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    Comparing SPM to Elliott: And Other Thoughts on MBS Funds SPM "sticks out in [his] mind" as a successful manager with a "17 year track record" with returns in the mid 20s. "Where else are you going to get that?" Well, there is at least one other place that then comes to Brian Shapiro's thoughts: SPM's return compares to the return available from Elliott.

    What struck me while interviewing Brian Shapiro about the current state of the hedge fund world’s MBS space was his enthusiasm about Structured Portfolio Management, an MBS focused firm based in Stamford, CT and run by Don Brownstein. I mentioned that outside of agency-backed MBS, the market for mortgage securitizations by private financial institutions essentially disappeared during the global financial crisis 2007-08 and then made something of a comeback by 2010. That is true, he said, but “there has been a downslope” over the last 18 to 20 months, and there is now a “high level of correlation,” which indicates investors should be wary. Not that they should stay away but that they should “go with managers with tenure and track record in the sector.” Distressed plays and Asia remain areas of interest in the MBS fund worlds. “Agency was a two-year pop until it flickered out.” Nor can one really expect that agency will come back so long as the economy is good. I’ll get back to that later, and I’ll decode the ...

Featured Post


The Skorina Report: Another try at herding Gotham’s five-headed fund

Guest columnist Charles Skorina looks at the five-headed NYC pension system with its new leader, Scott Evans.

By Charles Skorina In July, Scott Evans reported for duty as Chief Investment Officer in New York City's Bureau of Asset Management, where he'll manage $160 billion in employee pension funds. Traditionally the city's CIO is replaced when the political wheel turns, which it did last fall. Retiring Mayor Michael Bloomberg was succeeded by William De Blasio; and Comptroller John Liu, the independently-elected custodian of the city's pension funds, was replaced by Scott Stringer. Mr. Stringer beat back a last-minute primary challenge from disgraced ...


One Ordinary Week in the Life of Climate Change


(March 24 update) We present here recent anecdotals on the subject of climate change.  It's a topic that affects many industries: insurance, real estate, energy (renewable and non-), food, water, national defense, to name a few.   Investment opportunities arise when there is a divergence of opinion, as is uniquely the case in the United States (unlike the other nations on Earth) on the subject of climate change.  There's an argument to be made that investors who accept the settled science ...

Guest Posts


The Skorina Report: The Best, The Rest & Our Pick for Public Endowment CIO of Decade
Charles Skorina looks at the top public endowments and discusses performance with Erik Lundberg.

This month we are pleased to bring you our annual survey of endowment performance at the Public Ivys, including many of America’s biggest, most prestigious, and best-endowed public universities. We think the performance of these endowments ought to be of interest not only to the endowment and foundation community, but to the investment world at large.  They include some extremely talented people getting results which rival investment organizations anywhere. And, they are important clients for many for-profit money managers all over the ...


Legislation/Court rulings

Bankruptcy Giant Harvey Miller: Rest in Peace
One can argue with Harvey Miller, and with his old-school views about bankruptcy law, but now that he can no longer argue back one should show due deference.

One of the giants of bankruptcy law in the United States has passed away. Harvey Miller will be important to readers of AllAboutAlpha because he was one of the old-school pillars of the bankruptcy bar and because in that capacity he was outspoken that distressed-asset hedge funds were a baleful influence. A Reuters report on his death (of ALS at age 82) puts it this way: “He was troubled … by what he perceived as a philosophical shift in recent years … as hedge funds have begun to drive cases in ...

Indexes

Study: Corporate/Government Cronyism Does Create Alpha
A new report finds that firms where current public officials are destined to become employees outperform other private firms by 7.43% per year during the three years before the officials/employees pass from one post to the other. The outperformance is highest in the year immediately before the switch, Justas a cynic looking for corrupt quid pro quos would suspect.

Three scholars, two affiliated with Oxford University, the other with the University of Connecticut, have brought statistical rigor to prove what seems intuitively plausible: firms on the private side of the public/private revolving door benefit from that situation. Their coziness with officialdom produces significant alpha for their investors. A simple example of the sort of public/private interaction that these three scholars have in mind arose out of the career of Darleen Druyun. Druyun, who at the turn of the millennium was the principal deputy undersecretary of the U.S. Air Force for ...

Risk management

Tavakoli on Death, an Industry’s Culture, and Decisions
Bill Broeksmit, with whom Tavakoli worked closely at the interest-rate swaps desk at Merrill Lynch in the late 1980s, killed himself in January 2014. The manner of this death, and the circumstances surrounding it, give this book even more gravitas than would a global financial crisis or two.

Janet Tavakoli, the president of Tavakoli Structured Finance and an authority on credit derivatives, has written a reflective memoir about life in the world of finance, and specifically about the ringside seat she occupied in the years leading up to the gravest financial crisis in history. Early on in Tavakoli’s work on Merrill Lynch’s interest-rates swap desk, in the late 1980s, she understood that whenever that desk had a problem, “it had nothing to do with the swap. It was always a credit problem, and almost all of the serious credit ...

Macroeconomics

Griffin, Bernanke, and the Saud family
Why has Ken Griffin, the founder of Citadel, hired former Fed Chair Ben Bernanke as a Senior Advisor? This decision represents a surprise given Griffin's views on "quantitative easing," views he forcefully expressed a couple of years ago.

Tyler Durden has accurately observed of late that there is some contrariness (one might even say in a loose sense “irony”) in the latest twist in the career of former Federal Reserve Chairman Ben Bernanke. Bernanke is getting into the alpha-hunting business, taking a position at Citadel. His new boss there, Ken Griffin, has said the usual nice things one says at such a moment. Bernanke “has extraordinary knowledge of the global economy and his insights on monetary policy and the capital markets will be extremely valuable for our team and ...

Socially responsible investing

Malaysia and the Sukuk World
Moody’s Investor Services has assigned a provisional A3 rating to a $750 million multi-currency sukuk issuance program established by Telekom Malaysia Berhad. Meanwhile, also in Malaysia....

Malaysia has long played and as a matter of policy it continues to play a leading part in the development of Shariah finance. Though at one time this was a way of seeing to it that the devout Moslem population of the country will have access to financial services, over time this feature of the country has enhanced its standing as an international hub. Recent days have seen three developments worthy of note in the overlap ...

Institutional Investing

The Skorina Report: The Best, The Rest & Our Pick for Public Endowment CIO of Decade
Charles Skorina looks at the top public endowments and discusses performance with Erik Lundberg.

This month we are pleased to bring you our annual survey of endowment performance at the Public Ivys, including many of America’s biggest, most prestigious, and best-endowed public universities. We think the performance of these endowments ought to be of interest not only to the endowment and foundation community, but to the investment world at large.  They include some extremely talented people getting results which rival investment organizations anywhere. And, they are important clients for many for-profit ...

Performance, Analytics & Metrics

Eurekahedge on Asia in March, and on Asia Over the Years
According to Eurekahedge the hedge fund industry globally returned $54.1 billion in performance gains in the first quarter 2015. This is the greatest first-quarter gain since before the global financial crisis.

A new Eurekahedge report shows that Asia ex-Japan mandate funds delivered the best returns globally during March 2015. Asia ex-Japan as a whole was up 2.08%: Greater China focused funds were up 4.85%, leading the region. The region’s funds held $148.6 billion in AUM as March began. They made a little more than $1 billion through performance, and received net inflows of $0.3 billion. Europe and Latin America mandated funds, on the other hand, both had ...

Technology

GOOG to Test Buy-on-Antitrust-Charge Theory
Look for the EC sometime in the near future to bring a complaint about the contracts into which Google has entered with manufacturers that require them to construct the handsets in a way that favors Google’s famous search engine [over, for example, Microsoft’s Bing.] But consider that even this preliminary skirmish over comparison shopping might be a bullish sign for GOOG.

Before there were “computers” in the modern sense, years before Alan Turing built a machine to decode Enigma, there were “tabulating machines,” some manufactured by IBM, such as the one pictured here. These machines became the subjects of an antitrust lawsuit, because the company tied its leases of the machine to the purchase of the punch-cards that were to be employed in its use. According to the government this tie was an effort to use ...