John Siciliano, managing director at PricewaterhouseCoopers, updated me on the state of retailization/convergence from the point of view of the mutual fund firm managements with whom he has conferred of late.
A new research paper suggests mutual funds that adopt hedge fund-like strategies were aided by their short positions - especially during the financial crisis.
Some say short extension funds are now dogs. Some say they're still cool. We say they're cool dogs...
Some new research from Morningstar shows that 130/30 has performed exactly as expected by its proponents. In aggregate, it has produced approximately zero additional alpha.
After being labeled "faddish" and "silly" and being derided as a waste of time last year, short extension and hedge fund replication strategies returned to the news cycle this week.
Exclusive results from our second annual 130/30 poll: Despite recent distractions, underlying interest remainsNov 18th, 2008 | Filed under: 130/30, Today's Post
What ever happened to 130/30, 2007's "it" strategy? Well according to our exclusive survey it may have simply gone underground for a while. A majority of respondents still told us it represents a "new investment paradigm."
Forecasts for the 130/30 sector have been dramatically downsized recently. But how much of this reassessment is the result of short term factors and how much is a result of fundamental questions about 1X0/X0 strategies?
Apparently, 130/30 hasn't yet dawned on Japanese institutional investors.
Hedge Funds Review reports that S&P is telling clients that 130/30 is “strategy to watch in 2009” (no word on what to watch now or for the next six months – but it’s an ugly year anyway). Taking a page from Andrew Lo, co-author of the recent academic paper “130/30: The New Long-only“, S&P’s Srikant Dash told a [...]
Pensions & Investments hosted a tri-city 130/30 road show last month. The slides, released last week, contain some useful information.
Is 130/30 the same as "100" (an ETF) plus "30/30" (a market neutral fund)? On the surface it seems so, but research for and against this proposition is adding confusion.
In a follow-up from a posting last week, Terrapinn’s Quant Invest 2008 folks in London just completed a survey of the institutional investment intentions of 120 pensions, endowments, insurance companies and family offices. Right in the middle at 63% is, you guessed it, 130/30…
In another big win for emerging alpha-centric strategies, part of Sweden's national pension has bought into "hedge fund replication". What's really behind the decision?
So is 130/30 the "New Coke" of asset management? Another recent survey - one of several over the past year that we recap at AAA today - suggests "no".
Doug Kass of Seabreeze Investment Management, a veteran short manager and market commentator sure isn’t sold on 130/30. The manager of $200 million of short positions tells Barron’s this week: “These funds are a silly gimmick and their half-life will be short. Nearly every long/short manager thinks he is equally facile on the short side as the long. [...]
Simply adding a "short-extension" to a fund doesn't necessarily pave the way for alpha generation says a Morgan Stanley report available here at AAA.
Last year, we published a couple of articles on the somewhat Malthusian possibility of a global shortage of stocks available for borrowing. (“A Shortage of Shorts?”, “The Arms Merchants of 130/30“, “Is There a Capacity Constraint Facing 130/30 Strategies?”). Although the 130/30 market has grown since then, it remains in the very low hundreds of billions globally. [...]
Alternative Viewpoints: Survey of hedge fund professionals finds 130/30 “minor discussion within larger context”May 4th, 2008 | Filed under: 130/30, CAIA Alternative Viewpoints Columns, Guest Posts
Several surveys have probed investors and managers about 130/30. But a new poll of nearly 500 alternative investment professionals contains some new insights.
South Africa seems to be getting a lot of play recently - in part due to its position as the world's Fort Knox. But is there alpha in Africa? One reader says "yes!"
A new paper by S&P says the best benchmark for 130/30 managers is a long-only index. We agree, and wonder what the S&P 130/30 index people think?
In a quick addendum to yesterday’s posting on the growth of fundamental 130/30 strategies, here is an example of one company that aims to distance itself from the pure 130/30 quants by adding an “intuitive” element to quantitative decision making. BNY Mellon Asset Management launched a 130/30 fund for European investors a couple of weeks ago that it says attempts [...]
As fundamental 130/30 strategies continue to grow, it is becoming more and more apparent that 130/30 is just an approach, not a distinct strategy.
A widely-syndicated column about the 130/30 "fad" misses the mark and sets the stage for years of public confusion regarding short-extension strategies.
Ever wonder how 130/30 strategies would have performed during the Great Depression?
When short-selling ideas are in short supply, hedge fund managers can always short ETFs. Problem is, that provides no value-add. Or does it?
In parliamentary-style debate 130/30 compared to “Cabbage Patch Kid”, “Roger Clemens”, and an “old pickup truck”Mar 27th, 2008 | Filed under: 130/30
AIMA hosted a spirited parliamentary-style debate on 130/30 this week. The combatants: Watson Wyatt and TD Asset Management.
A new survey of investment consultants reveals a significant split between the views of large and small players.
Studies of twins often provide insight into the importance of genetics vs. environment. Turns out, the same could be true for 130/30 funds.
Merrill Lynch says "the race to fund manager heaven is in full swing". What will they find there? Simultaneously higher volumes and margins.
Dow Jones has joined Credit Suisse and S&P in the 130/30 index march. But a closer look reveals the Dow Jones entry is fundamentally different.
Here is a sample of the news stories we didn’t get a chance to explore in detail this week. As usual, all of them can be found on the Alpha-ticker above or in the news items section of AllAboutAlpha.com (free registration may be required for a few of these). Morgan Stanley says Alpha/Beta Separation “the way [...]
Not everyone is a fan of 130/30. One manager says so-called short rebates represent a conflict of interest for "bonus hungry executives" at some firms.
Guest contributor Steve Cochrane, the CIO at the North Dakota State Retirement Scheme, tells how and why he brought 130/30 to the Flickertail State.
Some say 130/30 is a whole new ball game for managers, prime brokers and custodians.
Data hot off the press suggests 130/30 funds have out-performed the market for the 5th year running - with higher fees.
A recent article about 130/30 mutual funds shows why mutual fund investors tend to perform worse than mutual funds themselves - performance chasing.
Here's a great example of how headline writers hold all the cards...
Three job postings reveal that 130/30 is as much about sales and education as it is about investing.
Merrill Lynch's new 130/30 polling contains some surprising findings about exactly who is most smitten with 130/30, and how they plan to invest - and not just in South Carolina or Nevada.