Alpha Strategies

Rogue Trader Adoboli’s Return to Freedom: Down Memory Lane

Jun 30th, 2015 | Filed under: Alpha Strategies, Risk management, Today's Post

Perhaps the fate of Kweku Adoboli, whose roguish trading at UBS' expense came to light in September 2011, can serve now in the summer of 2015 as a caution for some in the European elite contemplating the long stand-off between Syriza and the Troika.


European Investor Satisfaction with Smart Beta ETFs

Jun 28th, 2015 | Filed under: Academic Research, Alpha Strategies, CAPM / Alpha Theory, ETFs, Liquid Alts, Risk management, Smart Beta, Today's Post

Two authors at EDHEC remind us that 15% of the assets in any ETF or ETF-like products for European investors were in smart-beta indexed products as of August 2014, and that this amount is growing. They discuss the extent to which investors are pleased with their results.


The Core Satellite Model: How to Cut Hedge Fund Fees in Half Part II

Jun 25th, 2015 | Filed under: Alpha Hunters, Alpha Seekers, Alpha Strategies, Hedge Fund Fees, Hedge Fund Industry Trends, Performance, Analytics & Metrics, Today's Post

Andrew Beer continues his discussion on slashing hedge fund fees without burning yourself or your clients.


Who Will Meet Yahoo at the Altar?

Jun 16th, 2015 | Filed under: Alpha Strategies, Intellectual Property, Real Estate, Technology, Today's Post

There was some excitement as recently as January 2015 over renewed talk of a Yahoo/AOL deal, but after the bloom finally came off that rose, YHOO settled into a trading range has been roughly from $42 to $46. Faille guesses that there is an opportunity here on the upside of that range, because another suitor is bound to appear.


Hybrid Equity: Another Perspective on Private Equity

Jun 14th, 2015 | Filed under: Alpha Hunters, Alpha Strategies, Hedge Fund Industry Trends, Liquid Alts, Private Equity, Retail Investing, Today's Post

Managers who offer funds that provide shorter time frames to investment exits, greater liquidity through a hedge fund structure, and employ the event-driven skill set that identifies and manages an investment portfolio yielding private equity-like returns are finding increased interest from an investment community seeking returns married with reasonable liquidity.


Side Letters and the Caymans: The Latest

Jun 2nd, 2015 | Filed under: Alpha Strategies, Hedge Fund Regulation, Insolvency, Legislation/Court rulings, Today's Post

This Lancelot's adventures came to a bad end: defeated by the dragon of insolvency. But its official liquidator did win a victory over an investor seeking special treatment via a side letter.


Top Hedge Fund Managers: They Aren’t Wizards, but They Are Masters

May 28th, 2015 | Filed under: Alpha Hunters, Alpha Seekers, Alpha Strategies, Book review, Hedge Fund Industry Trends, Hedge Fund Strategies, Institutional Investing, Real Estate, Today's Post

For Faille, the stand-out essay in this collection of case studies, from CNBC's Maneet Ahuja, concerns Marc Lasry and Sonia Gardner, of the Avenue Capital Group. As Myron Scholes says in his afterword to this volume, Lasry and Gardner take returns from those whose demand for liquidity makes them willing to give them up.


Eurekahedge on Funds of Hedge Funds: A Downward Spiral

May 27th, 2015 | Filed under: Alpha Strategies, Hedge Fund Industry Trends, Hedge Fund Strategies, Investment Management Fees, Today's Post

A new report by Eurekahedge says that the rise of new products such as hedge fund trackers and related developments since the global financial crisis have set the fund of funds world into a downward spiral whence it has yet to recover.


Lies, Damned Lies and Alpha

May 21st, 2015 | Filed under: Alpha Hunters, Alpha Strategies, CAPM / Alpha Theory, Today's Post

Guest columnist Andrew Beer looks at alpha.


A Caddie’s Observations on Money Management

May 14th, 2015 | Filed under: Alpha Hunters, Alpha Strategies, Today's Post

Guest columnist Diane Harrison on investment lessons learned on the golf course.


What Happens When You Pick A Fight With Activist Hedge Funds

May 12th, 2015 | Filed under: Alpha Strategies, Hedge Fund Strategies, Media Coverage of Hedge Funds, Today's Post

The tear-jerker ending to a famous Broadway musical comes to Faille's mind as he contemplates the latest twist in the struggle over DuPont's board.


AIMA: Debt Funds Filling a Need in Europe, UK and US

May 11th, 2015 | Filed under: Alpha Strategies, Hedge Fund Strategies, Insolvency, Today's Post

A new survey from AIMA seems designed to dispel the idea that alternative finance is a game played somewhere far away from the 'real economy.' The gist of it is that as banks withdraw from lending to that real economy, alternative asset managers, including hedge funds, have stepped in to fill the void.


The Value Factor Reconsidered

May 10th, 2015 | Filed under: Alpha Strategies, Timely Research, Today's Post

Guest columnist Andrew Beer examines the "value" of value.


Bankruptcy Giant Harvey Miller: Rest in Peace

May 5th, 2015 | Filed under: Alpha Strategies, Insolvency, Legislation/Court rulings, Today's Post

One can argue with Harvey Miller, and with his old-school views about bankruptcy law, but now that he can no longer argue back one should show due deference.


The Skorina Report: The Best, The Rest & Our Pick for Public Endowment CIO of Decade

Apr 30th, 2015 | Filed under: Alpha Hunters, Alpha Strategies, Featured Post, Guest Posts, Institutional Investing, The Skorina Report, Today's Post

Charles Skorina looks at the top public endowments and discusses performance with Erik Lundberg.


Griffin, Bernanke, and the Saud family

Apr 27th, 2015 | Filed under: Alpha Hunters, Alpha Strategies, Currencies, Indexes, Macroeconomics, Today's Post

Why has Ken Griffin, the founder of Citadel, hired former Fed Chair Ben Bernanke as a Senior Advisor? This decision represents a surprise given Griffin's views on "quantitative easing," views he forcefully expressed a couple of years ago.


Some Assets are Hard to Ignore

Apr 23rd, 2015 | Filed under: Alpha Hunters, Alpha Strategies, Currencies, Gold, Hard metals, Infrastructure, Today's Post

Guest columnist Diane Harrison looks at the world of alternatives to alternatives, including stamps, cars, farmland and more...


Larry Fink Thinks ‘The Market Is Wrong’ on Greece

Apr 19th, 2015 | Filed under: Alpha Strategies, Currencies, Today's Post

It is always dangerous to say (of any deep and liquid market) that the market is simply wrong in its valuations. Likewise, if you're sitting at a poker table and you don't know who the sucker is ....


The Latest News from Italian Banking and the Dane-geld

Apr 15th, 2015 | Filed under: Alpha Strategies, Insolvency, Risk management, Today's Post

Banca Monte dei Paschi di Siena, BMPS, the oldest bank in the world, has now admitted that its exposure to Nomura Holdings has exceeded the 25% cap set by Italy’s regulators. Faille can't think of a good alpha-winning play on this fact, but it does inspire him to re-work a Kipling poem.


They Do It Right Down Under: Australian Institutional Funds

Apr 14th, 2015 | Filed under: Alpha Hunters, Alpha Seekers, Alpha Strategies, CAPM / Alpha Theory, ETFs, Indexes, Institutional Investing, Today's Post

The hapless U.S. mutual funds Chen and Gallagher sample have a nominally positive pre fee alpha only when measured against CAPM. That disappears into the negatives when the baseline used is the Fama-French model, and deeper into the negatives when the momentum factor is added.


EDHEC: Geography is Not Just a Listing or Headquarters

Apr 12th, 2015 | Filed under: Academic Research, Alpha Strategies, Asset allocation, Asset pricing, Emerging markets, Risk management, Today's Post

Indexes labeled as representing developed market equity include companies with significant and increasing exposure to macro-economic trends in the emerging markets. A portfolio that tracks such an index may well have much more such exposure than its managers or investors had bargained for


M&A: a Continuing Trend According To Survey

Apr 1st, 2015 | Filed under: Alpha Hunters, Alpha Strategies, Currencies, Today's Post

Intralinks is confident that the ongoing growth in M&A activity will continue through the 2d quarter, fueled by strong performances in EMEA and North America. In North America in particular the drivers include low interest rates and pressure on corporate honchos to generate growth in that low-rate environment.


Does the hedge fund industry benefit society?

Mar 30th, 2015 | Filed under: Alpha Hunters, Alpha Strategies, Hedge Fund Industry Trends, Hedge Fund Strategies, Media Coverage of Hedge Funds, Today's Post

Guest columnist Donald Steinbrugge, CFA, looks at the bad rap hedge funds have gotten and talks about why it's not deserved.


Hedge Fund Investors and Managers: Concord and Discord

Mar 29th, 2015 | Filed under: Alpha Hunters, Alpha Strategies, Hedge Fund Strategies, Institutional Investing, Today's Post

Investors in hedge funds want more transparency than they think they're getting, a fact that might not be clear to their managers.


The Fossil Fuel Divestment Debate for Fiduciaries: It’s the Portfolio….

Mar 25th, 2015 | Filed under: Alpha Strategies, Alternative energy, Alternative energy investing, Today's Post

The typical investment manager is more likely to understand the divestment argument if he is shown that the dynamic effects of climate change on his fossil fuel portfolio holdings will be like a knife to the brain of one of TV's Walking Dead zombies, portfolio splatter included.


A Defeat, but Not a Rout, for Appraisal Arb

Mar 17th, 2015 | Filed under: Alpha Strategies, Asset pricing, Hedge Fund Strategies, Legislation/Court rulings, Today's Post

The Delaware Chancery Court would apparently have preferred to stay out of the issue of valuation as it played itself out in the 2012 acquisition of Ancestry.com by Permira. But it couldn't: the statute encouraging appraisal fights was too clearly worded for that.


Women in Senior Roles in Alternative Finance: The Marathon Continues

Mar 16th, 2015 | Filed under: Alpha Hunters, Alpha Seekers, Alpha Strategies, Hedge Fund Industry Trends, Today's Post

Funds of funds are quite different entities from single-manager funds from the point of view of the number of women in senior C-suite roles. Different in what direction? That depends upon the country under consideration.


Does Private Real Estate Actually Have a Low Correlation with Public Real Estate?

Mar 15th, 2015 | Filed under: Alpha Hunters, Alpha Strategies, Asset pricing, Institutional Investing, Private Equity, Real Estate, Today's Post

Brad Case, Ph.D., CFA, CAIA, looks at the relationships between public and private real estate.


Why Constraints on Hedge Funds Matter

Mar 8th, 2015 | Filed under: Alpha Strategies, Alternative Mutual Funds, Hedge Fund Industry Trends, Hedge Fund Strategies, Indexes, Performance, Analytics & Metrics, Today's Post

Andrew Beer looks at what happens when talented hedge fund managers try and perform within the constraints of the mutual fund structure.


Twitter for Geriatric (over 35) Investment Managers

Mar 4th, 2015 | Filed under: Alpha Strategies, Today's Post

Doug Friedenberg takes a look at Twitter as a random news generator on subjects close to the hearts of portfolio managers, and finds it invaluable for the information just beginning to enter your known universe.


Long-Term Infrastructure Debt: The Valuation Issue

Feb 26th, 2015 | Filed under: Alpha Strategies, Asset pricing, Infrastructure, Insolvency, Today's Post

Three authors at EDHEC propose a two-step modeling process for the valuation of certain infrastructure debt. One of the key ideas they incorporate is the value of the step-in rights that come when the issuers violate a covenant or otherwise find themselves in technical default.


Tsipras Marched Bravely Forward And … Surrendered

Feb 24th, 2015 | Filed under: Alpha Strategies, Currencies, Today's Post

The Greek prime minister's surrender to Germany and the troika has alienated much of his own base in Syriza. You can bet on it. Indeed, finding creative ways to bet on it looks like a sound alpha strategy now.


Focus on U.S. Real Estate Benchmarks: NCREIF Transaction Based Index

Feb 20th, 2015 | Filed under: Alpha Hunters, Alpha Strategies, Indexes, Real Estate, Today's Post

By Brad Case, PhD, CFA, CAIA This is the third in a series of articles focusing on the strengths of different indices that are published regularly and may be appropriate for benchmarking, risk assessment, and other real estate investment purposes. The first article focused on two similar index families, the Moody’s/RCA Commercial Property Price Index (CPPI) […]


Eurekahedge Airs Wide Range of Views on Indian Hedge Funds

Feb 16th, 2015 | Filed under: Alpha Seekers, Alpha Strategies, Emerging markets, Indexes, Today's Post

A new report from Eurekahedge tries to go beyond some obvious observations about the performance of hedge funds there in 2014, or about the performance of that country's broad economy last year. Eurekahedge talked to seven experts in the field. They took quite different views on the most basic of questions. So different that a contrarian would have a tough time finding the consensus to counter.


A Metaphorical Map that Proposes an Unbound Barbell

Feb 12th, 2015 | Filed under: Alpha Hunters, Alpha Strategies, Alternative Beta & Hedge Fund Replication, Alternative Mutual Funds, Asset allocation, Hedge Fund Strategies, Liquid Alts, Risk management, Today's Post

The hedge fund universe has become a much more complicated place since 2008. The old-school hedge funds offering only quarterly redemptions with at least one month notice are no longer the only option for those seeking alternatives plays. And those who are seeking such plays may be somewhat confused by the proliferation of possibilities.


Pension Funds as Alternative Investors Get Some Advice

Jan 28th, 2015 | Filed under: Alpha Hunters, Alpha Strategies, Asset allocation, Institutional Investing, Today's Post

As the CEO of AIMA, Jack Inglis, said: Many pension-fund trustees "are asking questions about their existing or prospective hedge fund allocations. Rarely has there been such demand for a realistic assessment of the benefits – and also the risks – associated with hedge fund investing.” The AIMA and CAIA are working together to meet that demand in a series of papers.


Prize to Sannikov: Scholar of Friction and Moral Hazard

Jan 26th, 2015 | Filed under: Academic Research, Alpha Hunters, Alpha Strategies, Today's Post

In a fascinating review article, Sannikov and his co-authors distinguished among the sorts of liquidity, and thus identified the precise sort of liquidity mismatch likely to lead to market shocks. In a working paper last year, Sannikov took on the issue of executive pay, incentives, and claw-backs.


New Greek Political Crisis Looks Like the Old Greek Crises

Jan 7th, 2015 | Filed under: Alpha Strategies, Currencies, Indexes, Today's Post

The newly called snap elections in Greece will serve as a contest between pro-austerity and anti-austerity forces. Anti-austerity means abandoning the bail-out deal, and that position now seems the likely victor.


The Global Economy in 2015 – 5 Key Trends

Jan 5th, 2015 | Filed under: Alpha Strategies, Today's Post

Guest columnist Shane Brett takes a look at what 2015 may look like from an economic perspective.


Focus on U.S. Real Estate Benchmarks: NCREIF Property Index

Jan 4th, 2015 | Filed under: Alpha Hunters, Alpha Strategies, Indexes, Real Estate, Today's Post

Brad Case, Ph.D., CFA, CAIA, guest columnist, continues his series on U.S. real estate benchmarks as he looks at the NCREIF Property Index.


The need-to-knows of Master Limited Partnerships (MLPs)

Dec 7th, 2014 | Filed under: Alpha Strategies, Energy, Today's Post

Guest columnist Andrew Smith, CAIA, deep dives the Master Limited Partnership (MLP) structure.


The Growing Problem of Calculating Performance Fees

Dec 2nd, 2014 | Filed under: Alpha Strategies, Best Practices, Performance, Analytics & Metrics, Today's Post

A new white paper produced jointly by FundCalcs and Global Perspectives looks at the growing complexity of calculating performance fees.


Focus on U.S. Real Estate Benchmarks: Moody’s/RCA CPPI and CoStar CCRSI

Nov 30th, 2014 | Filed under: Alpha Strategies, Real Estate, Today's Post

Brad Case, Ph.D., CFA, CAIA, guest columnist, examines the value of U.S. real estate benchmarks.


The Economics of Happiness

Nov 25th, 2014 | Filed under: Alpha Strategies, Timely Research, Today's Post

The vast economic growth in the rich nations since the Second World War has failed to make people any happier. Is it time to rethink how we measure economies? A conversation with Prof. Richard Easterlin, a leading scholar in happiness economics.


Mergers in Theory and Practice: Synchronicity and Synergy

Nov 19th, 2014 | Filed under: Alpha Hunters, Alpha Strategies, Today's Post

According to a new report from Intralinks and Cass Business School, M&A activity is a critical component in how successful companies innovate and enhance shareholder value. Actavis' latest coup, rescuing Allergan from the clutches of Valeant and Pershing Square, may make the report's authors' point more vividly than their dry numbers can.


Judge David Carter’s Valeant Decision: A Close Reading

Nov 11th, 2014 | Filed under: Alpha Strategies, Hedge Fund Strategies, Legislation/Court rulings, Today's Post

Carter's decision allows Pershing Square to vote its equity in Allergan in ways favorable to Valeant's planned purchase thereof. More is going on here than just another incident in the consolidation of the biopharm world.


GFIA Hedge Fund Manager Review: The End of an Era

Nov 3rd, 2014 | Filed under: Alpha Strategies, Emerging markets, Performance, Analytics & Metrics, Timely Research, Today's Post

In what will be its last regular monthly report on such matters, GFIA tells us that a sharp correction hit markets in Asia ex Japan in September, and tells us of some of the funds that defied the outgoing tide.


GFIA Ruminates on Academia and Practice

Oct 9th, 2014 | Filed under: Alpha Strategies, Emerging markets, Hedge Fund Strategies, Today's Post

GFIA shares some ruminations about the relationship between the abundant academic work on alternative investment and the insights of practitioners. Meanwhile, the Bank of Japan seems to be engaged in some ruminations of its own, and practitioners have to await the results.


Signs of a Renaissance in Emerging Manager ‘Alpha’

Oct 2nd, 2014 | Filed under: Alpha Seekers, Alpha Strategies, Hedge Fund Strategies, Institutional Investing, Performance, Analytics & Metrics, Today's Post

Guest columnist Peter Urbani looks at emerging managers and why they may be re-emerging and bringing alpha with them.


Betting on Vice Doesn’t Really Pan Out

Sep 9th, 2014 | Filed under: Alpha Strategies, Behavioral finance, CAPM / Alpha Theory, Social investing, Today's Post

Christopher Faille, inspired by Greg Richey, of California State University, San Bernardino, has a few words about socially irresponsible investing, that is, the creation of a portfolio built around destructive human vices.