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Technical papers
Reviewing the use of alternative asset class ETFs
Investors have extended the use of exchange traded funds (ETFs) to alternative investments. Commodities, infrastructure and real estate are popular but hedge funds less so.
Hedge Funds Review | 09 Aug 2010
Translating overnight and intraday returns to improve daily volatility forecast accuracy
Recent research suggests the information content in overnight and intraday returns, unlike trading volume, improves the statistical accuracy of daily volatility forecasts.
Hedge Funds Review | 04 Jul 2010
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.
Hedge Funds Review | 02 Jun 2010
Questions abound over Ucits hedge funds
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......
Hedge Funds Review | 08 May 2010
Beyond diversification: absolute return funds of ETFs
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......
Hedge Funds Review | 07 Apr 2010
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......
Hedge Funds Review | 01 Mar 2010
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.
Hedge Funds Review | 02 Feb 2010
Taking an asset-liability management approach to private wealth management
While the private banking industry is in general relatively well equipped on the tax planning side, with tools that can allow private bankers to analyse the situation of high net worth individuals operating......
Hedge Funds Review | 11 Jan 2010
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:......
Hedge Funds Review | 21 Dec 2009
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.
Hedge Funds Review | 11 Nov 2009
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