and future By Rene M Stulz, Journal of Economic Perspectives, Spring 2007
Hedge Funds: Past, present and future By Rene M Stulz, Journal of Economic Perspectives, Spring 2007 Hedge funds are unregulated pools of money managed with a great deal of flexibility. Thus, hedge fund
More informationTed Stover, Managing Director, Research and Analytics December FactOR Fiction?
Ted Stover, Managing Director, Research and Analytics December 2014 FactOR Fiction? Important Legal Information FTSE is not an investment firm and this presentation is not advice about any investment activity.
More informationPutting DC Members Front and Centre
Aon Retirement and Investment Putting DC Members Front and Centre Refocusing DC Investment Table of contents Intoduction.... 3 Discover the member focus.... 4 Develop your equity investments to help achieve
More informationMYNORTH RETIREMENT FUND
MYNORTH RETIREMENT FUND MyNorth Retirement Fund is a diversified investment solution designed and managed specifically with retirees needs in mind. The Fund leverages AMP Capital Multi-Asset Group capability
More informationReport of the Survey on Hedge Funds Managed by SFC Licensed Managers. (for the Period 31 March March 2006)
Report of the Survey on Hedge Funds Managed by SFC Licensed Managers (for the Period 31 March 2004 31 March 2006) The Securities and Futures Commission Hong Kong October 2006 Table of contents Page 1.
More informationAmundi ETF/EDHEC Risk Institute European Seminar Series 2010
Amundi ETF/EDHEC Risk Institute European Seminar Series 2010 I N V I T A T I O N Frankfurt, Munich, Cologne, Milan, Rome, Zurich, Geneva, Amsterdam, Luxembourg, Brussels Institute Amundi ETF/EDHEC Risk
More informationInvestment Policy Statement
Investment Policy Statement Contents Introduction 1 Implementing the investment strategy 5 Roles and responsibilities 1 Risk management 6 Investment mission & beliefs 2 Monitoring and reviewing the investment
More informationZero Beta (Managed Account Mutual Funds/ETFs)
2016 Strategy Review Zero Beta (Managed Account Mutual Funds/ETFs) December 31, 2016 The following report provides in-depth analysis into the successes and challenges of the NorthCoast Zero Beta investment
More informationThe Morningstar Category TM Classifications for Hedge Funds
The Morningstar Category TM Classifications for Hedge Funds Morningstar Methodology Paper November 22, 2007 Contents Introduction 3 Equity Equity, US Small Cap Equity, US Equity, Developed Asia Equity,
More informationHedge fund replication using strategy specific factors
Subhash and Enke Financial Innovation (2019) 5:11 https://doi.org/10.1186/s40854-019-0127-3 Financial Innovation RESEARCH Hedge fund replication using strategy specific factors Sujit Subhash and David
More informationUpdate on UC s s Absolute Return Program. 603 Committee on Investments / Investment Advisory Committee February 14, 2006
Update on UC s s Absolute Return Program 603 Committee on Investments / Investment Advisory Committee February 14, 2006 AGENDA Page I. Understanding of Absolute Return as an Asset Class 3 II. Review of
More informationAiming to deliver attractive absolute returns with style
For professional investors only Aiming to deliver attractive absolute returns with style BMO Global Equity Market Neutral (SICAV) 2 BMO Global Equity Market Neutral (SICAV) Leveraging our proven capabilities
More informationLiterature Overview Of The Hedge Fund Industry
Literature Overview Of The Hedge Fund Industry Introduction The last 15 years witnessed a remarkable increasing investors interest in alternative investments that leads the hedge fund industry to one of
More informationThe EDHEC European ETF Survey 2014
The EDHEC European ETF Survey 2014 Felix Goltz Head of Applied Research, EDHEC-Risk Institute, and Research Director, ERI Scientific Beta This research has been carried out as part of the Amundi ETF& Indexing
More informationRisk Management CHAPTER 12
Risk Management CHAPTER 12 Concept of Risk Management Types of Risk in Investments Risks specific to Alternative Investments Risk avoidance Benchmarking Performance attribution Asset allocation strategies
More informationDiversified or Concentrated Factors What are the Investment Beliefs Behind these two Smart Beta Approaches?
Diversified or Concentrated Factors What are the Investment Beliefs Behind these two Smart Beta Approaches? Noël Amenc, PhD Professor of Finance, EDHEC Risk Institute CEO, ERI Scientific Beta Eric Shirbini,
More informationAdvances in Asset Allocation Seminar New York, May 2009, Grand Hyatt
Advances in Asset Allocation Seminar New York, 12-14 May 2009, Grand Hyatt Asset Management Education The Choice of Asset Allocation and Risk Management õ Having learned in recent years about the limited
More informationLazard Insights. Distilling the Risks of Smart Beta. Summary. What Is Smart Beta? Paul Moghtader, CFA, Managing Director, Portfolio Manager/Analyst
Lazard Insights Distilling the Risks of Smart Beta Paul Moghtader, CFA, Managing Director, Portfolio Manager/Analyst Summary Smart beta strategies have become increasingly popular over the past several
More informationWhat are the New Methods of Investing Passively in Commodities?
What are the New Methods of Investing Passively in Commodities? Joëlle Miffre Professor of Finance, EDHEC Business School Member of EDHEC-Risk Institute What are the New Methods of Investing Passively
More informationInvestable Hedge Fund Indices: Illusion or reality?
Investable Hedge Fund Indices: Illusion or reality? August 2004 Many academic papers have tackled the failure of non-investable hedge fund indices to efficiently represent the universe of hedge funds (for
More informationIPE Awards 2018 Category Guidance
IPE Awards 2018 Category Guidance COUNTRY/REGIONAL AWARDS For your country or regional award, you should present a general, detailed overview of your recent activity in the past 12-15 months, focusing
More informationSUMMARY OF ASSET ALLOCATION STUDY AHIA August 2011
SUMMARY OF ASSET ALLOCATION STUDY AHIA August 2011 Expected Return 9.0% 8.5% 8.0% 7.5% 7.0% Risk versus Return Model 3 Model 2 Model 1 Current 6.0% 6.5% 7.0% 7.5% 8.0% 8.5% 9.0% Expected Risk Return 30%
More informationGROWTH FIXED INCOME APRIL 2013
GROWTH FIXED INCOME APRIL 2013 BACKGROUND Most investors view fixed income investments as providing a liability-matching or defensive aspect to their total portfolio. The types of investments considered
More informationThe Evolution of Alternative Beta: Using Index-Based Investment Strategies
Filed pursuant to Rule 433 Registration Statement No. 333-180300-03 Investor Solutions The Evolution of Alternative Beta: Using Index-Based Investment Strategies This presentation may not be altered except
More informationETFs in the Institutional Asset Management Area
The EDHEC European ETF Survey 2006 November 21st, 9.00 11.00am ETFs in the Institutional Asset Management Area Jean-René Giraud Director EDHEC Risk and Asset Management Research Centre Sponsored by EDHEC
More informationCHAPTER 1 Introduction Outline of This Book Studying for the CAIA Level II Examination 3
Contents Preface Acknowledgments About the Authors xv xxi xxv CHAPTER 1 Introduction 1 1.1 Outline of This Book 1 1.2 Studying for the CAIA Level II Examination 3 PART ONE Asset Allocation and Portfolio
More informationWhy and How to Pick Tactical for Your Portfolio
Why and How to Pick Tactical for Your Portfolio A TACTICAL PRIMER Markets and economies have exhibited characteristics over the past two decades dissimilar to the years which came before. We have experienced
More informationDemystifying the Role of Alternative Investments in a Diversified Investment Portfolio
Demystifying the Role of Alternative Investments in a Diversified Investment Portfolio By Baird s Advisory Services Research Introduction Traditional Investments Domestic Equity International Equity Taxable
More informationSmart Beta and the Evolution of Factor-Based Investing
Smart Beta and the Evolution of Factor-Based Investing September 2017 Donald J. Hohman Managing Director, Product Management Hitesh C. Patel, Ph.D Managing Director Structured Equity Douglas J. Roman,
More informationInstitute. Yale School of Management EDHEC-Risk Institute Multi-Asset Products and Solutions Seminar
Institute Yale School of Management EDHEC-Risk Institute Multi-Asset Products and Solutions Seminar May 26-27, 2015, Yale Campus (New Haven, CT) - USA Yale SOM EDHEC-Risk Multi-Asset Products and Solutions
More informationDynamic Risk Management in the Power and Utilities industry
Dynamic Risk Management in the Power and Utilities industry Unit Document Classification Title Date Group Accounting Standards and Administrative Rules/Risk Management Memo External Use Dynamic risk Management
More informationCombining active and passive managements in a portfolio
Combining active and passive managements in a portfolio Nicolas Gaussel Chief Investment Officer Lyxor Asset Management Arnaud Llinas Head of ETFs & Indexing Lyxor Asset Management In recent years, established
More informationBe Active With Your Bond Trackers
Be Active With Your Bond Trackers October 2004 Noël Amenc Professor of Finance, EDHEC EDHEC Business School, and Director Risk and Asset Management Research Centre Jean-René Giraud C.E.O, EDHEC-Risk Advisory
More informationSTRATEGY OVERVIEW. Opportunistic Growth. Related Funds: 361 U.S. Small Cap Equity Fund (ASFZX)
STRATEGY OVERVIEW Opportunistic Growth Related Funds: 361 U.S. Small Cap Equity Fund (ASFZX) Strategy Thesis The thesis driving 361 s traditional long-only equity strategies is based on the belief that
More informationHow to evaluate factor-based investment strategies
A feature article from our U.S. partners INSIGHTS SEPTEMBER 2018 How to evaluate factor-based investment strategies Due diligence on smart beta strategies should be anything but passive Original publication
More informationEvolving Equity Investing: Delivering Long-Term Returns in Short-Tempered Markets
March 2012 Evolving Equity Investing: Delivering Long-Term Returns in Short-Tempered Markets Kent Hargis Portfolio Manager Low Volatility Equities Director of Quantitative Research Equities This information
More informationCREDIT AGRICOLE s response to the proposed changes to the regulatory capital treatment and supervision of IRRBB
CREDIT AGRICOLE s response to the proposed changes to the regulatory capital treatment and supervision of IRRBB BCBS s Consultation Paper, 11 th September 2015 CREDIT AGRICOLE is a mutual banking group
More informationINVESTMENT POLICY. January Approved by the Board of Governors on 12 December Third amendment approved with effect from 1 January 2019
INVESTMENT POLICY January 2019 Approved by the Board of Governors on 12 December 2016 Third amendment approved with effect from 1 January 2019 1 Contents SECTION 1. OVERVIEW SECTION 2. INVESTMENT PHILOSOPHY-
More informationHSBC OpenFunds Investment without Frontiers A guide to blending managers
HSBC OpenFunds Investment without Frontiers A guide to blending managers July 2013 For professional clients only The blending process strengthens the risk framework of the portfolio as successfully combining
More information