Technical papers/Hedge Funds
Roles of depositaries and custodians in a Ucits hedge fund framework
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...
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...
Using market and credit risk analytics to strengthen performance
How are banks improving their risk management techniques?
This handy guide reviews the various steps banks are taking to improve their risk management techniques, looking at the benefits and pitfalls of each one.
More Technical papers/Hedge Funds articles
Dynamic risk budgeting through the core-satellite approach
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...
Tactical allocation in commodity futures markets
Commodity futures have become widespread investment vehicles among traditional and alternative asset managers. They are now commonly used for strategic and tactical asset allocations.
Has there been excessive speculation in the US oil futures markets?
In October 2008 the EDHEC Risk and Asset Research Centre appealed for the evaluation of the oil futures markets to be based on a careful examination of empirical data. In the EDHEC-Risk paper The Oil Markets: Let the Data Speak for Itself,1 we noted that...
Performance of passive hedge fund replication strategies
Following initiatives by major investment banks, the financial industry has expressed renewed interest in passive hedge fund replication.
Fund performance raises specific issues
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...
Mixed fortunes predicted for alternative asset class ETFs
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.
Index performance analysis gives strategy perspective
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.
How can investment banks use grid technology?
Learn how technology is enhancing risk management
Technology can provide a competitive advantage in banking. How it is applied by Tier 1 and Tier 2 institutions, to the benefit for their risk management systems, is discussed.
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What’s next for fixed-income ETFs and structured products?
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The OTC Derivatives Markets Conference
UK, 26th Sep 2013
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Risk USA
USA, 21st - 24th Oct 2013
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