All Posts by cfaille

All entries by this author

DB Global Prime: Hedge Funds See Steady Combined Inflows, But Lots of Action

Nov 29th, 2015 | Filed under: Asset Managers, Benchmarking & Performance Attribution, Equity Hedge Funds, Hedge Fund Strategies, Hedge Funds, Industry Size & Managers, Newly Added, Performance, Analytics & Metrics, The A.I. Industry

DB Prime's researchers have highlighted the multi-year outflows from EM to DM. EM equity inflows in particular reached a peak in early 2011. Since then EM equities have seen an outflow which has benefitted primarily Europe and Japan within the developed world. Read More

India: The Way Up and the Way Down Are Not the Same

Nov 26th, 2015 | Filed under: Finance & Economics, Financial Economics Theory, Newly Added, Other Topics in A.I., Risk Management & Operations, Risk Management Strategies & Processes, SRI and Clean Energy, The Global Economy & Currencies

Faille doesn't mean to argue theology, but he has to observe that a Shariah-based understanding of what constitutes “ethical investing” entails a lot of premises, and if those premises are to be inserted into reasoning about financial economics, they have to bear up to empirical, secular scrutiny. Read More

McKinsey Report Declares North American Asset Management in ‘Robust’ Health

Nov 24th, 2015 | Filed under: Asset Managers, Newly Added, The A.I. Industry

The emergence of new pools of capital has been very good to the asset management world in North America. So, that's good news, right? But? Yes, there's always a 'but.'Read More

AIMA: From Cola Wars to Clusters to Clusters-of-Clusters

Nov 22nd, 2015 | Filed under: Equity Hedge Funds, Hedge Fund Industry Trends, Hedge Funds, Newly Added

Equity neutral funds go far beyond simple pairs trades. Still, for reasons that a simple pairs-trading example can illustrate, equity market neutral funds, a recent paper says, have “demonstrated their resilience over the past 20 years, posting steady long-term risk-adjusted returns.” Read More

The Hunts’ Silver Play, and Other Stories from the Recent Past

Nov 19th, 2015 | Filed under: Commodities: Examples, Hard metals, Newly Added

In January 21, 1980, the Comex board declared the Hunt silver corner an emergency, and the members voted to allow liquidation-only trading. This had its intended consequence of changing the direction of price moves, and a perhaps-unintended consequence of setting off a panic two months later. Read More

GFT Embraces the ‘Dawn’ of FRTB Requirements

Nov 18th, 2015 | Filed under: Regulatory, Regulatory Environment

The Basel Committee is engaged in a Fundamental Review of the Trading Book. Nothing has been finalized yet, but a new report from GFT Group suggests that the outlines of a new regulatory system for banks and their trading books is taking shape. And GFT is enthusiastic about this.Read More

MFS: The Limits of Passive Investing

Nov 15th, 2015 | Filed under: Allocating to A.I., Alpha & Beta

One helpful characteristic of active managers is that, in the words of a newly issued white paper from MFS, they can “avoid taking full market risk, intentionally avoiding companies and segments of the markets where risk is overpriced.” Read More

Millionaires’ Outlook: Still in Positive Numbers

Nov 12th, 2015 | Filed under: Alternative Investments in Context, Business News

Two indexes of confidence, one for millionaires, the other for not-quite millionaires, have returned to the level at which they stood in June of this year, after a summer rise and autumnal fall. A discussion of the arc. Read More

Biggest Mistakes Hedge Fund Managers Make (video)

Nov 11th, 2015 | Filed under: Hedge Funds

What are the two most common mistakes that hedge fund managers make? How to avoid and/or fix them.Read More

Advice for Pension Funds Who May Have Lost Their Way

Nov 10th, 2015 | Filed under: Allocating to A.I., Institutional Asset Management, Institutional Investing, Newly Added

One panelist said that many pension funds have "lost their way and [gone] to asset allocation instead of focusing on their underlying obligations." Read More

No More Double-speak, Please! 6 Questions You Need to Answer

Nov 9th, 2015 | Filed under: Investor Relations

Guest columnist Diane Harrison looks at the six questions that managers must answer.Read More

M&A: Are the Delaware Courts Becoming Intrusive?

Nov 8th, 2015 | Filed under: Legislation/Court rulings, Regulatory Environment, Relative Value Hedge Funds

In 2014 it seemed possible that investment bankers could shrug off the Rural Metro decision as an anomaly; that is, as an example of how bad cases make bad law. But if a pending decision in the Supreme Court upholds the Chancery Court, they'll know they're dealing not with an anomaly but with a trend.Read More

Due Diligence Idea: Reverse Stultification and Bloat

Nov 5th, 2015 | Filed under: Due Diligence Process, Risk Management & Operations

No one likes those bloated questionnaires. Perhaps twenty-five out of 300 questions are both relevant and important. So, to get better results, customize and re-focus the questions. Read More

Managing a Crisis Before it Manages You (video)

Nov 4th, 2015 | Filed under: Investor Relations, Sales & Marketing in the AI Industry

Cyber attack, SEC letter, hounded by the press... What is a hedge fund manager to do, or not? Read More

The ‘Sin Stock’ Premium: A Neat Illusion Dismantled

Nov 3rd, 2015 | Filed under: Socially responsible investing, SRI and Clean Energy

The theory behind talk of a 'sin stock' premium is straightforward. It isn't at all clear, though, that facts match the theory. Adamsson and Hoepner think not.Read More

The Elusiveness of the Natural Block Trade

Nov 1st, 2015 | Filed under: Business News, Operations, Technology

Trading on natural blocks is a very desirable goal. So why aren't more traders doing it? How hard are they trying? Some questions from a TABB paper, and from an intriguing commenter at TabbForum. Read More

Study Shows Divergence in Fund Expense Disclosure

Oct 29th, 2015 | Filed under: Operations

The analytic company Convergence concludes from its research -- a study of 2,600 ADVs -- that there is a lot of variance in the “depth, breadth, and quality of expense disclosure practices” across fund types and strategies. Read More

How Start-ups Are Influencing Alternative Assets (Video)

Oct 28th, 2015 | Filed under: Seeding/early-stage, Structure of the Hedge Funds Industry

From hedge fund start-ups on the rise to investments moving to private equity and manager compensation, it's all on the table in today's video.Read More

Hedge Funds in a Time of Weakening Recovery

Oct 27th, 2015 | Filed under: Alternative Investments in Context, Finance & Economics, The Global Economy & Currencies

Though the recovery is showing signs of its age and weakness, this is still not the day for which tail-risk funds were designed, the moment of 'extreme distress' and victorious black swans. Thank heavens for that fact, and thank Eurekahedge for the news. Read More

AIMA Issues Guide for Liquid Alternative Funds

Oct 25th, 2015 | Filed under: Alternative Mutual Funds, Liquid Alternative Investiments, Other Topics in A.I.

If a hedge fund manager accustomed to a less regulated system (and its illiquidity at both ends) has on the blackboard a liquid product, it needs to “evaluate whether [its] strategy is suitable for a UCITS or an AMF format, and whether it can maintain an investment portfolio with sufficient liquid assets to meet the stringent liquidity requirements that exist” under those regimes, the new guide cautions.Read More

Looking a ‘Gift’ Horse in the Mouth: The Latest on Section 363

Oct 22nd, 2015 | Filed under: Business News, Insolvency, Regulatory, Regulatory Environment

Something that may look a bit like a "gift plan" in the prohibited sense may turn out to be permissible under section 363 after all, according to a recent ICL decision written by Judge Thomas Ambro, in a precedent that will matter to anyone pursuing a distressed-assets strategy. Read More

The End of the Oil Major?

Oct 21st, 2015 | Filed under: Business News, Commodities: Examples, oil

The latest industry reports indicate that oil majors’ spending on exploration and development projects will drop by at least half, casting doubt over near-term future discoveries.Read More

Accounting for the Unreported Dead: A Matter of Opinion

Oct 20th, 2015 | Filed under: Legislation/Court rulings, Regulatory Environment

The Supreme Court announced this March that opinions that turn out to be wrong aren't enough to make out a claim for securities fraud. The twist in the Westland case was that it turned on the proper accounting treatment of reserves for death benefits that have been incurred but not reported. Read More

Is it my imagination, or is the U.S. SEC cracking down on fund managers? (Video)

Oct 19th, 2015 | Filed under: Hedge Funds, Regulatory

Since the financial crises of 2008-09, regulation of financial firms has increased significantly. Recently the SEC has stepped up its enforcement actions and commensurate fines. What does this mean for managers and the cost of generating alpha?Read More

An Official Keynesian Reading of Cap Inflows and Emerging Markets

Oct 18th, 2015 | Filed under: Emerging markets, The Global Economy & Currencies

Olivier Blanchard has just stepped down as the chief economist of the International Monetary Fund, a post he has held since 2008. Faille looks at a new article that may be considered his parting shot from that parapet.Read More

How Robust is a Smart Beta Strategy?

Oct 15th, 2015 | Filed under: Liquid Alternative Investiments, Other Topics in A.I., Smart Beta

According to one scholarly count, there are no fewer than 314 factors that might be used in selecting a portfolio, each with a positive historical risk premium. A strategy construction could be produced through more-or-less arbitrary fishing in this large pond. Smart beta produced that way might not be smart -- or, at least, not robustly smart.Read More

Ben Carson Says Something Odd about Money

Oct 14th, 2015 | Filed under: Personalities in AI

It would be good to have presidential candidates who don't give every impression that they are uninformed and simply 'winging it,' when asked simple questions about monetary policy. It would be best to have candidates schooled in Austrian theory. Read More

Merger Arb: News from Delaware’s Chancery Court

Oct 13th, 2015 | Filed under: Hedge Funds, Regulatory, Relative Value Hedge Funds

The court in Delaware clearly doesn’t believe that eliciting certain undramatic tidbits of news as supplemental disclosures is enough to earn plaintiffs’ attorneys their fees. Vice Chancellor Laster in particular has, in his own words, “been giving these [cases] a hard look for a while now,” and with Aruba the court puts its foot down. Read More

The Ups & Downs of Alternative Investing.

Oct 12th, 2015 | Filed under: Alternative Investments in Context, Media Coverage of Hedge Funds

It's that time of year when investment advisers are talking about asset allocation. Guest columnist Diane Harrison explains why you should never give up on your alternative investments.Read More

Is the FTC loosening its choke-hold on the mergers?

Oct 8th, 2015 | Filed under: Business News, Regulatory, Regulatory Environment

After a hard look at the evidence, Judge Polster couldn't say that the FTC was likely to prevail after a full hearing on its objection to the merger of two medical-equipment sterilizers, so he denied the preliminary injunction. Why this matters. Read More

Time-series Momentum: Venerability, Vulnerability and Scholarship

Oct 7th, 2015 | Filed under: Finance & Economics, Financial Economics Theory

Baltas and Kosowski begin a recent paper with the observation that time-series momentum strategies have compiled an unsatisfactory record in the years since the global financial crisis. They ask why, and suggest how the strategies can be re-jiggered to improve performance. Read More

New Route for China’s Investors to the Rest of World

Oct 6th, 2015 | Filed under: The Global Economy & Currencies

China has a classic central-planners’ economy, and planners hate to lose control. As a logical consequence, the central authorities have only very slowly loosened their grip either on money coming in from outside or on money going out from inside. Still .... Read More

KPMG and Beschloss on Alternatives, Interest Rates and Women

Oct 4th, 2015 | Filed under: Structure of the Hedge Funds Industry

Investors may well add to their alternatives portfolio allocations in the months to come. What will this mean for small and medium sized hedge funds, many woman-headed funds among them? Read More

Corporate Governance: The Chairman/CEO Thing at Bank of America

Oct 1st, 2015 | Filed under: Business News

For years, actually for decades, the facts that corporations often combine the posts of chief executive and chairman of the board in the hands of a single powerful individual and that this is a U.S. based proclivity in particular have been the targets for high-minded complaint and pontification. So: how much do activist hedge funds care?Read More

The Big Short: The Trailer

Sep 30th, 2015 | Filed under: Business News

A reflection on the newly released trailer for the forthcoming Paramount movie The Big Short, with Christian Bale front and center as Michael Burry. Brad Pitt shows up, too. Read More

API: An Emerging Multi-Trillion-Dollar Market

Sep 29th, 2015 | Filed under: Business News, Operationally Intensive Real Assets

IBM has now purchased Strongloop, and this has gotten Faille thinking about APIs, a potential multi-trillion dollar market. Where technology's imperatives press again the law: how to bet? Read More

New Mutual-Fund Industry Whistle Blower Case

Sep 28th, 2015 | Filed under: Business News, Regulatory Environment

We will certainly hear more of this whistle blower case, because it isn’t at all clear whether there is majority support on the U.S. Supreme Court for the interpretation of Lawson in which the district court is engaged in Anthony. Read More

Risk Parity: Riding an Unpleasant Arc

Sep 27th, 2015 | Filed under: Asset Allocation Models

Risk parity may just be one of many strategies that follow a familiar arc, from promising new idea to crowded trade to crowded unwind. If this is so: where in that arc is it now? Read More

Why is Japan’s Recovery So Sluggish?

Sep 23rd, 2015 | Filed under: The Global Economy & Currencies

As two IMF economists see it, the trend toward the outsourcing of manufacturing by Japanese firms has a downside for the domestic economy, which has become less resilient than it once was. This explains why the familiar nostrums aren't working. Read More

BATS, Spoofing, and Shifting Definitions

Sep 22nd, 2015 | Filed under: Business News

BATS now proposes to define spoofing in an elaborate and narrow two-part manner. An investor, commenting to the SEC, accurately notes that this is a good deal different from the statutory definition, or from a definition endorsed recently in another context by BATS itself.Read More

Blame China; Blame the US Fed, whatever … August Hedge Fund Numbers Stunk

Sep 21st, 2015 | Filed under: Structure of the Hedge Funds Industry, The Global Economy & Currencies

Eurekahedge's latest round-up of hedge fund results by strategy and region makes quantitative what you, dear reader, probably knew: August was bad. The report also includes some discussion of HK/Shanghai arbitrage. Read More

The Taxation of Carried Interest: A New Republican Idea

Sep 20th, 2015 | Filed under: Business News, Regulatory Environment

When Tapper brought the hedge fund taxation question directly to Mr. Trump, Trump replied that he was still working on the details, but that when his full plan is released "the hedge fund guys won't like me as much as they like me right now." Why that is the perfect Trumpian sentence. Read More

A Fresh Look at Bubbles: Revising Assumptions

Sep 16th, 2015 | Filed under: CAPM / Alpha Theory, Derivatives

If it is possible for bubbles to arise in frictionless circumstances, then it follows that any theory that treats bubbles as the consequence of friction is, at very best, incomplete. And that is important to know especially if policy makers are busy drawing their own conclusions from those incomplete-or-worse theories. Read More

SWFs under Pressure: No Panic Selling Yet

Sep 15th, 2015 | Filed under: Alpha Strategies, Hedge Fund Strategies, Institutional Investing

Sovereigns and their politicians are looking over the shoulders of the managers of their sovereign wealth funds. This is a pain in the neck for the latter, but it may mean opportunity for their counterparties. Read More

A Curtain Opener for the Australia Forum

Sep 13th, 2015 | Filed under: Alternative Beta & Hedge Fund Replication, Hedge Fund Regulation, Performance, Analytics & Metrics

Paul Chadwick, chairman of AIMA Australia, says that the hedge fund industry in Australia is at an "inflection point." Faille reflects on that ubiquitous expression, and then turns to Australia's new Investment Manager Regime. Read More

Supreme Court Decisions: Post-Announcement Hours & Days

Sep 10th, 2015 | Filed under: Alpha Hunters, Alpha Seekers, Alpha Strategies, CAPM / Alpha Theory, Hedge Fund Strategies, Legislation/Court rulings

Presumably the U.S. Supreme Court's decision, in December 2008, that states can in fact make and enforce tougher labeling standards for cigarettes than does the federal government was a negative for tobacco stocks. But did that mean that stock prices had already anticipated the decision before it happened? or that they immediately adjusted downward on the morning the decision was announced? Or ... neither of those? Read More

Japan: Richardson makes a Tricky Case

Sep 9th, 2015 | Filed under: Currencies, Forex, Indexes, Institutional Investing

The Japanese economy deserves some credit for having pulled itself out of a recent recession, and it is "beginning to show signs of benefiting from a weaker yen" as a BlackRock strategist tells us. But (there is always a "but"). Read More

Javert Frustrated Again: This Time in the Second Circuit

Sep 8th, 2015 | Filed under: Emerging markets, Insolvency, Legislation/Court rulings

NML tried to get around the sovereign immunity of Argentina's Central Bank by arguing that it and the Republic were only one entity (the "alter ego" theory developed by the U.S. Supreme Court in an opinion concerning Cuba, in the 1980s), and that the one entity involved has waived its/their immunity. No dice. Read More

Billion Dollar Claim from Black Swan Fund: Not from Taleb

Sep 7th, 2015 | Filed under: CAPM / Alpha Theory, Performance, Analytics & Metrics

As regular readers of this blog may recall, I have found much to admire in the writings of Nassim Nicholas Taleb. So I am happy that he had decided to put some distance between himself and a recent claim that Universa made $1 billion when bad news from China shook the world's markets in late August. Read More

Foundations: They’ve Taken a Blow from “Subdued” Markets

Sep 2nd, 2015 | Filed under: Hedge Fund Industry Trends, Hedge Fund Strategies, Indexes, Institutional Investing, Liquid Alts, Performance, Analytics & Metrics, Risk management

Both private and community foundations depend heavily on U.S. equities. Indeed, domestic equities remained the bright spot while other strategies underperformed in 2014. A new report from a collaboration of the Council on Foundations and Commonfund provides food for thought about the reversal in foundation returns in that year. TheRead More