This paper studies the persistence of mutual fund performance. Academic research often focuses on fund returns, sometimes adjusted for style and market cap biases. Because fund rating systems play a central role in the asset management industry, we consider another approach in this paper. Using...

This paper studies the performance predictability of external fund rating systems. Most investors use 5 stars rated funds to build their portfolios. The underlying idea is that funds which were the best during the last three years will be better performers than the other funds in the future. It...

Research in hedge fund investing proposes different solutions to build optimal hedge fund portfolios. However, these solutions are direct extensions of the usual meanvariance framework, and still suffer from model risks. More complex approaches start to be used but are related to numerous...

This article develops a model that takes into account skewness risk in risk parity portfolios. In this framework, asset returns are viewed as stochastic processes with jumps or random variables generated by a Gaussian mixture distribution. This dual representation allows us to show that skewness...

The ongoing economic crisis has profoundly changed the industry of the asset management, by putting risk management at the heart of most investment processes. This new risk-based investment style does not rely on returns forecasts and is therefore assumed to be more robust. In 2011, it has...

The mean-variance optimization (MVO) theory of Markowitz (1952) for portfolio selection is one of the most important methods used in quantitative finance. This portfolio allocation needs two input parameters, the vector of expected returns and the covariance matrix of asset returns. This process...

Several years ago, the concept of target-date funds emerged to complement traditional balanced funds in defined-contribution pension plans. The main idea is to delegate the dynamic allocation with respect to the retirement date of individuals to the portfolio manager. Owing to its long-term...

This paper studies trend filtering methods. These methods are widely used in momentum strategies, which correspond to an investment style based only on the history of past prices. For example, the CTA strategy used by hedge funds is one of the best-known momentum strategies. In this paper, we...

The investment management industry has developed such a wide range of trading strategies, that many investors feel lost when they have to choose the investment style that meets their requirements. Comparing these on a like-for-like basis is a difficult task about which much has been written. The...

Most of the financial litterature on optimal investment assumes that there exists both an initial and a final date between which the investment policy has to made optimal.. In practice, however, fund managers does not really have a starting point nor a final point at which the efficiency of...