Guest columnists from Tesseract Asset Management look at investor behavior and risk management.
The good news is that there is a general consensus that QE-infinity is not sustainable. "The notion that QE has distortionary effects is widely accepted," says the CSAM white paper.
Guest columnist Andrew Beer looks at fee reduction as an "alpha generator."
Which trend is your friend in the forex markets? A slide show on the seven best currencies.
Guest columnist Doug Friedenberg turns over a few rocks in Cyprus and finds that there might still be something left.
The hedge portion of a liability-driven portfolio can be dominated by long-duration fixed income instruments. One of the points of a new Cerulli report is that by offering those, asset managers can get a valuable 'in' with the sponsors of DB plans, to whom LDI appeals.
Guest columnist Don Dale looks at
Guest columnist Tesseract looks at the second half of 2013 and asks the question "Where are we headed?"
Comparing the 2011 and 2012 data, some correlations that seemed clear in the former year either disappeared entirely, or become a good deal blurrier, in the 2012 data.
The David Swensen inspired "Endowment Model" came under heavy criticism in 2009-10. More recently, opinion has mellowed, and now comes a project, the Portfolio Whiteboard Project, in which the participants view Swensen in a spirit as collegial as it is critical.
In part two of two, Perritt Capital Management looks at active microcap as an alternative to private equity. Part one published Sept. 25 on AllAboutAlpha.com
Guest columnist Shane Brett looks at the U.S. debt crisis.
In early 2011, Jason Kelly, a Bloomberg News reporter, decided that he had to write this book to explain to the general public how PE works. That sort of epiphany makes it a little surprising that there isn't more of an over-arching theme in the book that resulted.
Christopher Faille contemplates a newly listed blank check company looking to acquire a specialty chemicals concern, and he asks an expert what exactly "specialty" chemicals are. "And while I have you on the line...."
The U.S. marks Labor Day, and we at AllAboutAlpha consider the lessons that unions and others might learn about collective bargaining from a successful negotiating tactic employed by two actors in the infant television industry of 1951.
The BRICs as a group have been a disappointment to those who thought they were at a take-off point at the turn of the millennium. In the cycles of investment-market hype, BRICs have been replaced by CIVETS. PrevInvest offers words of caution.
Christopher Faille talks to James Rickards about U.S.-Russia relations, as Russia reaches parity with the U.S. in the gold-to-GDP ratio.
Companies in the chemicals industry end up in play as mergers-and-acquisitions targets when they have trouble getting financing any other way. If QE policy makes financing too easy, it has the counter-intuitive effect of freezing this particular M&A market.
Citi Prime's report has in mind specifically the situation of hedge fund firms that are interested in expanding into the public-offerings space. They have to keep in mind that they'll have a completely different investing audience from that of the QIPs and institutions to which they are accustomed.
The key to an equity hedge strategy in the U.S. at present is that “the basket of those stocks generating healthy profits becomes clearer to differentiate from those that are having trouble doing so” through the earnings season. PrevInvest is moderately bullish on this, but not bullish on an event-driven strategy.
The success of low-volatility strategies has been noted in the literature at least since the mid-1970s, with the publication of a seminal work by Haugen and Heins. And such strategies continue to prove successful today. Why do they still work? Why don't the excess profits draw in the bears, consuming all the picnic baskets, driving profit levels down to normal?
Guest columnist Andrew Cohan explores the challenges in today's alpha hunt.
Guest columnist Doug Friedenberg looks at alpha with a musical perspective.
Asset managers within the Asian boutique universe keep telling GFIA that "asset raising is hard" in the present climate. It isn't going to become easy any time soon, but there is a new level of stability.
Private fund managers who want to be part of this wave, who hope to compete for the retail investment market with their absolute-return and non-correlation toolkit, shouldn’t think it is going to be easy. One of the sections of the SEI report is headed “understanding the hurdles.”
On of the key points of the new report from Barclays, Making It Big, is that there are four broad business strategies that define hedge fund managers: product specialists (PS); asset class specialists (ACS); multi-strategy managers (MSM); and diversified alternative asset managers (DAAM). This classification has implications for growth.
Eighty-nine percent of the respondents in a newly released Natixis survey of institutions said they expect they will be able to meet their future obligations. But they aren't as optimistic about the fate of individuals in their own countries who are now trying to save for retirement.
Guest columnist Diane Harrison takes a hard look at asset raising and the people who do it.
You can't expect to harvest much alpha if you simply buy on good sentiment as measured through news or on the web, and sell on negative sentiment. As the authors of this white paper put it in quant-speak, such predictive value as these measures have 'does not translate ... cleanly into return space.'"
PrevInvest begins a new report by documenting the doldrums in which long/short equity is stuck. As a first approximation because in the post-crisis world, certain traditional forms of stock-picker virtue have gone unrewarded.
The average wage rate in China and to a lesser extent in Thailand has been surging, especially in the period since about 2006. The average wage in China (by month) was about US$100 in 1999. It was twice that by 2006, and at present is above US$500.
This book, The Alternative Answer: The Nontraditional Investments that Drive the World's Best-Performing Portfolios is an appeal to the retail investor, to those author Bob Rice calls "typical investors," passing along the good news that they are no longer "stuck with the children's menu of investment options."
Guest columnist John Bhakdi looks at the future of venture capital in this final segment of a three-part series.
Guest columnist John Bhakdi looks at structured seed capital
Under standard portfolio theory assumptions, it takes three times longer to recover from the maximum draw-down for a particular strategy than it does to get there. Fortunately, those assumptions seem to be wrong in a way that allows for a more rapid return to a high water mark.
Asness, Frazzini and Pedersen produce data indicating that over a long period in the U.S., a regular bet-against-beta strategy, one not designed either to accentuate or to eliminate differences among the different industries represented in the portfolio, earned CAPM alpha of 0.73.
Earlier scholarship, largely devoted to the U.S. equities context, has indicated that well-known predictors don't predict well in out-of-sample contexts. But by combining fifteen factors, and by moving the scene of their study to Australian, four scholars have obtained a more upbeat result.
“Few managers would be surprised,” SEI says, “that nearly one-third of the institutions queried in SEI’s 2012 survey reported making their due diligence processes more robust over the last two years.” The new robustness in the search for the nature and sustainability of the funds’ edge involves a new granularity, the questioning of specific investment decisions in the context of portfolio construction models.
Allen & Overy’s white paper puts it among those who take a rather gloom-and-doom attitude toward the likely consequences of a recent Second Circuit decision on Argentina's default. Personally, I don't agree that the sky is falling on the sovereign debt market.
The obvious reason for the allocation preferences of healthcare endowments is that they believe they need to remain very liquid. Jarvis, in this white paper, points out that the liquidity preference comes at a cost in performance.
Beachhead Capital looks at performance in the long/short equity sector and finds that small funds outperform the large.
For the alternative-investment industry the takeaway from the NACUBO-Commonfund Study this year may be that there is a long-term trend among endowments toward increased allocations to alternative strategies, and that this trend continues. The overall such allocation increased by one percentage point from 2011 to 2012: to 54 percent.
Rene Levesque looks at risk management and absolute return from an industry practitioner's point of view.
The crux of whether a particular MLM is a pyramid scheme, and thus is illegal, is this: is a particular participant paid primarily on the basis of the products he sells or primarily on the basis of the new participants he recruits? The crux for Ackman's trade is whether he can persuade enforcement authorities that it is the latter.
AllAboutAlpha's Vikas Shah talks to David Prager of DeBeers about the diamond market.
If you are managing the portfolio of an institution that invests in hedge funds, you might want to ensure that some sizable portion of the HF-allocated assets go to funds managed by women-led firms. In this, you will have company.
Bank of England white paper on high-frequency trading yields little in the way of return.
Hedge fund partners and traders in a given city socialize together, they talk shop, and they may have histories together in other local institutions before opening their respective hedge fund firms. They naturally develop locally distinctive ideas and practices, such as the value emphasis in Boston, or the relatively lower fees distinctive to Dallas.
What may have been the single most important alpha-related story of this busy year is that a former manager of Bain Capital failed in his effort to become President of the United States. In the course of the effort, Gov. Romney and his adversaries made the PE world a mainstream political issue to an extent it had never been before.
A recent investigation into merger arbitrage by Matthias Buehlmaier and Josef Zechner reduces what might seem qualitative considerations into a quantity. They use the wording of newspaper reports as a guide to the probability that an announced merger or acquisition will actually close.