Publications | EDHEC Climate Institue

March 2006

Managing Pension Assets: From Surplus Optimization To Liability-Driven Investment

In this paper, the author considers an intertemporal portfolio problem in the presence of liability constraints. Using…

March 2006

Measuring Risk-Adjusted Returns in Alternative Investments

Academic criticism of classic Capital Asset Pricing Model (CAPM) performance measures is not new. Until recently it was…

March 2006

The Risk Considerations Unique to Hedge Funds

A distinguishing feature in evaluating the risk of hedge fund strategies is the relative paucity of data, as noted by…

March 2006

Structural Sources of Return and Risk in Commodity Futures Investments

By now it has become well-known that commodities have had superior performance over the past four and a half years;…

February 2006

EDHEC European Alternative Diversification Practices Survey

The results of the EDHEC European Alternative Diversification Practices Survey, which enabled EDHEC to produce a…

February 2006

A Long-Term Perspective on Commodity Futures Returns

This paper reviews 75 years of literature on the commodity futures markets, examining various theories on what motivates…

February 2006

The EDHEC European ETF Survey 2006

In a new survey, The EDHEC European ETF Survey 2006, the EDHEC Risk and Asset Management Research Centre has carried out…

February 2006

EDHEC Comments on the Amaranth Case: Early Lessons from the Debacle

In a little over a week, Amaranth Advisors, a respected, diversified multi-strategy hedge fund, lost 65% of its $9.2…

February 2006

A Review of the Differences between Traditional Investment Programs and Absolute-Return Strategies

Given the ongoing stock market downdraft since March 2000, U.S. mutual fund inflows have dramatically slowed down while…

January 2006

Response to the "Statement of the Financial Economists Roundtable on Hedge Funds"

Following its meeting in Sonoma, California on July 10-11, 2005, the Financial Economists Roundtable (FER), an…

January 2006

Comparative Analysis of Hedge Fund Returns

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

November 2005

Commodities – Active Strategies for Enhanced Return

In this article, the authors note how a set of active commodity strategies could potentially add value to an investor’s…

October 2005

Investing in Hedge Funds: Adding Value through Active Style Allocation Decisions

One of the by-products of the bull market of the 90’s has been the consolidation of hedge funds as an important segment…

August 2005

Edhec Funds of Hedge Funds Reporting Survey

In 2004, Edhec launched an international consultation process on the implementation of a new framework for Funds of…

July 2005

Dynamic Portfolio Choice with Parameter Uncertainty and the Economic Value of Analysts’ Recommendations

In this paper, the authors derive a closed-form solution for the optimal portfolio of a non-myopic utility maximizer who…

July 2005

Structured Forms of Investment Strategies in Institutional Investors’ Portfolios

Institutional investors in general and pension funds in particular have been dramatically affected by recent market…

July 2005

Is there a gain to explicitly modelling extremes? A risk management analysis

When risk managers make decisions, they need them to be based upon reliable measures. Strong assumptions are often made…

June 2005

The Right Place for Alternative Betas in Hedge Fund Performance: An Answer to the Capacity Effect Fantasy

Two studies, by Watson Wyatt and UBS (both from March 2005), give a pessimistic view of the hedge fund industry’s…

June 2005

Neutrality of Market Neutral Funds

Using an original database of 634 market neutral hedge funds, this study formally analyses the market neutrality of…

June 2005

Mitigating Hedge Funds’ Operational Risks: Benefits and limitations of managed account platforms

Operational risk is by far the most complex and intriguing issue investors are dealing with when allocating capital to…

May 2005

Natural Resources Fund-of-Funds : Active Management, Risk Management, and Due Diligence

This article comprehensively covers the new field of natural-resources fund-of-funds investing. The authors first…

May 2005

Portfolio Risk Measurement in Commodity Futures Investments

Commodity futures investing has only recently entered the mainstream. As recently as 2001, there was only $10 billion…

May 2005

Mean-Variance-Skewness Portfolio Performance Gauging: A General Shortage Function and Dual Approach

This paper proposes a nonparametric efficiency measurement approach for the static portfolio selection problem in mean…

May 2005

Survey of Recent Hedge Fund Articles

In this article, the authors provide the busy reader with a survey of articles that were written over the past four…

May 2005

Challenges in Commodities Risk Management

The recent outperformance of commodities versus equities has caused a positive re-evaluation of commodities by both…

April 2005

Hedge fund industry: is there a capacity effect?

In a major survey of 183 industry players, including institutional investors and hedge fund and fund of hedge fund…

April 2005

Absolute Returns in Commodity (Natural Resource) Futures Investments

In this article, the authors introduce readers to commodity (natural resource) futures programs. They begin the article…

April 2005

Pricing Traditional versus Alternative Asset Management Services

The delegation of asset management services is a source of potential agency problems between investors and their…

February 2005

From Delivering to the Packaging of Alpha

In this paper, "From Delivering to the Packaging of Alpha. Illustration from Active Bond Portfolio Management: Using…

January 2005

Hedge Funds from the Institutional Investor’s Perspective

As a consequence of entering a more mature stage, the hedge fund industry has extended its investor base to…

January 2005

Static Mean-Variance Analysis with Uncertain Time Horizon

In this paper, we generalize Markowitz analysis to the situations involving an uncertain exit time. Our approach…

January 2005

Exploiting Predictability in the Time-Varying Shape of the Term Structure of Interest Rates

This paper presents evidence of predictability in the time-varying shape of the U.S. term structure of interest rates…

January 2005

Hedge Fund Strategy Benchmarks: Tricks of the Light or Lighthouses?

The construction of an appropriate benchmark is one of the major challenges of the performance measurement process.…

November 2004

Hedge Fund Indices from an Academic Perspective: Reconciling Investability and Representativity

Following a growing concern among investors about the quality of hedge fund index return data, and given the lack of…

October 2004

History of the Risk Concept and Risk Modeling

What is risk? The answer is far from simple. The definition depends on the context and is highly subjective. A first…

October 2004

The Benefits and Costs of Illiquidity

This article discusses how to explicitly take into consideration the illiquid nature of alternative investments,…

July 2004

In Search of Quality Benchmarks for Hedge Fund Strategies

Over the last few years, alternative investment strategies have dramatically gained in popularity. Initially reserved…

June 2004

Using Index Options to Improve the Performance of Dynamic Asset Allocation Strategies

It has long been argued that equity managers can use derivatives markets to help implement a systematic risk management…

June 2004

The Fund of Hedge Fund Reporting Puzzle: Reconciling Investors’ Expectations and Fund Managers’ Constraints

The development of alternative investment has not yet been accompanied by a genuine consideration of the specific…

May 2004

On the Role of Hedge Funds in Institutional Portfolios

Hedge funds do not easily fit into the current way institutions go about investing. In this article, the author reviews…

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…