Publications | EDHEC Climate Institute

March 2004

The Benefits of Bond ETFs for Institutional Investors - The Natural Vehicle for a Core-Satellite Approach

Recent market difficulties have drawn attention to the risk management practices of institutional investors.…

January 2004

Be Active with your Bond Trackers

Newly launched fixed-income Exchange Traded Funds (ETFs) have specifically been designed to track bond market indices,…

January 2004

Hedge Fund Indices: Investable, Non-Investable and Strategy Benchmarks

In the mutual fund industry, which is based on a passive investment approach, and where respecting the tracking error is…

January 2004

A Survey of the Literature on Hedge Fund Performance

The issue of performance measurement in the hedge fund industry has led to literature that is both abundant and…

January 2004

Taking a Close Look at the European Fund of Hedge Funds Industry- Comparing and Contrasting Industry Best Practices and Academic Recommendations

Over the last few years institutional investors’ traditional portfolios have failed to meet their objectives in terms of…

January 2004

Dynamic Asset Pricing Theory with Uncertain Time-Horizon

This paper addresses the problem of pricing and hedging a random cash-flow received at a random date in a general…

January 2004

The Capacity Implications of the Search for Alpha

If hedge funds are exploiting market inefficiencies, this means that other investors are supplying those inefficiencies.…

January 2004

Hedge Funds Investing: A Quantitative Look Inside the Black Box

There is an increasing amount of evidence that shows the benefits of considering hedge funds as an asset class at the…

January 2004

Finding the Sweet Spot of Hedge Fund Diversification

Hedge funds are often thought of as being high-risk investments and many investors in the past have shied away from them…

December 2003

A Detailed Analysis of the Construction Methods and Management Principles of Hedge Fund Indices

The aim of this document is to provide a detailed presentation of the different hedge fund indices in order to highlight…

December 2003

Edhec European Asset Management Practices Survey

EDHEC has conducted a major survey into the practices of the leading 400 European asset management firms which generated…

November 2003

Edhec European Alternative Multimanagement Practices Survey

On 11th December 2003 in Paris, Edhec presented the results of its survey on alternative multimanagement in Europe, the…

October 2003

The Benchmark's Benchmark: Measuring the Performance of a Manager's Long-Term Strategy

When investment managers construct strategy benchmarks and manage their portfolios against them, they are making an…

September 2003

Evaluating a Trend-Following Commodity Index for Multi-Period Asset Allocation

The Mt. Lucas index provides a systematic approach for capturing a portion of the return of trend-following commodity…

September 2003

Desperately Seeking Pure Style Indexes

There is an urgent need for improved measurement and benchmarking of size and book-to-market (style) performance. Given…

September 2003

A Stochastic Network Approach for Integrating Pension and Corporate Financial Planning

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

July 2003

Tactical Style Allocation - A New Form of Market Neutral Strategy

Even though there is little evidence of predictability in stock specific risk in the absence of private information,…

April 2003

How to Price Hedge Funds: From Two- to Four-Moment CAPM

In the last decade, the hedge fund industry grew impressively. Many studies show that hedge funds have a superior…

March 2003

Risk Measurement of Investments in the Satellite Ring of a Core-Satellite Portfolio: Traditional versus Alternative Approaches

This paper provides a risk framework for fiduciaries considering using a core-satellite approach to investing. While the…

February 2003

The Alpha and Omega of Hedge Fund Performance Measurement

That hedge funds start gaining wide acceptance while they still remain a somewhat mysterious asset class enhances the…

January 2003

Optimal Allocation to Hedge Funds: An Empirical Analysis

What percentage of their portfolio should investors allocate to hedge funds? The only available answers to the above…

January 2003

EDHEC Alternative Indexes

Different hedge fund indexes available on the market are constructed from different data, according to diverse selection…

January 2003

Evaluating Hedge Fund Investments: The Role of Pure Style Indices

Over the past decade, the hedge fund industry has grown – big time. According to estimates, the number of hedge funds…

January 2003

Indexing Hedge Fund Indexes

As a response to the needs of investors, the Edhec Risk and Asset Management Research Centre proposes an original…

January 2003

Portable Alpha and Portable Beta Strategies in the eurozone: Implementing Active Asset Allocation Decisions using Equity Index Options and Futures

In this paper, we show how portfolio managers in the Euro-zone can benefit from using derivatives markets to actively…

January 2003

The Generalised Treynor Ratio

This paper presents a generalization of the Treynor ratio in a multi-index setup. The solution proposed in this paper is…

January 2003

An Analysis of Hedge Fund Performance 1984-2000

Using one of the largest hedge fund databases ever used (2796 individual funds including 801 dissolved), this paper…

January 2003

Evidence of Predictability in Bond Indices and Implications for Fixed-Income Tactical Style Allocation Decisions

There is now a consensus in empirical finance that expected asset returns, and also variances and covariances, are, to…

January 2003

On the Role of Hedge Funds in Institutional Portfolios: Comprehensive Version

This paper reviews both academic and practitioner research from the standpoint of a hypothetical institutional investor…

January 2003

Towards the Integration of Extreme Values in Obtaining the Value-at-Risk

In this paper we aim to show how risk managers can benefit from this integration of EVT (Extreme Value Theory) into…

January 2003

Improving the Market Model: The 4-State Model Alternative

The present paper conducts an empirical study by examining the Market Model and the three versions of the 4-State Model …

January 2003

Grafting Information in Scenario Trees Application to Option Prices

Many mathematical models used in management science do not impose any complex restrictions on the parameter values…

January 2003

On the Valuation and Incentive Effects of Executive Cash Bonus Contracts

Executive compensation packages are often valued in an inconsistent manner: while employee stock options (ESOs) are…

January 2003

Tactical Asset Allocation

Tactical Asset Allocation (TAA) broadly refers to active strategies that seek to enhance portfolio performance by…

January 2003

Portfolio optimisation and hedge fund style allocation decisions

This paper attempts to evaluate the out-of-sample performance of an improved estimator of the covariance structure of…

November 2002

Four-State Model vs. Market Model: Part I

The present paper conducts an empirical study by examining the Market Model and the three versions of the 4-State Model …

November 2002

Asset Allocation

Two competing approaches are used in practice to build portfolios: bottom-up and topdown. The bottom-up approach is the…

October 2002

The Brave New World of Hedge Fund Indices

The fact that hedge funds have started to gain widespread acceptance while remaining a somewhat mysterious asset class…

October 2002

Methodology Applied for the Agefi Asset Management Awards

Fund performance measurement is an important issue both for professionals, for whom it is the justification of their…

September 2002

Mean-Modified Value-at-Risk Optimization with Hedge Funds

Based on the normal Value-at-Risk, we develop a new Value-at-Risk method called Modified Value-at-Risk. This Modified…

September 2002

Trend-following Hedge Funds and Multi-period Asset Allocation

Selected hedge funds employ trend-following strategies in an attempt to achieve superior risk adjusted returns. The…

July 2002

Evidence of Predictability in Hedge Fund Returns and Multi-Style Multi-Class Tactical Style Allocation Decisions

While there has been a significant amount of research on the predictability of traditional asset classes, very little is…

June 2002

The Difficulties of Measuring the Benefits of Hedge Funds

In this paper, the use mean-variance approach for the determination of the benefits of allocations to hedge funds is…

April 2002

Benefits and Risks of Alternative Investment Strategies

The growth of alternative investment has been considerable in recent years. For both institutional and private investors…

March 2002

An Analysis of Hedge Fund Performance Using Loess Fit Regression

In this article, we analyze the returns distribution of Hedge Funds strategies, the average returns obtained over the…

March 2002

Risk Management Lessons in Leveraged Commodity Futures Trading

This paper discusses the practical issues involved in applying a disciplined risk management methodology to futures…

February 2002

An Integrated Framework for Style Analysis and Performance Measurement

In this paper, we propose an integrated framework for assessing the risk-adjusted performance of mutual fund managers.…

February 2002

The Cross-Section of Expected Stock Returns at the Paris Stock Exchange

This study reconsiders the subject of describing the expected return of French stocks through different variables: the…

February 2002

Rebalancing Strategies for Long-Term Investors

Leading pension plans employ asset and liability management systems for optimizing their strategic decisions. The multi…

November 2001

It's Time for Asset Allocation

Despite repeated evidence that asset allocation accounts for a very large fraction of a portfolio return, the industry…