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From Delivering to the Packaging of Alpha

Authors :
Noël Amenc

Professor of Finance, Director of the EDHEC Risk and Asset Management Research Centre

Philippe Malaise
Professor of Finance, EDHEC Business School

Lionel Martellini
Professor of Finance, EDHEC Business School
Scientific Director, EDHEC Risk and Asset Management Research Centre

In this paper, we emphasize the need for the hedge fund industry to adopt a consumer (investor)-driven approach, as opposed to the current producer (manager) perspective, and we call for the emergence of new types of offerings with characteristics better suited to the needs of institutional investors.

Using active bond portfolio management as an example, we present evidence that derivatives can be used by managers not only to generate and deliver abnormal performance, but also to package such performance in a form that is consistent with the modern core-satellite approach to institutional portfolio management, for which we explore both a standard static version and also a dynamic extension allowing for dissymmetric control of active management risk.
Type :
Working Paper
Dates :
Created on May 2, 2005
Further information :
Ce document constitue une synthèse de travaux scientifiques conduits au sein de l'EDHEC. Pour plus d'informations, nous vous prions de vous adresser à Séverine Anjubault de la direction de la recherche de l'EDHEC : severine.anjubault@edhec.edu

Les opinions exprimées sont celles de l'auteur et n'engagent pas la responsabilité de l'EDHEC.

Finance


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