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ARTICLES - LAST PUBLICATIONS

Is Mexico on the brink of becoming the next global growth engine? by Michael Waschnig 2010-07-23 Few international investors took notice when Mexico changed its laws so that Mexican pension funds now can invest in PE. Consequently, lots of new PE and VC funds are emerging and a strong professional investment community is growing. In order to facilitate the exit of private investments the Mexican stock exchange has recently created a small and medium-cap alternative market. Read...
Mind the Gap: Closing Deficits in UK Pension Funds by Daniela Trojakova 2010-07-21 David Blake, a keynote speaker at the marcus evans UK Pensions & Investments Summit 2010, shares his strategies on eliminating deficits within UK pension funds. Interview with: David Blake, Professor & Director of the Pensions Institute, Cass Business School Read...
Corporate Treasury – The New Reality by George Ravich 2010-07-12 Read...
Does hedge fund performance persist? Overview and new empirical evidence by Ernest N. Biktimirov 2010-07-06 Does hedge fund performance persist? Overview and new empirical evidence Eling focuses on relative performance persistence, that is, the persistence of the performance ranking in a sample of funds. In an extensive literature review, the author reports the methodologies and the results of twenty-five studies, the first published in 1998, of relative persistence. Read...
EDHEC-Risk Survey of the Asset-Liability Management Practices of European Pension Funds by EDHEC-Risk Institute 2010-07-06 EDHEC-Risk Survey of the Asset-Liability Management Practices of European Pension Funds EDHEC-Risk Institute took a recent survey of pension funds, their advisers, regulators, and fund managers. One hundred twenty-nine of these asset/liability management (ALM) specialists, representing assets under management (AUM) of around €3 trillion, responded to the survey. Pension funds and their sponsors account for approximately €0.9 trillion. Read...
More pension funds are asking for downside risk protection - an interview with Thibaud de Vitry by Thibaud de Vitry 2010-07-06 More pension funds are asking for downside risk protection - an interview with Thibaud de Vitry In this month's interview, Thibaud de Vitry, Global Head of Investment Solutions with AXA Investment Managers, discusses the results and potential implications of the recent EDHEC-Risk Institute survey on the asset-liability management practices of European pension funds, which was carried out as part of the EDHEC-Risk Institute "Regulation and Institutional Investment" research chair sponsored by AXA IM, and his hopes and expectations for the future research work from the chair. Read...
New research horizons by Lionel Martellini 2010-07-06 New research horizons EDHEC-Risk Institute is striving to become an academic institution of reference for the investment industry by maintaining a strategic focus on issues that correspond to major industry needs, validating research projects and output from both academic and professional viewpoints, and highlighting research results and applications towards asset owners, asset managers, and regulators. Read...
Banks forced to retrench by Arjuna Sittampalam 2010-07-06 Banks forced to retrench. Various developments point to the banking sectors in the US and western Europe shrinking. The key question is what might take their place. Read...
Key challenges for institutional investors by Noël Amenc 2010-07-06 Key challenges for institutional investors At a conference in Paris on June 8-9, EDHEC-Risk Institute examined the key challenges currently faced by French institutional investors. The topics discussed included the measurement and integration of operational and counterparty risks in asset management, new forms of risk management in institutional investment, and the risk and performance results for socially responsible investment after the financial crisis. Read...
Driving Value through Responsible Investing by Daniela Trojakova 2010-07-05 James Gifford, a speaker at the marcus evans Nordic Pensions & Investments Summit 2010, explores the benefits of adopting the UN’s Principles for Responsible Investment. Interview with: James Gifford, Executive Director, United Nations Principles for Responsible Investment Secretariat Read...
NETWORKING THROUGH THE RECESSION by Paulo Godinho 2010-07-05 In the face of the world’s most challenging economic crisis in decades, Europe’s elite private equity community needs to map out a direction to not only ensure private equity’s attraction as an asset class, but to crucially identify investment strategies for the next 12-24 months that will deliver optimum returns. Monte Carlo will therefore play host to Europe’s foremost gathering of senior-level private equity professionals to address how the industry can thrive in a post-recession climate. Read...
Private Banking and understanding of the challenges and opportunities ahead. by Silvia Anderson 2010-07-05 Michael Wodzicki, Senior VP, Raiffeisen International will share his view on Raiffeisen’s perspectives on private banking and approach to various market challenges at a very prestigious, 5 star event 4th Annual CEE Private Banking Conference (23rd and 24th September, in Budapest). EVLI Banks’s representative, Vesa Salonen, Head of Private Banking, will talk about how to create growth and satisfied customers’ needs. Read...
Bad call ref! Why not use the monitoring technology available? by Chris Davis 2010-07-01 Read...
SunGard Clearing Panel London: Getting the derivatives mix right by Marianne Quentin 2010-06-30 SunGard organized the first 2010 Clearing Panel on May 18th. You can access an executive summary and a video of the London Clearing Panel. Read...
The need to diversify across a range of asset classes has always been a central theme for institutional investors by Angeli Toledo 2010-06-28 The need to diversify across a range of asset classes has always been a central theme for institutional investors. Before the credit crisis, institutional investors could be found diversifying into the broadest range of asset classes. How has the GFC impacted these diversification decisions and what opportunities will emerge in the post crisis environment? And what criteria will need to be met for new mandates? Read...
Every Penny Counts - Preserving Wealth for Future Generations by Daniela Trojakova 2010-06-28 As the aftershocks of the economic crisis continue to disrupt markets worldwide, some of Europe’s top private wealth management industry executives came together at the recent marcus evans Elite Summit 2010, the leading private wealth management event, to share insights and strategies for unearthing the opportunities in today’s highly volatile investment landscape. Read...
EXCLUSIVE DISCOUNT FOR FINROAD MEMBERS REGISTER TODAY AND SAVE UP TO £800 by Paulo Godinho 2010-06-16 Celebrating its 10th anniversary, this year’s Capital Creation will comprise keynote addresses, industry-led panel debates and peer-to-peer roundtable discussions, focusing on the most important issues surrounding private equity. Read...
European Pensions & Investments Summit by Daniela Trojakova 2010-06-16 The marcus evans European Pensions & Investments Summit celebrated its tenth anniversary, and most successful event to date, last month at the Fairmont Le Montreux Palace in Montreux, Switzerland. The compelling 2010 programme provided a range of interactive platforms and case studies offering diverse perspectives on pension fund management and current economic trends. Read...
Do you have an interesting and successful story to tell? by Evashnee Pillay 2010-06-14 Do you have an interesting and successful story to tell? Private Equity World Africa 2010 is seeking proposals for presentations for the 2010 conference to be held on 18 – 21 October 2010 at the Sandton Convention Centre, South Africa. Read...
Dealing with volatility in today's markets by M. (Michael) Damian Billy 2010-06-10 In order to preserve capital and profit from the turbulence generated by the global debt crisis, the application for succeeding has dramatically changed. Devaluing a currency is an accepted method to countering a country’s debt. The task is daunting under normal economic conditions and the consequences uncertain. But when a myriad of causational factors are wreaking havoc within global markets, how do you adjust your FX or any asset class risk management control(s) to ensure against losses? http://www.finalternatives.com/node/12777 Read...
Successful insurance strategies and channel distribution. by Silvia Anderson 2010-06-09 Insurance distribution is evolving and becoming more complex as more customers go online and switch channels to research and buy insurance. eBusiness and channel strategy executives need to manage distribution through multiple channels, avoid channel conflict and improve poor multichannel customer experiences. Speakers from leading financial institutions will share their knowledge and experience on successful insurance strategies and channel distribution. Join them in Milan! Read...
Unlocking the Investment Potential of Emerging Markets by Daniela Trojakova 2010-06-09 Institutional investors may need to overcome their perceptions on investing in emerging markets, according to Tendai Musikavanhu, CEO of Old Mutual Global Index Trackers. Read...
In the face of the world’s most challenging economic crisis in decades by Paulo Godinho 2010-06-09 In the face of the world’s most challenging economic crisis in decades, Europe’s elite private equity professionals need to map out a direction to not only ensure private equity’s attraction as an asset class, but to crucially identify investment strategies for the next 12-24 months that will deliver maximum returns. Read...
How would you define multi-asset trading? by Katia Wyatt 2010-06-09 As markets experience less volume of transactions, investors’ demand for multi asset trading grows. Investors increasingly need the ability to trade multiple assets electronically and look for a one-stop-shop – convenience is paramount. Read...
What is the future of retail banking in the new environment? by Eva Baskova 2010-06-09 The world is slowly recovering from an unprecedented financial crisis and economical slowdown that has also seriously affected the CEE region and significantly changed the processes within its retail banking sector. What will assure profitability for banks once the dust from the crisis settles down? Read...
A number of high-profile defaults by Eva Baskova 2010-06-09 A number of high-profile defaults, volatility in the financial markets and heightened concerns over counterparty credit risk have placed great strain on many banks’ collateral programs and have highlighted the need for a new approach. Even before the collapse of the sub-prime market, the rise in instrument complexity and trading volumes had alerted the market of the need to update the techniques and systems used to manage the collateral process. Read...
Why Investors Need to Hire A Financial Advisor by Jason Lampa 2010-06-05 Investors may want to look at hiring a financial advisor before listening to commercials comparing online investing with the independent spirit our nation was found on. Read...
Unifying a Fragmented Market: Operational efficiency and securities trading in the European Union by Marianne Quentin 2010-05-28 Europe’s multi-venue environment is placing considerable pressure on trading firms’ middle and back offices. Automation provides the key to meeting increasingly sophisticated client demands while keeping control of costs. Read...
Fragmented Liquidity: A brave new world for the brokers of the future by 2010-05-28 The cost of operating in the post-MiFID marketplace has become prohibitive for all but the largest brokers. There is, however, a new operating model that tackles these cost barriers head-on and makes it possible for regional and specialist brokers with a strong client service proposition to compete fully with larger firms. Read...
Repenser le Private Banking au Luxembourg by Alina Armani 2010-05-26 Repenser le Private Banking au Luxembourg Le mercredi 19 mai, Private Banker 2010 réunissait plus de 200 banquiers et professionnels du secteur, soit quasiment le double de ce qui était attendu au départ, pour faire l’état des lieux. Read...
All Stocks Are Not Created Equal: Evidence from the S&P Indexes Float Adjustment by Ernest N. Biktimirov 2010-05-26 All Stocks Are Not Created Equal: Evidence from the S&P Indexes Float Adjustment Ernest N. Biktimirov. In this article, Biktimirov examines the link between the demand for stocks and the prices of these stocks. The aim is to determine whether the demand curves for stocks are flat or whether they slope downward. A flat demand curve means that the price of stocks will not be influenced by the demand for these stocks, whereas a downward sloping demand curve indicates that a fall in demand will cause the price of the stock to fall. Read...
Models do not have much to do with the financial crisis - an interview with Sergio Focardi by Sergio Focardi 2010-05-26 Models do not have much to do with the financial crisis - an interview with Sergio Focardi In this month's interview, we speak to Sergio Focardi, Professor of Finance at EDHEC Business School, about the role of mathematical models in the financial crisis, his new book on investment management entitled "Quantitative Equity Investing: Techniques and Strategies," and his current research work. Read...
On the Suitability of the Calibration of Private Equity Risk in the Solvency II Standard Formula by Philippe Foulquier 2010-05-26 On the Suitability of the Calibration of Private Equity Risk in the Solvency II Standard Formula The drawing-up of the Solvency II prudential rules has become a major concern for the private equity industry. The capital requirements for private equity risk could turn out to be, from 2012, sufficiently binding to lead many European insurers to reduce appreciably their asset allocation to non-listed stocks. As an example, in the French market, in 2007, the total investments in private equity represented €22bn in the balance sheet of insurance companies (FFSA 2008). Insurance companies finance 21% of the funds raised (AFIC); thus becoming the leading national investors in non-listed stocks. Read...
Radical changes in bond markets by Arjuna Sittampalam 2010-05-26 Radical changes in bond markets The way bonds in the western economies are bought and sold is undergoing several radical changes, affecting all participants, ranging from banks to dealers, asset managers, retail customers and the issuers, including governments. Read...
Proudly in Singapore by Frédéric Ducoulombier 2010-05-26 Proudly in Singapore Now regarded as the leading centre in Europe for financial research, EDHEC-Risk Institute is expanding: it is establishing two international outposts from which to do research, organise industry outreach activities, and deliver executive education programmes. Read...
Are banks capabale of stimulating the economy on their own? by Oliver Payne 2010-05-21 During the credit crisis, governments and central banks were standing united to stimulate the economy and financial markets. However, Greece makes it increasingly clear that governments have reached their financial limits. The important question is to what extent central banks are capable to stimulate the economy on their own. Read...
Private Capital Markets Update by Diane Niederman 2010-05-20 Survey Results of the Last Uncharted Capital Markets. Rob Slee, Author, Private Capital Markets Featured Speaker at the AM&AA Summer Conference July 20-22, 2010 Read...
If your Bank isn't working for you, why not create YOUR own Bank? by Michael Weiner 2010-05-16 The next several years of major profits from global business & trade will come from private banking. The private banks who are positioned to capitalize on the coming trends & emerging opportunities will leverage key relationships with political structures, banking systems & corporate networks thereby realizing unprecedented growth in revenues, wealth and power. Read...
Is Multi Asset Trading the Way Forward? by Paulo Godinho 2010-05-14 Many firms, big and small, are turning to cross-asset trading and bringing the trading of two or more asset classes together onto a single platform for more efficiency, better risk management, better position reporting and viewing, and ultimately better returns. And that's where you could see beyond equity into currency, options, futures, bonds and other asset classes. Read...
EBITDA Pro’s and Con’s by George Abraham 2010-05-12 EBITDA, an acronym for "earnings before interest, taxes, depreciation and amortization," is an often-used measure of the value of a business. Read...
Black-Scholes option pricing formula and martingale approach. by Hachemi Benyahia 2010-05-04 Through the martingal approach we set out a detailed proof of the Black-Scholes-Merton valuation formula for a european vanilla option. This approach, wich can be interpretated as a Feynman-Kac's theorem's corollary, enables to solve quickly and elegantly problems related to derivatives valuation when analytical formula is available. Read...
The Challenge of Financial Innovation in a Changing Regulatory Environment by Daniel Stafford 2010-05-01 With Goldman Sachs targeted by the SEC with timing designed to help push the Obama financial reform forward, the environment for large firms is clear. But there is a clear risk of collateral damage to the millions of small financial firms across the country when an overzealous regulatory regime and new government agencies enter the fray, armed with legions of bureaucrats with a broad mandate to "protect". I examine how our company, Securities Finance LLC, has responded to an environment where safety is paramount and innovation is risky. Read...
The Investment Performance of Sharpe Ratios by Oliver Schwindler, CAIA 2010-04-30 Using serial correlation adjusted Sharpe ratios, we find a relatively stable persistency during calm investing periods. A hypothetical investment simulation over a multi-year period reveals that investing in highly ranked multi-strategy funds of hedge funds based on the Sharpe ratio can be rewarding to investors and investors should avoid funds with a low Sharpe ratio as these consistently underperform. Read...
Discover the trading arbitrage strategies by Boris Agranovich 2010-04-29 This is a short article describing the most popular arbitrage strategies used by banks. Read...
Hedging – What Is It, And It's Uses In Risk Management by Dwayne Strocen 2010-04-28 Hedging, understanding the benefits of risk management in an enterprise wide solution. Risk management and hedging is a useful tool to reduce market place liability. Here are some tips on its uses. Read...
Market Risk - Not To Be Ignored or Overlooked by Dwayne Strocen 2010-04-28 Understanding Market Risk and the solutions available to mitigate or eliminate financial loss in today's global market. Read...
Transparency In Hedge Fund Investing Is Critical For Investors by Dwayne Strocen 2010-04-28 Due to some recent high profile fraud cases within the hedge fund industry, many investors are seeking greater transparency from their investment managers. While many managers protect their proprietary trading programs, there is one sure fire way to address this issue. Read...
Valuation of barrier options with QuantLib-1.0 by Hachemi Benyahia 2010-04-28 A barrier option gives the holder the right to buy (in the case of a call option) or sell (in the case of a put option) a determined quantity of an underlying asset (UA) at a price and a date initially determined, if a predetermined threshold (the barrier) is crossed. Read...
Is the Market Portfolio Efficient When Investors Are Not Utility Maximisers? by Véronique Le Sourd 2010-04-28 Is the Market Portfolio Efficient When Investors Are Not Utility Maximisers? Véronique Le Sourd. Read...
Changing the rules of the game is the worst solution - an interview with Abraham Lioui by Abraham Lioui 2010-04-28 Changing the rules of the game is the worst solution - an interview with Abraham Lioui In this month's interview we talk to Abraham Lioui, Professor of Finance at EDHEC Business Read...
Spillover Effects of Counter-cyclical Market Regulation: Evidence from the 2008 Ban on Short Sales by Abraham Lioui 2010-04-28 Spillover Effects of Counter-cyclical Market Regulation: Evidence from the 2008 Ban on Short Sales The ban on shorting had negative effects on the hedge fund industry. Read...
Hedge funds and mutual funds converge by Arjuna Sittampalam 2010-04-28 Hedge funds and mutual funds converge Convergence of mainstream asset management and alternative Read...
Investment Management - April 23, 2010 by Lionel Martellini 2010-04-28 Clients matter... EDHEC-Risk Institute believes that client servicing and the provision of investor solutions should respect a number of guiding principles: financial engineering should address client needs rather than showcase technical sophistication Read...
The real impact of Arrowhead on the trading landscape in Japan in the last 4 months by Anna Ju 2010-04-16 Hiroshi Matsubara, Marketing Director- Japan, Fidessa speaks to Andrew Thake in the run up to TradeTech on what has been the real impact of Arrowhead on the trading landscape in Japan in the last 4 months? Read...
Main challenges facing the Japanese institutional equity trading marketplace in the second half of 2010 by Anna Ju 2010-04-16 Atsuo Tachikawa, Manager – IT Planning, Daiwa SB Investments speaks to Andrew Thake in the run up to TradeTech Japan and answers What are the main challenges facing the Japanese institutional equity trading marketplace as we move into the second half of 2010? Read...
Opportunities and Challenges in Equities Trading Industry of India Today by Anna Ju 2010-04-16 TradeTech recently interviewed key speakers of TradeTech India 2010 to find out what opportunities they saw in the market and why people should be attending the conference to network and discover international best practices Read...
Will regulators destroy the banking system? by Chris Skinner 2010-04-15 a wide range of strategic initiatives were announced including a new European supervision architecture and proposals in areas covering everything from derivatives markets, short selling and credit default swaps, deposit guarantee schemes, market abuse, crisis management tools and bank capital requirements. On this last point, they are even mooting a bank levy to generate €50 billion in case of future bailouts. Read...
Indian Electronic Equities Trading - Opportunities or Challenges? by Anna Ju 2010-04-14 Indian Electronic Equities Trading - Opportunities or Challenges? I spoke to a number international of experts about the opportunities they see in India and what challenges they have encountered in trading the domestic market. I wanted to know how India differed from other regional markets in Asia and why should both domestic and international buy and sell sides be focusing on India for opportunities. Read...
Leading Institutional Investors to Attend the Emerging Market Investments Summit 2010 by Daniela Trojakova 2010-04-14 marcus evans (www.marcusevans.com) is pleased to announce the Emerging Market Investments Summit taking place 13-15 June 2010 at the Le Méridien Beach Plaza, Monte Carlo, Monaco. Read...
FinLab SA announces the release of PackHedge™ v.4.2 by Franck Brision 2010-04-14 FinLab SA announces the release of new version of PackHedge™ v.4.2, its UCITS compliant platform for fund research and analysis Read...
Latin connection: Investors keen on Brazil by Marianne Quentin 2010-04-13 A surge of foreign investment has forced the Brazilian authorities to take action to prevent a bubble developing. So, does Brazil remain a land of opportunities? Read...
Property NOT safest investment by David Bennett 2010-04-01 Some of the over 50 financial flaws of the mainstream school of thought relate to property. For example "Property is the safest investment", "Property prices will always go up, at least in the longer term", and "Property is the most profitable investment". Why are these assertions of the mainstream all FLAWS? Read...
Unlimited growth - high yields on stock markets by David Bennett 2010-04-01 One of the over 50 financial flaws of the mainstream school of thought is that "Growth has its limits, and high stock market yields are a matter of the past". With this assertion in mind it is understandable why so many people shy away from the stock market when they consider retirement protection, old-age provision, or pension schemes. Nonetheless, why is this assertion of the mainstream a FLAW? Read...
Gap between rich and poor by David Bennett 2010-04-01 One of the over 50 financial flaws of the mainstream school of thought is that "The rich become richer and the poor become poorer, and there's nothing you can do about it". The famous "Gap between the rich and the poor" - you have heard of it, haven't you? Why is this assertion of the mainstream a FLAW? Read...
How to Set Up a Successful Financial KPO Engagement by Shiva Kumar 2010-03-29 Knowledge process outsourcing (KPO) is an emerging part of the outsourcing plans of many financial firms. It is a segment with significant potential for growth, but the successful execution of outsourcing in this segment requires a modification to the traditional approach taken for BPO/ITO outsourcing engagements. Read...
Clairvoyant Value and the Value Effect by Robert D. Arnott, Feifei Li, Katrina F. Sherrerd 2010-03-26 Clairvoyant Value and the Value Effect Robert D. Arnott, Feifei Li, Katrina F. Sherrerd. In this article Arnott, Li, and Sherrerd examine the value effect, an effect according to which value stocks outperform growth stocks. Read...
Dice are still rolling - an interview with Philippe Teilhard de Chardin by EDHEC Risk Institute 2010-03-26 Dice are still rolling - an interview with Philippe Teilhard de Chardin In this month's interview, Philippe Teilhard de Chardin, Global Head of Prime Brokerage at Newedge and member of EDHEC Risk Institute's International Advisory Board, Read...
Are Hedge-Fund UCITS the Cure-All? by EDHEC Risk Institute 2010-03-26 Are Hedge-Fund UCITS the Cure-All? As part of the CACEIS research chair on non-financial risks in investment funds, EDHEC Risk Institute surveyed UCITS and alternative asset managers, their service providers, external observers, and investors for their views of structuring hedge fund strategies as UCITS. Read...
The influence of Solvency II on an insurer’s strategic policy by EDHEC Risk Institute 2010-03-26 The influence of Solvency II on an insurer's strategic policy The upcoming Solvency II guidelines will have a profound influence on capital budgeting and risk management for insurers. Read...
Alternative Investment - March 24, 2010 Private equity – still down but not out by EDHEC Risk Institute 2010-03-26 Private equity still down but not out Private equity is supposed to outperform its public counterpart, but the opposite was true for most of 2009. The best players continued nonetheless to demonstrate their entrepreneurial spirit. Read...
Are Prohibitions on the Credit Default Swap Markets Really a Good Idea? by EDHEC Risk Institute 2010-03-26 Are Prohibitions on the Credit Default Swap Markets Really a Good Idea? The plan to prohibit so-called naked sales of sovereign credit default swaps (CDS) runs up against legal and practical obstacles that make it inapplicable or even counterproductive. First, it will be impossible for intermediaries and ultimately for regulators to verify investors' holdings of the securities representative of the risk the credit default swaps are assumed to cover. Read...
Goal Based Allocation - Strategies for Family Office by Jos De Boer 2010-03-24 Creating lasting wealth continues to dominate the agendas of family office investment officers and directors, but evaluating risks and ensuring investments prove profitable require cautious planning and long-terms strategies. Read...
Use of Derivatives by UCITS by Ann-Marie Fleming 2010-03-23 Sophisticated UCITS, Newcits, or Hedge Fund-lite, regardless of what they are being called, they offer investors security, liquidity, and transparency. By taking advantage of the expanded powers offered under UCITS III, fund managers can replicate various alternative strategies using derivatives. Read...
Better Pre Trade Risk Might Have Helped Citi Australia by Stephen Edge 2010-03-11 This article examines how pre-trade risk could prevent costly trading errors. Read...
Next-Gen Bank Compliance by Wendell Brock 2010-03-08 Compliance. An issue most bankers don't relish. Often times it is explained away as a necessary evil! This approach makes difficult for the bank Read...
The Rise Of Market Data by Stephen Edge 2010-03-08 A look at how market data is growing ever more important to the financial industry. Read...
Alternative Trading Venues in Asia: A Primer by Stephen Edge 2010-03-08 An overview of the alternative trading venues in Asia. Read...
Forget what you know about Risk Management – times have changed. by Ann-Marie Fleming 2010-03-04 Listen to a free audio interview on the topic of 'Getting Risk Management Right'. Dr. Gibbs discusses the need for financial professionals to dramatically re-think the way we handle risk management and describes the key challenges that lie ahead.One thing is certain as a result of the financial crisis – business within the financial markets will never be the same. One of the areas being forced to dramatically evolve is Risk Management, but what does this change mean for financial institutions? Find out by joining Dr. Mark Gibbs, FINCAD’s Chief Software Architect in a free audio broadcast on the topic of ‘Getting Risk Management Right’. Dr. Gibbs discusses the need for financial professionals to dramatically re-think the way we handle risk management and describes the key challenges that lie ahead. What is the new reality of Risk Management? How do we avoid the pitfalls of our past? Why are these changes essential for success moving forward? Read...
Fairness in Trading — A Microeconomic Interpretation by Stephen Satchell, Bernhard Scherer 2010-03-04 We show that non-linear transaction costs generate external effects between accounts due to trade volume dependent marginal transaction costs. Read...
How Do Performance Measures Perform? by Georges Hübner 2010-03-04 The relevance of the information ratio and the alpha, two leading performance measures for multi-index models, depends on the type of portfolio held by investors. Read...
Fundamental Indexation via Smoothed Cap Weights by Chen Chen, Rong Chen, Gilbert W. Basset 2010-03-04 Cap-weighted indices were developed on the assumption that the market portfolio is mean-variance efficient. Read...
Efficient Indexation: An Alternative to Cap-Weighted Indices by EDHEC RISK PUBLICATIONS 2010-03-04 This paper introduces a novel method for the construction of equity indices that, unlike their cap-weighted counterparts, offer an efficient risk/return tradeoff. Read...
Scandals in US asset management by Dr Arjuna Sittampalam 2010-03-04 Accusations of dark behaviour in two separate situations threaten to undermine the probity of the asset management industry on a global basis, with far-reaching ramifications. Read...
A rich round of bank analysis by Chris Skinner 2010-03-03 Took a long haul flight yesterday and it’s one of the few times that you can grab all the business magazines and digest them properly Read...
How fast is fast? Faster than you think! by Chris Skinner 2010-02-12 One of the excellent presentations delivered at the trading technologies conference I chaired this week was given by Steve Rubinow, EVP and CIO at NYSE Euronext. Read...
Middle East Alternative Investments Summit 2010 by Jos De Boer 2010-02-11 The credit crunch has led to the re-examination of investment options and reminded investors of the great importance of carefully deployed asset allocation. The Middle East Alternative Investments Summit 2010 provides a revolutionary platform for MENA investors to remain on the edge of new investment geography and successfully implement innovative asset classes in the quest for enhanced portfolio yields. Read...
European Pensions & Investments Summit 2010 by Jos De Boer 2010-02-11 As financial markets begin to return to a profit-yielding environment, today's pension directors and trustees are re-entering the investments arena armed with a restored risk appetite and a fresh view on prudent asset allocation. Though still faced with many economic and regulatory concerns, leading pension investors are prepared to apply the knowledge gained from the downturn, sidestep remaining uncertainties and ultimately come out ahead. Read...
Emerging Market Investments Summit 2010 by Jos De Boer 2010-02-11 marcus evans is pleased to announce the Emerging Market Investments Summit taking place 13-15 June 2010 at the Le Méridien Beach Plaza, Monte Carlo, Monaco. Read...
Investment Consultants Summit 2010 by Jos De Boer 2010-02-11 In today’s complex and turbulent financial markets, pension funds and other institutional investors are continuing to join forces with consultants and fiduciaries to gain cutting-edge insight into manager and fund selection. The Investment Consultants Summit 2010 presents a perfect opportunity to explore the symbiotic relationships between investors, consultants and fund managers, and ultimately uncover lucrative investment potential. Read...
Rising from the Crisis Investment Lessons Learnt by Jaap Maassen 2010-02-11 Jaap Maassen, a speaker at the marcus evans European Pensions & Investments Summit 2010 addresses some of the challenges modern Chief Investment Officers are facing today. Interview with: Jaap Maassen, Senior Vice President International, APG and Vice Chairman, European Federation for Retirement Provision (EFRP) Read...
Fees at Risk by Bernhard Scherer 2010-02-08 Fees at risk Bernhard Scherer. Hull (2007) writes: "For an asset manager the greatest risk is operational risk". In 2008, however, asset management companies came under severe pressure not from operational risk, but from market risk. What had been seen as an annuity stream that was thought to expose firms to little or no earnings risk turned out to be directional stock market exposure combined with high operational leverage. Read...
Investing in hedge funds when the fund's characteristics are exploitable by J. Joenväärä and H. Kahra 2010-02-08 Investing in hedge funds when the fund's characteristics are exploitable J. Joenväärä and H. Kahra. Can hedge funds' characteristics be exploited to pick hedge funds? Is a characteristics-based strategy more profitable than a naïve strategy? Read...
Equal Weight Indexing: Five Years Later by Srikant Dash, Keith Loggie 2010-02-08 Equal weight indexing: five years later Srikant Dash, Keith Loggie. The authors note that most indices created in the wake of the S&P 500, that is, since 1957, are capitalisation weighted, as recommended by the capital asset pricing theory and the efficient market hypothesis. Read...
It is necessary to create a level playing field for depositary banks in Europe - an interview with François Marion by 2010-02-08 It is necessary to create a level playing field for depositary banks in Europe - an interview with François Marion In this month's interview, François Marion, CEO of CACEIS, discusses the role of the depositary bank within the value chain of the fund industry, Read...
Risk control through dynamic core-satellite portfolios of ETFs by 2010-02-08 Risk control through dynamic core-satellite portfolios of ETFs A new paper drawn from the "Core-Satellite and ETF Investment" research chair at EDHEC-Risk Institute, sponsored by Amundi, examines the ways dynamic asset allocation techniques can be used to manage portfolios of exchange-traded funds (ETFs). Read...
Roles, rights and powers of shareholders by 2010-02-08 Roles, rights and powers of shareholders The banking crisis and the furore about bonuses have sparked two major debates. The first concerns how the company profits pie should be divided between employees and shareholders. Read...
Risk matters by 2010-02-08 Risk matters... Investment management, as an industry, is justified by its ability to add value by designing solutions that meet investor needs. For more than fifty years, the industry has focused on security selection as its greatest single source of added value. Read...
Is MiFID working? by Chris Skinner 2010-01-27 Just had an enjoyable morning floating around the City and talking with folks about MiFID 2. Now you may think that’s not so enjoyable, but it has been interesting. Read...
Beacon Asset Managers Conclude Lighthouse Realty Fund LP 2010 Business Development Kickoff Meeting by Mark Simmering 2010-01-26 Beacon Asset Managers, LLC is a private equity real estate management company. Since 1998, the founding partners have been actively involved in creating compelling value by developing real estate for themselves and their investors. By deploying a disciplined proprietary strategy, Beacon's partners have successfully sourced, acquired, managed, and monetized real estate investment opportunities across a broad range of product types in markets from Florida to Delaware. Today, with over a decade of experience, Beacon Asset Managers is building on this proven track record with the launch of Lighthouse Realty Fund, LP. As the General Partner of Lighthouse, Beacon will continue its commitment to unlocking value in real estate projects and taking advantage of the significant opportunities presented by the current market. Accredited Investors, Wealth Managers and Broker/Dealers may register for more information at http://www.LighthouseRealtyFund.com Read...
Fund - RP Selection Convertible by Philippe Halb 2010-01-26 Founded in April 2001, R. P. Sélection Convertibles is a pure Convertible play with a focus on Europe. The fund has a reactive and pragmatic approach looking for worldwide opportunities without « a priori», and accordingtothe marketsentiment. Read...
Fund - Oblig Corporate 1-2½ Y Euro by Philippe Halb 2010-01-26 The investment strategy is based on a balanced (50%/50%) allocation between Convertible bonds and « Classic » Corporate Bonds. This allocation can flutuate by +/-20% of total assets according to the different opportunities offered on these respective markets. Currently 30% Corporate bonds and 70% CBs Read...
A Roadmap to Success by B.M. Aggarwal 2010-01-21 Read...
Why Companies Should Go Public? by B.M. Aggarwal 2010-01-21 Read...
Survival of the richest by Chris Skinner 2010-01-17 It’s been a difficult time for City bankers, what with all the flak over bonuses and easy money after almost bankrupting the world. Read...
Discover how real estate developers manage their risks by Boris Agranovich 2010-01-02 Due to the current economic crisis caused by the sub-prime mortgages and the recent default of Dubai World, real estate has become a popular subject for debate. In this article I will describe the real estate development risks and their mitigation. Read...
Seeking Cinderella by Michael Weiner 2009-12-28 If the shoe fits, the Buyer (Cinderella) gets to go into the castle with the Prince (Seller) and buy his/her paper. Read...
Q: Why can't I get ISIN or CUSIP Numbers before I submit my paperwork? by Michael Weiner 2009-12-28 There are very heavy penalties to the seller who does not make sure the Buyer or the Money is cleared and clean. There are NO WAYS around the rules of Compliance First and Non-Solicitation if you are serious about buying. Read...
Optimal Investment Decisions When Time Horizon is Uncertain by Christophette Blanchet-Scalliet, Nicole El Karoui, Monique Jeanblanc, Lionel Martellini 2009-12-23 Read...
Optimal Interest Rate Smoothing under Model Ambiguity by Abraham Lioui, Patrice Poncet 2009-12-23 Read...
Is Minimum-variance Investing Really Worth the While? An Analysis with Robust Performance Inference by Patrick Behr, André Güttler, Felix Miebs 2009-12-23 Read...
Has There Been Excessive Speculation in the US Oil Futures Markets? An interview with Hilary Till by Hilary Till 2009-12-23 Read...
Macroeconomic Risk Management for Oil Stabilization Funds in GCC Countries by Bernhard Scherer 2009-12-23 Read...
Equity paradigms challenged by Arjuna Sittampalam 2009-12-23 Read...
Good risk management relies on the subsidiary status principle by Noël Amenc 2009-12-23 Read...
Five predictions for banking in 2009: were they right? by Chris Skinner 2009-12-22 Back in January, I made five firm predictions for banking in 2009. Those predictions were: More major European and American banks disappear There will be some spectacular failures in the BRIC economies A Global Financial Regulatory Body is formed The US will drop IFRS Solvent banks gain major market share. So what happened? Read...
Redefining investment by Sergio Focardi 2009-12-18 Redefining investment Historically, the investment management industry has focused its value proposal on asset selection and underutilised two key sources of added-value: asset allocation and risk management. Sophisticated asset allocation and consideration of liability constraints have heretofore largely remained limited to the confines of institutional investors with maturity transformation or retirement provision activities. More... Read...
Real-time spells the end of the treasurer by Chris Skinner 2009-12-14 I’ve had a couple of good debates in the last week or so about the value of real-time everything. Everything is instant, immediate, no waiting, it’s real-time. We expect instant gratification in everything we do and, any waiting, it’s click and delete. Case in point: the PC gets stuck. How long do you wait before you reboot? A minute? Ten minutes? An hour? Read...
A Welcome European Commission Consultation on the UCITS Depositary Function, a Hastily Considered Proposal by Samuel Sender 2009-12-01 The European Commission is seeking to harmonise the depositary fonction and to strengthen protection mechanisms. Read...
IAS 19: Penalising changes ahead by Samuel Sender 2009-12-01 Financial reporting standards for pension funds are of great topical interest. The current crisis points to the need for clearer regulations, both accounting and prudential, and for regulations that provide better incentives for pension funds to manage risk and to contribute to a more stable pension system. Poorly designed regulations will lead to the closure of defined-benefit pension plans. The International Accounting Standards Board (IASB) has proposed a revision of IAS 19. Read...
Reactions to an EDHEC Study on the Impact of Regulatory Constraints on the ALM of Pension Funds by Samuel Sender 2009-11-30 EDHEC surveyed pension funds, their advisers, their regulators, their fiduciary managers, and their asset managers for their reactions to an EDHEC study entitled "Impact of regulations on the ALM of European pension funds". Read...
Chi-X exploits LSE's weaknesses further by Chris Skinner 2009-11-27 There’s plenty of innovation in banking right now, from investment through commercial to retail banking. But some innovators create new business models at the expense of the incumbents - that's the way it's supposed to be, isn't it? Read...
FinLab PackHedge™ now includes Contribution Analysis for proforma portfolios and fund of funds by 2009-11-17 Press release : Contribution analysis on Funds of Funds Read...
FinLab incorporates a full Liquidity Analysis within its Fund of Funds Shadow Accounting module for hedge funds and traditional funds. by 2009-11-17 Presse release:Liquidity Ladder analysis for funds of Hedge funds Read...
Can bankers be 'socially useful' in the future? by Chris Skinner 2009-11-13 In the final part of our six part series studying whether bankers are good or bad for society, we look at how banking might change tomorrow and particularly the influence of the Chinese and Islamic Financing principles. Read...
Bankers: are they good or bad today? by Chris Skinner 2009-11-12 This is the fifth in a six part series that looks at whether bankers are good or bad for society. Today, we look at the nature of how bankers have been involved in creating, fuelling and contributing to the most recent financial crisis. Read...
Bankers in historical booms and busts by Chris Skinner 2009-11-11 This is the fourth part in a six part series that looks at whether bankers are good or bad for society. In this entry, we study the role bankers have in historical booms and bubbles, specifically four of the biggest boom-bust crisis of the past Read...
Bankers and religious divides by Chris Skinner 2009-11-10 This is the third part in a series that looks at whether bankers are good or bad for society (Part One and Part Two). In this entry, we study the role bankers have in religious texts and how money has been at the core of issues causing divides between the Christian, Jewish and Islamic beliefs. Read...
Banking and the Seven Deadly Sins by Chris Skinner 2009-11-09 This is the second in a six part series studying whether bankers are good or bad for society. Today, we ask the question: Are bankers a force for good or bad? Read...
Are Bankers Good or Bad for Society, Part One by Chris Skinner 2009-11-03 In today's first part, the argument is that bankers' are essential for a civilised society. Read...
Raising Hedge Fund Capital (A Primer) by Spencer Knibbe 2009-10-24 From the Weekly Quoin Partners Blog, a primer on raising capital for emerging hedge fund managers. Read...
The schizophrenic bank by Chris Skinner 2009-10-16 There are really conflicting needs in banking today, which are hard to break. The result is that many banks are suffering from a form of schizophrenia where they want to be two organisations in one. [...] Read...
Back with a bonus by Chris Skinner 2009-09-13 The obvious and biggest story being the need to sort out bankers' bonuses. I've blogged about this stuff before, putting the arguments for and against big bonuses ... but seriously, there is nothing the governments of the world can do about bankers' bonuses. Read...
Four million messages per second by Chris Pickles 2009-08-28 Economics 101 - Size Matters. Size gets you economies of scale. The more messages per second that you can process across a given set of technology, the cheaper per message it gets... Read...
Dark Pools are new? by Chris Pickles 2009-08-18 For decades exchanges have been trying to manage the problem of keeping as much trading on-exchange as possible, partly to ensure greater market transparency for the instruments that are listed on their exchange, partly to gain revenue from the additional transaction fees, and partly to gain revenue from the increased data content in the datafeeds that they sell... Read...
Productivity per person/hour by Chris Pickles 2009-08-17 Do you find that you are spending more time doing tasks with lower added-value than you used to? Is technology increasing you productivity, or just changing your productivity? Read...
Molière would turn in his grave by Chris Pickles 2009-08-11 I've proposed the idea that any consumer that pays for anything except by credit card has to be crazy... Read...
Flash Trading and What is the role of an Exchange? by Chris Pickles 2009-08-06 Now there’s a philosophical question for you! Is an exchange primarily an execution venue? A meeting place for market participants? A regulatory authority? A bringer of transparency? A level playing field? Read...
The reference data that everyone needs by Chris Pickles 2009-08-05 Having developed Target 2 for large-value payments, the European Central Bank (ECB) is now developing Target 2 Securities as a pan-EU securities settlement system. To deliver a securities settlement service, one fundamental requirement is to be able to identify all of the securities that you intend to settle, and the ECB has already developed a central database of securities reference data containing details of several million instruments... Read...
Institutional Interest in Distressed Debt Deals, Signs of a Turnaround? by Sam Mishra 2009-08-03 With more than $150 Billion in commercial real estate loans maturing this year, there is no doubt that the write-downs by lenders, hard money, and bridge loan funds will be monumental... Read...
5 months left to Bonus Day by Chris Pickles 2009-08-03 I’ve just back from holiday, and checked how the market has moved over the last couple of weeks – testing the validity of the old saying “Sell in May and go away, come back on St Leger Day”. At the end of 2008 the FTSE 100 index plummeted, did a “dead cat bounce”, and eventually hit its low round about March time. Now it has climbed back to the heights that it bounced to in November and January. Could this be a sign of a market recovery? We still have another 6 weeks to go until St Leger Day... Th Read...
Regulation and the balance of power by Chris Pickles 2009-07-21 Legislature, executive and judiciary – the three elements of government that have to be kept separate in order to assure checks and balances that stop the abuse of power by governments... Read...
Private Commercial Lending- More Lucrative During Down Cycles? by Sam Mishra 2009-07-20 Interesting fact, more than $2.6 Billion of real estate acquisitions have taken place solely in Manhattan (on market and off market deals) since Q1 2009. The majority of our clients and investors (hard money investors as well as mezzanine equity, and preferred equity) are all aggressively seeking distressed developments for principal investment through direct acquisition and senior debt placement... Read...
Does MiFID provide a better deal? by Chris Pickles 2009-07-17 If MiFID was supposed to achieve "best execution", has it really done that? We've heard about fragmentation of liquidity, fragmentation of transparency - but is there anything positive that MiFID has done... Read...
FIX and the cost of regulation by Chris Pickles 2009-07-16 Yesterday evening was the quarterly meeting of FIX Protocol EMEA, hosted by Nomura in London, and as part of a panel session one discussion topic was - what will be the regulatory impacts that we should look out for over the next year? Read...
Autumn – a busy season for payments change by Chris Pickles 2009-07-13 The last couple of years have been a major period of change for the Payments sector, and not just for the Securities sector... Read...
A gulp of fresh air by Chris Pickles 2009-07-10 According to American legend, on Tuesday the whole of Paris will empty, and everyone will disappear from the city for the next six weeks, reappearing bronzed and relaxed and looking cool at the end of August... Read...
Exchanges are alive and kicking! by Chris Pickles 2009-07-09 We have to be careful some times that we don’t get fixated on the ECNs, ATSs and MTFs that are being created around us. These aren’t the only new kids on the block – exchanges are changing and being created as well... Read...
Transparency and MiFID II by Chris Pickles 2009-07-08 It looks like it's time to re-think some of the words we use. "OTC", as in "over-the-counter", is already pretty meaningless. If we talk about "over-the-counter drugs", we mean drugs that can be sold without special procedures and without recording their sale. MiFID has changed the regulatory environment for OTC equity trading and trade reporting. And we should expect "MiFID II" to start to examine OTC trading across more asset classes. Read...
OTC derivatives and transparency by Chris Pickles 2009-07-07 Continuing along the OTC derivatives path, and whether trading should be forced onto exchanges - under the current regulations, it seems that the argument is that exchanges can publish trade information that currently doesn't get published. Read...
Clearing up the OTC mess by Chris Pickles 2009-07-06 Two things have been messy about the OTC derivatives sector. One has been the mess that it appears to have got the world into. The other is the messy thinking about how markets work, should work and need to work.... Read...
EBAday – making payments sexy by Chris Pickles 2009-07-02 Banks are having problems expressing the benefits of SEPA to corporates (if there are any). Two phrases that caught my ear at EBAday in Vienna this week were "How do we make the bride look more beautiful?" and "How do we make payments sexy?" Read...
Where next for proximity? by Chris Pickles 2009-07-01 Talking trading today means talking about algos, low latency, DMA/DEA and proximity hosting. Trading architectures change almost in front of our eyes: after all, these changes have happened in the last handful of years while stock exchanges have existed for hundreds of years. We're seeing our language change too. Read...
EBAday – what does SEPA mean for corporates? by Chris Pickles 2009-07-01 This still looks to be a blank space waiting for someone to fill it in. Corporates don't appear to see advantages for themselves in SEPA. Not only that - they don't see that it's their problem either. They see it as a banking problem that the banks are solving. For banks. Read...
Bye bye cheques? by Chris Pickles 2009-06-30 We probably all recognise that we use cheques less and less today. It now looks like they are well on the way to being made to disappear altogether. European countries are already considering their cheque-withdrawal plans... Read...
FinRoad interviewed by Dow Jones Alpha by Arnould Moyne 2009-05-26 Dow Jones has interviewed the founders of FinRoad to understand the origins of the project and get a vision of the future of the platform dedicated to the Financial Markets Professionals... Read...
Who needs traders ... get a rat by Chris Skinner 2009-05-15 Rat traders is a new service which describes itself as follows: "Our program is a professional service to the financial industry; rats are being trained to become superior traders in the financial markets. Using our own methodology in accordance with well-established animal training techniques, our subjects learn to recognize pattens in historical stock and futures data as well as generating trading signals. We provide solutions for tick based trading data and day based data. RATTRADERS rats can be trained exclusively for any financial market segment. They outperform most human traders and represent a much more economic solution for your trading desk." Read... 1 comment
The Future of the City of London by Chris Skinner 2009-05-11 I've seen a couple of bits of commentary in the past week about the City of London losing its strength, namely: City's dominance in doubt (Telegraph) London Ponders Its Future as Financial Powerhouse (New York Times)[...] The question these articles raise is whether the City's strength can continue or is it a busted flush as a result of the financial crisis? Read...
How does the U.S. economy “feel?” by Joe Cappitelli 2009-04-30 Media coverage has a complex relationship with the U.S. economy - it reflects and affects both sentiment and activity. There are more than 50,000 newspaper journalists in the U.S. The result is tens of thousands of daily interviews that are transformed into thousands of published articles. In effect, the newspaper industry is operating a massive, ongoing and near real-time public opinion poll. Read...
Creating a bank that rocks by Chris Skinner 2009-04-29 Well I know a bank that rocks. Jyske Bank. Who? Jyske Bank in Denmark. They are the third largest Danish bank with 120 branches and 4,000 employees. Read...
SEPA and PSD by Chris Pickles 2009-04-22 Most of us have heard a lot about SEPA (Single Euro Payments Area) over the last few years. Many have missed the fact that the EU Payments Services Directive (PSD) comes into effect in November this year - just six months from now. Whereas SEPA is a banking industry initiative, PSD is an EU directive and has regulatory force and impact. [...] Read...
Structured Stock Pledge & Loan Transaction Q&A by Thomas Duffy 2009-04-22 Thomas Duffy publishes questions and answers on structured stock pledge and loan transaction Read...
The New Model: Inter-Market-Broker by Jay Berkman 2009-04-21 Those that have traded OTC derivatives and/or fixed income products are well aware of the integral role long-played by inter-dealer brokers, or “IDB’s”. Because “capital commitment trades” have become less aggressive and harder to find, IDB’s provide an important link between primary dealers seeking hard-to-fill liquidity on behalf of their respective institutional clients and prime brokerage hedge fund customers. Read...
Not embracing Social Media presents a new type of risk for financial institutions by Christophe Langlois 2009-04-16 Slowly but steadily, banks are getting away from the clichés on social media: UGC is too risky, social media is just for new or direct banks, it is for generation Y only, there is no proven ROI, social media is nice to have and banks must focus on the basics first. The risk from UGC can easily be controlled with the appropriate guidelines and moderation process. The real risk is to not to acknowledge the growing importance of social media. Read...
Banking in an anti-terrorism world by Chris Skinner 2009-04-09 Found a wonderful site today thanks to the Ridiculant. This site is one where a nice chap has taken a picture of this anti-terrorism poster... (From our partner thefinanser.com) Read...
Liquidity fragmentation and quality of execution by Pablo Garmon 2009-04-03 This issue we are presenting an in-depth analysis of fragmentation focussing on five main indices: CAC 40; DAX 30; AEX 25; FTSE 100 and SLI. The main change from last issue is the inclusion of BATS Europe, so the ‘pie’ will now be divided into four slices: primary market, Chi-X, Turquoise and BATS. Article published in collaboration with Best Execution Read...
MiFID and PSD – generating new competition by Chris Pickles 2009-04-01 MiFID came into force in 2007, with the goal of increasing competition across financial markets in the interests of customers. Despite the views of many market practitioners that “nothing will change” and “it will never catch on”, we’ve now seen Euronext get bought by NYSE, OMX get bought by Nasdaq, London Stock Exchange merge with Borsa Italiana, as well as Chi-X and Turquoise and other MTFs now attracting very significant order flow... Read...
Making IT better in 2009 by Chris Pickles 2009-03-31 What can we see looking back over 2008 that we could have done better? Well, Operational Risk Management looks like the most obvious thing. We've seen disasters ranging from the collapse of huge, world-famous investment firms... Read...