Publications | EDHEC Climate Institute

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,…

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

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

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

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

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 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

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

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…

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…

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

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

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

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

Pricing Traditional versus Alternative Asset Management Services

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

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…

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…