Paper designs and tests performance of new strategy in commodity futures
Determinants of private equity returns
Speculative commodity indexes
Idiosyncratic volatility and expected returns
Risky pricing problems
Non-financial risks examined
Optimal portfolio selection
Hedging portfolio risk
In the May issue we reported the results of a recent EDHEC-Risk Institute survey on structuring hedge fund strategies as Ucits.
The directive on alternative investment fund managers (AIFM) will not necessarily allow professional investors to buy the funds offered to them. Controversy around the directive, together with uncertainty about the distribution of funds it will allow,…
In the March article we drew on a recent Edhec-Risk Institute publication on risk control through dynamic core-satellite portfolios of exchange traded funds (ETFs) supported by Amundi (1) to look at the dynamic core-satellite approach to risk management…
A recent EDHEC-Risk Institute publication on risk control through dynamic core-satellite portfolios of exchange traded funds (ETFs) supported by Amundi1 reviewed a risk management method based on the dynamic core-satellite approach that we apply to the…
Commodity futures have become widespread investment vehicles among traditional and alternative asset managers. They are now commonly used for strategic and tactical asset allocations.
What can we (carefully) conclude from new CFTC data?
Following initiatives by major investment banks, the financial industry has expressed renewed interest in passive hedge fund replication.
Unlike the returns of common stocks and mutual funds, hedge fund returns are generally not normally distributed.1,i This has considerable consequences on a number of hedge fund risk measures, as presented in last month’s article, which was drawn from the…
Alternative asset class exchange traded funds (ETFs) enable investors to gain simple access to alternative investment opportunities such as hedge funds, commodities, real estate or currency baskets.
In a recent report (V Le Sourd, February 2009, Hedge Fund Performance in 2008, EDHEC Publication) an analysis of 12 years of data on EDHEC Alternative I for different hedge fund strategies provided some perspective on their performance.