Andrew Beer continues his discussion on slashing hedge fund fees without burning yourself or your clients.
Performance, Analytics & Metrics
European mandated hedge funds, benefitting from improved expectations regarding that region, are up 5.54% year to date, says Eurekahedge. Wait: improved expectations? Yes, notwithstanding continued Greek drama.
Factor models will evolve as researchers untangle what value is to be attributed to what factor. Model selection, then, has to remain flexible to keep pace with such research, and must of course remain useful for the investment decision makers.
Guest columnist Andrew Beer takes on hedge fund fees. In part one of the series he looks at the investor aggregation model.
According to Eurekahedge the hedge fund industry globally returned $54.1 billion in performance gains in the first quarter 2015. This is the greatest first-quarter gain since before the global financial crisis.
Eurekahedge's latest report gives a number of timelines for grappling with changes in the hedge fund world: since 2007; since January 2013; YTD January 2015. In any frame, you don't have to be a meteorologist....
Andrew Beer looks at what happens when talented hedge fund managers try and perform within the constraints of the mutual fund structure.
Reuters is now reporting that major investors seek the opportunity to convert their voting shares of Twenty-First Century Fox into non-voting shares, because the voting shares are trading at a discount. Faille takes Reuters' anonymous sources at their words for the purposes of discussion. He doesn't think these investors will get their convertibility.
A useful benchmark or a dangerous prop? Guest columnist Andrew Beer looks at the hidden dangers in indices.
Guest columnist Don Steinbrugge examines what might happen to hedge funds if there's a 2008 "Groundhog Day" in the markets.
A regime switching model may treat a high-volatility environment as one “regime,” and a low-vol environment as its successor regime. The idea, as it applies to risk management, then, is simply to be ready in either setting for the switch to the other. This is both playing defense and playing offense. It is both managing risk and pursuing alpha.
A new white paper produced jointly by FundCalcs and Global Perspectives looks at the growing complexity of calculating performance fees.
Only two hedge fund strategies performed in the positive numbers in October, the rest were all in the red. Managed futures did best, according to the Eurekahedge numbers, benefitting from their short positions on oil prices.
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.
Move over! It's crowded in here. What happens when hedge funds crowd a trade? Guest columnist Andrew Beer looks at hedge fund performance and the crowded trade.
India accounts for much of the positive showing of Asia ex-Japan in the hedge fund world YTD. That positive showing, in turn, may be attracting asset flow.
Guest columnist Peter Urbani looks at emerging managers and why they may be re-emerging and bringing alpha with them.
Guest columnist Andrew Smith, CAIA, on performance analysis and its effect on asset allocation.
Christopher Faille speaks to Matt Porzio, the VP of Strategy and Product Marketing at Intralinks, about the data behind Intralinks' DFI.
Banco Espirito Santo, and its CEO Salgado, had emerged from an earlier round of crisis (way back in 2012) with a roseate smell. Their latest smell ... not so good.
The latest report from Eurekahedge mentions that though instability is "brewing again in the Middle East," things have settled down a bit in Eastern Europe. This report was written prior to the shoot down of a Malaysian jet over the Ukraine.
The stakes, for mathematics, finance, and the overlap of the two, are pretty high. So my ears pricked up when I heard of a sweeping challenge to Bayesianism.
Guest columnist Andrew Beer looks at the consistency of hedge fund returns and finds them, well, lacking...
Starting with 350 available metrics of corporate governance and/or forensic accounting, GMI Ratings has boiled their model down to just 64, and from those they get three scores.
Why it is possible that the recent uptick in animal spirits in Japan comes largely from a sense that Abenomics as originally conceived has run its course, and that Abe and the rest of the gang there will have to move on shortly.
Charles Skorina revisits his famous "public Ivys" study.
Seventy-one percent of private equity/real estate investors, and 89% of hedge fund investors, say they have decided against investing in at least one new fund due to their concern over its lack of transparency.
Guest columnist Don Steinbrugge looks at why allocators continue to invest in hedge funds, even when the media thinks they shouldn't.
Jeff Malec, CAIA, looks at why large hedge funds have all the fun and get all the money.
Guest columnists Andrew Beer and Michael Weinberg look at the opportunities that lie in the largely untapped alternative mutual fund markets.
We'll suppose you're an investor with a dream. You want to get in on the ground floor of something that will be really big. You can't be risk averse then, can you?
Japan-focused funds had three consecutive months of negative returns this quarter. These numbers look particularly jarring in contrast to the 2013 returns, from back in the days when Abenomics was being hailed as a success.
Have the emerging market assets and the funds focused thereon warranted this return of confidence by their recent returns? The answer to this question can't be any more emphatic than, "yes, somewhat."
Deloitte's pie graphs emphasize the degree to which both hedge funds and PE vehicles have become dependent upon institutions in general, and detached from the retail market. But Deloitte says that 2014 "will likely see additional efforts by alternative fund managers to engage the retail investor base by taking their alternative investment strategies mainstream."
Rene Levesque, guest author, looks at the differences between absolute return and alpha and answers the question: can you absolutely return alpha?
Guest columnist Diane Harrison considers performance. What's the alternative?
Even after the worst of the U.S. debt ceiling crisis passed, concerns about the Yen and unsatisfactory second-quarter performance numbers weighed the Nikkei down.
Guest columnist firm Tesseract looks at mainstream asset allocation and its various risks.
A recent article on the use of catalytic events to predict volatility, written by Paul Rowady of the TABB Group, provides food for thought for derivative traders, crystal-ball gazers, and compliance officers alike.
As a matter of fiduciary responsibility and best business practice, Woodbine says, firms need to conceive of a trading strategy that will optimize their trade execution against objective and quantitative benchmarks, and connect with counterparties who will advance this goal.
CAIA curriculum writers look at the most important metrics.
Grant Jaffarian, AlphaTerra LLC, discussed the importance of messaging
Guest columnist Andrew Beer looks at CTA performance.
The world of cash equities trading is changing and will continue to change, says Celent. Brokerages will have to outsource in order to reduce costs and restore their margins: and some of the outsourcing will involve "the cloud."
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.
Part II of a new SEI report on hedge funds and adapting to survival.
“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.
Beachhead Capital looks at performance in the long/short equity sector and finds that small funds outperform the large.
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.
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.