Browsing: CAIA Alternative Viewpoints Columns

CAIA Alternative Viewpoints Columns

What about beta?

Feb 5th, 2018 | Filed under: Newly Added, What about beta?

By Bill Kelly, CAIA Association CEO As the 2018 calendar turned to February, the long-anticipated volatility came back with a vengeance, but why were so many, so surprised.  As long-term investors, I point out what might be the obvious.  The first fissures of this new normal arrived on Friday Feb 2Read More

Understanding VIX Part 2: Understanding VIX Futures and Exchange Traded Products

Aug 19th, 2012 | Filed under: Alpha Strategies

Keith Black, PhD, CFA, CAIA, discusses trading volatility in Part II of this two-part series.Read More

Understanding VIX Part 1: An Empirical Description of the CBOE Volatility Index

Aug 16th, 2012 | Filed under:

Keith H. Black, PhD, CFA, CAIA, takes the fear out of understanding the "Fear gauge." Part I of a two-part series.Read More

Alpha Schmalpha: It’s not just ‘Greek’ to investors

Aug 23rd, 2011 | Filed under: Hedge Fund Industry Trends

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.Read More

Alpha Hunter Bob Swarup: A World of Wobbling Dominoes

Jul 31st, 2011 | Filed under: Alpha Hunters

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.”Read More

Film, Music, Fashion and Light Shows / Movie Stars Wanted, Nerds Need Apply

Jun 16th, 2011 | Filed under: Algorithmic and high-frequency trading

Hamlin Lovell reports from The Battle of the Quants 2011.Read More

The performance of hedge funds in different VIX “states”

Jun 20th, 2010 | Filed under: Performance, Analytics & Metrics

Do hedge funds like chaos? Some do and some don't according to our guest author today.Read More

European Fund Regulations: Fad or new de facto global standard?

May 31st, 2010 | Filed under: Hedge Fund Regulation

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. Read More

What NASCAR Can Teach Us About Return Persistence

Apr 28th, 2010 | Filed under: CAPM / Alpha Theory

At the very least, NASCAR and Formula One share two things in common with the alternative asset management industry...Read More

The Five Faces of Alpha (II): “True” alpha reveals itself

Apr 7th, 2010 | Filed under: CAPM / Alpha Theory, Hedge Fund Industry Trends

Today we bring you part 2 of Erik Einertson’s special to “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 exposureRead More

The Five Faces of Alpha

Apr 6th, 2010 | Filed under: CAPM / Alpha Theory

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 areRead More

Alternative Viewpoints: Due to funds’ lack of persistence, the Sharpe ratio has no validity as an investment decision tool

Oct 29th, 2009 | Filed under:

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 newRead More

Alternative Viewpoints: Using the Modified Sharpe & Information Ratios

Sep 2nd, 2009 | Filed under:

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.Read More

Alternative Viewpoints: When it comes to transparency, institutional investors are being treated as “second class citizens”

Jul 23rd, 2009 | Filed under: Institutional Investing

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. Read More

Alternative Viewpoints: The Ascendancy of Risk Management

Apr 30th, 2009 | Filed under:

As GAIM Ops comes to a close, Abdul Sheikh, CAIA, of State Street argues that independent fund administration is now a no brainer. Read More

Alternative Viewpoints: Monetizing hedge fund transparency

Mar 3rd, 2009 | Filed under:

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. Read More

Alternative Viewpoints: Alternative Investments in India – Regulatory easing, growth in private equity, and new real estate opportunities

Feb 2nd, 2009 | Filed under: Private Equity

The Indian economy has been in the news a lot recently. But what about alternative investments in the sub-continent?Read More

Alternative Viewpoints: Survivors to Benefit from “Hedge Fund Industry Life Cycle”

Jan 4th, 2009 | Filed under:

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. Read More

Alternative Viewpoints: A “Golden Age” of higher returns, new managers & smaller funds on its way

Nov 30th, 2008 | Filed under:

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.Read More

Alternative Viewpoints: When the “100 year flood” really is a 100 year flood…

Nov 2nd, 2008 | Filed under:

With the insurance industry in enough trouble as it is, are "cat-bonds" the way forward?Read More

Alternative Viewpoints: Pension buyouts can make the bailout plan look small

Oct 5th, 2008 | Filed under:

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. Read More

“Higher Moment” Betas

Aug 26th, 2008 | Filed under: Performance, Analytics & Metrics

Thought beta was a pretty down-to-earth concept? That's what we thought too...Read More

Alternative Viewpoints: Commodities not about “buy and hold”

Jun 29th, 2008 | Filed under: Hedge Fund Industry Trends

There is little doubt that commodities are hot. But as Keith Black, CAIA, argues: investors must move well beyond simple "buy and hold" strategies.Read More

Alternative Viewpoints: Raining on the weather/return correlation parade

May 29th, 2008 | Filed under: CAPM / Alpha Theory

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.Read More

Alternative Viewpoints: Survey of hedge fund professionals finds 130/30 “minor discussion within larger context”

May 4th, 2008 | Filed under: 130/30

Several surveys have probed investors and managers about 130/30. But a new poll of nearly 500 alternative investment professionals contains some new insights. Read More

Alternative Viewpoints: Sustainable Hedge Fund Performance

Mar 31st, 2008 | Filed under: CAPM / Alpha Theory

Identifying persistent returns can be done with the naked eye. But identifying persistent alpha? That's a different ball game according one researcher. Read More

Alternative Viewpoints: “Liquidity Insurance”

Mar 3rd, 2008 | Filed under: CAPM / Alpha Theory

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.Read More

Replication de fonds de couverture

Feb 4th, 2008 | Filed under:

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. Read More

Alternative Viewpoints: 130/30 “not monolithic” but does represent a “convergence” in money management

Jan 1st, 2008 | Filed under: 130/30

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.Read More

Alternative Viewpoints: “Liquidity Alpha”

Nov 27th, 2007 | Filed under: CAPM / Alpha Theory

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? Read More

Alternative Viewpoints: Being like Jesse James

Sep 30th, 2007 | Filed under: Alternative Beta & Hedge Fund Replication

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?"Read More