Browsing: Asset allocation

Asset allocation

Sovereign Credit Swaps: Europe’s Sovereigns and Regime Changes

Aug 16th, 2016 | Filed under: Allocating to A.I., Asset allocation, Asset Allocation Models, Credit Derivatives, Newly Added, Regulatory Environment, Structured Credit Products, Structured Products, The A.I. Industry

Andrea Consiglio and two of his colleagues have developed models for the management of risk in the sovereign credit swaps market, and they have successfully back tested these models against recent European history. Consiglio is a professor at the University of Palermo, in Italy. Sovereign CDS’ are contracts that offerRead More

New Paper Tackles Basic Questions About Alternative Investments

Aug 11th, 2016 | Filed under: Allocating to A.I., Alternative Investments in Context, Asset allocation, Asset Allocation Models, Newly Added, The A.I. Industry

RCM Alternatives, a Chicago-based asset manager specializing in managed futures products, has published a new white paper asking the naive-seeming question, “Why Alternatives?” The paper begins with the observation that many alternative investors look to this field for an answer to a specific problem:  hedging the long position in equitiesRead More

Factor-Based Asset Allocation

Jun 19th, 2016 | Filed under: Allocating to A.I., Alpha & Beta, Asset allocation, Asset Allocation Models, Commodities, Investing in Commodities, Newly Added, Other Topics in A.I., Smart Beta

A paper by Xiaowei Kang and Daniel Ung, published in June 2014, remains timely because risk parity and related approaches remain the center of controversy and some confusion. The Kang & Ung paper looked at three approaches to risk factor based portfolio construction, studying specifically the practical aspects of theRead More

Allocating to Risk-Managed Strategies: Reasons to Consider Hedged Equities

Jun 13th, 2016 | Filed under: Allocating to A.I., Asset allocation, Asset Allocation Models, Equity Hedge Funds, Hedge Fund Strategies, Hedge Funds, Newly Added

By Calamos Investments Team Introduction In this segment of our series on Allocating to Risk-Managed Strategies we explain the benefits of hedging equities in a portfolio or investment strategy. You’ll learn: How institutional investors effectively employed a hedged equity strategy during the economic recovery period beginning in 2010. Why theRead More

Hedge Funds are Still Relevant in a Diversified Portfolio: 4 Fundamental Criteria for Superior Manager Selection

May 25th, 2016 | Filed under: Asset allocation, Asset Allocation Models, Hedge Fund Industry Trends, Hedge Fund Strategies, Hedge Funds, Newly Added

By Appomattox Advisory, Inc. The discussion has revived again:  are hedge funds still relevant in a diversified portfolio? We believe that a thoughtful allocation to hedge funds continues to be an impactful, prudent and profitable strategy for institutional portfolios. For allocators seeking to achieve stable returns in a difficult investing environment,Read More

For Practitioners of Risk Parity: Don’t Panic

Oct 6th, 2015 | Filed under: Allocating to A.I., Asset allocation, Asset Allocation Models, Benchmarking & Performance Attribution, Newly Added, Risk management, Risk Management Strategies & Processes

A new paper by Cliff Asness puts the recent relative weakness of Risk Parity Portfolio performance into a broader context. The cumulative excess return from what he calls "simple risk parity" continues to rise steadily though undramatically. Read More

Weintraub of GFT: Basel III Coming Into Force by Increments

Aug 20th, 2015 | Filed under: Asset allocation, Hedge Fund Industry Trends, Regulatory, Risk management

Faille spoke recently to Herman Weintraub, executive director and head of alternative investment practices at GFT, about the impact of the Basel III rule changes upon the HF industry. Weintraub says, one ought to look not at the parts, but at the whole. Read More

EDHEC: Geography is Not Just a Listing or Headquarters

Apr 12th, 2015 | Filed under: Alpha Strategies, Asset allocation, Emerging markets, Risk management

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 forRead More

KPMG, MFA & AIMA: Institutional Investors & Customization

Mar 19th, 2015 | Filed under: Alternative Mutual Funds, Asset allocation, Fees, Hedge Fund Industry Trends, Hedge Fund Strategies, Institutional Investing, Liability Driven Investing, Regulatory

Surveys suggest that certain conspicuous ongoing trends will continue. For example, the classic 20 + 2 fee structure will continue to crumble, replaced by "customized" structures. A full 91% of the small hedge fund managers who filled out a survey agreed with this. A mere 76% of large hedge fund managers did likewise. Read More

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

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. Read More

Pension Funds as Alternative Investors Get Some Advice

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

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.Read More

Election direction, market correction, asset selection…it’s all an investment question

Dec 11th, 2014 | Filed under: Asset allocation

In the U.S., the midterm elections will largely dictate the course of the remaining years of the current presidential term. This course also plays a major role in the future direction and relative strength of the US markets, which subsequently impact advisors’ decision-making for client portfolios. The interplay between these three areas justifies a closer look at how their relationship correlates to the process of investment management. Read More

The Best Offense is a Good Defense: Profiting from Hedging

Dec 3rd, 2014 | Filed under: Asset allocation, CAPM / Alpha Theory, Performance, Analytics & Metrics, Risk management

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. Read More

Investment Advisors, Investors and Beauty Contests

Nov 6th, 2014 | Filed under: Alpha Hunters, Asset allocation, High-net-worth investors, Retail Investing

n a new book, Charlotte Beyer tells investors that having the right advisor isn't suckerdom. It can in fact be insurance against suckerdom. So: how does an investor find the right advisor? Read More

Looking at the Next Generation of Institutional Investing

Sep 25th, 2014 | Filed under: Asset allocation, Hedge Fund Industry Trends, Institutional Investing

Guest columnist Andrew Beer looks at the changes in institutional investing.Read More

Burr XII, Extreme Value, and a Fantasy

Sep 15th, 2014 | Filed under: Asset allocation, Risk management

The eight authors of a new study seek to add to “the existing literature of Bayesian VaR methods by … considering the … general class of Burr XII extreme value distributions “ and by estimating error bounds. After having a little fun we try to puzzle out what that means. Read More

Why are Hedge Fund Assets Reaching All-time Highs?

May 12th, 2014 | Filed under: Alpha Hunters, Asset allocation, Institutional Investing, Media Coverage of Hedge Funds, Performance, Analytics & Metrics

Guest columnist Don Steinbrugge looks at why allocators continue to invest in hedge funds, even when the media thinks they shouldn't.Read More

Natixis on Investing by ‘Road Maps:’ Institutional Cartographic Confidence

Jun 16th, 2013 | Filed under: Alpha Seekers, Alpha Strategies, Asset allocation, Institutional Investing

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. Read More

Australian News: Part II

Apr 25th, 2013 | Filed under: Alpha Strategies, Asset allocation

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.Read More

Improving the Health of Healthcare Endowments

Feb 24th, 2013 | Filed under: Alpha Strategies, Asset allocation, Institutional Investing

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. Read More

On Not Using the Phrase ‘New Normal’ Here

Sep 26th, 2012 | Filed under: Asset allocation, Institutional Investing, Private Equity, Real Estate, Venture capital

Acceptance of the higher levels of volatility as a fact of life means that careful ongoing attention to risk has become the means of operations. In the United States specifically, 31 percent of institutions say that they monitor their risk budget daily to keep the overall amount of risk in the portfolio under check: more than half (53 percent) say that they do such monitoring on a weekly or monthly basis.Read More

A Family is Not a Portfolio: A Discussion with Charles Grace

Sep 13th, 2012 | Filed under: Alpha Strategies, Asset allocation

In the years before the world financial crisis, an endowment oriented model was gaining some ground [in the family-office world] following on the example of Yale University and its long-time CIO, David Swenson. But, frankly, there has been some questioning of that as of late.Read More

Healthcare Nonprofit Investments: The Case for Boredom

Sep 11th, 2012 | Filed under: Asset allocation, Institutional Investing

It is good that the stuffy old healthcare organizational folks stuck with fixed income investments!, because those investments did better than any other asset class as a component of their FY2011 returns. Fixed income returned 5.4 percent. The more exciting field of international equities was the big loser, with a -10.9 percent return.Read More

McKinsey: Allocations Will Rise Despite Sticky Fees

Jul 31st, 2012 | Filed under: Alpha Strategies, Asset allocation, Private Equity, Real Estate

The reason for the increased interest in alternatives, McKinsey says, isn’t that the alternatives’ managers are slashing the price of their services. It is, rather, a discontent with the return to be gained from traditional investment. “Even with downward pressure likely over the next few years, revenue yields for institutional alternative products should remain well above the 35 bps average earned on today’s traditional institutional products.” Read More

Benefits of Asset-Class Diversification Are Disappearing

Jul 4th, 2012 | Filed under: Alpha Strategies, Asset allocation

By the end of May the spread between German and Spanish bond yields was extraordinary. Spanish 10-year bonds were yielding 6.5 percent, German bonds only 1.347 percent. What Spain would have to do was becoming obvious to everyone by then, though it took Spain until well into June to do it, finally requesting and obtaining as Mathema puts it “a financial lifeline of up to €100 billion to shore up its troubled banking system” from the EU.Read More

Preqin to Hedge Funds: Wooing Institutions May Require Patience

Jun 27th, 2012 | Filed under: Alpha Strategies, Asset allocation, Hedge Fund Industry Trends, Hedge Fund Strategies, Institutional Investing

Institutions aren’t to be rushed into committing to a hedge fund. The process can take more than a year. Preqin asked institutions: once a fund has caught their attention, specifically once they have first seen a fund proposal, how much time typically passes before they actually make an investment, if they do?Read More