On Mutual Funds, Alternative Strategies, and Waterfalls

Feb 19th, 2013 | Filed under: 130/30, Alternative Mutual Funds, Today's Post

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.

Being short apparently has its benefits

May 10th, 2010 | Filed under: 130/30, Academic Research, Retail Investing, Today's Post

A new research paper suggests mutual funds that adopt hedge fund-like strategies were aided by their short positions - especially during the financial crisis.

130/30 once had “cool factor” now has fleas?

May 20th, 2009 | Filed under: 130/30, Today's Post

Some say short extension funds are now dogs. Some say they're still cool. We say they're cool dogs...

New data leaves 130/30 brouhaha unresolved

Apr 21st, 2009 | Filed under: 130/30, Today's Post

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.

Look what’s coming back now

Feb 10th, 2009 | Filed under: 130/30, Alternative Beta & Hedge Fund Replication, Today's Post

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 remains

Nov 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."

130/30 funds: So much for $2 trillion by 2010…

Oct 7th, 2008 | Filed under: 130/30, Today's Post

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?

130/30 Not yet shining in Land of the Rising Sun

Aug 6th, 2008 | Filed under: 130/30

Apparently, 130/30 hasn't yet dawned on Japanese institutional investors.

130/30 bull run still has some legs: S&P

Jun 24th, 2008 | Filed under: 130/30

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 […]

130/30 rationale, value, and “myths” covered in newly released slideware

Jun 8th, 2008 | Filed under: 130/30, Today's Post

Pensions & Investments hosted a tri-city 130/30 road show last month. The slides, released last week, contain some useful information.

Is an “integrated” 130/30 portfolio always better than a “combined” one?

Jun 5th, 2008 | Filed under: 130/30, Guest Posts

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.

One more 130/30 survey to add to the pile…

May 31st, 2008 | Filed under: 130/30

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…

New 130/30 and “hedge fund replication” mandates bridge gap between alts and skeptical pensions

May 20th, 2008 | Filed under: 130/30, Alternative Beta & Hedge Fund Replication, Hedge Fund Industry Trends

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?

A review of recent 130/30 surveys

May 19th, 2008 | Filed under: 130/30

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".

130/30 a “silly gimmick” or a ($3b) “important new mandate”?

May 19th, 2008 | Filed under: 130/30

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 […]

Report: “Exposure yardsticks may provide little insight about a fund’s alpha potential”

May 15th, 2008 | Filed under: 130/30, CAPM / Alpha Theory

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.

Report says hedge funds, portable alpha and 130/30 all leading to (financial) climate change

May 5th, 2008 | Filed under: 130/30, Hedge Fund Industry Trends

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 […]

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.

1X0/X0 and the hunt for African alpha

May 1st, 2008 | Filed under: 130/30, Guest Posts

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!"

After launching 130/30 index, S&P says best yardstick is actually a long-only index

Apr 29th, 2008 | Filed under: 130/30

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?

130/30 Manager: Don’t call us quants

Apr 28th, 2008 | Filed under: 130/30

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 […]

The new face of 130/30?

Apr 27th, 2008 | Filed under: 130/30

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.

Media turns hostile: 130/30 now “dubious” “overblown” “faddish” “hype”

Apr 21st, 2008 | Filed under: 130/30, Media Coverage of Hedge Funds

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.

130/30 in the 1930s

Apr 13th, 2008 | Filed under: 130/30

Ever wonder how 130/30 strategies would have performed during the Great Depression?

Research says shorting ETFs in a 1X0/X0 portfolio holds unique benefits

Apr 7th, 2008 | Filed under: 130/30, Academic Research

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.

Portable alpha demoted to “low opportunity” in new survey of consultants

Mar 25th, 2008 | Filed under: 130/30, Portable Alpha & Alpha/Beta Separation

A new survey of investment consultants reveals a significant split between the views of large and small players.

130/30: Nature or Nurture?

Mar 24th, 2008 | Filed under: 130/30

Studies of twins often provide insight into the importance of genetics vs. environment. Turns out, the same could be true for 130/30 funds.

Start your alpha engines, “the race is on”

Mar 23rd, 2008 | Filed under: 130/30

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 joins 130/30 index parade

Mar 16th, 2008 | Filed under: 130/30

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.

Alpha-centric Newsreel

Mar 14th, 2008 | Filed under: 130/30, AAA Newsreels, Alternative Beta & Hedge Fund Replication, Hedge Fund Industry Trends, Performance, Analytics & Metrics

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 […]

Manager: “We would look at short extension funds for the next big mutual fund scandal”

Mar 13th, 2008 | Filed under: 130/30

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.

CIO of the North Dakota State Investment Board on why he chose 130/30

Feb 27th, 2008 | Filed under: 130/30, Guest Posts

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.

130/30 has “opened up serious questions” for brokers and custodians: report

Feb 13th, 2008 | Filed under: 130/30

Some say 130/30 is a whole new ball game for managers, prime brokers and custodians.

2007 data suggests 130/30 outperforms

Jan 29th, 2008 | Filed under: 130/30, Investment Management Fees

Data hot off the press suggests 130/30 funds have out-performed the market for the 5th year running - with higher fees.

The difference between retail and institutional investors

Jan 24th, 2008 | Filed under: 130/30

A recent article about 130/30 mutual funds shows why mutual fund investors tend to perform worse than mutual funds themselves - performance chasing.

Reality Check: “130/30″ and “quant” not synonymous

Jan 23rd, 2008 | Filed under: 130/30

Here's a great example of how headline writers hold all the cards...

130/30 Experts: pick your compensation… “attractive”, “competitive”, or “outstanding”

Jan 22nd, 2008 | Filed under: 130/30, Portable Alpha & Alpha/Beta Separation

Three job postings reveal that 130/30 is as much about sales and education as it is about investing.

130/30 Primary: Merrill 130/30 poll corroborates earlier polling, but also finds some new surprises

Jan 14th, 2008 | Filed under: 130/30

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.