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Selected Research Dissemination Key research information disseminated to over 750,000 practitioners by EDHEC-Risk Institute through both regular newsletters and dedicated e-mailings during the same period includes: January • The European Fund Management Industry Needs a Better Grasp of Non-financial Risks CACEIS “Risk and Regulation in the European Fund Management Industry“ research chair publication This publication looks at how non-financial risks and failures have impacted the regulatory agenda in Europe and traces the management of liquidity, counterparty, compliance, misinformation, and other financial risks in the fund industry. • Giants at the Gate: On the Cross-Section of Private Equity Investment Returns EDHEC-Risk working paper This paper examines the determinants of private equity returns using a newly constructed worldwide database of 7,500 investments made over forty years. • Media and Investment Management EDHEC-Risk working paper This paper measures the differential impact of alternative media outlets by classifying news items about equity hedge funds over 1999 to 2008 into three source groups and applying a textual analysis to news items to uncover media biases. • Risk Control through Dynamic Core-Satellite Portfolios of ETFs: Applications to Absolute Return Funds and Tactical Asset Allocation Amundi ETF “Core-Satellite and ETF Investment” research chair publication This publication draws on dynamic risk-budgeting techniques to emphasise the importance of risk management when decisions to allocate to ETFs are made. A revisited version of this working paper was published in the Fall 2010 issue of the Journal of Alternative Investments. • Adoption of Green Investing by Institutional Investors: A European Survey EDHEC-Risk publication This survey reviews the concept of green investing and reports the results of a European survey of investment management professionals with the objective of providing background on industry and academic research into green investing and assessing the views and uses of green investing. February • Option Pricing and Hedging in the Presence of Basis Risk French Banking Federation (FBF) “Structured Products and Derivatives” research chair publication This document addresses the problem of option hedging and pricing when a futures contract, written either on the underlying asset or on some imperfectly correlated substitute for the underlying asset, is used in the dynamic replication of the option payoff. • Index-Exciting CAViaR: A New Empirical Time- Varying Risk Model EDHEC-Risk working paper This paper explores more flexible CAViaR models that allow VaR prediction to depend upon a richer information set involving returns on an index. • Alternative Measurement Bases in Pension Accounting: A Simulation Analysis EDHEC-Risk working paper This paper explores the financial statement implications of alternative measurement bases underlying defined benefit pension accounting rules via a simulation analysis. • Asset-Liability Management Decisions for Sovereign Wealth Funds Deutsche Bank “Asset-Liability Management Techniques for Sovereign Wealth Fund Management” research chair publication This publication proposes a quantitative dynamic asset allocation framework for sovereign wealth funds, modelled as large long-term investors that manage fluctuating revenues typically emanating from budget or trade surpluses in the presence of stochastic investment opportunity sets. • Bankers, Markets & Investors November/ December 2010 issue A special issue of Bankers, Markets & Investors produced on the occasion of the EDHEC-Risk Institutional Days 2010 in Monaco and featuring research by EDHEC-Risk Institute on the following topics: Towards the Design of improved Forms of Target-Date Funds, Why Pension Funds should Favour EDHEC-Risk Institute Partner News - Issue nº 5 - April 2011 - 10
Rule-Based Strategies over Discretionary Ones, Macroeconomic Risk Management for Oil Stabilization Funds in GCC Countries, French Corporate Social Responsibility: Which Dimension Pays More?, The State of Development of the European ETF Industry after a Decade: Evidence from the Demand Side. March • The Elephant in the Room: Accounting and Sponsor Risks in Corporate Pension Plans AXA Investment Managers “Regulation and Institutional Investment“ research chair publication A survey of corporate pension funds, their sponsors, and advisers, assessing how sponsors manage pension risk and how pension funds manage sponsor risk. • Never the Twain Shall Meet? Addressing the Disconnect between Banks’ Financial and Regulatory Reporting EDHEC Financial Analysis and Accounting Research Centre position paper This paper reviews the arguments for and against the decoupling of capital ratio calculations based on IFRS from those based on Basel II. • Risk Reduction in Style Rotation EDHEC-Risk working paper This paper investigates the potential improvement in the implementation of style rotation strategies by techniques addressing estimation errors. and Passive Investment will be the highlights of the first two days of the event, while the third day will be dedicated to alternative investments. The 2012 EDHEC- Risk Days conference will also be the opportunity to benefit from the expertise of the professors who have recently joined the Institute’s team, or who will be joining shortly. The structure of the conference will remain unchanged, consisting of plenary sessions complemented by limited enrolment streams and workshops allowing in-depth exploration of special themes. Three main roundtables will be organised each morning to allow for in-depth discussion of a key topic for the future of institutional investment. For further information, please contact Vania Schleef at vania.schleef@edhec-risk.com. • First US conference to be organised by EDHEC- Risk Institute in 2012 Following the success of the executive education seminars held in New York and Boston in 2010 and 2011, and to satisfy high demand from North American delegates, EDHEC-Risk Institute will be organising its first US conference in June 2012 in New York. The main theme of this day and a half event will be indexation and passive investment. 6. Events Conference News • EDHEC-Risk Institute to merge its two major flagship conferences in 2012 In 2012, EDHEC-Risk Institute will be merging its two major annual conferences, the “EDHEC-Risk Institutional Days” and the “EDHEC-Risk Alternative Investment Days” into a new three-day event, “EDHEC-Risk Days Europe”, taking place on March 27- 29, 2012 at The Brewery in London. This major international conference will continue to bring together institutional investors and investment management professionals to discuss the results of EDHEC-Risk Institute’s latest research. Indexation For further information, please contact Vania Schleef at vania.schleef@edhec-risk.com. EDHEC-Risk Institute Partner News - Issue nº 5 - April 2011 - 11
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Page 5 and 6: Private equity: • Financial Times
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