Life in The Big Alpha
Feb 6th, 2008 | Filed under: Hedge Fund Industry TrendsIt’s been all about alpha in New York City this week. To begin with, the NFL’s New York Giants celebrated their Super Bowl victory with a ticker tape parade on Tuesday. You may recall that on Sunday, January 13, we wrote about a paper that found NFL teams that exceeded expectations one year tended to outperform expectations the next. We noted:
“While this analysis doesn’t include this year’s games…the following observation about this season’s conference finalists provides some food for thought. Recall [Steve] Sapra’s mean reversion in NFL Alphas San Diego, New England and Green Bay all exceeded expectations in 2006 (i.e., had positive alphas) The Giants under-performed expectations in 2006 (i.e., had negative alphas).”
In other words, according to Sapra’s analysis, the Giants may have had alpha in the cards all along. (Note to self: listen to whatever Steve Sapra has to say from now on…)
But the New York alpha didn’t end there. Alpha Male spent the next morning at a conference dedicated to “finding alpha in a world of commodity data” (O’Reilly Money:Tech). A predominantly tech crowd of over 400 gathered at the Waldorf Astoria to discuss Web 2.0 tools to “find alpha”. That afternoon, I high-tailed it up Park Avenue to moderate a panel at the Battle of the Quants event called “Extracting Alpha through quantitative models in hedge funds“. While the audiences at these events was different, the objectives, ideas, and even some of the sponsors were similar. Both events were aimed squarely at the application of creativity and emerging ideas to the (supposedly mature) field of asset management.
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Is the presentation material from “Extracting Alpha through quantitative models in hedge funds“. available anywhere as I could unfortunately not be there ?
Peter, The panel took the form of a highly interactive discussion, rather than a set of presentations. So unfortunately, there is no slideware from the session.