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The dream long/short equity fund is one that has a high market "up-capture" with little or no market "down-capture". But how do you find your dream fund when up-capture and down-capture fluctuate all the time? Here's one innovative idea...
The SEC's attempt to regulate hedge funds in 2005 hinged on the definition of "client." By avoiding that question in 2010, its newest kick at the can seems likely to allow the issue to fester even longer. As a result, a University of Washington law professor ponders the question of to whom, exactly, a hedge fund adviser owes its fiduciary duty.
Unlike many hedge fund strategies, says a new white paper, event-investing requires expertise in a variety of disciplines.
Mutual funds with a high "active share" are once again found to produce higher and more persistent returns - the two basic constituents of alpha. So why is closet indexing as popular as ever? And what does this portend for hedge funds?
It's easy to see why investors find insider trading morally objectionable. But if market prices are a critical form of information transmission, then does "some" insider trading actually help society? And if it does, then what kinds of insider trading?
While many hedge funds are happy to be single, more and more are now part of growing "families" of hedge funds. One researcher has just examined the behaviour and customs of these families. What she finds may surprise you.
Last week, hedge fund heavyweight Harbinger Capital raised assets, not from investors in the usual way, but by issuing bonds. Coincidentally, a research paper published only a couple of weeks before suggests we may see a lot more of this type of thing in the future.
Retail and high net worth investors can now gain access to hedge funds through a number of more liquid vehicles. But is their liquidity one of the very reasons their performance may be lower?
How much of the blame for increasing hedge fund correlations should be borne by manager "herding" and how much by increasing correlation between indices? Asian hedge funds may provide an answer.
A survey of pension funds and endowments by Deutsche Bank indicates that investors see themselves as having two options to dig themselves out of their current hole: aim for higher returns by dumping equities overboard, or waiting around for interest rates to take care of their liabilities.
The search for alpha is much like the search for oil, prompting us to muse a few years ago about whether there was going to be a Hubbert’s Peak in alpha. But regardless of whether the world is running out of “cheap alpha,” the process of refining crude returns into something that can power [...]
By the end of Q3, the headwinds of 2008 and tailwinds of 2009 had become a distant memory. By comparison, this year looks like a it may be remembered as dead air.
Emerging managers appear to have delivered better raw returns than big hedge fund managers in 2009. But what happens when you measure their alpha?
AllAboutAlpha.com was broadcasting from the “Left Coast” of the United States last week. We met with purveyor of gloom, boom & doom Marc Faber at a Los Angeles CAIA event, got stuck in the San Francisco Giants World Series victory parade, went to Sacramento along with California’s new “Governator,” Jerry Brown (okay, not that new, [...]
Inventor of VIX adds a new flavor to the fruit salad of financial indexes.
A trio of academics say that if the recent Dodd-Frank Act aims to mitigate systemic financial risk, it may be barking up the wrong tree.
Does size matter? How about age? An annual study indicates it was best to be a "tenured" hedge fund, but not a "large" hedge fund in 2009.
If pensions funds were hockey teams, it seems many of them probably wouldn't want to watch the scoreboard too closely.
If you are a merger arbitrage manager you probably already know this...
The Dodd-Frank Act requires hedge fund to register with the SEC. But it also nearly also forced America's 4,000 family offices to do the same. That got the SEC is wondering: What exactly is a family office anyway?
What exactly are "absolute returns" anyway? Ask 10 different investors and you'll probably get 10 different answers.
The man who inspired the concept of the "Black Swan" discovered the famous anomaly in cotton price data. So it was a fitting tribute that cotton prices spiked to an all-time high the day he passed away last week.
A study based on newly available pension fund data suggests that there are significant economies of scale in pension fund management. But a recent study based on the same data seemed to conclude the opposite.
Despite a lot of chatter and an assortment of industry surveys, some still say there hasn't yet been a "comprehensive overview of the differences and similarities of alternative UCITS funds and hedge funds" - until now...
An article in this quarter's Journal of Alternative Investments is among the first to examine the market timing ability of bear market funds.
Quarterly government filings allow "copy-cats" to mimic hedge fund portfolios. But in an ironic twist, hedge funds themselves may actually have the last laugh.
How alternative music can turn into alternative beta.
Although research shows that public pensions have embraced alternative investments, a closer look reveals something surprising.
Those who blame alternative investments for the travails of US university endowments may want to read this recent paper.
Should the fund of funds business be left to the big players only? A new study compares the fund-picking skills of managers in various kinds of markets.
Longevity risk is apparently a field in its infancy.
We all know that stock markets are pretty efficient. But what about the market for real estate investment trusts (REITs)?
When assets are beating a path to their door, hedge fund managers will take their lumps. But when investors are starting to revolt, a negative return can really ruin their day.
Researchers have always known that some hedge funds seem to exercise a certain degree of "flexibility" with regard to valuing less liquid positions. But a new study of hedge funds' publicly-traded positions suggest some managers may be a little too flexible.
Despite redeeming assets from hedge funds over the past few years, McKinsey says that alternative investments remain one of five key growth areas for asset managers.
A series of recent reports on the convergence in the asset management industry shows can alpha-seeking hedge funds and beta-seeking ETFs can make strange bedfellows - especially when they have a common enemy.
After the financial crisis - indeed after any crisis - pundits invariably proclaim a "new normal". But is the "new" normal really that different from the old one? At least one academic says "no".
Hedge funds are used to taking their lumps when it comes to fees. But at least one noted academic says the mutual fund industry actually has a far bigger problem on its hands.
A lot has been said about the liquidity of private equity funds. But what about the liquidity of the individual private investments held by PE investors (both funds and direct investors)?
A new report by Lipper examines the early impacts of the UK's endorsement of performance fees for mutual funds.
Mutual funds have learned that holding stock market "darlings" is bad for performance, but good for marketing. Thankfully for hedge funds, less transparency may have allowed them to avoid this trap.
Funds of funds are an important link between end investors and hedge fund managers. But according to this academic, they're also a critical filter for information. Remove that filter, and the hedge fund industry isn't half as interesting.
A recent SEC ruling requires investment advisers to use "plain English" when communicating with clients. But for now, hedge funds can keep confusing people...
A new study uses a major fund of fund's private stash of data to examine hedge fund leverage. Regulators take note...
If you sold your hedge fund in May, you're probably relaxing on the beach right now. If not, you may want to check out this research...
As researchers discover new genes that influence hedge fund returns, new medicines are possible - and new questions need to be raised.
Sometimes just kicking back and watching TV is the best thing your portfolio manager can do for you.
Move over "momentum factor", there's a new kid in town and it's one that is familiar to the alternative investment industry.
In an age where hair-trigger investors exploit information in nanoseconds, here's a trade you can apparently take your sweet time to make.
The mid-year is a great time for a break.
