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An EDHEC-Risk Institute Publication
A Suggestion for Remedying the
Overstated Performance of
Non-Investable Hedge Fund Indices
October 2010
Institute
2
Printed in France, October 2010. Copyright© EDHEC 2010.
The opinions expressed in this study are those of the authors and do not necessarily reflect those of EDHEC Business School.
The authors can be contacted at [email protected].
A Suggestion for Remedying the Overstated Performance of Non-Investable Hedge Fund Indices - October 2010
A Suggestion for Remedying the Overstated
Performance of Non-Investable Hedge Fund
Indices
The biases that inflate the performance of
hedge funds have been well documented
in the financial literature.
Survivorship bias, which results from the
ex post exclusion of unsuccessful funds
from databases, is clearly one of the
greatest causes of grossly overstated
performance. Considering the returns of
surviving funds alone leads to a strong
upward bias, according to recent studies
(up to 442 basis points, as demonstrated
by Malkiel and Saha [2005]).
In the same vein, backfill bias or instant
history bias, which occurs when the
historical performance of a successful
fund is suddenly and retroactively added
(backfilled) into the database, also distorts
the performance of the hedge fund
industry (up to 435 basis points, as shown
by Posthuma and van der Sluis [2004]).
These biases are not negligible and tend
primarily to inflate the returns posted by
non-investable hedge fund indices; hence
the recent development of investable
hedge fund indices that can help investors
mitigate the effects, which are never done
away with entirely, of these biases.
By definition, however, investable indices
cannot include all existing funds. The
number of underlying funds is often
twenty times less than that of noninvestable indices. It goes without saying
that, in these conditions, investable
indices are less representative than noninvestable indices.
For one, they logically attempt to avoid
poorly performing funds through
thorough due diligence: at first glance,
this restriction could, in theory, make
their returns superior to those of their
non-investable counterparts, but this
superiority has yet to be demonstrated.
For another, they must invest in hedge
funds that offer full transparency,
especially to avoid fraud and mitigate
extreme risk resulting from operational
problems. It is for this reason that they
favour managed accounts. Such funds
must also offer enough capacity for new
investments while meeting minimum
liquidity requirements: conversely, this
second restriction may have a detrimental
effect on the performance of investable
indices since it inherently excludes many
top performers from their portfolio (for
example, hard-closed funds, small-size
funds implementing niche strategies,
funds imposing lock-up periods and/
or long notice periods, and so on). Such
constraints usually result in a selection bias
to the detriment of investable indices.
Consequently, it is hardly surprising that
investable indices tend to recursively
underperform
their
non-investable
versions.
That being said, in light of recent events,
we can wonder whether the liquidity
crisis that occurred in the wake of the
Lehman collapse and had a significant
impact on the performance of hedge
fund strategies (more particularly on the
strategies that are exposed to credit risk)
has increased this excess return or not.
In this respect, it would be interesting
to compare the excess returns of noninvestable indices and those of their
investable counterparts before and after
2008.
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Suggestion for Remedying the Overstated
Indices
From this perspective, excess returns have
been computed over two distinct periods
using the HFRI and HFRX indices: from
December 2005 to December 2007, on
the one hand, and from January 2008 to
January 2010 on the other.
The table below shows the results obtained
for strategies proxied by the HFR indices
(HFRI returns minus HFRX returns).
The least we can say is that these results are
mixed. First, there was a striking contrast
between liquid and illiquid strategies.
For the latter, the significant increase in
the excess returns of the non-investable
indices during the second period perfectly
coincided with the global credit crunch.
The lower the liquidity of underlying
assets, the higher the excess return, as
evidenced by the annualised excess return
differential posted by distressed securities
and convertible arbitrage (+20.7% and
+13.43% respectively). Such a differential
is beyond belief, but it is corroborated
by the figures posted by other index
providers (e.g., CSFB: convertible arbitrage
annualised excess return from December
2005 to December 2007 = 3.44% versus
15.73% from January 2008 to January
2010, that is, a return differential of
12.29% between the two periods). By
contrast, the most liquid strategies saw
the excess returns of the non-investable
indices decrease over the second period.
This decrease was typically the case of L/S
Short
Sellers
EW Strat.
Index
Global
Macro
Event
Driven
MultiStrat
Equity
Market
Neutral
L/S Equity
Hedge
Distressed
Securities
Convertible
Arbitrage
Table 1 — Series of returns and excess returns (HFRI vs. HFRX indices)
Average Monthly ER
1.18%
0.89%
0.35%
0.14%
0.28%
0.38%
0.00%
0.38%
Cumulative ER
61.56%
43.28%
18.08%
7.42%
15.65%
24.34%
0.11%
20.51%
Full Period Dec2005-Jan2010
Annualised ER
15.62%
10.64%
4.19%
1.72%
3.38%
5.15%
0.03%
4.60%
Min
-1.65%
-2.75%
-1.52%
-2.63%
-1.40%
-4.32%
-3.99%
-5.02%
Max
18.67%
7.07%
3.70%
2.45%
2.35%
5.27%
2.57%
7.20%
Monthly SD
3.13%
1.79%
1.08%
1.04%
0.82%
1.94%
1.28%
2.36%
0.34%
0.25%
0.38%
0.19%
0.26%
0.31%
0.03%
0.22%
Dec2005-Dec2007
Average Monthly ER
Cumulative ER
9.69%
7.42%
11.55%
5.23%
7.72%
9.80%
-1.97%
6.23%
Annualised ER (1)
4.34%
3.25%
5.03%
2.38%
3.36%
4.34%
-0.93%
2.75%
Min
-0.99%
-1.53%
-0.98%
-1.61%
-0.98%
-2.32%
-2.55%
-4.45%
Max
1.87%
1.56%
2.62%
2.45%
1.51%
5.27%
2.57%
4.95%
Monthly SD
0.62%
0.75%
0.83%
0.84%
0.55%
1.88%
1.29%
1.89%
Jan2008-Jan2010
Average Monthly ER
2.02%
1.53%
0.32%
0.09%
0.30%
0.46%
-0.03%
0.54%
Cumulative ER
46.80%
31.19%
6.66%
2.25%
6.88%
12.35%
2.01%
12.54%
Annualised ER (2)
25.04%
16.68%
3.44%
1.12%
3.40%
5.89%
0.97%
6.24%
Min
-1.65%
-2.75%
-1.52%
-2.63%
-1.40%
-4.32%
-3.99%
-5.02%
Max
18.67%
7.07%
3.70%
1.71%
2.35%
4.58%
2.56%
7.20%
Monthly SD
Annualised ER Differential (2-1)
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4.26%
2.27%
1.29%
1.22%
1.03%
2.04%
1.31%
2.79%
20.70%
13.43%
-1.59%
-1.26%
0.04%
1.55%
1.90%
3.49%
Indices
equity and equity market neutral funds.
By comparison with the upward trend
characterising illiquid strategies, however,
this downward trend is negligible.
It is for this reason that the performance
of multistrategy indices whose portfolios
included illiquid (or less liquid) strategies
was extraordinarily overstated after
mid-2008. For example, the annualised
performance of the HFRI EWS index was
flat from January 2008 to January 2010
even though that of the investable index
was down 635 basis points! Consequently,
the annualised excess return of the
non-investable index had more than
doubled over the second period (from
2.75% to 6.24%). In these conditions
and despite their larger universe, it is
more and more difficult to justify the
use of non-investable composite indices
as benchmarks unless we can suggest a
practical and easy-to-implement solution
that could substantially reduce the
biases that overstate their performance,
especially in periods of market stress.
The rationale behind our approach to
providing such a solution is first to
compare the monthly returns of the
EDHEC composite indices, known as the
most representative (non-investable)
benchmarks in the alternative universe,
and the average monthly returns of a set
of investable indices for each underlying
strategy (HFRX – CSFB – LYXOR). The
average return of the investable indices
(independent variable) is then used to
model the excess return of each strategy.
respect, it would be problematic to apply
linear models here, as the relationship
between the dependent variable and
the independent variable tends not
to be linear. More precisely, the cubic
polynomial consists of regressing the
returns of the non-investable EDHEC-Risk
Alternative Index not only on the returns
of the corresponding investable indices
but also on the squared and cubed returns
of these indices. Intuitively, this can be
interpreted as an attempt to take into
account the impact of second- and thirdorder moments (which can be related to
volatility and skewness).
Over a thirty-eight-month period (from
December 2005 to January 2009), which
has the advantage of including extreme
events (but the drawback of being short—
very little data on investable indices was
available before 2006), the fraction of
variance explained by the non-linear
models (coefficient of determination
or R²) varies from 43% (event-driven
multistrategy funds) to 82% (global
macro).
Table 2 – Coefficients of Determination over the out-ofsample period
Strategy
R²
Convertible Arbitrage
79.23%
Distressed Securities
51.77%
L/S Equity
52.82%
Equity Market Neutral
73.13%
Event Driven
42.64%
Global Macro
81.69%
Short Sellers
70.37%
The model is a cubic polynomial that
makes it possible to improve the fit of the
data with respect to linear models. In this
5
Indices
Graph 1 — Series of returns and excess returns (EDHEC composite index vs. investable indices)
From December 2005 to January 2009 (in-sample Period)
Table 3 — Max monthly excess returns observed over the in-sample period with the corresponding average returns of a set of
investable indices
Strategy
Max Excess Return
Corresponding Investable Index Return
Convertible Arbitrage
10.09%
-22.46%
Distressed Securities
3.94%
-11.69%
L/S Equity
3.02%
-9.77%
Equity Market Neutral
8.77%
-9.21%
Event Driven
1.75%
-8.02%
Global Macro
3.80%
-6.93%
Short Sellers
13.63%
-9.85%
Multistrategy
5.70%
-11.70%
To loop the loop, the R² obtained with the
funds of hedge funds is 71%.
Unsurprisingly, all these models point to
the fact that the highest excess returns
always correspond to the poorest returns
posted by the investable indices, regardless
of underlying strategy. On the face of it,
the evidence argues that the survivorship
and selection biases peak just as the
underlying strategies experience the worst
market conditions (sharp change in stock
volatility, historical widening of credit
spreads in particular).
6
Conversely, we can see on graph 1
above that the excess returns of the
EDHEC fund of fund composite index are
concentrated along the x-axis when the
investable indices exhibit positive returns
(i.e., in relatively calm markets). In other
words, despite their additional fees, the
investable indices would rival the noninvestable indices in performance when
market conditions are more favourable
with sustainable trends, as shown below
over the bullish period ranging from
December 2005 to mid-2007.
Indices
Graph 2 — Cumulative performance observed from December 2005 to January 2009 (in-sample period)
Graph 3 — Cumulative performance observed from December 2005 to April 2010
Out-of-sample period from February 2009 to April 2010
Although we do not have an abundance
of data over the out-of-sample period
(even if, unlike the in-sample period, it
includes the Lyxor investable indices),
which is characterised by a strong rally,
the first results tend to corroborate
the abovementioned assumption: the
cumulative excess return is highest at the
end of the bear market and then stabilises
as from the trend reversal. In other words,
the excess return is all the lower as the
market environment is favourable.
Thus it is interesting to note that the
annualised excess return observed over
the out-of-sample period is comparable
to that computed from December 2005
to July 2007, which is also a period
characterised by little market turbulence.
7
Indices
Table 4 — Compared excess returns
February 2009 to April 2010
EDHEC Index
EDHEC Index readjusted
Investable Indices
Cumulative Return
12.59%
10.98%
10.15%
Annualised Return
9.95%
8.69%
8.04%
Annualised Excess Return
1.26%
1.91%
3.20%
3.41%
3.23%
EDHEC Index
Investable Indices
Cumulative Return
22.74%
20.86%
20.34%
Annualised Return
13.08%
12.04%
11.75%
Annualised SD
December 2005 to July 2007
Annualised SD
December 2005 to April 2010
1.05%
1.33%
3.41%
3.70%
3.29%
EDHEC Index
Investable Indices
Cumulative Return
13.43%
-5.22%
-6.01%
Annualised Return
3.20%
-1.33%
-1.54%
4.53%
4.74%
9.04%
8.80%
Annualised SD
6.60%
That said, we must bear in mind that little
performance data on investable indices
is available over the analysis period. In
addition, the series of monthly returns
are too short to allow us to assert that
the results obtained are robust enough.
In this respect, the coming months will
certainly provide us with interesting
occurrences to test and improve our
adjustment models.
8
References
9
References
• Malkiel, B. G., and A. Saha. 2005. Hedge funds: Risk and return. Financial Analysts
Journal 61 (6): 80-88.
• Posthuma, N., and P. J. van der Sluis. 2004. A reality check on hedge fund returns. In
Hedge Fund Intelligent Investing, ed. Barry Schachter. RiskBooks.
10
About EDHEC-Risk Institute
11
Founded in 1906, EDHEC is
one of the foremost French
business schools. Accredited by
the three main international
academic organisations,
EQUIS, AACSB, and Association
of MBAs, EDHEC has for a
number of years been pursuing
a strategy for international
excellence that led it to set up
EDHEC-Risk in 2001.
With 47 professors, research
engineers and research
associates, this centre has the
largest asset management
research team in Europe.
The Choice of Asset Allocation
and Risk Management
EDHEC-Risk structures all of its research
work around asset allocation and risk
management. This issue corresponds to
a genuine expectation from the market.
On the one hand, the prevailing stock market
situation in recent years has shown the
limitations of diversification alone as a risk
management technique and the usefulness
of approaches based on dynamic portfolio
allocation. On the other, the appearance
of new asset classes (hedge funds, private
equity, real assets), with risk profiles
that are very different from those of the
traditional investment universe, constitutes
a new opportunity and challenge for the
implementation of allocation in an asset
management or asset-liability management
context. This strategic choice is applied to
all of the centre's research programmemes,
whether they involve proposing new
methods of strategic allocation, which
integrate the alternative class; taking
extreme risks into account in portfolio
construction; studying the usefulness of
derivatives in implementing asset-liability
management approaches; or orienting
the concept of dynamic “core-satellite”
investment management in the framework
of absolute return or target-date funds.
40% Strategic Asset Allocation
45.5% Tactical Asset Allocation
11% Stock Picking
3.5% Fees
Source EDHEC (2002) and Ibbotson, Kaplan (2000)
12
An Applied Research Approach
In an attempt to ensure that the research
it carries out is truly applicable, EDHEC
has implemented a dual validation
system for the work of EDHEC-Risk.
All research work must be part of a research
programmeme, the relevance and goals
of which have been validated from both
an academic and a business viewpoint by
the centre's advisory board. This board
is made up of internationally recognised
researchers, the centre's business partners
and representatives of major international
institutional investors. The management
of the research programmemes respects a
rigorous validation process, which guarantees
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usefulness of the programmes.
Six research programmemes have been
conducted by the centre to date:
• Asset allocation and alternative
diversification
• Style and performance analysis
• Indices and benchmarking
• Operational risks and performance
• Asset allocation and derivative
instruments
• ALM and asset management
These programmemes receive the support
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The results of the research programmemes
are disseminated through the three
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Singapore.
In addition, EDHEC-Risk has developed
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chairs. These research chairs involve a threeyear commitment by EDHEC-Risk and the
sponsor to research themes on which the
parties to the chair have agreed.
The following research chairs have been
endowed to date:
• Regulation and Institutional Investment,
in partnership with AXA Investment
Managers (AXA IM)
• Asset-Liability
Management
and
Institutional Investment Management,
in partnership with BNP Paribas Investment
Partners
• Risk and Regulation in the European
Fund Management Industry,
in partnership with CACEIS
• Structured Products and Derivative
Instruments,
sponsored by the French Banking
Federation (FBF)
• Private Asset-Liability Management,
in partnership with ORTEC Finance
• Dynamic Allocation Models and New
Forms of Target-Date Funds,
in partnership with UFG
• Advanced Modelling for Alternative
Investments,
in partnership with Newedge Prime
Brokerage
• Asset-Liability Management Techniques
for Sovereign Wealth Fund Management,
in partnership with Deutsche Bank
• Core-Satellite and ETF Investment,
in partnership with Amundi ETF
• The Case for Inflation-Linked Bonds:
Issuers’ and Investors’ Perspectives,
in partnership with Rothschild & Cie
• Advanced Investment Solutions for
Liability Hedging for Inflation Risk,
in partnership with Ontario Teachers'
Pension Plan
The philosophy of the institute is to validate
its work by publication in international
journals, but also to make it available to
the sector through its position papers,
published studies and conferences.
Each year, EDHEC-Risk organises a major
international conference for institutional
investors and investment management
professionals with a view to presenting
the results of its research: EDHEC Risk
Institutional Days.
EDHEC also provides professionals with
access to its website, www.edhecrisk.com, which is entirely devoted to
international asset management research.
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regular visitors, is aimed at professionals
who wish to benefit from EDHEC’s analysis
and expertise in the area of applied
portfolio management research. Its
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EDHEC-Risk Institute: Key Figures,
2008-2009
Number of permanent staff
47
Number of research associates
17
Number of affiliate professors
5
Overall budget
€8,700,000
External financing
€5,900,000
Number of conference delegates
1,950
Number of participants at
EDHEC Risk Executive Education
seminars
371
Research for Business
The centre’s activities have also given rise
to executive education and research service
offshoots.
EDHEC-Risk's
executive
education
programmemes help investment professionals
to upgrade their skills with advanced risk
and asset managementtraining across
traditional and alternative classes.
13
The EDHEC-Risk Institute PhD in
Finance
The EDHEC-Risk Institute PhD in Finance
at EDHEC Business School is designed
for professionals who aspire to higher
intellectual levels and aim to redefine the
investment banking and asset management
industries. It is offered in two tracks: a
residential track for high-potential graduate
students, who hold part-time positions at
EDHEC Business School, and an executive
track for practitioners who keep their fulltime jobs. Drawing its faculty from the
world’s best universities and enjoying the
support of the research centre with the
greatest impact on the European financial
industry, the EDHEC-Risk Institute PhD in
Finance creates an extraordinary platform
for professional development and industry
innovation.
The EDHEC-Risk Institute MSc in
Risk and Investment Management
The EDHEC-Risk Institute Executive MSc
in Risk and Investment Management
is designed for professionals in the
investment
management
industry
who wish to progress, or maintain
leadership in their field, and for
other finance practitioners who are
contemplating lateral moves. It appeals
to senior executives, investment and risk
managers or advisors, and analysts. This
postgraduate programmeme is designed
to be completed in seventeen months of
part-time study and is formatted to be
compatible with professional schedules.
The programmeme has two tracks: an
executive track for practitioners with
significant
investment
management
experience and an apprenticeship track
for selected high-potential graduate
students who have recently joined the
industry. The programmeme is offered in
14
Asia—from Singapore—and in Europe—from
London and Nice.
FTSE EDHEC-Risk Efficient Indices
FTSE Group, the award winning global
index provider, and EDHEC-Risk Institute
launched the FTSE EDHEC Risk Efficient
Indices at the beginning of 2010. The
index series aims to capture equity market
returns with an improved risk/reward
efficiency compared to cap-weighted
indices. The weighting of the portfolio of
constituents achieves the highest possible
return-to-risk efficiency by maximising the
Sharpe ratio (the reward of an investment
per unit of risk).
EDHEC-Risk Alternative Indexes
The different hedge fund indexes available
on the market are computed from different
data, according to diverse fund selection
criteria and index construction methods;
they unsurprisingly tell very different
stories. Challenged by this heterogeneity,
investors cannot rely on competing hedge
fund indexes to obtain a “true and fair”
view of performance and are at a loss
when selecting benchmarks. To address
this issue, EDHEC Risk was the first to
launch composite hedge fund strategy
indexes as early as 2003.
The thirteen EDHEC-Risk Alternative
Indexes are published monthly on www.
edhec-risk.com and are freely available
to managers and investors.
EDHEC-Risk Institute Publications
and Position Papers (2007-2010)
15
(2007-2010)
2010
• Amenc, N., F. Goltz, Martellini, L., and V. Milhau. New frontiers in benchmarking and
liability-driven investing (September).
• Martellini, L., and V. Milhau. From deterministic to stochastic life-cycle investing:
implications for the design of improved forms of target date funds (September).
• Martellini, L., and V. Milhau. Capital structure choices, pension fund allocation decisions
and the rational pricing of liability streams (July).
• Sender, S. EDHEC survey of the asset and liability management practices of European
pension funds (June).
• Goltz, F., A. Grigoriu, and L. Tang. The EDHEC European ETF survey 2010 (May).
• Amenc, N., and S. Sender. Are hedge-fund UCITS the cure-all? (March).
• Amenc, N., F. Goltz, and A. Grigoriu. Risk control through dynamic core-satellite portfolios
of ETFs: Applications to absolute return funds and tactical asset allocation (January).
• Amenc, N., F. Goltz, and P. Retkowsky. Efficient indexation: An alternative to cap-weighted
indices (January).
• Goltz, F., and V. Le Sourd. Does finance theory make the case for capitalisation-weighted
indexing? (January).
2009
• Sender, S. Reactions to an EDHEC study on the impact of regulatory constraints on the
ALM of pension funds (October).
• Amenc, N., L. Martellini, V. Milhau, and V. Ziemann. Asset-liability management in
private wealth management (September).
• Amenc, N., F. Goltz, A. Grigoriu, and D. Schroeder. The EDHEC European ETF survey
(May).
• Sender, S. The European pension fund industry again beset by deficits (May).
• Martellini, L., and V. Milhau. Measuring the benefits of dynamic asset allocation strategies
in the presence of liability constraints (March).
• Le Sourd, V. Hedge fund performance in 2008 (February).
• La gestion indicielle dans l'immobilier et l'indice EDHEC IEIF Immobilier d'Entreprise
France (February).
• Real estate indexing and the EDHEC IEIF Commercial Property (France) Index
(February).
• Amenc, N., L. Martellini, and S. Sender. Impact of regulations on the ALM of European
pension funds (January).
• Goltz, F. A long road ahead for portfolio construction: Practitioners' views of an EDHEC
survey. (January).
16
(2007-2010)
2008
• Amenc, N., L. Martellini, and V. Ziemann. Alternative investments for institutional
investors: Risk budgeting techniques in asset management and asset-liability management
(December).
• Goltz, F., and D. Schroeder. Hedge fund reporting survey (November).
• D’Hondt, C., and J.-R. Giraud. Transaction cost analysis A-Z: A step towards best execution
in the post-MiFID landscape (November).
• Amenc, N., and D. Schroeder. The pros and cons of passive hedge fund replication
(October).
• Amenc, N., F. Goltz, and D. Schroeder. Reactions to an EDHEC study on asset-liability
management decisions in wealth management (September).
• Amenc, N., F. Goltz, A. Grigoriu, V. Le Sourd, and L. Martellini. The EDHEC European ETF
survey 2008 (June).
• Amenc, N., F. Goltz, and V. Le Sourd. Fundamental differences? Comparing alternative
index weighting mechanisms (April).
• Le Sourd, V. Hedge fund performance in 2007 (February).
• Amenc, N., F. Goltz, V. Le Sourd, and L. Martellini. The EDHEC European investment
practices survey 2008 (January).
2007
• Ducoulombier, F. Etude EDHEC sur l'investissement et la gestion du risque immobiliers
en Europe (November/December).
• Ducoulombier, F. EDHEC European real estate investment and risk management survey
(November).
• Goltz, F., and G. Feng. Reactions to the EDHEC study "Assessing the quality of stock
market indices" (September).
• Le Sourd, V. Hedge fund performance in 2006: A vintage year for hedge funds?
(March).
• Amenc, N., L. Martellini, and V. Ziemann. Asset-liability management decisions in private
banking (February).
• Le Sourd, V. Performance measurement for traditional investment (literature survey)
(January).
17
EDHEC-Risk Institute Position Papers
(2007-2010)
2010
• Amenc, N., and V. Le Sourd. The performance of socially responsible investment and
sustainable development in france: An update after the financial crisis (September).
• Amenc, N., A. Chéron, S. Gregoir, and L. Martellini. Il faut préserver le Fonds de Réserve
pour les Retraites (July).
• Lioui, A. Spillover effects of counter-cyclical market regulation: Evidence from the 2008
ban on short sales (March).
• Amenc, N., P. Schoefler and P. Lasserre. Organisation optimale de la liquidité des fonds
d’investissement (March).
2009
• Till, H. Has there been excessive speculation in the US oil futures markets?
(November).
• Amenc, N., and S. Sender. A welcome European Commission consultation on the UCITS
depositary function, a hastily considered proposal (September).
• Sender, S. IAS 19: Penalising changes ahead (September).
• Amenc, N. Quelques réflexions sur la régulation de la gestion d'actifs (June).
• Giraud, J.-R. MiFID: One year on (May).
• Lioui, A. The undesirable effects of banning short sales (April).
• Gregoriou, G., and F.-S. Lhabitant. Madoff: A riot of red flags (January).
2008
• Amenc, N., and S. Sender. Assessing the European banking sector bailout plans
(December).
• Amenc, N., and S. Sender. Les mesures de recapitalisation et de soutien à la liquidité
du secteur bancaire européen (December).
• Amenc, N., F. Ducoulombier, and P. Foulquier. Reactions to an EDHEC study on the
fair value controversy (December). With the EDHEC Financial Analysis and Accounting
Research Centre.
• Amenc, N., F. Ducoulombier, and P. Foulquier. Réactions après l’étude. Juste valeur ou
non : un débat mal posé (December). With the EDHEC Financial Analysis and Accounting
Research Centre.
• Amenc, N., and V. Le Sourd. Les performances de l’investissement socialement responsable
en France (December).
• Amenc, N., and V. Le Sourd. Socially responsible investment performance in France
(December).
• Amenc, N., B. Maffei, and H. Till. Les causes structurelles du troisième choc pétrolier
(November).
18
EDHEC-Risk Institute Position Papers
(2007-2010)
• Amenc, N., B. Maffei, and H. Till. Oil prices: The true role of speculation (November).
• Sender, S. Banking: Why does regulation alone not suffice? Why must governments
intervene? (November).
• Till, H. The oil markets: Let the data speak for itself (October).
• Amenc, N., F. Goltz, and V. Le Sourd. A comparison of fundamentally weighted indices:
Overview and performance analysis (March).
• Sender, S. QIS4: Significant improvements, but the main risk for life insurance is not
taken into account in the standard formula (February). With the EDHEC Financial Analysis
and Accounting Research Centre.
2007
• Amenc, N. Trois premières leçons de la crise des crédits « subprime » (August).
• Amenc, N. Three early lessons from the subprime lending crisis (August).
• Amenc, N., W. Géhin, L. Martellini, and J.-C. Meyfredi. The myths and limits of passive
hedge fund replication (June).
• Sender, S., and P. Foulquier. QIS3: Meaningful progress towards the implementation of
Solvency II, but ground remains to be covered (June). With the EDHEC Financial Analysis
and Accounting Research Centre.
• D’Hondt, C., and J.-R. Giraud. MiFID: The (in)famous European directive (February).
• Hedge fund indices for the purpose of UCITS: Answers to the CESR issues paper
(January).
• Foulquier, P., and S. Sender. CP 20: Significant improvements in the Solvency II
framework but grave incoherencies remain. EDHEC response to consultation paper n°
20 (January).
• Géhin, W. The Challenge of hedge fund measurement: A toolbox rather than a Pandora's
box (January).
• Christory, C., S. Daul, and J.-R. Giraud. Quantification of hedge fund default risk
(January).
19
For more information, please contact:
Carolyn Essid on +33 493 187 824
or by e-mail to: [email protected]
EDHEC-Risk Institute
393 promenade des Anglais
BP 3116
06202 Nice Cedex 3 — France
EDHEC Risk Institute—Europe
New Broad Street House — 35 New Broad Street
London EC2M 1NH
United Kingdom
EDHEC Risk Institute—Asia
1 George Street
#07-02
Singapore 049145
www.edhec-risk.com

Publications | EDHEC Business School

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