Quant Finance

Koris International has recently launched a large scale transparency campaign on Exchange Traded Funds’ risks and performance. With over 10 years of experience in developing dynamic asset allocation solutions, mainly implemented using index funds and ETFs, the company wishes to share its experience on those passive investment vehicles.

The Lyxor Hedge Fund Index was up +1.9% in February, bringing year to date performance to +1.45%. 11 Lyxor Strategy Indices out of 12 ended the month in positive territory, led by the Lyxor Special Situations Index (+3.48%), the Lyxor CTA Long Term Index (+3.4%) and the Lyxor L/S Equity Long Bias Index (+2.7%).

One may reasonably argue that the recent flows into the Low Volatility strategies might affect their future performance because of the flow pressure on the prices of the companies that generally are selected by this investment approach. More recently, some market participants have even referred to Low Volatility investing as “a bubble”.

This latest sub-fund on the MLIS UCITS platform, provides institutional investors with a capital-protected solution that uses core-satellite investment principles within a risk control framework to generate risk premium.

Under the CIFRE plan (industrial contracts for training through research), Koris International launches a research program in Behavioral Finance through a PhD entitled "Behavioral Finance Approach for Risk Assessment in Quantitative Portfolio Management”, conducted by the PhD student Maxime Bonelli.