Jerome Teiletche - Academia.edu (original) (raw)

Papers by Jerome Teiletche

Journal of International Financial Markets, Institutions and Money, 2008

Revue économique, 2001

This article analyzes the effects of various capital controls on the autonomy of national monetar... more This article analyzes the effects of various capital controls on the autonomy of national monetary policy when a country tries to obtain simultaneously real exchange rate stability and price stability. First, we compare, on the basis of their effect on international returns equalization, the Chilean non-remunerated deposit requirement and the Tobin tax. We then analyze their impact on short term exchange rates dynamics in a traditional overshooting model where endogeneous money supply is allowed in order to take into account the possibility of sterilized intervention. Finally, we draw some conclusions on the relative desirability of these two measures on the basis of the theoretical implications of the model and of the Chilean experience of capital restrictions. Classification JEL: F32, F33, G18

Social Science Research Network, 2011

Hedge fund replication is one of the best-known innovations of the asset management industry in t... more Hedge fund replication is one of the best-known innovations of the asset management industry in the recent years. Despite some early skepticism from both practitioners and the academic world (see Amenc et al., 2008), hedge fund clones appear to have been successful in meeting their replication objectives, though they are still struggling to raise significant assets.1 In practice, even if at least three alternative approaches are in competition (Jaeger, 2007; Kat, 2007), the industry remains mainly organized around factor-based models.2

Social Science Research Network, 2008

This study extends the traditional set of central bank's interventions to include official announ... more This study extends the traditional set of central bank's interventions to include official announcements in order to provide empirical evidence on two pivotal questions: (i) are FX authorities able to influence market expectations with different instruments? (ii) how should interventions be designed to have the greatest impact? Using Japanese data over 1992-2004 and an event-study approach, we estimate the effect of different strategies on the USD/JPY exchange-rate risk-neutral density. Overall, transparent policies (public and oral interventions) appear to be the most effective. Moreover, the effect is greater when policies involve a financial cost (risk) suggesting that simple announcements can only be deemed as an imperfect substitute for actual interventions.

Social Science Research Network, 2005

The purpose of this paper is to analyze the impact of the Bank of Japan's official interventions ... more The purpose of this paper is to analyze the impact of the Bank of Japan's official interventions on the JPY/USD parity during the period 1992-2003. The novelty of our approach is to combine two recent advances of the empirical literature on foreign exchange interventions: (i) drawing on overthe-counter option prices to characterize more precisely the distribution of market expectations; (ii) redefining interventions in terms of events as they tend to come in clusters. Moreover, in order to deal with the features of the data (small sample size, non-standard distribution), we use bootstrap tests. We show that interventions have a significant impact on the mean expectation (the forward rate). The results are more ambiguous for variance. Additionally, we find that the effect of interventions on skewness is significant, robust to different definitions of skewness, and consistent with the direction of interventions. On the contrary, our results clearly show that kurtosis is not affected by interventions. We finally show that: (i) coordination increases effectiveness of interventions; (ii) results are not altered when controlling for other economic and political news.

RePEc: Research Papers in Economics, 2008

The MIT Press eBooks, 2005

BIS Working Papers are written by members of the Monetary and Economic Department of the Bank for... more BIS Working Papers are written by members of the Monetary and Economic Department of the Bank for International Settlements, and from time to time by other economists, and are published by the Bank. The papers are on subjects of topical interest and are technical in character. The views expressed in them are those of their authors and not necessarily the views of the BIS.

Journal of systematic investing, Feb 23, 2021

We investigate the question of dynamic allocation across a diversified range of alternative risk ... more We investigate the question of dynamic allocation across a diversified range of alternative risk premia. By using a set of point-in-time indicators across macro, sentiment and valuation dimensions, we find that a majority of indicators deliver a positive information ratio for a majority of alternative risk premia over the period 2005–2020. In our empirical simulations, the macro dimension seems to have worked well, notably during recession periods. Sentiment (based on market stress and momentum) struggled during recovery periods, but added value elsewhere. Valuation has worked well from 2005 to 2013 and lost part of its appeal since then. The combination of indicators allows to deliver a higher information ratio thanks to the low correlation among them. Our research also finds that point-in-time macroeconomic variables (“nowcasters”) can add value over traditional indicators, while this improvement is not significant in the case of the market stress indicator.

Elsevier eBooks, 2015

Abstract In this chapter, we propose a generalized risk-based investing framework, which allows u... more Abstract In this chapter, we propose a generalized risk-based investing framework, which allows us to deal in a simple and flexible way with various risks beyond volatility and correlation, namely valuation, asymmetry, tail and illiquidity risks. We empirically illustrate the methodology by proposing a riskbased strategic allocation for a multi-asset portfolio made of bonds, equities, commodities, real estate, hedge funds and private equity over the period 1990–2013.

The Journal of Alternative Investments, Jul 2, 2019

This article proposes a generalized expected shortfall risk-budgeting investing framework, which ... more This article proposes a generalized expected shortfall risk-budgeting investing framework, which offers a simple and flexible way to deal with various risks beyond volatility—namely, valuation, asymmetry, tail, and illiquidity risks. The authors empirically illustrate the methodology by proposing a risk-based strategic allocation for a multi-asset portfolio made of traditional and alternative assets with different degrees of liquidity. TOPICS: Tail risks, portfolio construction, real assets/alternative investments/private equity

The Journal of Portfolio Management, Jul 31, 2010

Minimum-variance portfolios and equally weighted portfolios have recently prompted great interest... more Minimum-variance portfolios and equally weighted portfolios have recently prompted great interest from both academic researchers and market practitioners because their construction does not rely on expected average returns and, therefore, is assumed to be robust. In this article, the authors consider a related approach in which the risk contribution from each portfolio component is made equal, maximizing the diversification of risk, at least, on an ex ante basis. Roughly speaking, the resulting portfolio is similar to a minimum-variance portfolio subject to a diversification constraint on the weights of its components. The authors derive the theoretical properties of such a portfolio and show that its volatility is located between those of minimum-variance and equally weighted portfolios. Empirical applications confirm that ranking. Equally weighted risk contribution portfolios appear to be an attractive alternative to minimum-variance and equally weighted portfolios and, therefore, could be considered a good trade-off between the two approaches in terms of absolute risk level, risk budgeting, and diversification.

The journal of investment strategies, Sep 1, 2015

Risk-based portfolio strategies, such as minimum variance, maximum diversification, equal weight ... more Risk-based portfolio strategies, such as minimum variance, maximum diversification, equal weight and risk parity, to name the most famous, have become increasingly popular in the investment industry. This paper aims to help investors better understand the commonalities and differences between these strategies.We offer a general unifying analytical framework, allowing the discussion of key distinctive features such as capital concentration, market beta, volatility, sensitivity to risk parameters, preference for low-volatility assets, turnover or tracking error, while not being dependent on a specific sample. We confirm the validity of these theoretical results by an empirical investigation of a large sample of international developed equity markets over the period 2002–12

RePEc: Research Papers in Economics, 2010

Minimum variance and equally-weighted portfolios have recently prompted great interest both from ... more Minimum variance and equally-weighted portfolios have recently prompted great interest both from academic researchers and market practitioners, as their construction does not rely on expected average returns and is therefore assumed to be robust. In this paper, we consider a related approach, where the risk contribution from each portfolio components is made equal, which maximizes diversication of risk (at least on an ex-ante basis). Roughly speaking, the resulting portfolio is similar to a minimum variance portfolio subject to a diversication constraint on the weights of its components. We derive the theoretical properties of such a portfolio and show that its volatility is located between those of minimum variance and equally-weighted portfolios. Empirical applications conrm that ranking. All in all, equally-weighted risk contributions portfolios appear to be an attractive alternative to minimum variance and equally-weighted portfolios and might be considered a good trade-o between those two approaches in terms of absolute level of risk, risk budgeting and diversication.

The Journal of Portfolio Management, Jan 24, 2018

Risk-based investment solutions are seen as incorporating no views. In this article, we propose a... more Risk-based investment solutions are seen as incorporating no views. In this article, we propose an analytical framework that allows the introduction of explicit active views on expected asset returns in risk-based solutions. Starting from a Black-Litterman approach, we derive closed-form formulas for the weights of the active risk-based portfolio, and identify their main determinants. We discuss implementation aspects and show how our framework is related to other popular active investing methodologies. We illustrate the methodology with a multi-asset portfolio allocation problem using views based on macroeconomic regimes over the period 1974-2013.

This paper analyses the response of equities to credit-rating announcements by agencies (S&P, Moo... more This paper analyses the response of equities to credit-rating announcements by agencies (S&P, Moody’s, Fitch). We compare the reactions observed in the French stock market equities with those of European and U. S. markets in1990-2004. We apply a standard event-study methodology but enhance it with non-parametric tests and bootstrap techniques. We find that the asymmetry of price reactions to bad news (downgrades and negative outlooks) is less clear inFrance and Europe than in the U. S. Our assessment of price-reaction determinants suggests that macroeconomic factors outweigh microeconomic ones.

Hedge Fund Replication, 2012

Factor Investing, 2017

Abstract: Alternative risk premia investing has grown rapidly in popularity in the investment com... more Abstract: Alternative risk premia investing has grown rapidly in popularity in the investment community in recent years. They encompass solutions mimicking investment strategies formerly available through investment in hedge fund vehicles but proposed with terms more favorable to investors, notably in terms of liquidity or management fees.

In this study, we apply a two-step conditional Bayesian approach to hedge fund risk. In the first... more In this study, we apply a two-step conditional Bayesian approach to hedge fund risk. In the first step, a mixture of two normal distributions is estimated for a core asset, one distribution being identified as linked to a "quiet" regime, the other one to a "hectic" regime. The conditional probabilities of each regime are t hen inferred and a mixture of distributions is deduced for peripheral assets. In our application, the core asset is alternatively chosen as the S&P index or the Baa/Treasuries yield spread and the peripheral assets are the major hedge funds strategies over the period 1990-2004. The methodology has several advantages given specific features of hedge funds returns, notably non-linear exposure to standard assets returns and short sample history. We identify significant changes in the distribution (mean and standard deviation) of hedge fund returns across regimes. Results are less clear-cut for the correlation with standard assets, as modifications can be imputed to a certain extent to a form of selection bias. We finally present an application of the methodology for stress tests on hedge funds portfolios.