Seeyond, Natixis Asset Management’s volatility management and structured product investment division, has signed a CIFRE (Convention Industrielle de Formation par la Recherche) industrial research agreement with the DRM-Finance laboratory (CNRS UMR 7088) of the Doctoral School of the Paris-Dauphine University in order to support a research project on active volatility management.
Anmar Al Wakil joined Seeyond’s quantitative research team in 2014.
Anmar Al Wakil holds a master's degree (M.Sc.) in Finance (2011) from the Paris-1 Panthéon-Sorbonne University. He is preparing a doctoral thesis in management sciences at the Paris-Dauphine University under the direction of Professor Serge Darolles. Before joining the quantitative research team, he started his career in alternative management and multi-asset class research at Lyxor Asset Management (2011-2012) and then Natixis Asset Management (2013). He has also been a part-time teacher of economics (2011) and mathematics (2013) at the Paris-1 Panthéon-Sorbonne University.
Overview of research project:
Since the recent financial crisis, investors have been questioning the major principles of traditional portfolio diversification. The asset management industry has therefore witnessed the development of volatility derivatives. The empirical properties of volatility mean that it could be equated to a diversifying asset class in its own right. Research aims to build a theoretical framework defining the optimal use of this new asset class as part of a dynamic, diversified allocation. The challenge lies in assessing the optimality of agents’ investment decisions based on the criterion of risk-adjusted portfolio performance.
IPAG Business School: prepares students for management positions in the business world.
Seeyond, an investment division of Natixis Asset Management, has signed a cooperation agreement with IPAG Business School Paris, which has an outstanding research laboratory.
Professor Jean-Luc Prigent is directing two research projects with IPAG BS in collaboration with the THEMA research laboratory of the Cergy-Pontoise University.
Jean-Luc Prigent is a Professor of Economics at the Cergy-Pontoise University in the THEMA laboratory (Economic Theory, Modelling and Applications). He publishes articles in many scientific journals (notably three papers in 2014 in the Journal of Economic Dynamics and Control, Economic modelling, and the European Journal of Operational Research). He has written several books and working papers. His areas of research focus on portfolio management, financial asset valuation and risk management.
Research project 1: the diversification effect of volatility
Thanks notably to the development of the listed derivatives markets, mainly in the United States, equity volatility is now considered as a fully-fledged asset class. Used mainly for its qualities as an equity risk hedge, this asset class also has unique characteristics (cost of carry , mean reversion, change of regime, etc.) which, if properly exploited through active strategies, can potentially generate performance decorrelated from the markets. Research will focus on the optimal exposure to this asset class within diversified portfolios.
Research project 2: Portfolio insurance
CPPI (Constant Proportion Portfolio Insurance) is a management technique that provides capital protection by regularly adjusting exposure to risky assets (equities, equity indices, funds or basket of funds, etc.) and non-risky assets (bonds, money market funds, etc.). This method has developed considerably in the last ten years. In this project, we introduce a new portfolio insurance approach known as CPI (Compound Portfolio Insurance), a technique consisting in handling a cascade of multiple levels of insurance so as to manage the allocation of the risky pocket endogenously. We are carrying out an empirical exploration and a formalisation of a theoretical framework of this new approach.
1Risk indicator measuring the changes of a financial asset
2Cost associated with holding a futures contract on a volatility index