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	<title>AllAboutAlpha.com &#187; CAPM / Alpha Theory</title>
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	<link>http://allaboutalpha.com/blog</link>
	<description>Hedge funds, portable alpha, 130/30 and alpha-centric investing</description>
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			<item>
		<title>Behaviour: Bear, Bull or Lemming?</title>
		<link>http://allaboutalpha.com/blog/2010/03/01/behaviour-bear-bull-or-lemming/</link>
		<comments>http://allaboutalpha.com/blog/2010/03/01/behaviour-bear-bull-or-lemming/#comments</comments>
		<pubDate>Mon, 01 Mar 2010 17:38:31 +0000</pubDate>
		<dc:creator>jblevins</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Dossier]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=10564</guid>
		<description><![CDATA[By: Lloyd&#8217;s
Published: March, 2010
Introduction: Underwriters take risks every day of their lives, yet many are unaware of the subconscious thoughts that are clouding their judgements. Behavioural theory tells us there are many unintended filters which distort the way we think about risk. Insurance professionals will benefit by being aware of these biases, leading to clearer [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2010/03/01/behaviour-bear-bull-or-lemming/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Examining &#8220;Real Alpha&#8221; and &#8220;Exotic Beta&#8221; in mutual funds</title>
		<link>http://allaboutalpha.com/blog/2010/02/01/examining-real-alpha-and-exotic-beta-in-mutual-funds/</link>
		<comments>http://allaboutalpha.com/blog/2010/02/01/examining-real-alpha-and-exotic-beta-in-mutual-funds/#comments</comments>
		<pubDate>Tue, 02 Feb 2010 02:00:20 +0000</pubDate>
		<dc:creator>Guest</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Retail Investing]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=9068</guid>
		<description><![CDATA[Usually the term "exotic beta" is associated with hedge funds.  Finally, it's being applied to the largest pool of active management - mutual funds. ]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2010/02/01/examining-real-alpha-and-exotic-beta-in-mutual-funds/feed/</wfw:commentRss>
		<slash:comments>2</slash:comments>
		</item>
		<item>
		<title>New study of mutual fund alpha shows that what-goes-around-comes-around</title>
		<link>http://allaboutalpha.com/blog/2010/01/27/new-study-of-mutual-fund-alpha-shows-that-what-goes-around-comes-around/</link>
		<comments>http://allaboutalpha.com/blog/2010/01/27/new-study-of-mutual-fund-alpha-shows-that-what-goes-around-comes-around/#comments</comments>
		<pubDate>Thu, 28 Jan 2010 01:47:37 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=9022</guid>
		<description><![CDATA[A study of the variables driving mutual fund alpha also reveals something about the changing nature of markets themselves. ]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2010/01/27/new-study-of-mutual-fund-alpha-shows-that-what-goes-around-comes-around/feed/</wfw:commentRss>
		<slash:comments>1</slash:comments>
		</item>
		<item>
		<title>The Value and Price of Active Management</title>
		<link>http://allaboutalpha.com/blog/2009/12/26/the-value-and-price-of-active-management/</link>
		<comments>http://allaboutalpha.com/blog/2009/12/26/the-value-and-price-of-active-management/#comments</comments>
		<pubDate>Sat, 26 Dec 2009 18:46:56 +0000</pubDate>
		<dc:creator>Lisa Rivera</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Dossier]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2009/12/26/the-value-and-price-of-active-management/</guid>
		<description><![CDATA[By: Brian J. Jacobsen, Ph. D., J.D.
Published: Dec 26, 2009
Abstract: This paper establishes an arbitrage pricing framework for evaluating how valuable fund managers really are. This simple framework allows for an investor to determine whether a manager is over or underpaid by looking at the relationship between the manager’s up-capture and down-capture ratio. The relationship [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/12/26/the-value-and-price-of-active-management/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Why bother separating alpha and beta?  Here&#8217;s why.</title>
		<link>http://allaboutalpha.com/blog/2009/11/08/why-bother-separating-alpha-and-beta-heres-why/</link>
		<comments>http://allaboutalpha.com/blog/2009/11/08/why-bother-separating-alpha-and-beta-heres-why/#comments</comments>
		<pubDate>Mon, 09 Nov 2009 00:00:21 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=7383</guid>
		<description><![CDATA[With the un-alpha-like performance of the hedge fund portion of portable alpha strategies last year, it's easy to disregard alpha/beta separation as hype.  But here's a must-read paper that shows why the concept is fundamentally sound.]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/11/08/why-bother-separating-alpha-and-beta-heres-why/feed/</wfw:commentRss>
		<slash:comments>1</slash:comments>
		</item>
		<item>
		<title>One reason why equity allocations may never fully recover from recent injuries</title>
		<link>http://allaboutalpha.com/blog/2009/10/28/one-reason-why-equity-allocations-may-never-fully-recover-from-recent-injuries/</link>
		<comments>http://allaboutalpha.com/blog/2009/10/28/one-reason-why-equity-allocations-may-never-fully-recover-from-recent-injuries/#comments</comments>
		<pubDate>Thu, 29 Oct 2009 00:42:50 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=7111</guid>
		<description><![CDATA[Institutional equity allocations have dropped along with the markets over the past 2 years.  But even as the market rebounds, there may be some fundamental reasons why institutional investors will throw in the towel on "60/40" for good this time around.]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/10/28/one-reason-why-equity-allocations-may-never-fully-recover-from-recent-injuries/feed/</wfw:commentRss>
		<slash:comments>1</slash:comments>
		</item>
		<item>
		<title>Active management redeemed?</title>
		<link>http://allaboutalpha.com/blog/2009/10/05/active-management-redeemed/</link>
		<comments>http://allaboutalpha.com/blog/2009/10/05/active-management-redeemed/#comments</comments>
		<pubDate>Tue, 06 Oct 2009 00:00:41 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=6362</guid>
		<description><![CDATA[A plethora of studies have shown that, on average, active management doesn't pay.  But so many "active" funds are just closet indexers.  So what happens when you analyze only the truly active funds?  The results might surprise you. ]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/10/05/active-management-redeemed/feed/</wfw:commentRss>
		<slash:comments>1</slash:comments>
		</item>
		<item>
		<title>Hedge fund fame and fortune comes with strings attached says new paper</title>
		<link>http://allaboutalpha.com/blog/2009/08/31/hedge-fund-fame-and-fortune-comes-with-strings-attached-says-new-paper/</link>
		<comments>http://allaboutalpha.com/blog/2009/08/31/hedge-fund-fame-and-fortune-comes-with-strings-attached-says-new-paper/#comments</comments>
		<pubDate>Tue, 01 Sep 2009 00:00:57 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=5673</guid>
		<description><![CDATA[A new paper tries to put a value on the "redemption option" that a manager gives to investors and the "funding option" it gives to its prime brokers.  Too bad more hedge funds didn't read this before last year.]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/08/31/hedge-fund-fame-and-fortune-comes-with-strings-attached-says-new-paper/feed/</wfw:commentRss>
		<slash:comments>1</slash:comments>
		</item>
		<item>
		<title>Fund of Hedge Funds Diversification &amp; the Importance of Life Cycle</title>
		<link>http://allaboutalpha.com/blog/2009/08/11/fund-of-hedge-funds-diversification-the-importance-of-life-cycle/</link>
		<comments>http://allaboutalpha.com/blog/2009/08/11/fund-of-hedge-funds-diversification-the-importance-of-life-cycle/#comments</comments>
		<pubDate>Wed, 12 Aug 2009 00:00:09 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=5458</guid>
		<description><![CDATA[The number of underlying managers in a fund of funds can tell you a lot about redemption frequency - but not so much about fees.  So says a new academic study.]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/08/11/fund-of-hedge-funds-diversification-the-importance-of-life-cycle/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Do Active Funds Perform Better In Down Markets? New Evidence from Cross-Sectional Study</title>
		<link>http://allaboutalpha.com/blog/2009/08/01/do-active-funds-perform-better-in-down-markets-new-evidence-from-cross-sectional-study/</link>
		<comments>http://allaboutalpha.com/blog/2009/08/01/do-active-funds-perform-better-in-down-markets-new-evidence-from-cross-sectional-study/#comments</comments>
		<pubDate>Sat, 01 Aug 2009 16:24:59 +0000</pubDate>
		<dc:creator>Lisa Rivera</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Dossier]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=6469</guid>
		<description><![CDATA[By: Zheng Sun, Ashley Wang, Lu Zheng
Published: August, 2009
Abstract: As discussed in Gruber (1996), the dramatic growth of actively managed funds constitutes a major puzzle in the finance literature. Despite the large amount of money invested in actively managed funds, these funds on average underperform their passive counterparts after fees. The existing literature proposes a [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/08/01/do-active-funds-perform-better-in-down-markets-new-evidence-from-cross-sectional-study/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>How Hollywood, lotteries and mutual funds show that all risk is relative</title>
		<link>http://allaboutalpha.com/blog/2009/07/06/how-hollywood-lotteries-and-mutual-funds-show-that-all-risk-is-relative/</link>
		<comments>http://allaboutalpha.com/blog/2009/07/06/how-hollywood-lotteries-and-mutual-funds-show-that-all-risk-is-relative/#comments</comments>
		<pubDate>Tue, 07 Jul 2009 00:00:48 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=4949</guid>
		<description><![CDATA[Since the birth of the CAPM, empirical evidence has been uncooperative - showing that high risk investments produce lower returns, not higher ones.  Now one author looks beyond equity markets and finds even more evidence against the vaunted CAPM.  ]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/07/06/how-hollywood-lotteries-and-mutual-funds-show-that-all-risk-is-relative/feed/</wfw:commentRss>
		<slash:comments>3</slash:comments>
		</item>
		<item>
		<title>Risk Management Framework for Hedge Funds Role of Funding and Redemption Options on Leverage</title>
		<link>http://allaboutalpha.com/blog/2009/07/01/risk-management-framework-for-hedge-funds-role-of-funding-and-redemption-options-on-leverage/</link>
		<comments>http://allaboutalpha.com/blog/2009/07/01/risk-management-framework-for-hedge-funds-role-of-funding-and-redemption-options-on-leverage/#comments</comments>
		<pubDate>Wed, 01 Jul 2009 21:01:02 +0000</pubDate>
		<dc:creator>Lisa Rivera</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Dossier]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=5953</guid>
		<description><![CDATA[By: John Dai and Suresh Sundaresan (Capula Investment Management, London)
Published: July 2009
Abstract: We develop a model of hedge fund returns, which reflect the contractual relationships between a hedge fund, its investors and its prime brokers. These relationships are modelled as short option positions held by the hedge fund, wherein the “funding option” reflects the short [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/07/01/risk-management-framework-for-hedge-funds-role-of-funding-and-redemption-options-on-leverage/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Real Estate Alpha</title>
		<link>http://allaboutalpha.com/blog/2009/06/22/real-estate-alpha/</link>
		<comments>http://allaboutalpha.com/blog/2009/06/22/real-estate-alpha/#comments</comments>
		<pubDate>Tue, 23 Jun 2009 02:20:56 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=4903</guid>
		<description><![CDATA[A lot of research has been conducted on real estate mutual funds.  But precious little has ever been conducted on the alpha produced by institutional funds that invest in commercial real estate - until now... ]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/06/22/real-estate-alpha/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Crowds may not be so &#8220;wise&#8221; after all</title>
		<link>http://allaboutalpha.com/blog/2009/06/18/crowds-may-not-be-so-wise-after-all/</link>
		<comments>http://allaboutalpha.com/blog/2009/06/18/crowds-may-not-be-so-wise-after-all/#comments</comments>
		<pubDate>Fri, 19 Jun 2009 00:00:28 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=4888</guid>
		<description><![CDATA[A new book, an industry survey, and media reports have propelled the age-old topic of market efficiency into the spotlight this month.  ]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/06/18/crowds-may-not-be-so-wise-after-all/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Study hints that alpha may be finite (at least in the short term)</title>
		<link>http://allaboutalpha.com/blog/2009/06/14/study-hints-that-alpha-may-be-finite-at-least-in-the-short-term/</link>
		<comments>http://allaboutalpha.com/blog/2009/06/14/study-hints-that-alpha-may-be-finite-at-least-in-the-short-term/#comments</comments>
		<pubDate>Mon, 15 Jun 2009 00:48:04 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=4832</guid>
		<description><![CDATA[Is it a coincidence that hedge fund returns are exploding right after the biggest culling in the industry's history?]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/06/14/study-hints-that-alpha-may-be-finite-at-least-in-the-short-term/feed/</wfw:commentRss>
		<slash:comments>1</slash:comments>
		</item>
		<item>
		<title>What Now?Active or Passive Management? Examining Real Alpha and Exotic Beta</title>
		<link>http://allaboutalpha.com/blog/2009/04/01/what-now%e2%80%95active-or-passive-management-examining-real-alpha-and-exotic-beta/</link>
		<comments>http://allaboutalpha.com/blog/2009/04/01/what-now%e2%80%95active-or-passive-management-examining-real-alpha-and-exotic-beta/#comments</comments>
		<pubDate>Wed, 01 Apr 2009 14:10:20 +0000</pubDate>
		<dc:creator>Lisa Rivera</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Dossier]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=9132</guid>
		<description><![CDATA[By: Jane Li, CFA, CAIA
Published: April 2009
Introduction: In late 2007, we published Practical Applications of Active and Passive Investment Management: Examining Real Alpha and Exotic Beta. The economic environment has changed dramatically since the last study. The U.S. entered a recession in December 2007 and most major equity indices have lost more than half of [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/04/01/what-now%e2%80%95active-or-passive-management-examining-real-alpha-and-exotic-beta/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Practical Portfolio Optimization</title>
		<link>http://allaboutalpha.com/blog/2009/03/01/practical-portfolio-optimization/</link>
		<comments>http://allaboutalpha.com/blog/2009/03/01/practical-portfolio-optimization/#comments</comments>
		<pubDate>Sun, 01 Mar 2009 16:19:11 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Dossier]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=4830</guid>
		<description><![CDATA[By: K V Fernando (Oxford)
Published: March 2009
Abstract: The selection of assets or equities is not just a problem of finding attractive investments. Designing the correct portfolio of assets cannot be done by human intuition alone and requires modern, powerful and reliable mathematical programs called optimizers. The Numerical Algorithms Group Ltd (NAG) is world renowned for [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/03/01/practical-portfolio-optimization/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Strategic Asset Allocation in Money Management</title>
		<link>http://allaboutalpha.com/blog/2009/02/02/strategic-asset-allocation-in-money-management/</link>
		<comments>http://allaboutalpha.com/blog/2009/02/02/strategic-asset-allocation-in-money-management/#comments</comments>
		<pubDate>Tue, 03 Feb 2009 01:06:10 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Posting Categories]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=4245</guid>
		<description><![CDATA[By: Suleyman Basak (LBS; Centre for Economic Policy Research) and Dmitry Makarov (New Economic School)
Published: February 2009
Abstract: This article analyzes the dynamic portfolio choice implications of strategic interaction among money managers. The strategic interaction emerges as the managers compete for money flows displaying empirically documented convexities. A manager gets money flows increasing with performance, and [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/02/02/strategic-asset-allocation-in-money-management/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>The Gain-Loss Spread: A New and Intuitive Measure of Risk</title>
		<link>http://allaboutalpha.com/blog/2009/01/14/the-gain-loss-spread-a-new-and-intuitive-measure-of-risk/</link>
		<comments>http://allaboutalpha.com/blog/2009/01/14/the-gain-loss-spread-a-new-and-intuitive-measure-of-risk/#comments</comments>
		<pubDate>Thu, 15 Jan 2009 01:17:45 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Hedge Fund Operations and Risk Management]]></category>
		<category><![CDATA[Posting Categories]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=4259</guid>
		<description><![CDATA[By: Javier Estrada (IESE Business School)
Published: January 2009
Abstract: The standard deviation, arguably the most widely-used measure of risk, suffers from at least two limitations. First, the number itself offers little insight; after all, what is the intuition behind the square root of the average quadratic deviation from the arithmetic mean return? Second, investors tend to [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/01/14/the-gain-loss-spread-a-new-and-intuitive-measure-of-risk/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Evaluating Portfolio Value-at-Risk Using Semi-Parametric GARCH Models</title>
		<link>http://allaboutalpha.com/blog/2009/01/14/evaluating-portfolio-value-at-risk-using-semi-parametric-garch-models/</link>
		<comments>http://allaboutalpha.com/blog/2009/01/14/evaluating-portfolio-value-at-risk-using-semi-parametric-garch-models/#comments</comments>
		<pubDate>Thu, 15 Jan 2009 01:04:41 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Hedge Fund Operations and Risk Management]]></category>
		<category><![CDATA[Posting Categories]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=4243</guid>
		<description><![CDATA[By: J.V.K. Rombouts (HEC Montreal) and Marno Verbeek (Erasmus University; Netspar) 
Published: January 2009
Abstract: In this paper we examine the usefulness of multivariate semi-parametric GARCH models for portfolio selection under a Value-at-Risk (VaR) constraint. First, we specify and estimate several alternative multivariate GARCH models for daily returns on the S&#38;P 500 and Nasdaq indexes. Examining [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/01/14/evaluating-portfolio-value-at-risk-using-semi-parametric-garch-models/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Does Size Matter in the Hedge Fund Industry?</title>
		<link>http://allaboutalpha.com/blog/2009/01/14/does-size-matter-in-the-hedge-fund-industry/</link>
		<comments>http://allaboutalpha.com/blog/2009/01/14/does-size-matter-in-the-hedge-fund-industry/#comments</comments>
		<pubDate>Thu, 15 Jan 2009 00:01:11 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Hedge Fund Industry Trends]]></category>
		<category><![CDATA[Posting Categories]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=4195</guid>
		<description><![CDATA[By: Melvyn Teo (Singapore Management University) 
Published: January 2009
Abstract: We document a negative and convex relationship between hedge fund size and future risk-adjusted returns. Small hedge funds outperform large hedge funds by 3.65 percent per year after adjusting for risk. This over performance is not driven by fund age, leverage, serial correlation, or self-selection biases. [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/01/14/does-size-matter-in-the-hedge-fund-industry/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Dynamic Mean-Variance Asset Allocation</title>
		<link>http://allaboutalpha.com/blog/2008/12/01/dynamic-mean-variance-asset-allocation/</link>
		<comments>http://allaboutalpha.com/blog/2008/12/01/dynamic-mean-variance-asset-allocation/#comments</comments>
		<pubDate>Mon, 01 Dec 2008 20:39:23 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Dossier]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=4850</guid>
		<description><![CDATA[By: Suleyman Basak (London Business School and CEPR) and Georgy Chabakauri (London Business School)
Published: December 2008
Abstract: Mean-variance criteria remain prevalent in multi-period problems, and yet not much is known about their dynamically optimal policies. We provide a fully analytical characterization of the optimal dynamic mean-variance portfolios within a general incomplete-market economy, and recover a simple [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/12/01/dynamic-mean-variance-asset-allocation/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>FPGA Acceleration of Mean Variance Framework for Optimal Asset Allocation</title>
		<link>http://allaboutalpha.com/blog/2008/11/16/fpga-acceleration-of-mean-variance-framework-for-optimal-asset-allocation/</link>
		<comments>http://allaboutalpha.com/blog/2008/11/16/fpga-acceleration-of-mean-variance-framework-for-optimal-asset-allocation/#comments</comments>
		<pubDate>Sun, 16 Nov 2008 19:58:56 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Dossier]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=4846</guid>
		<description><![CDATA[By: Ali Irturk, Bridget Benson, Nikolay Laptev and Ryan Kastner (University of California)
Published: November 2008
Abstract: Asset classes respond differently to shifts in financial markets, thus an investor can minimize the risk of loss and maximize return of his portfolio by diversification of assets. Increasing the number of diversified assets in a financial portfolio significantly improves [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/11/16/fpga-acceleration-of-mean-variance-framework-for-optimal-asset-allocation/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Hedge funds not bad at reading tea leaves finds new study</title>
		<link>http://allaboutalpha.com/blog/2008/10/09/hedge-funds-not-bad-at-reading-tea-leaves-finds-new-study/</link>
		<comments>http://allaboutalpha.com/blog/2008/10/09/hedge-funds-not-bad-at-reading-tea-leaves-finds-new-study/#comments</comments>
		<pubDate>Fri, 10 Oct 2008 00:41:03 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=3534</guid>
		<description><![CDATA[Hedge funds have been dropping their net exposure since last summer.  Now a new study finds that changes in hedge fund market betas may actually portend the future.]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/10/09/hedge-funds-not-bad-at-reading-tea-leaves-finds-new-study/feed/</wfw:commentRss>
		<slash:comments>2</slash:comments>
		</item>
		<item>
		<title>Locked Up by a Lockup: Valuing Liquidity as a Real Option</title>
		<link>http://allaboutalpha.com/blog/2008/10/03/locked-up-by-a-lockup-valuing-liquidity-as-a-real-option/</link>
		<comments>http://allaboutalpha.com/blog/2008/10/03/locked-up-by-a-lockup-valuing-liquidity-as-a-real-option/#comments</comments>
		<pubDate>Fri, 03 Oct 2008 17:36:57 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Hedge Fund Industry Trends]]></category>
		<category><![CDATA[Posting Categories]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=3987</guid>
		<description><![CDATA[By: Andrew Ang (NBER) and Nicolas P.B. Bollen (Vanderbilt University)
Published: October 2008
Abstract: Hedge funds often impose lockups and notice periods to limit the ability of investors to withdraw capital. We model the investor&#8217;s decision to withdraw capital as a real option and treat lockups and notice periods as exercise restrictions. Our methodology incorporates time-varying probabilities [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/10/03/locked-up-by-a-lockup-valuing-liquidity-as-a-real-option/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>The Origin of Species</title>
		<link>http://allaboutalpha.com/blog/2008/08/21/the-origin-of-species/</link>
		<comments>http://allaboutalpha.com/blog/2008/08/21/the-origin-of-species/#comments</comments>
		<pubDate>Fri, 22 Aug 2008 02:00:18 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2008/08/21/the-origin-of-species/</guid>
		<description><![CDATA[How can hedge fund anomalies like the one we described yesterday possibly survive?  Have we stumbled on new species of investor?]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/08/21/the-origin-of-species/feed/</wfw:commentRss>
		<slash:comments>1</slash:comments>
		</item>
		<item>
		<title>What&#8217;s behind the drop in mutual fund alpha?</title>
		<link>http://allaboutalpha.com/blog/2008/08/13/are-hedge-funds-to-blame-for-drop-in-mutual-fund-alpha/</link>
		<comments>http://allaboutalpha.com/blog/2008/08/13/are-hedge-funds-to-blame-for-drop-in-mutual-fund-alpha/#comments</comments>
		<pubDate>Thu, 14 Aug 2008 02:00:08 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Guest Posts]]></category>
		<category><![CDATA[Retail Investing]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2008/08/13/are-hedge-funds-to-blame-for-drop-in-mutual-fund-alpha/</guid>
		<description><![CDATA[Like hedge funds, mutual funds are finding true alpha harder to come by.  But you might be surprised to learn who is to blame.]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/08/13/are-hedge-funds-to-blame-for-drop-in-mutual-fund-alpha/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Build-Buy-Lease: Three Approaches to Alpha Generation</title>
		<link>http://allaboutalpha.com/blog/2008/08/03/build-buy-lease-three-approaches-to-alpha-generation/</link>
		<comments>http://allaboutalpha.com/blog/2008/08/03/build-buy-lease-three-approaches-to-alpha-generation/#comments</comments>
		<pubDate>Mon, 04 Aug 2008 02:00:45 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Guest Posts]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2008/08/03/build-buy-lease-three-approaches-to-alpha-generation/</guid>
		<description><![CDATA[If you're a traditional long-only asset manager, one expert has some advice for you. ]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/08/03/build-buy-lease-three-approaches-to-alpha-generation/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Fundamental Value Investors: Characteristics and Performance</title>
		<link>http://allaboutalpha.com/blog/2008/08/01/fundamental-value-investors-characteristics-and-performance/</link>
		<comments>http://allaboutalpha.com/blog/2008/08/01/fundamental-value-investors-characteristics-and-performance/#comments</comments>
		<pubDate>Sat, 02 Aug 2008 00:40:54 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Posting Categories]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=4226</guid>
		<description><![CDATA[By: Wesley R. Gray (University of Chicago) and Andrew E. Kern (University of Missouri)
Published: August 2008
Abstract: We examine novel data on the detailed investment decisions of professional value investors. We find evidence that value investors are not easily defined: they exploit traditional tangible asset valuation discrepancies such as buying high book-to-market stocks, but spend more [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/08/01/fundamental-value-investors-characteristics-and-performance/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>More on Freud and Finance</title>
		<link>http://allaboutalpha.com/blog/2008/07/29/more-on-freud-and-finance/</link>
		<comments>http://allaboutalpha.com/blog/2008/07/29/more-on-freud-and-finance/#comments</comments>
		<pubDate>Wed, 30 Jul 2008 02:01:33 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2008/07/29/more-on-freud-and-finance/</guid>
		<description><![CDATA[Sometimes an alpha symbol is just an alpha symbol.]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/07/29/more-on-freud-and-finance/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>A picture of the &#8220;betafication&#8221; of alpha</title>
		<link>http://allaboutalpha.com/blog/2008/07/29/a-picture-of-the-betafication-of-alpha/</link>
		<comments>http://allaboutalpha.com/blog/2008/07/29/a-picture-of-the-betafication-of-alpha/#comments</comments>
		<pubDate>Wed, 30 Jul 2008 02:00:07 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2008/07/29/a-picture-of-the-betafication-of-alpha/</guid>
		<description><![CDATA[This graphic from a recent Andrew Lo presentation sums it all up.]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/07/29/a-picture-of-the-betafication-of-alpha/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>A Longer Look at the Asymmetric Dependence between Hedge Funds and the Equity Market</title>
		<link>http://allaboutalpha.com/blog/2008/07/25/a-longer-look-at-the-asymmetric-dependence-between-hedge-funds-and-the-equity-market/</link>
		<comments>http://allaboutalpha.com/blog/2008/07/25/a-longer-look-at-the-asymmetric-dependence-between-hedge-funds-and-the-equity-market/#comments</comments>
		<pubDate>Fri, 25 Jul 2008 18:11:19 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Posting Categories]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=4021</guid>
		<description><![CDATA[By: Byoung Uk Kang, Francis Haeuck In, Gunky Kim (Monash University) Tong Suk Kim (Korea Advanced Institute of Science and Technology (KAIST)
Published: July 2008
Abstract: This paper re-examines, at a range of investment horizons, the asymmetric dependence between hedge fund returns and market returns. Given the current availability of hedge fund data, the joint distribution of [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/07/25/a-longer-look-at-the-asymmetric-dependence-between-hedge-funds-and-the-equity-market/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>New study says widely-used models can be particularly misleading in performance evaluation</title>
		<link>http://allaboutalpha.com/blog/2008/07/14/new-study-says-widely-used-models-%e2%80%9ccan-be-particularly-misleading-in-performance-evaluation%e2%80%9d/</link>
		<comments>http://allaboutalpha.com/blog/2008/07/14/new-study-says-widely-used-models-%e2%80%9ccan-be-particularly-misleading-in-performance-evaluation%e2%80%9d/#comments</comments>
		<pubDate>Tue, 15 Jul 2008 02:00:26 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2008/07/14/new-study-says-widely-used-models-%e2%80%9ccan-be-particularly-misleading-in-performance-evaluation%e2%80%9d/</guid>
		<description><![CDATA[A recent study says that widely-used performance measures may not be as good as we all might have thought. ]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/07/14/new-study-says-widely-used-models-%e2%80%9ccan-be-particularly-misleading-in-performance-evaluation%e2%80%9d/feed/</wfw:commentRss>
		<slash:comments>1</slash:comments>
		</item>
		<item>
		<title>Harry Markowitz</title>
		<link>http://allaboutalpha.com/blog/2008/07/14/harry-markowitz/</link>
		<comments>http://allaboutalpha.com/blog/2008/07/14/harry-markowitz/#comments</comments>
		<pubDate>Mon, 14 Jul 2008 23:51:57 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Academic Foundations]]></category>
		<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Hall of Fame]]></category>
		<category><![CDATA[Who's Who]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=2273</guid>
		<description><![CDATA[Harry Markowitz
Formerly at the RAND Corporation, Markowitz won the Nobel Prize in 1990 while a professor of finance at Baruch College of the City University of New York.  Best known for his pioneering work in modern portfolio theory, studying the effects of asset risk, correlation and diversification on expected investment portfolio returns.
Bio (Wikipedia)
Homepage (UCSD)
Research (SSRN)
Nobel [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/07/14/harry-markowitz/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
<enclosure url="http://easylink.ovsmedia.com/onlinevideoservice/clients/afa/Markowitz_Hi.wvx" length="230" type="video/x-ms-wvx" />
		</item>
		<item>
		<title>French fries active management</title>
		<link>http://allaboutalpha.com/blog/2008/06/16/french-fries-active-management/</link>
		<comments>http://allaboutalpha.com/blog/2008/06/16/french-fries-active-management/#comments</comments>
		<pubDate>Tue, 17 Jun 2008 02:00:52 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2008/06/16/french-fries-active-management/</guid>
		<description><![CDATA[Kenneth French, one half of the "Fama &#038; French" duo calls active management "futile" and wonders why institutions haven't thrown in the towel. ]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/06/16/french-fries-active-management/feed/</wfw:commentRss>
		<slash:comments>2</slash:comments>
		</item>
		<item>
		<title>Alternative Viewpoints: Raining on the weather/return correlation parade</title>
		<link>http://allaboutalpha.com/blog/2008/05/29/academic-rains-on-weatherreturn-correlation-parade/</link>
		<comments>http://allaboutalpha.com/blog/2008/05/29/academic-rains-on-weatherreturn-correlation-parade/#comments</comments>
		<pubDate>Fri, 30 May 2008 01:45:06 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAIA Alternative Viewpoints Columns]]></category>
		<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Guest Posts]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2008/05/29/academic-rains-on-weatherreturn-correlation-parade/</guid>
		<description><![CDATA[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.]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/05/29/academic-rains-on-weatherreturn-correlation-parade/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>A &#8220;small-cap bias&#8221; in hedge funds themselves?</title>
		<link>http://allaboutalpha.com/blog/2008/05/21/a-small-cap-bias-in-hedge-funds-themselves/</link>
		<comments>http://allaboutalpha.com/blog/2008/05/21/a-small-cap-bias-in-hedge-funds-themselves/#comments</comments>
		<pubDate>Thu, 22 May 2008 02:34:04 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Hedge Fund Industry Trends]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2008/05/21/a-small-cap-bias-in-hedge-funds-themselves/</guid>
		<description><![CDATA[An analysis of the performance of small, medium and large hedge funds reveals a small-fund advantage that disciples of Fama and French will appreciate.]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/05/21/a-small-cap-bias-in-hedge-funds-themselves/feed/</wfw:commentRss>
		<slash:comments>2</slash:comments>
		</item>
		<item>
		<title>Dynamic Investment Opportunities and the Cross-Section of Hedge Fund Returns: Implications of Higher-Moment Risks for Performance</title>
		<link>http://allaboutalpha.com/blog/2008/05/18/dynamic-investment-opportunities-and-the-cross-section-of-hedge-fund-returns-implications-of-higher-moment-risks-for-performance/</link>
		<comments>http://allaboutalpha.com/blog/2008/05/18/dynamic-investment-opportunities-and-the-cross-section-of-hedge-fund-returns-implications-of-higher-moment-risks-for-performance/#comments</comments>
		<pubDate>Sun, 18 May 2008 10:12:04 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Posting Categories]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=3814</guid>
		<description><![CDATA[By: Vikas Agarwal (Georgia State University), Gurdip Bakshi (University of Maryland) and Joop Huij (Erasmus University Rotterdam)
Published: May 2008
Abstract: This paper examines higher-moment market risks in the cross-section of hedge fund returns to make several contributions. First, it is shown that hedge funds, but not mutual funds, are substantially exposed to volatility, skewness, and kurtosis risks. [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/05/18/dynamic-investment-opportunities-and-the-cross-section-of-hedge-fund-returns-implications-of-higher-moment-risks-for-performance/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Report: &#8220;Exposure yardsticks may provide little insight about a fund&#8217;s alpha potential&#8221;</title>
		<link>http://allaboutalpha.com/blog/2008/05/15/report-exposure-yardsticks-may-provide-little-insight-about-a-fund%e2%80%99s-alpha-potential/</link>
		<comments>http://allaboutalpha.com/blog/2008/05/15/report-exposure-yardsticks-may-provide-little-insight-about-a-fund%e2%80%99s-alpha-potential/#comments</comments>
		<pubDate>Fri, 16 May 2008 02:00:03 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[130/30]]></category>
		<category><![CDATA[CAPM / Alpha Theory]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2008/05/15/report-exposure-yardsticks-may-provide-little-insight-about-a-fund%e2%80%99s-alpha-potential/</guid>
		<description><![CDATA[Simply adding a "short-extension" to a fund doesn't necessarily pave the way for alpha generation says a Morgan Stanley report available here at AAA. ]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/05/15/report-exposure-yardsticks-may-provide-little-insight-about-a-fund%e2%80%99s-alpha-potential/feed/</wfw:commentRss>
		<slash:comments>1</slash:comments>
		</item>
		<item>
		<title>Does &#8220;Sentiment Beta&#8221; beget &#8220;Sentimental Alpha&#8221;?</title>
		<link>http://allaboutalpha.com/blog/2008/05/14/does-sentiment-beta-beget-sentimental-alpha/</link>
		<comments>http://allaboutalpha.com/blog/2008/05/14/does-sentiment-beta-beget-sentimental-alpha/#comments</comments>
		<pubDate>Thu, 15 May 2008 03:26:22 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2008/05/14/does-sentiment-beta-beget-sentimental-alpha/</guid>
		<description><![CDATA[Academics say their "sentiment indexes do, to a large extent, capture a prevailing greed versus fear."]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/05/14/does-sentiment-beta-beget-sentimental-alpha/feed/</wfw:commentRss>
		<slash:comments>1</slash:comments>
		</item>
		<item>
		<title>False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas</title>
		<link>http://allaboutalpha.com/blog/2008/05/13/false-discoveries-in-mutual-fund-performance-measuring-luck-in-estimated-alphas/</link>
		<comments>http://allaboutalpha.com/blog/2008/05/13/false-discoveries-in-mutual-fund-performance-measuring-luck-in-estimated-alphas/#comments</comments>
		<pubDate>Tue, 13 May 2008 19:17:32 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Retail Investing]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=2872</guid>
		<description><![CDATA[By: Laurent Barras (Swiss Finance Institute), O. Scaillet (University of Geneva), Russ Wermers (University of Maryland)
Published: May 2008
Abstract: Prior approaches to identifying skilled funds in a population examine the performance of each fund in isolation, without regard to the role of luck in this multiple fund setting. Our paper develops a new, simple technique to properly account [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/05/13/false-discoveries-in-mutual-fund-performance-measuring-luck-in-estimated-alphas/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Research puts price on hedge fund &#8220;illiquidity premium&#8221;</title>
		<link>http://allaboutalpha.com/blog/2008/05/06/research-puts-price-on-hedge-fund-illiquidity-premium/</link>
		<comments>http://allaboutalpha.com/blog/2008/05/06/research-puts-price-on-hedge-fund-illiquidity-premium/#comments</comments>
		<pubDate>Wed, 07 May 2008 02:00:59 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Guest Posts]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2008/05/06/research-puts-price-on-hedge-fund-illiquidity-premium/</guid>
		<description><![CDATA[Lock-ups, redemption gates, notice periods...liquidity has become a major issue in the hedge fund industry - and a new study now tries to put a price on it.]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/05/06/research-puts-price-on-hedge-fund-illiquidity-premium/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Google, efficient markets and box lunches with Bill Sharpe</title>
		<link>http://allaboutalpha.com/blog/2008/04/09/google-efficient-markets-and-box-lunches-with-bill-sharpe/</link>
		<comments>http://allaboutalpha.com/blog/2008/04/09/google-efficient-markets-and-box-lunches-with-bill-sharpe/#comments</comments>
		<pubDate>Thu, 10 Apr 2008 02:00:58 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2008/04/09/google-efficient-markets-and-box-lunches-with-bill-sharpe/</guid>
		<description><![CDATA[Some of the world's staunchest allies of efficient market theory are actually more open to active management than you might expect.   ]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/04/09/google-efficient-markets-and-box-lunches-with-bill-sharpe/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Skeptics to hedge fund managers: Your alpha has been faked!</title>
		<link>http://allaboutalpha.com/blog/2008/04/03/skeptics-to-hedge-fund-managers-your-alpha-has-been-faked/</link>
		<comments>http://allaboutalpha.com/blog/2008/04/03/skeptics-to-hedge-fund-managers-your-alpha-has-been-faked/#comments</comments>
		<pubDate>Fri, 04 Apr 2008 02:00:22 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Investment Management Fees]]></category>
		<category><![CDATA[Performance, Analytics & Metrics]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2008/04/03/skeptics-to-hedge-fund-managers-your-alpha-has-been-faked/</guid>
		<description><![CDATA[There's a debate brewing in the hedge fund community right now over an academic paper on hedge fund alpha.  Here's what you need to know.]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/04/03/skeptics-to-hedge-fund-managers-your-alpha-has-been-faked/feed/</wfw:commentRss>
		<slash:comments>2</slash:comments>
		</item>
		<item>
		<title>Alternative Viewpoints: Sustainable Hedge Fund Performance</title>
		<link>http://allaboutalpha.com/blog/2008/03/31/alternative-viewpoints-sustainable-hedge-fund-performance/</link>
		<comments>http://allaboutalpha.com/blog/2008/03/31/alternative-viewpoints-sustainable-hedge-fund-performance/#comments</comments>
		<pubDate>Tue, 01 Apr 2008 02:06:51 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAIA Alternative Viewpoints Columns]]></category>
		<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Guest Posts]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2008/03/31/alternative-viewpoints-sustainable-hedge-fund-performance/</guid>
		<description><![CDATA[Identifying persistent returns can be done with the naked eye.  But identifying persistent alpha?  That's a different ball game according one researcher. ]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/03/31/alternative-viewpoints-sustainable-hedge-fund-performance/feed/</wfw:commentRss>
		<slash:comments>2</slash:comments>
		</item>
		<item>
		<title>New Study: No hedge fund bubble&#8230;but a potentially serious capacity constraint</title>
		<link>http://allaboutalpha.com/blog/2008/03/30/new-study-no-hedge-fund-bubblebut-a-potentially-serious-capacity-constraint/</link>
		<comments>http://allaboutalpha.com/blog/2008/03/30/new-study-no-hedge-fund-bubblebut-a-potentially-serious-capacity-constraint/#comments</comments>
		<pubDate>Mon, 31 Mar 2008 02:06:05 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Hedge Fund Industry Trends]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2008/03/30/new-study-no-hedge-fund-bubblebut-a-potentially-serious-capacity-constraint/</guid>
		<description><![CDATA[A new study backs up the notion that hedge fund alpha is decreasing.  But it also explores, for the first time, the possible mechanics behind this phenomenon.  ]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/03/30/new-study-no-hedge-fund-bubblebut-a-potentially-serious-capacity-constraint/feed/</wfw:commentRss>
		<slash:comments>1</slash:comments>
		</item>
		<item>
		<title>The End of (asset management) History?</title>
		<link>http://allaboutalpha.com/blog/2008/03/12/the-end-of-asset-management-history/</link>
		<comments>http://allaboutalpha.com/blog/2008/03/12/the-end-of-asset-management-history/#comments</comments>
		<pubDate>Thu, 13 Mar 2008 00:45:45 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Investment Management Fees]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2008/03/12/the-end-of-asset-management-history/</guid>
		<description><![CDATA[If the history of asset management could be characterized as a struggle between active and passive management, are we nearing the end?]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/03/12/the-end-of-asset-management-history/feed/</wfw:commentRss>
		<slash:comments>3</slash:comments>
		</item>
		<item>
		<title>Alternative Viewpoints: &#8220;Liquidity Insurance&#8221;</title>
		<link>http://allaboutalpha.com/blog/2008/03/03/alternative-viewpoints-liquidity-insurance/</link>
		<comments>http://allaboutalpha.com/blog/2008/03/03/alternative-viewpoints-liquidity-insurance/#comments</comments>
		<pubDate>Tue, 04 Mar 2008 01:25:35 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAIA Alternative Viewpoints Columns]]></category>
		<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Guest Posts]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2008/03/03/alternative-viewpoints-liquidity-insurance/</guid>
		<description><![CDATA[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.]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/03/03/alternative-viewpoints-liquidity-insurance/feed/</wfw:commentRss>
		<slash:comments>6</slash:comments>
		</item>
		<item>
		<title>Hedge Fund Portfolio Selection with Modified Expected Shortfall</title>
		<link>http://allaboutalpha.com/blog/2008/02/29/hedge-fund-portfolio-selection-with-modified-expected-shortfall/</link>
		<comments>http://allaboutalpha.com/blog/2008/02/29/hedge-fund-portfolio-selection-with-modified-expected-shortfall/#comments</comments>
		<pubDate>Sat, 01 Mar 2008 00:07:51 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Posting Categories]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=3797</guid>
		<description><![CDATA[By: Guidance Capital Management
Published: February 2008
Abstract: Modified Value-at-Risk (VaR) and Expected Shortfall (ES) are recently introduced downside risk estimators based on the Cornish-Fisher expansion for assets such as hedge funds whose returns are non-normally distributed. Modified VaR has been widely implemented as a portfolio selection criterion. We are the first to investigate hedge fund portfolio [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/02/29/hedge-fund-portfolio-selection-with-modified-expected-shortfall/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Why the common expression &#8220;all correlations go to one&#8221; may be overstated</title>
		<link>http://allaboutalpha.com/blog/2008/02/28/why-the-common-expression-all-correlations-go-to-one-may-be-overstated/</link>
		<comments>http://allaboutalpha.com/blog/2008/02/28/why-the-common-expression-all-correlations-go-to-one-may-be-overstated/#comments</comments>
		<pubDate>Fri, 29 Feb 2008 01:45:45 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2008/02/28/why-the-common-expression-all-correlations-go-to-one-may-be-overstated/</guid>
		<description><![CDATA[In a January report to clients (available here), Morgan Stanley explores the true implications of the adage "all correlations go to one during times of stress".  ]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/02/28/why-the-common-expression-all-correlations-go-to-one-may-be-overstated/feed/</wfw:commentRss>
		<slash:comments>3</slash:comments>
		</item>
		<item>
		<title>Alpha in Final Four tickets?</title>
		<link>http://allaboutalpha.com/blog/2008/02/17/alpha-in-final-four-tickets/</link>
		<comments>http://allaboutalpha.com/blog/2008/02/17/alpha-in-final-four-tickets/#comments</comments>
		<pubDate>Mon, 18 Feb 2008 01:02:40 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2008/02/17/alpha-in-final-four-tickets/</guid>
		<description><![CDATA[A New York-based start-up is applying sophisticated financial acumen to the opaque world of championship sporting events.  Scalpers are certainly into it.  Will hedge funds be far behind. ]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/02/17/alpha-in-final-four-tickets/feed/</wfw:commentRss>
		<slash:comments>4</slash:comments>
		</item>
		<item>
		<title>Manufacturing Alpha from Beta</title>
		<link>http://allaboutalpha.com/blog/2008/02/16/manufacturing-alpha-from-beta-2/</link>
		<comments>http://allaboutalpha.com/blog/2008/02/16/manufacturing-alpha-from-beta-2/#comments</comments>
		<pubDate>Sun, 17 Feb 2008 00:25:56 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Sponsored Content]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=2554</guid>
		<description><![CDATA[By Tristram Lett, INTEGRA CAPITAL -
The title of this article suggests that alpha can be derived from market timing. In the strict statistical sense, it is not considered a source of alpha, but any investment practitioner knows that, relative to a buy and hold position, being in and out of a particular market in a [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/02/16/manufacturing-alpha-from-beta-2/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Does the &#8220;wisdom of crowds&#8221; produce alpha?</title>
		<link>http://allaboutalpha.com/blog/2008/02/10/does-the-wisdom-of-crowds-produce-alpha/</link>
		<comments>http://allaboutalpha.com/blog/2008/02/10/does-the-wisdom-of-crowds-produce-alpha/#comments</comments>
		<pubDate>Mon, 11 Feb 2008 02:00:10 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2008/02/10/does-the-wisdom-of-crowds-produce-alpha/</guid>
		<description><![CDATA[Last week's O'Reilly Money:Tech conference in New York showed what you get when you mix online "social networking" with stock picking.  But is the result truly alpha? ]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/02/10/does-the-wisdom-of-crowds-produce-alpha/feed/</wfw:commentRss>
		<slash:comments>3</slash:comments>
		</item>
		<item>
		<title>Paper revisits what it means for a manager to be truly &#8220;active&#8221;</title>
		<link>http://allaboutalpha.com/blog/2008/02/05/paper-revisits-what-it-means-for-a-manager-to-be-truly-active/</link>
		<comments>http://allaboutalpha.com/blog/2008/02/05/paper-revisits-what-it-means-for-a-manager-to-be-truly-active/#comments</comments>
		<pubDate>Wed, 06 Feb 2008 01:24:41 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2008/02/05/paper-revisits-what-it-means-for-a-manager-to-be-truly-active/</guid>
		<description><![CDATA[Is your manager a (passive) grasshopper or an (active) ant?  The debate continues about how to best measure manager "activeness".]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/02/05/paper-revisits-what-it-means-for-a-manager-to-be-truly-active/feed/</wfw:commentRss>
		<slash:comments>4</slash:comments>
		</item>
		<item>
		<title>S&amp;P&#8217;s New Dividend Indices: Really alpha or just alternative beta?</title>
		<link>http://allaboutalpha.com/blog/2008/01/30/sps-new-dividend-indices-really-alpha-or-just-alternative-beta/</link>
		<comments>http://allaboutalpha.com/blog/2008/01/30/sps-new-dividend-indices-really-alpha-or-just-alternative-beta/#comments</comments>
		<pubDate>Thu, 31 Jan 2008 02:00:17 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2008/01/30/sps-new-dividend-indices-really-alpha-or-just-alternative-beta/</guid>
		<description><![CDATA[Hot on the heels of its new 130/30 indices, S&#038;P released a new "alpha producing" index last Friday.  But does it really produce alpha?]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/01/30/sps-new-dividend-indices-really-alpha-or-just-alternative-beta/feed/</wfw:commentRss>
		<slash:comments>1</slash:comments>
		</item>
		<item>
		<title>Research finds most equity indices actually contain alpha</title>
		<link>http://allaboutalpha.com/blog/2008/01/28/research-finds-most-equity-indices-actually-contain-alpha/</link>
		<comments>http://allaboutalpha.com/blog/2008/01/28/research-finds-most-equity-indices-actually-contain-alpha/#comments</comments>
		<pubDate>Tue, 29 Jan 2008 02:00:17 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2008/01/27/research-finds-most-equity-indices-actually-contain-alpha/</guid>
		<description><![CDATA[A study of various global equity indices shows that the smaller more "exclusive" ones (like the Dow) depart significantly from the passive "buy and hold ethos" of indexation.]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/01/28/research-finds-most-equity-indices-actually-contain-alpha/feed/</wfw:commentRss>
		<slash:comments>2</slash:comments>
		</item>
		<item>
		<title>Betting on the Super Bowl?  Read this report on &#8220;NFL Alphas&#8221; first.</title>
		<link>http://allaboutalpha.com/blog/2008/01/13/betting-on-the-super-bowl-read-this-report-on-nfl-alphas-first/</link>
		<comments>http://allaboutalpha.com/blog/2008/01/13/betting-on-the-super-bowl-read-this-report-on-nfl-alphas-first/#comments</comments>
		<pubDate>Mon, 14 Jan 2008 01:51:00 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2008/01/13/betting-on-the-super-bowl-read-this-report-on-nfl-alphas-first/</guid>
		<description><![CDATA[A new study suggests that NFL gamblers can develop an unwarranted love affair with last season's "darlings".  So are Las Vegas bookmakers serving up a "free lunch"?]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/01/13/betting-on-the-super-bowl-read-this-report-on-nfl-alphas-first/feed/</wfw:commentRss>
		<slash:comments>2</slash:comments>
		</item>
		<item>
		<title>Bookstaber&#8217;s pre-boarding call for the &#8220;flight to simplicity&#8221;</title>
		<link>http://allaboutalpha.com/blog/2008/01/10/bookstabers-pre-boarding-call-for-the-flight-to-simplicity/</link>
		<comments>http://allaboutalpha.com/blog/2008/01/10/bookstabers-pre-boarding-call-for-the-flight-to-simplicity/#comments</comments>
		<pubDate>Fri, 11 Jan 2008 00:34:04 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Hedge Fund Regulation]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2008/01/10/bookstabers-pre-boarding-call-for-the-flight-to-simplicity/</guid>
		<description><![CDATA[Author Richard Bookstaber says you can't fight complexity with even more complexity.  What is needed, he says, is a "flight to simplicity".  Do they have business class on that plane? ]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/01/10/bookstabers-pre-boarding-call-for-the-flight-to-simplicity/feed/</wfw:commentRss>
		<slash:comments>2</slash:comments>
		</item>
		<item>
		<title>Why Does Hedge Fund Alpha Decrease Over Time? Evidence from Individual Hedge Funds</title>
		<link>http://allaboutalpha.com/blog/2008/01/10/why-does-hedge-fund-alpha-decrease-over-time-evidence-from-individual-hedge-funds/</link>
		<comments>http://allaboutalpha.com/blog/2008/01/10/why-does-hedge-fund-alpha-decrease-over-time-evidence-from-individual-hedge-funds/#comments</comments>
		<pubDate>Thu, 10 Jan 2008 12:49:54 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Posting Categories]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=2721</guid>
		<description><![CDATA[By: Zhaodong Zhong (Penn State University)
Published: January 2008
Abstract: Why has the aggregate level of hedge fund alpha (risk-adjusted return) decreased over the last decade? By studying the distribution of individual hedge fund alphas, we find that the large right tail (funds with positive alphas) that was once present has shrunk over time, while the left [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/01/10/why-does-hedge-fund-alpha-decrease-over-time-evidence-from-individual-hedge-funds/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>&#8220;Homemade Hedge Funds&#8221;: Delicious but deadly?</title>
		<link>http://allaboutalpha.com/blog/2008/01/08/homemade-hedge-funds-delicious-but-deadly/</link>
		<comments>http://allaboutalpha.com/blog/2008/01/08/homemade-hedge-funds-delicious-but-deadly/#comments</comments>
		<pubDate>Wed, 09 Jan 2008 01:00:43 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Alternative Beta & Hedge Fund Replication]]></category>
		<category><![CDATA[CAPM / Alpha Theory]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2008/01/08/homemade-hedge-funds-delicious-but-deadly/</guid>
		<description><![CDATA[There is a lot of talk about how hedge fund returns can be "replicated" using liquid derivatives, swaps, futures, and "exotic beta".  But what about good old-fashioned ETFs?  ]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/01/08/homemade-hedge-funds-delicious-but-deadly/feed/</wfw:commentRss>
		<slash:comments>2</slash:comments>
		</item>
		<item>
		<title>New paper explains &#8220;muted demand&#8221; for portable alpha</title>
		<link>http://allaboutalpha.com/blog/2008/01/03/new-paper-explains-muted-demand-for-portable-alpha/</link>
		<comments>http://allaboutalpha.com/blog/2008/01/03/new-paper-explains-muted-demand-for-portable-alpha/#comments</comments>
		<pubDate>Fri, 04 Jan 2008 01:00:11 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Investment Management Fees]]></category>
		<category><![CDATA[Performance, Analytics & Metrics]]></category>
		<category><![CDATA[Portable Alpha & Alpha/Beta Separation]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2008/01/03/new-paper-explains-muted-demand-for-portable-alpha/</guid>
		<description><![CDATA[When arguments can be made that 130/30 investing and portable alpha are cousins, why then has 130/30 become the cat's meow and portable alpha growth is "muted"?  Two academics have a theory.]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/01/03/new-paper-explains-muted-demand-for-portable-alpha/feed/</wfw:commentRss>
		<slash:comments>1</slash:comments>
		</item>
		<item>
		<title>Do Hedge Funds Arbitrage Market Anomalies?</title>
		<link>http://allaboutalpha.com/blog/2008/01/02/do-hedge-funds-arbitrage-market-anomalies/</link>
		<comments>http://allaboutalpha.com/blog/2008/01/02/do-hedge-funds-arbitrage-market-anomalies/#comments</comments>
		<pubDate>Wed, 02 Jan 2008 14:54:01 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Posting Categories]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=3833</guid>
		<description><![CDATA[By: Dan Lawson and David R. Peterson (Florida State University)
Published: January 2008
Abstract: We investigate whether hedge funds arbitrage market anomalies. We examine a seven-factor model including traditional Fama and French (1993) and Carhart (1997) factors and factors associated with the anomalies of earnings momentum, equity financing, and asset growth rates. We find the average hedge [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/01/02/do-hedge-funds-arbitrage-market-anomalies/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Optimisation of a Fund of Hedge Funds Portfolio Using Price Maximisation of Basket Options</title>
		<link>http://allaboutalpha.com/blog/2008/01/01/optimisation-of-a-fund-of-hedge-funds-portfolio-using-price-maximisation-of-basket-options/</link>
		<comments>http://allaboutalpha.com/blog/2008/01/01/optimisation-of-a-fund-of-hedge-funds-portfolio-using-price-maximisation-of-basket-options/#comments</comments>
		<pubDate>Tue, 01 Jan 2008 20:40:48 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Posting Categories]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=3843</guid>
		<description><![CDATA[By: Abhimanyu Chatterjee (Hermes Pension Fund Management)
Published: January 2008
Abstract: Optimisation in the context of portfolios of stocks and bonds have been researched in detail in extant literature. To cater to the evergrowing world of hedge funds, we develop a alternative method for optimisation of Fund of Hedge Fund portfolios, by replicating payoffs of a basket [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/01/01/optimisation-of-a-fund-of-hedge-funds-portfolio-using-price-maximisation-of-basket-options/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>More on how the ivory towers grow so tall</title>
		<link>http://allaboutalpha.com/blog/2007/12/27/more-on-how-the-ivory-towers-grow-so-tall/</link>
		<comments>http://allaboutalpha.com/blog/2007/12/27/more-on-how-the-ivory-towers-grow-so-tall/#comments</comments>
		<pubDate>Fri, 28 Dec 2007 01:00:10 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Guest Posts]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2007/12/27/more-on-how-the-ivory-towers-grow-so-tall/</guid>
		<description><![CDATA[How exactly to top performing university endowments make all their money?  You may be surprised by what this academic has to say on the issue.]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2007/12/27/more-on-how-the-ivory-towers-grow-so-tall/feed/</wfw:commentRss>
		<slash:comments>1</slash:comments>
		</item>
		<item>
		<title>Ineichen looks back (way back) to see future</title>
		<link>http://allaboutalpha.com/blog/2007/12/26/ineichen-looks-back-way-back-to-see-forward/</link>
		<comments>http://allaboutalpha.com/blog/2007/12/26/ineichen-looks-back-way-back-to-see-forward/#comments</comments>
		<pubDate>Thu, 27 Dec 2007 01:00:10 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2007/12/26/ineichen-looks-back-way-back-to-see-forward/</guid>
		<description><![CDATA[Looking for something a little different to read this holiday season?  UBS's Alexander Ineichen continues to mix history, philosophy, literature and finance and we've got his latest thinking.]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2007/12/26/ineichen-looks-back-way-back-to-see-forward/feed/</wfw:commentRss>
		<slash:comments>1</slash:comments>
		</item>
		<item>
		<title>The expanding (alpha) universe</title>
		<link>http://allaboutalpha.com/blog/2007/12/23/how-big-is-the-alpha-universe-now/</link>
		<comments>http://allaboutalpha.com/blog/2007/12/23/how-big-is-the-alpha-universe-now/#comments</comments>
		<pubDate>Mon, 24 Dec 2007 01:00:05 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2007/12/23/how-big-is-the-alpha-universe-now/</guid>
		<description><![CDATA[With the constant flow of hedge fund industry size estimates, it's easy to wonder if the hedge fund industry is going to hit a ceiling at some point.  We consulted one of the experts to find out.]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2007/12/23/how-big-is-the-alpha-universe-now/feed/</wfw:commentRss>
		<slash:comments>1</slash:comments>
		</item>
		<item>
		<title>Home of original &#8220;black swans&#8221; found to have smallest population of the statistical variety</title>
		<link>http://allaboutalpha.com/blog/2007/12/18/home-of-original-black-swans-found-to-have-smallest-population-of-the-statistical-variety/</link>
		<comments>http://allaboutalpha.com/blog/2007/12/18/home-of-original-black-swans-found-to-have-smallest-population-of-the-statistical-variety/#comments</comments>
		<pubDate>Wed, 19 Dec 2007 01:00:41 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2007/12/18/home-of-original-black-swans-found-to-have-smallest-population-of-the-statistical-variety/</guid>
		<description><![CDATA[New research finds statistical "black swans" - whose namesake is indigenous to Australia - are actually one step away from the endangered species list down under.]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2007/12/18/home-of-original-black-swans-found-to-have-smallest-population-of-the-statistical-variety/feed/</wfw:commentRss>
		<slash:comments>3</slash:comments>
		</item>
		<item>
		<title>Man Group CEO on lock-ups and alpha&#8230;</title>
		<link>http://allaboutalpha.com/blog/2007/12/05/man-group-ceo-on-lock-ups-and-alpha/</link>
		<comments>http://allaboutalpha.com/blog/2007/12/05/man-group-ceo-on-lock-ups-and-alpha/#comments</comments>
		<pubDate>Thu, 06 Dec 2007 04:40:27 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2007/12/05/man-group-ceo-on-lock-ups-and-alpha/</guid>
		<description><![CDATA[The CEO of one of the world's largest hedge fund companies told an audience yesterday that lock-ups lead to higher returns.  Fair enough.  But is it "alpha"? ]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2007/12/05/man-group-ceo-on-lock-ups-and-alpha/feed/</wfw:commentRss>
		<slash:comments>5</slash:comments>
		</item>
		<item>
		<title>Elusive Return Predictability: Discussion</title>
		<link>http://allaboutalpha.com/blog/2007/12/03/elusive-return-predictability-discussion/</link>
		<comments>http://allaboutalpha.com/blog/2007/12/03/elusive-return-predictability-discussion/#comments</comments>
		<pubDate>Mon, 03 Dec 2007 17:38:42 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Performance, Analytics & Metrics]]></category>
		<category><![CDATA[Posting Categories]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=3989</guid>
		<description><![CDATA[By: Stephen J. Brown (NYU)
Published: December 2007
Abstract: Two major conclusions follow from this very careful study. First, sophisticated prediction tools do not fare well relative to naive models predicting return based on past sample means. Second, there appear to be short-lived episodes of quite limited return predictability. These conclusions are consistent with all we know [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2007/12/03/elusive-return-predictability-discussion/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Alternative Viewpoints: &#8220;Liquidity Alpha&#8221;</title>
		<link>http://allaboutalpha.com/blog/2007/11/27/alternative-viewpoints-liquidity-alpha/</link>
		<comments>http://allaboutalpha.com/blog/2007/11/27/alternative-viewpoints-liquidity-alpha/#comments</comments>
		<pubDate>Wed, 28 Nov 2007 01:00:58 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAIA Alternative Viewpoints Columns]]></category>
		<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Guest Posts]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2007/11/27/alternative-viewpoints-liquidity-alpha/</guid>
		<description><![CDATA[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? ]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2007/11/27/alternative-viewpoints-liquidity-alpha/feed/</wfw:commentRss>
		<slash:comments>12</slash:comments>
		</item>
		<item>
		<title>Is there alternative beta in alternative energy?</title>
		<link>http://allaboutalpha.com/blog/2007/11/26/is-there-alternative-beta-in-alternative-energy/</link>
		<comments>http://allaboutalpha.com/blog/2007/11/26/is-there-alternative-beta-in-alternative-energy/#comments</comments>
		<pubDate>Tue, 27 Nov 2007 01:00:23 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2007/11/26/is-there-alternative-beta-in-alternative-energy/</guid>
		<description><![CDATA[Does clean energy produce alpha?  When stacked up against the old-fashioned variety, it doesn't look like it (at least so far).  But is "dirty energy" even an appropriate benchmark?]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2007/11/26/is-there-alternative-beta-in-alternative-energy/feed/</wfw:commentRss>
		<slash:comments>4</slash:comments>
		</item>
		<item>
		<title>Have Hedge Funds Added Value During the Last 24 Months? A Comparison of Italian and European Funds of Hedge Funds</title>
		<link>http://allaboutalpha.com/blog/2007/11/20/have-hedge-funds-added-value-during-the-last-24-months-a-comparison-of-italian-and-european-funds-of-hedge-funds/</link>
		<comments>http://allaboutalpha.com/blog/2007/11/20/have-hedge-funds-added-value-during-the-last-24-months-a-comparison-of-italian-and-european-funds-of-hedge-funds/#comments</comments>
		<pubDate>Tue, 20 Nov 2007 18:01:43 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Hedge Fund Industry Trends]]></category>
		<category><![CDATA[Posting Categories]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=4013</guid>
		<description><![CDATA[By: Ruggero Bertelli (University of Siena)
Published: November 2007
Abstract: This paper studies the Performances of Italian Fund of Hedge Funds (FoHFit), in comparison with those of Italian Funds of Mutual Funds (FoFit) and of a sample of European Funds of Hedge Funds (FoHFeu). The first objective is to build a methodology able to both deal with [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2007/11/20/have-hedge-funds-added-value-during-the-last-24-months-a-comparison-of-italian-and-european-funds-of-hedge-funds/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>&#8220;Chicago Beta&#8221;</title>
		<link>http://allaboutalpha.com/blog/2007/11/06/chicago-beta/</link>
		<comments>http://allaboutalpha.com/blog/2007/11/06/chicago-beta/#comments</comments>
		<pubDate>Wed, 07 Nov 2007 04:24:47 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Hedge Fund Industry Trends]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2007/11/06/chicago-beta/</guid>
		<description><![CDATA[Apparently, there is something in the water in Chicago - and it's not just that disgusting green dye they dump in the river on St. Patrick's Day.]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2007/11/06/chicago-beta/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Hedge Fund Performance Persistence: A Multinomial Approach Application to Asian Hedge Funds</title>
		<link>http://allaboutalpha.com/blog/2007/11/03/hedge-fund-performance-persistence-a-multinomial-approach-application-to-asian-hedge-funds/</link>
		<comments>http://allaboutalpha.com/blog/2007/11/03/hedge-fund-performance-persistence-a-multinomial-approach-application-to-asian-hedge-funds/#comments</comments>
		<pubDate>Sat, 03 Nov 2007 17:55:51 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Posting Categories]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=4005</guid>
		<description><![CDATA[By: Malick O. Sy (RMIT University), Lan T. P. Nguyen, Ming Yu Cheng and Sayed Hossain (Multimedia University)
Published: November 2007
Abstract: In this paper, we study the performance persistence of 206 Asian long/short equity funds that are listed in the EurekaHedge database over two and a half year period, from January 2004 to June 2006. We [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2007/11/03/hedge-fund-performance-persistence-a-multinomial-approach-application-to-asian-hedge-funds/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>&#8220;Shaken, not Stirred,&#8221; analysis of a truly dynamic portfolio strategy</title>
		<link>http://allaboutalpha.com/blog/2007/11/01/shaken-not-stirred-analysis-of-a-truly-dynamic-portfolio-strategy/</link>
		<comments>http://allaboutalpha.com/blog/2007/11/01/shaken-not-stirred-analysis-of-a-truly-dynamic-portfolio-strategy/#comments</comments>
		<pubDate>Thu, 01 Nov 2007 20:32:52 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Institutional Investing]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=4848</guid>
		<description><![CDATA[By: Jürgen Vandenbroucke (KBC Asset Management)
Published: November 2007
Abstract: In this paper, I present an in-depth analysis of a portfolio strategy that dynamically allocates between equity and bonds. Relative performances, volatilities, and correlations determine the allocation decisions. The strategy is shown to have desirable return distribution properties in the short-term, while outperforming a static 50/50 portfolio [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2007/11/01/shaken-not-stirred-analysis-of-a-truly-dynamic-portfolio-strategy/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Black Swans and Market Timing: How Not to Generate Alpha</title>
		<link>http://allaboutalpha.com/blog/2007/11/01/black-swans-and-market-timing-how-not-to-generate-alpha/</link>
		<comments>http://allaboutalpha.com/blog/2007/11/01/black-swans-and-market-timing-how-not-to-generate-alpha/#comments</comments>
		<pubDate>Thu, 01 Nov 2007 17:43:50 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Hedge Fund Operations and Risk Management]]></category>
		<category><![CDATA[Posting Categories]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=2731</guid>
		<description><![CDATA[By: Javier Estrada (IESE Business School)
Published: November 2007
Abstract: Do investors obtain their long term returns smoothly and steadily over time, or is their long term performance largely determined by the return of just a few outliers? How likely are investors to successfully predict the best days to be in and out of the market? The [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2007/11/01/black-swans-and-market-timing-how-not-to-generate-alpha/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Is previous research on hedge fund performance persistence &#8220;biased&#8221;?</title>
		<link>http://allaboutalpha.com/blog/2007/10/28/is-previous-research-on-hedge-fund-performance-persistence-biased/</link>
		<comments>http://allaboutalpha.com/blog/2007/10/28/is-previous-research-on-hedge-fund-performance-persistence-biased/#comments</comments>
		<pubDate>Mon, 29 Oct 2007 01:29:18 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2007/10/28/is-previous-research-on-hedge-fund-performance-persistence-biased/</guid>
		<description><![CDATA[Return "persistence" is a pre-condition for true alpha.  But this new study says hedge fund persistence is actually being measured incorrectly by many.   ]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2007/10/28/is-previous-research-on-hedge-fund-performance-persistence-biased/feed/</wfw:commentRss>
		<slash:comments>1</slash:comments>
		</item>
		<item>
		<title>Q-Group spring 2007 seminar summaries are (almost) all about alpha</title>
		<link>http://allaboutalpha.com/blog/2007/09/25/q-group-spring-2007-seminar-summaries-are-almost-all-about-alpha/</link>
		<comments>http://allaboutalpha.com/blog/2007/09/25/q-group-spring-2007-seminar-summaries-are-almost-all-about-alpha/#comments</comments>
		<pubDate>Tue, 25 Sep 2007 06:44:27 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2007/09/25/q-group-spring-2007-seminar-summaries-are-almost-all-about-alpha/</guid>
		<description><![CDATA[The storied "Q-Group" of quant rocket scientists has recently posted the summary from its spring 2007 meetings.  We find that most of its 17 pages are dedicated to alpha-centric investing.]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2007/09/25/q-group-spring-2007-seminar-summaries-are-almost-all-about-alpha/feed/</wfw:commentRss>
		<slash:comments>2</slash:comments>
<enclosure url="http://easylink.ovsmedia.com/onlinevideoservice/clients/afa/Sharpe_Hi.wvx" length="224" type="video/x-ms-wvx" />
		</item>
		<item>
		<title>Tabb Group wins creative writing award</title>
		<link>http://allaboutalpha.com/blog/2007/09/25/tabb-group-wins-creative-writing-award/</link>
		<comments>http://allaboutalpha.com/blog/2007/09/25/tabb-group-wins-creative-writing-award/#comments</comments>
		<pubDate>Tue, 25 Sep 2007 06:40:51 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2007/09/25/tabb-group-wins-creative-writing-award/</guid>
		<description><![CDATA[Today we are pleased to announce the winner of a new award we just made up for the most colourful executive summary in the history of alpha-centric investing.  This ditty from The Tabb Group, a consulting firm we mentioned yesterday, contains the following great lines:
&#8220;Like a hot knife through butter, or like Moses parting the Red [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2007/09/25/tabb-group-wins-creative-writing-award/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>What August says about market neutral funds: not much</title>
		<link>http://allaboutalpha.com/blog/2007/09/11/what-august-says-about-market-neutral-funds-not-much/</link>
		<comments>http://allaboutalpha.com/blog/2007/09/11/what-august-says-about-market-neutral-funds-not-much/#comments</comments>
		<pubDate>Wed, 12 Sep 2007 02:52:45 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2007/09/11/what-august-says-about-market-neutral-funds-not-much/</guid>
		<description><![CDATA[With the market neutral hedge fund indexes off in August, it's easy to conclude that "market neutral" funds aren't that neutral after all.  But coincident poor performance doesn't say much.]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2007/09/11/what-august-says-about-market-neutral-funds-not-much/feed/</wfw:commentRss>
		<slash:comments>5</slash:comments>
		</item>
		<item>
		<title>Hedge Funds as Shareholder Activists from 1994-2005</title>
		<link>http://allaboutalpha.com/blog/2007/07/31/hedge-funds-as-shareholder-activists-from-1994-2005/</link>
		<comments>http://allaboutalpha.com/blog/2007/07/31/hedge-funds-as-shareholder-activists-from-1994-2005/#comments</comments>
		<pubDate>Tue, 31 Jul 2007 14:47:32 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Posting Categories]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=3829</guid>
		<description><![CDATA[By: Nicole M. Boyson and Robert M. Mooradian (Northeastern University)
Published: July 2007
Abstract: Recently, the mainstream media have paid considerable attention to hedge funds behaving as agents of corporate change. We study this phenomenon using a unique dataset of hedge fund activism for the period 1994-2005, and find strong evidence that hedge fund activists improve both short-term [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2007/07/31/hedge-funds-as-shareholder-activists-from-1994-2005/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>The Altercation over Indexation</title>
		<link>http://allaboutalpha.com/blog/2007/07/26/the-altercation-over-indexation/</link>
		<comments>http://allaboutalpha.com/blog/2007/07/26/the-altercation-over-indexation/#comments</comments>
		<pubDate>Fri, 27 Jul 2007 01:00:01 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2007/07/26/the-altercation-over-indexation/</guid>
		<description><![CDATA[Fundamental Indexing's Rob Arnott went toe-to-toe with Vanguard's Gus Sauter in a recently-released webcast.  Billed as an "Indexation Smackdown", the bout featured plenty of bobbing and weaving.]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2007/07/26/the-altercation-over-indexation/feed/</wfw:commentRss>
		<slash:comments>3</slash:comments>
		</item>
		<item>
		<title>Sell-side not a bunch of snake-oil salesmen after all</title>
		<link>http://allaboutalpha.com/blog/2007/07/11/sell-side-not-a-bunch-of-snake-oil-salesmen-after-all/</link>
		<comments>http://allaboutalpha.com/blog/2007/07/11/sell-side-not-a-bunch-of-snake-oil-salesmen-after-all/#comments</comments>
		<pubDate>Thu, 12 Jul 2007 04:00:12 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2007/07/10/sell-side-not-a-bunch-of-snake-oil-salesmen-after-all/</guid>
		<description><![CDATA[Intuition suggests that sell-side analysts are destined to succomb to the conflicts of interest inherent in their business model.  But a new study suggests the sell-side might not be that bad after all.]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2007/07/11/sell-side-not-a-bunch-of-snake-oil-salesmen-after-all/feed/</wfw:commentRss>
		<slash:comments>1</slash:comments>
		</item>
		<item>
		<title>&#8220;Operational Alpha&#8221;</title>
		<link>http://allaboutalpha.com/blog/2007/06/20/operational-alpha/</link>
		<comments>http://allaboutalpha.com/blog/2007/06/20/operational-alpha/#comments</comments>
		<pubDate>Thu, 21 Jun 2007 01:56:22 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Investment Management Fees]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2007/06/20/operational-alpha/</guid>
		<description><![CDATA[As the hedge fund industry matures, mega-managers are spinning out their back-offices into separate businesses.  And all of a sudden, back-office backwaters are irrigating alpha country. ]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2007/06/20/operational-alpha/feed/</wfw:commentRss>
		<slash:comments>2</slash:comments>
		</item>
		<item>
		<title>The Patent King of Pasadena</title>
		<link>http://allaboutalpha.com/blog/2007/06/17/the-patent-king-of-pasadena/</link>
		<comments>http://allaboutalpha.com/blog/2007/06/17/the-patent-king-of-pasadena/#comments</comments>
		<pubDate>Mon, 18 Jun 2007 03:07:46 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2007/06/17/the-patent-king-of-pasadena/</guid>
		<description><![CDATA[WisdonTree Investments is muscling in on "fundamental indexation" the (patented) territory of Rob Arnott's Research Affiliates.  A closer look at Arnott's patents reveals he is no stranger to the US Patent Office. ]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2007/06/17/the-patent-king-of-pasadena/feed/</wfw:commentRss>
		<slash:comments>1</slash:comments>
		</item>
		<item>
		<title>Celluloid Arb</title>
		<link>http://allaboutalpha.com/blog/2007/06/13/cellulose-arb/</link>
		<comments>http://allaboutalpha.com/blog/2007/06/13/cellulose-arb/#comments</comments>
		<pubDate>Thu, 14 Jun 2007 01:49:16 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2007/06/13/cellulose-arb/</guid>
		<description><![CDATA[The media has fallen for stories involving hedge funds and Hollywood in 2007.  Last week saw another launch of a fund that invests in individual movies.  So how do you calculate the "alpha" of a movie?]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2007/06/13/cellulose-arb/feed/</wfw:commentRss>
		<slash:comments>4</slash:comments>
		</item>
		<item>
		<title>A Richer Paradigm</title>
		<link>http://allaboutalpha.com/blog/2007/06/10/a-richer-paradigm/</link>
		<comments>http://allaboutalpha.com/blog/2007/06/10/a-richer-paradigm/#comments</comments>
		<pubDate>Mon, 11 Jun 2007 03:31:53 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2007/06/10/a-richer-paradigm/</guid>
		<description><![CDATA[Bernstein's "Capital Ideas Evolving" has a lot to say about what some have called "a whole new...richer paradigm" of investing. ]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2007/06/10/a-richer-paradigm/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Porters Five Forces Applied to Hedge Funds</title>
		<link>http://allaboutalpha.com/blog/2007/06/08/porters-five-forces-applied-to-hedge-funds/</link>
		<comments>http://allaboutalpha.com/blog/2007/06/08/porters-five-forces-applied-to-hedge-funds/#comments</comments>
		<pubDate>Fri, 08 Jun 2007 16:30:17 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Hedge Fund Industry Trends]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2007/06/08/porters-five-forces-applied-to-hedge-funds/</guid>
		<description><![CDATA[George Main is one such manager. Fiercely Canadian, he laments the fact that he has rarely made any allocations to Canadian hedge fund managers out of his nearly $2 billion fund of hedge funds at Diversified Global Asset Management (DGAM).
Some of you might recognize George&#8217;s name from his recent stint as one of the speakers [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2007/06/08/porters-five-forces-applied-to-hedge-funds/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>So much for &#8220;double alpha&#8221;</title>
		<link>http://allaboutalpha.com/blog/2007/06/04/so-much-for-double-alpha/</link>
		<comments>http://allaboutalpha.com/blog/2007/06/04/so-much-for-double-alpha/#comments</comments>
		<pubDate>Mon, 04 Jun 2007 23:31:06 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[130/30]]></category>
		<category><![CDATA[CAPM / Alpha Theory]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2007/06/04/so-much-for-double-alpha/</guid>
		<description><![CDATA[Long/short managers often say they produce alpha on the long and short sides of their portfolios.  But in a world where good shorts are getting hard to find, whither "double alpha"?]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2007/06/04/so-much-for-double-alpha/feed/</wfw:commentRss>
		<slash:comments>2</slash:comments>
		</item>
		<item>
		<title>&#8220;Alpha&#8221;: a vexatious lexigraphic obfuscation*</title>
		<link>http://allaboutalpha.com/blog/2007/05/17/alpha-a-vexatious-lexigraphic-obfuscation/</link>
		<comments>http://allaboutalpha.com/blog/2007/05/17/alpha-a-vexatious-lexigraphic-obfuscation/#comments</comments>
		<pubDate>Fri, 18 May 2007 01:33:42 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2007/05/17/alpha-a-vexatious-lexigraphic-obfuscation/</guid>
		<description><![CDATA[The word "alpha" is now used to describe so many different forms of real and imagined out performance.  It's time we came up with some new words.  We've done the Greeks.  How about the Aramaic alphabet?  ]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2007/05/17/alpha-a-vexatious-lexigraphic-obfuscation/feed/</wfw:commentRss>
		<slash:comments>1</slash:comments>
		</item>
		<item>
		<title>Mommy, Where do alphas come from?</title>
		<link>http://allaboutalpha.com/blog/2007/05/15/mommy-where-do-alphas-come-from/</link>
		<comments>http://allaboutalpha.com/blog/2007/05/15/mommy-where-do-alphas-come-from/#comments</comments>
		<pubDate>Wed, 16 May 2007 00:35:38 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Performance, Analytics & Metrics]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2007/05/15/mommy-where-do-alphas-come-from/</guid>
		<description><![CDATA[MIT's Andrew Lo releases a new paper that introduces a new measure of alpha - the "active component".  Lo argues that in truly active funds portfolio weightings are correlated to individual security returns. ]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2007/05/15/mommy-where-do-alphas-come-from/feed/</wfw:commentRss>
		<slash:comments>2</slash:comments>
		</item>
		<item>
		<title>Fundamental indexation comes under renewed attack</title>
		<link>http://allaboutalpha.com/blog/2007/05/07/fundamental-indexation-comes-under-renewed-attack/</link>
		<comments>http://allaboutalpha.com/blog/2007/05/07/fundamental-indexation-comes-under-renewed-attack/#comments</comments>
		<pubDate>Mon, 07 May 2007 22:40:03 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2007/05/07/fundamental-indexation-comes-under-renewed-attack/</guid>
		<description><![CDATA[Rob Arnott isn&#8217;t afraid to go against the grain.  His &#8220;fundamental indexing&#8221; methodology ignores price and value-weighted indices and instead uses fundamental business metrics such as sales and revenue to construct investment benchmarks.  He says this avoids the propensity for indices to overweight temporarily overvalued stocks and underweight temporarily undervalued stocks.
But the idea has always had its [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2007/05/07/fundamental-indexation-comes-under-renewed-attack/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Passive Management: ETF &#8220;dark matter&#8221;</title>
		<link>http://allaboutalpha.com/blog/2007/05/01/passive-management-etf-dark-matter/</link>
		<comments>http://allaboutalpha.com/blog/2007/05/01/passive-management-etf-dark-matter/#comments</comments>
		<pubDate>Tue, 01 May 2007 23:05:52 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2007/05/01/passive-management-etf-dark-matter/</guid>
		<description><![CDATA[So you think ETFs and index funds have grown a lot over he past 15 years?  Check out the growth of harder-to-measure index "dark matter" hidden within all mutual funds.]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2007/05/01/passive-management-etf-dark-matter/feed/</wfw:commentRss>
		<slash:comments>1</slash:comments>
		</item>
		<item>
		<title>Downward-sloping security market line: a sign the end is nigh?</title>
		<link>http://allaboutalpha.com/blog/2007/04/29/downward-sloping-security-market-line-a-sign-the-end-is-nigh/</link>
		<comments>http://allaboutalpha.com/blog/2007/04/29/downward-sloping-security-market-line-a-sign-the-end-is-nigh/#comments</comments>
		<pubDate>Mon, 30 Apr 2007 03:00:46 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2007/04/29/downward-sloping-security-market-line-a-sign-the-end-is-nigh/</guid>
		<description><![CDATA[Here is yet more evidence that high volatility stocks do not necessarily out perform low volatility stocks.  A new research paper by the brainiacs at Dutch institutional investment manager Robeco shows that not only don&#8217;t high-vol stocks outperform low-vol stocks, but they actually underperform them.  You heard right.  The security market line (SML) slopes down, [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2007/04/29/downward-sloping-security-market-line-a-sign-the-end-is-nigh/feed/</wfw:commentRss>
		<slash:comments>2</slash:comments>
		</item>
		<item>
		<title>Hedge Funds &#8220;Handing Alpha&#8221; to long-term investors: UBP</title>
		<link>http://allaboutalpha.com/blog/2007/04/23/hedge-funds-handing-alpha-to-long-term-investors-ubp/</link>
		<comments>http://allaboutalpha.com/blog/2007/04/23/hedge-funds-handing-alpha-to-long-term-investors-ubp/#comments</comments>
		<pubDate>Tue, 24 Apr 2007 01:19:01 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2007/04/23/hedge-funds-handing-alpha-to-long-term-investors-ubp/</guid>
		<description><![CDATA[Tim Price, CIO of Global Strategies at UBP writes this month that hedge fund's obession with short term liquidity spells outsized returns for those with "emotional discipline".]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2007/04/23/hedge-funds-handing-alpha-to-long-term-investors-ubp/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Small Cap Effect: &#8220;It&#8217;s Only a Flesh Wound!&#8221;</title>
		<link>http://allaboutalpha.com/blog/2007/04/18/small-cap-effect-its-only-a-flesh-wound/</link>
		<comments>http://allaboutalpha.com/blog/2007/04/18/small-cap-effect-its-only-a-flesh-wound/#comments</comments>
		<pubDate>Thu, 19 Apr 2007 00:07:12 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2007/04/18/small-cap-effect-its-only-a-flesh-wound/</guid>
		<description><![CDATA[Dresdner Kleinwortâ€™s James Montier levels an attack on Fama &#038; French's alleged small-cap outpeformance - leaving 3F proponents taunting us with cries that â€œitâ€™s only a flesh wound!â€.]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2007/04/18/small-cap-effect-its-only-a-flesh-wound/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>The Value Premium: value pricing, or just a flat tire?</title>
		<link>http://allaboutalpha.com/blog/2007/04/17/the-value-premium-value-pricing-or-just-a-flat-tire/</link>
		<comments>http://allaboutalpha.com/blog/2007/04/17/the-value-premium-value-pricing-or-just-a-flat-tire/#comments</comments>
		<pubDate>Tue, 17 Apr 2007 22:07:23 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2007/04/17/the-value-premium-value-pricing-or-just-a-flat-tire/</guid>
		<description><![CDATA[Researchers say the value factor in the Fama &#038; French model is ill-defined and needs to be split in two, one factor for "structural" value and one for "transitory" value.]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2007/04/17/the-value-premium-value-pricing-or-just-a-flat-tire/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Crystal ball discovered? New model forecasts manager success</title>
		<link>http://allaboutalpha.com/blog/2007/04/15/crystal-ball-discovered-new-model-forecasts-manager-success/</link>
		<comments>http://allaboutalpha.com/blog/2007/04/15/crystal-ball-discovered-new-model-forecasts-manager-success/#comments</comments>
		<pubDate>Sun, 15 Apr 2007 21:26:24 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2007/04/15/crystal-ball-discovered-new-model-forecasts-manager-success/</guid>
		<description><![CDATA[Academics propose a new metric to measure the extent to which a managerâ€™s performance is correlated - not with the markets - but with â€œpublic informationâ€.  ]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2007/04/15/crystal-ball-discovered-new-model-forecasts-manager-success/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Schneeweis on Alpha, the SEC and Hedge Fund Replication</title>
		<link>http://allaboutalpha.com/blog/2007/04/11/schneeweis-on-alpha-the-sec-and-hedge-fund-replication/</link>
		<comments>http://allaboutalpha.com/blog/2007/04/11/schneeweis-on-alpha-the-sec-and-hedge-fund-replication/#comments</comments>
		<pubDate>Wed, 11 Apr 2007 20:55:49 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Alternative Beta & Hedge Fund Replication]]></category>
		<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Hedge Fund Industry Trends]]></category>
		<category><![CDATA[Hedge Fund Regulation]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2007/04/11/schneeweis-on-alpha-the-sec-and-hedge-fund-replication/</guid>
		<description><![CDATA[In this second half of AllAboutAlpha's recent interview with The Editor of the Journal of Alternative Investments, we ask Prof. Schneeweis about Alpha, hedge fund replication and the SEC.]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2007/04/11/schneeweis-on-alpha-the-sec-and-hedge-fund-replication/feed/</wfw:commentRss>
		<slash:comments>2</slash:comments>
		</item>
		<item>
		<title>CAPM&#8217;s problem?  Our quest for &#8220;status&#8221; over &#8220;wealth&#8221;.</title>
		<link>http://allaboutalpha.com/blog/2007/04/06/capms-problem-our-quest-for-status-over-wealth/</link>
		<comments>http://allaboutalpha.com/blog/2007/04/06/capms-problem-our-quest-for-status-over-wealth/#comments</comments>
		<pubDate>Fri, 06 Apr 2007 12:53:25 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2007/04/06/capms-problem-our-quest-for-status-over-wealth/</guid>
		<description><![CDATA[Why do high beta stocks not produce the returns forcasted by the CAPM?  The author of this new paper says it's because we seek not only absolute wealth, but "relative status".]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2007/04/06/capms-problem-our-quest-for-status-over-wealth/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
	</channel>
</rss>
