Publications | EDHEC Climate Institue

July 2007

Trading Strategies in the Current Commodity Market Environment

This brief article suggests three approaches for how to benefit from structural opportunities in the commodity markets,…

July 2007

Optimal Investment Decisions When Time Horizon is Uncertain

Many investors do not know with certainty when their portfolio will be liquidated. Should their portfolio selection be…

June 2007

The Amaranth Collapse: What Happened and What Have We Learned Thus Far?

On September 18th, 2006, market participants were made aware of a large hedge fund’s distress. On that date, Nick…

May 2007

Assessing and Valuing the Non-Linear Structure of Hedge Fund Returns

Several studies have put forward that hedge fund returns exhibit a non-linear relationship with equity market returns,…

May 2007

The Economic Consequences of Legal Origins

In the last decade, economists have produced a considerable body of research suggesting that the historical origin of a…

May 2007

MiFID: the (in)famous European Directive?

In this study, EDHEC-Risk Institute, while recognising that the directive allows the conditions in which investment…

May 2007

How Do Performance Measures Perform?

The relevance of the information ratio and the alpha, two leading performance measures for multi-index models, depends…

May 2007

Momentum Profits and Non-Normality Risks

This paper examines the role of non-normality risks in explaining the momentum puzzle of equity returns. It shows that…

April 2007

Shedding Light on Alternative Beta : A Volatility and Fixed Income Asset Class Comparison

Volatility is an alternative beta—a risk premium captured by hedge fund managers and investment bank proprietary traders…

April 2007

Approximating Independent Loss Distributions with an Adjusted Binomial Distribution

The author describes an approximation methodology for constructing independent loss distributions based on adjusting the…

April 2007

Equity Hedge Fund ABS Models: Choosing the Volatility Factor

The use of asset-based style analysis (ABS) in the context of hedge fund investments continues to take hold within the…

April 2007

New Developments in the Commodity Markets

In 2007, the highly dynamic commodity markets had attracted new classes of participants such as algorithmic high…

April 2007

QIS3: Meaningful progress towards the implementation of Solvency II but ground remains to be covered

This document outlines our position on the third quantitative impact survey on the standard formula for the calculation…

April 2007

The Myths and Limits of Passive Hedge Fund Replication: An Attractive Concept… Still a Work-in-Progress

Following recent initiatives by major investment banks such as Merrill Lynch and Goldman Sachs, EDHEC researchers have…

March 2007

Conditional Risk Premia and Correlations in Commodity Futures Markets

In this paper, the authors study the conditional risk premia of commodity futures and the way their returns vary over…

March 2007

Hedge Fund Performance in 2006: A Vintage Year for Hedge Funds?

In a report entitled “Hedge Fund Performance: A Vintage Year for Hedge Funds?”, Véronique Le Sourd, Senior Research…

March 2007

State Dependence Can Explain the Risk Aversion Puzzle

Risk aversion functions extracted from observed stock and option prices can be negative as shown by Aït-Sahalia and Lo …

March 2007

Risk Management and Portfolio Construction in a Commodity Futures Programme

This article focuses on risk management within the context of a total-return futures program centered on commodities.…

March 2007

A Review of the U.S. Senate Report on the Amaranth Debacle

This paper summarises what the U.S. Senate Permanent Subcommittee on Investigations' report on the Amaranth debacle…

February 2007

Performance Measurement for Traditional Investment, Literature Survey

This paper presents the state of the art of performance measurement in the area of traditional investment, from a simple…

February 2007

Asset-Liability Management Decisions In Private Banking

Working from the observation that the contribution of asset-liability management techniques developed for institutional…

February 2007

Response to CESR public consultation on Best Execution under MiFID - On the Importance of Transaction Cost Analysis

Response to the CESR's public consultation on best execution under MiFID, EDHEC strongly defend the idea that the…

February 2007

Quantification of Hedge Fund Default Risk

In a working paper entitled ‘Quantification of Hedge Fund Default Risk’, which led to the publication of a full article…

January 2007

CP20: Significant improvements in the Solvency II framework but grave incoherencies remain - EDHEC response to Consultation Paper n° 20

EDHEC position paper entitled "CP20: Significant improvements in the Solvency II framework but grave incoherencies…

January 2007

Transaction Cost Analysis in Europe: Current and Best Practices - European Survey

A new report from EDHEC Risk Advisory, Transaction Cost Analysis in Europe: Current and Best Practices, which was…

January 2007

Extending Black-Litterman Analysis Beyond the Mean-Variance Framework

This paper introduces a suitable extension of the Black-Litterman Bayesian approach to portfolio construction in the…

January 2007

A Copula Approach to Value-at-Risk Estimation for Fixed-Income Portfolios

This paper introduces a multivariate copula approach to Value-at-Risk estimation for fixed income portfolios. Using a…

December 2006

The Challenge of Hedge Fund Measurement: a Toolbox Rather Than a Pandora's Box

This paper, which is being written to provide an overview of the multitude of publications we have seen on hedge fund…

November 2006

QIS 2: Modelling that is at odds with the prudential objectives of Solvency II

In a new position paper by Philippe Foulquier, director of the EDHEC Financial Analysis and Accounting Research Centre,…

November 2006

The Impact Of IFRS And Solvency II On Asset-Liability Management And Asset Management In Insurance Companies

A new study jointly produced by the EDHEC Risk and Asset Management Research Centre and the EDHEC Financial Analysis and…

October 2006

Assessing the Quality of Stock Market Indices: Requirements for Asset Allocation and Performance Measurement

At a presentation to the members of the Af2i (French association of institutional investors) in Paris on September 12th,…

October 2006

Hedge Fund Returns: An Overview of Return-Based and Asset-Based Style Factors

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

September 2006

Momentum Profits and Time-Varying Unsystematic Risk

This article considers whether the widely documented momentum profits are a compensation for time-varying unsystematic…

September 2006

A Reply to the CESR Recommendations on the Eligibility of Hedge Fund Indices for Investment of UCITS

In a document entitled ‘A Reply to the CESR Recommendations on the Eligibility of Hedge Fund Indices for Investments of…

September 2006

The Tortoise versus the Hare: The Role of Term Structure versus Spot Price Trends in Determining Commodity Futures Returns

In the past, even if spot commodity prices declined, a commodity futures investor could still have a positive…

August 2006

The Impact of Non-Normality Risks and Tactical Trading on Hedge Fund Alphas

This paper highlights the importance of non-normality risks and tactical asset allocation in assessing hedge fund…

August 2006

How to Include Hedge Funds in a Risk Allocation Framework

This article, which was originally written as a two-part series, discusses the innovative ways in which academics and…

July 2006

Commodities at the Cross-Roads: Where to Now?

While it is useful to review the past performance of commodities, investors are most concerned about what to expect…

July 2006

Hidden Liquidity in a Pure Order-Driven Market

This letter focuses on hidden orders and shows how they contribute to liquidity. Based on a rebuilt order book from…

June 2006

Derivatives Strategies for Bond Portfolios

In this paper, the authors examine how standard exchange-traded fixed-income derivatives (futures and options on futures…

June 2006

Inferences about the Amaranth Case and the Emerging Maturity of the Hedge Fund Industry

The Amaranth case is surprising in many ways. It is definitely a surprise that a well-respected multi-strategy hedge…

June 2006

Backwardation and Commodity Futures Performance: Evidence from Evolving Agricultural Markets

The recent performance of commodities has spurred interest in the various sources of returns to commodity investment.…

June 2006

The Law and Economics of Self-Dealing

This paper presents a new measure of legal protection of minority shareholders against expropriation by corporate…

June 2006

Cash Equity Transaction Cost Analysis: State of the art … and beyond

MiFID is the second step in the harmonization of the European capital markets industry and intends to adapt the first…

June 2006

La problématique du taux d’actualisation des concessionnaires d’autoroutes : le cas des ASF

L’objectif de ce rapport a été, dans un premier temps, de trancher le débat méthodologique sur le choix de la valeur du…

June 2006

Determinants of Funds of Hedge Funds' Performance

Despite institutional investors’ growing interest in funds of hedge funds, little attention has been paid so far to…

May 2006

Country-Specific ETFs: An Efficient Approach to Global Asset Allocation

The article shows that country-specific exchange-traded funds (ETFs) enhance global asset allocation strategies. Because…

May 2006

Disorderly exits from crowded trades? - On the systemic risks of hedge funds, A reply to the ECB's statement on hedge funds

An article in the June 2006 edition of the European Central Bank’s Financial Stability Review (FSR) claims that hedge…

April 2006

The Risks of Commodity Investing

This article covers investment in commodities through futures contracts. It notes the unique sources of risk and return…

March 2006

Separating the Wheat from the Chaff: Backwardation as the Long-Term Driver of Commodity Futures Performance; Evidence from Soy, Corn and Wheat Futures from 1950 to 2004

In this paper, the authors examine the role of backwardation in the performance of passive long positions in soybeans,…