Selected Research Articles

"The value premium puzzle"

The value premium, that is reported in many studies, remains in our view unresolved for the fact that the definition of value is flawed. Stocks are compared by their market value with respect to their fundamental firm value -both measured at the same instant- without paying attention whether there is price equilibrium at the instant. In studies that defend a so-called fundamental view an equilibrium is assumed to hold, whereas studies that defend a sentiment view it is not. While the question is essential in the value concept the same (inadequate) definition is applied indifferently by all.

Working Paper - François Bourguigon, Marielle de Jong

"Hedge funds: beta is back"

Although hedge funds do conform to exposure theory and therefore have low betas with respect to directional factors in equity and bond markets, they are exposed to other risk factors (credit, liquidity, volatility and option strategy). Hence the need to define alternative betas.

Revue Banque n°675 - Jean-Charles Bertrand, Luc Dumontier

"The long-term interest rate conundrum"

Our analysis of the various arguments used to justify bond market valuation indicates that, while some of them have or have had a certain validity, they do not suffice to explain the entire phenomenon of low long-term interest rates in the United States and Europe.

Tactik Insight - Zoé Charny, Anne Vernicos, Jean-Charles Bertrand, Guillaume Rigeade

"In the land of the hedge fund, the Sharpe ratio is no longer king"

While the Sharpe ratio is one of the key risk-adjusted performance indicators for traditional asset management, it is irrelevant for alternative investments.

Revue Banque n°667 - Jean-Charles Bertrand, Damien Berlemont

"Fundamental-driven and Tactical Asset Allocation: what really matters?"

In this paper a distinction is made between:

Simulations of two actively managed balanced portfolios in the US and Europe are presented, which illustrate the added value of Fundamental-driven and Tactical Allocation on the portfolios' return.

Banque & Marchés n°73 - Maria-Laura Hartpence, Jean-François Boulier

"Optimal management under stochastic interest rates - the case of a definied contribution pension fund"

This article presents the optimal dynamic allocation path for a defined contribution pension fund which delivers guaranteed benefit levels. Particular attention is brought to the interest rate risk management.

Insurance Mathematics and Economics - Jean-François Boulier, ShaoJuan Huang, Grégory Taillard

"Managing guaranteed products: how tight is your parachute?"

Investors want guaranteed products primarily in order to project accurate quantifiable results, in francs, and to answer their specific query: "What is the maximum amount of loss I'm facing with this investment?"

Autrement Dit n°11 - Michel-André Levy, Caroline Brousse

"Valuing the inflation risk-premium embedded in inflation-indexed bonds"

Revue Banque n°675 - Pierre Séquier, Jean-Charles Bertrand

"Emerging equity markets: predictability and uncertainty"

This paper describes a quantitative approach to emerging equity markets that can be applied to the management of an international portfolio. It examines the predictability of equity markets, the related currency markets and the actual degree of risk.

QUANTS 13 - François Bourguignon, Patrice Conxicoeur, Pierre Sequier