Presentation

The research carried out focuses on the benefits, risks and integration methods of the alternative classes in asset allocation and makes significant contributions to the field of multi-style/multi-class portfolio construction. In particular, EDHEC-Risk research has advanced non-parametric risk estimation methods and extended the Bayesian approach to portfolio construction in the presence of preferences about higher moments of return distributions.

The programme has in the past included the “Advanced Modelling for Alternative Investments” research chair, in partnership with Société Générale Prime Services (Newedge), the “Investment and Governance Characteristics of Infrastructure Debt Investments” research chair, in partnership with Natixis, and the “Infrastructure Equity Investment Management and Benchmarking” research chair, in partnership with Meridiam Infrastructure and Campbell Lutyens.

Within the context of strategic research projects, this programme has also benefitted from the support of CME Group for research on “Exploring the Commodity Futures Risk Premium: Implications for Asset Allocation and Regulation”, from the support of Aberdeen Property Investors on the EDHEC European Real Estate Investment and Risk Management Survey, and from the support of Morgan Stanley Investment Management on “Financial Engineering and Global Alternative Portfolios for Institutional Investors”.

As part of this research programme, EDHEC-Risk Institute maintains a series of hedge fund indices as well as a real estate index for the French commercial property market produced in cooperation with IEIF.


Gamma Trading Skills in Hedge Funds

2018

Boris Fays, Georges Hübner, Marie Lambert


Inferring Petroleum-Complex Fundamentals

2018

Hilary Till , Joseph Eagleeye


Factor-Based Commodity Investing

2018

Athanasios Sakkas, Nikolaos Tessaromatis


Hedge Fund Styles And Macroeconomic Uncertainty

2016

Marie Lambert, Federico Platania


A Primer on the Tax Framework of Offshore and Onshore Hedge Funds

2016

Michel Brocard, François-Serge Lhabitant


Commodity Risk Management

2016

Hilary Till


Market Efficiency And Hedge Fund Trading Strategies

2016

Marie Lambert, Nicolas Papageorgiou, Federico Platania


Skewness Strategies in Commodity Futures Markets

2015

Adrian Fernandez-Perez, Bart Frijns, Ana-Maria Fuertes, Joëlle Miffre


Commodities as Lotteries: Skewness and the Returns of Commodity Futures

2015

Adrian Fernández-Pérez, Bart Frijns, Ana-Maria Fuertes, Joëlle Miffre


Commodity Risks and the Cross-Section of Equity Returns

2015

Chris Brooks, Adrian Fernandez-Perez, Joëlle Miffre, Ogonna Nneji


Commodity Markets, Long-Run Predictability and Intertemporal Pricing

2015

Adrian Fernadez-Perez, Ana-Maria Fuertes, Joëlle Miffre


How Much Construction Risk do Sponsors Take in Project Finance?

2014

Frederic Blanc-Brude, Dejan Makovsek


Commodity Strategies Based on Momentum, Term Structure and Idiosyncratic Volatility

2013

Ana-Maria Fuertes, Joëlle Miffre, Adrian Fernandez-Perez


Measuring infrastructure debt credit risk

2013

Frédéric Blanc-Brude, Omneia R.H. Ismail


Optimal Hedging With Higher Moments

2013

Chris Brooks, Aleš Cerný, Joëlle Miffre


Momentum Strategies in Futures Markets and Trend-Following Funds

2013

Akindynos-Nikolaos Balta, Robert Kosowski


Implicit Options in Hedge Fund Products

2013

Joseph Eagleeye, Hilary Till


Who is Afraid of Construction Risk?

2013

Frédéric Blanc-Brude, Omneia R. H. Ismail


Construction Risk in Infrastructure Project Finance

2013

Frederic Blanc-Brude, Dejan Makovsek


New 'Stylised facts' about Hedge Funds and Database Selection Bias

2012

Juha Joenväärä, Robert Kosowski, Pekka Tolonen


Commodity Futures Returns and Idiosyncratic Volatility

2012

Joëlle Miffre, Ana-Maria Fuertes, Adrian Fernandez-Perez


Diversification in Funds of Hedge Funds: Is it Possible to Overdiversify?

2011

Stephen J. Brown, Greg N. Gregoriou, Razvan Pascalau


Media and Investment Management

2010

Gideon Ozik, Ronnie Sadka


Strategic and Tactical Roles of Enhanced-Commodity Indices

2010

Ana-Maria Fuertes, Joëlle Miffre, Georgio Rallis


Are Hedge-Fund UCITS the Cure-All?

2010

Noël Amenc, Samuel Sender


Madoff: A Riot of Red Flags

2009

Greg N. Gregoriou, François-Serge Lhabitant


Performance of Passive Hedge Fund Replication Strategies

2009

Noël Amenc, Lionel Martellini, Jean-Christophe Meyfredi, Volker Ziemann


The Survival of Exchange-Listed Hedge Funds

2009

Greg N. Gregoriou, François-Serge Lhabitant, Fabrice Douglas Rouah


Hedge Fund Performance in 2008

2009

Véronique Le Sourd


Unbundling common style exposures, time variance and style timing of hedge fund beta

2009

Rodrigo Dupleich, Daniel Giamouridis, Spyros Mesomeris, Nima Noorizadeh


Amaranth Lessons Thus Far

2008

Hilary Till


Timing Commodity Momentum

2008

Devraj Basu, Joëlle Miffre


The Pros and Cons of Passive Hedge Fund Replication

2008

Noël Amenc, David Schröder


EDHEC Hedge Fund Reporting Survey 2008

2008

Felix Goltz, David Schröder


Oil Prices: the True Role of Speculation

2008

Noël Amenc, Benoît Maffei, Hilary Till


Hedge Fund Performance in 2007

2008

Véronique Le Sourd


Overlay Hedging in a Fund of Funds

2008

David E. Kuenzi, Remy Chaudhuri, Zhihui Dong


Momentum Strategies in Commodity Futures Markets

2007

Joëlle Miffre, Georgios Rallis


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

2007

Antonio Diez de los Rios, René Garcia


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

2007

Noël Amenc, Walter Géhin, Lionel Martellini, Jean-Christophe Meyfredi


Quantification of Hedge Fund Default Risk

2007

Corentin Christory, Stephane Daul, Jean-Rene Giraud


Determinants of Funds of Hedge Funds' Performance

2006

Noël Amenc and Mathieu Vaissié.


The Risks of Commodity Investing

2006

Hilary Till and Joseph Eagleeye


EDHEC European Alternative Diversification Practices Survey

2006

Noël Amenc, Walter Géhin, Jean-René Giraud, Lionel Martellini, Mathieu Vaissié


Commodities – Active Strategies for Enhanced Return

2005

Hilary Till, Joseph Eagleeye


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

2005

Lionel Martellini, Mathieu Vaissié, Volker Ziemann


Edhec Funds of Hedge Funds Reporting Survey

2005

Noël Amenc, Philippe Malaise, Mathieu Vaissié


Survey of Recent Hedge Fund Articles

2005

Hilary Till, Jodie Gunzberg


Challenges in Commodities Risk Management

2005

Hilary Till, Joseph Eagleeye


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

2004

Noël Amenc, Philippe Malaise, Lionel Martellini, Daphné Sfeir


Finding the Sweet Spot of Hedge Fund Diversification

2004

François-Serge Lhabitant, Michelle Learned De Piante Vicin


Edhec European Alternative Multimanagement Practices Survey

2003

Noël Amenc, Anne Delaunay, Jean-René Giraud, Felix Goltz, Lionel Martellini, Mathieu Vaissié


Challenges Arising from Alternative Investment Management

2003

Noël Amenc, François Haas, Mathieu Vaissié


Evaluating a Trend-Following Commodity Index for Multi-Period Asset Allocation

2003

John M. Mulvey, Shiv Siddhant N. Kaul, Koray D. Simsek


How to Price Hedge Funds: From Two- to Four-Moment CAPM

2003

Angelo Ranaldo, Laurent Favre


The Alpha and Omega of Hedge Fund Performance Measurement

2003

Noël Amenc, Lionel Martellini


Optimal Allocation to Hedge Funds: An Empirical Analysis

2003

Jaksa Cvitanic, Ali Lazrak, Lionel Martellini and Fernando Zapatero


EDHEC Alternative Indexes

2003

EDHEC-Risk


Indexing Hedge Fund Indexes

2003

Noël Amenc, Lionel Martellini, Mathieu Vaissié


An Analysis of Hedge Fund Performance 1984-2000

2003

Daniel Capocci, Georges Hübner


The Brave New World of Hedge Fund Indices

2002

Noël Amenc, Lionel Martellini


Mean-Modified Value-at-Risk Optimization with Hedge Funds

2002

Laurent Favre, José-Antonio Galeano


Trend-following Hedge Funds and Multi-period Asset Allocation

2002

Dries Darius, Aytac Ilhan, John Mulvey, Koray D. Simsek, Ronnie Sircar


Benefits and Risks of Alternative Investment Strategies

2002

Noël Amenc, Lionel Martellini, Mathieu Vaissié


An Analysis of Hedge Fund Performance Using Loess Fit Regression

2002

Laurent Favre, José-Antonio Galeano


Measure for Measure

2001

Hilary Till


Life at Sharpe's End

2001

Hilary Till

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