Keith Black, PhD, CFA, CAIA, discusses trading volatility in Part II of this two-part series.
CAIA Alternative Viewpoints Columns
Keith H. Black, PhD, CFA, CAIA, takes the fear out of understanding the "Fear gauge." Part I of a two-part series.
What's it all about, this alpha? And for that matter, where is it? Dr. Bob Swarup tackles the real meanings of alpha and beta.
Dr. Bob Swarup, of CAIA, and a Partner of Pension Corporation LLP, in London, was the keynote speaker at the Emerging Managers Forum on July 7. He presented “The Outlook for Alternatives in Today’s Economic Environment.”
Hamlin Lovell reports from The Battle of the Quants 2011.
Do hedge funds like chaos? Some do and some don't according to our guest author today.
There have been a lot of surveys on Europe's latest fashion trend: UCITSIII. Today, a guest author reports on some actual hard data on the topic.
At the very least, NASCAR and Formula One share two things in common with the alternative asset management industry...
Today we bring you part 2 of Erik Einertson’s special to AllAboutAlpha.com “The Five face of Alpha” (first installment here)… Alpha #2: Insurance Beta The second type of “Alpha” often found in the market can be referred to as insurance beta or Informationless Investing (Weisman 2002). This type of exposure has persistent tilts towards strategies [...]
As we have noted over the past several years, alpha is notoriously difficult to define and isolate since its existence depends not only on the target being observed, but on the perspective of its observer. The more we study alpha, it seems, the less we know about it. We are reminded of this irony by [...]
Alternative Viewpoints: Due to funds’ lack of persistence, the Sharpe ratio has no validity as an investment decision toolOct 29th, 2009 | Filed under: Academic Research, CAIA Alternative Viewpoints Columns, Guest Posts, Today's Post
There have been many studies on hedge fund manager return “persistence”. Persistence, after all, is a necessary precondition for the existence of alpha. Like alpha itself, you might expect that the persistence of a good Sharpe ratio may be possible in less mature (more informationally inefficient) markets. But a new study by Siewling Lay, CAIA, [...]
In this month's "Alternative Viewpoints" column, BNY Mellon's Neil Kotecha explains one of the reasons why the Sharpe Ratio isn't so sharp after all.
Alternative Viewpoints: When it comes to transparency, institutional investors are being treated as “second class citizens”Jul 23rd, 2009 | Filed under: CAIA Alternative Viewpoints Columns, Institutional Investing, Today's Post
Guest contributor Steve Deutsch of Morningstar says that despite all the talk of "transparency", the micro-economics of the institutional investment industry often prevent the message from getting through.
As GAIM Ops comes to a close, Abdul Sheikh, CAIA, of State Street argues that independent fund administration is now a no brainer.
What would life be like with full hedge fund transparency? For clues, you needn't look much further than the US requirement to submit "13F" filings.
Alternative Viewpoints: Alternative Investments in India – Regulatory easing, growth in private equity, and new real estate opportunitiesFeb 2nd, 2009 | Filed under: Academic Research, CAIA Alternative Viewpoints Columns, Guest Posts, Private Equity, Today's Post
The Indian economy has been in the news a lot recently. But what about alternative investments in the sub-continent?
Guest contributor Tommaso Sanzin, CAIA says that the natural ebbs and (asset) flows of the hedge fund industry will yield more untapped opportunities and fewer unskilled managers.
Peter Douglas, the widely-quoted hedge fund consultant and manager, forecasts golden times ahead for the hedge fund industry - at least, for those who survive.
With the insurance industry in enough trouble as it is, are "cat-bonds" the way forward?
Despite complaints about Henry Paulson, Alan Greenspan, and Ben Bernanke, the real problems in today's financial system began with German Chancellor Otto von Bismarck.
Thought beta was a pretty down-to-earth concept? That's what we thought too...
There is little doubt that commodities are hot. But as Keith Black, CAIA, argues: investors must move well beyond simple "buy and hold" strategies.
We've all heard the old adage "Sell in May and go away". One academic determines if the weather is the source of this apparent market anomaly.
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.
Identifying persistent returns can be done with the naked eye. But identifying persistent alpha? That's a different ball game according one researcher.
In today's "Alternative Viewpoints...powered by CAIA" Konstantin Danilov proposes a new type of security that might address the illiquidity risks inherent in individual positions.
Pierre Saint-Laurent, head of the Canadian Chapter of the CAIA Association tells us why his hometown of Montreal seems to always be punching above its weight.
Alternative Viewpoints: 130/30 “not monolithic” but does represent a “convergence” in money managementJan 1st, 2008 | Filed under: 130/30, CAIA Alternative Viewpoints Columns, Guest Posts
Morningstar's Steve Deutsch has a bird's-eye view of the burgeoning 1X0/X0 field. Today, he shares this perspective, concluding that money managers are stealing a page from the telecom playbook.
If illiquidity demands fair compensation and hedge funds are relatively illiquid, does it follow that some of what might look like "hedge fund alpha" is really just an illiquidity premium?
CAIA Association member, Ryan Teal, says hedge funds ought to take inspiration from Jesse James when addressing hedge fund replication, "Do you want to be LIKE me? Or do you want to BE me?"