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As 2008 enters the history books, we look back at the top ten most popular posts at AllAboutAlpha.com over the last 12 months. As you can guess, most have a decidedly negative tone - redemption gates, shrinking AUM, warnings over quant models, securities lending problems, terrible monthly performances... Thankfully the year is just about over. If you are in the office today, here is a walk down memory lane that will make you especially happy to welcome in a new year. ...
Peter Douglas, CAIA, the founder of Singapore-based hedge fund consultancy and money management firm GFIA, is a well known and often-quoted figure in the alternative investment industry. Regular readers may recall our conversation with him in his Singapore offices last fall (see post). But Douglas also has another claim to fame. As the Asia-based director of the Chartered Alternative Investment Analyst (CAIA) designation, he is a pioneer-cohort charterholder, and was the first CAIA in Singapore. So we ...
BY TRISTRAM LETT, MANAGING DIRECTOR, ABSOLUTE RETURN STRATEGIES, INTEGRA CAPITAL CORPORATION - Benchmark hedging, a process designed to reduce the investment risk in a benchmark, is not new. However, doing it successfully and efficiently is. This article has two parts: in the first we explore the process of benchmark hedging and how it is possible to efficiently implement the process. As well, we look at the benefits it provides. We then move on to put this into an important context-the use of hedge funds in institutional portfolios. This has ...
In September, we suggested that the recently imposed bans on short-selling certain stocks would provide academics with a field day as they examined whether such restrictions actually had the intended effects. We compared it to the situation immediately after 9/11 when climate researchers were afforded an opportunity to measure the effect of airplane contrails on ground surface temperatures in the United States.
Well the data is starting to roll in now. And according to a study ...
On November 25, the Pennsylvania State Employees Retirement System (SERS) announced its Q3 results. Public pensions across the US issued similar press releases detailing the Q3 carnage. But what makes this pension plan different is its widely publicized use of portable alpha (see our April 2008 post.) As a result, the media has been quick to associate the fund's losses with the "aggressive", "exotic" and "unusual" investment strategy. To be sure, it appears that portable ...
Apparently retailers aren't the only ones discounting their merchandise to bring wary shoppers into their stores this Holiday season. Asset management firms are now priced to move. Since their top lines are levered to the absolute value of capital markets, asset managers have seen a precipitous drop in their valuations recently. In fact, the following chart from Pensions & Investments shows how valuations have fallen further than the overall stock market and even further than ...
Newly-released government UFO files aren't the only controversies pitting skeptics against "believers" these days...
Hedge fund replication is back in the news today with the publication of the results from a survey on the topic conducted last winter by French research institute Edhec Risk and Asset Management Research Centre. While the results are somewhat dated, they are a good recap of the concept as a lead-up to Edhec's annual alternative investment conference in London in a ...
It's fair to say that the Madoff situation has added insult to injury for the hedge fund industry and may have prompted some hedge fund investors to finally capitulate. The New York Post recently wrote: "Now the worry is that hedge-fund clients will use the scandal as a final reason to pull money from even solid-performing managers. Although Madoff technically did not run a hedge fund, the structure of his $17 billion asset-management operation was similar ...
Could regulation of the hedge fund industry have prevented the Madoff fiasco? Perhaps. But likely not the specific type of regulation envisioned in the SEC's failed attempt to regulate hedge funds back in 2006. Ironically, Madoff's investment advisory business "voluntarily" registered with the SEC that year. That was right around the Commission's failed bid to have all hedge fund advisers register with it. Many other hedge funds had already done so when Phil Goldstein's suit against ...
Over time, the somewhat arbitrary selection of the calendar year as a performance fee window has raised the hackles of some hedge fund investors. Some argue that a year is too short a time and performance fees should be calculated - or at least paid out - only after several years. While a longer performance fee calculation period seems to make perfect sense (it would reduce the "asymmetry" where the manager who can win but can't ...
Last week, Peter Douglas wrote on this website that growing competition in the hedge fund industry would lead to what he called "fee differentiation": "Investors will be in control, given the new scarcity of investment capital. 2&20 may be the sticker price, tho' some new funds may go for a more conciliatory 1 & 20, but the effective pricing of investment strategies is likely to disperse dramatically, through the use of separate accounts, co-investment rights, ...
