Indexes

GFIA: June is ‘Listless’ for Many Asia Managers

Aug 10th, 2014 | Filed under: Alpha Strategies, Hedge Fund Strategies, Indexes, Today's Post

For many fund managers working in Southeast Asia, and/or China, June 2014 was “listless,” with numbers that suggest a flat tire. The booms on the ASEAN bourses are concentrated where the fund managers aren’t, in “high beta cyclical sectors.”


Traders Sometimes Want Macro-News to Be Free

Jul 9th, 2014 | Filed under: Academic Research, ETFs, Indexes, Today's Post

There exists “robust evidence of informed trading during lockup periods ahead of the Federal Open Market Committee … monetary policy announcements” say three authors. Some agencies can embargo news effectively. The FOMC doesn't seem to be among them.


May Numbers: Long Equity Beats Event-Driven Peers in Asia

Jul 8th, 2014 | Filed under: Alpha Strategies, Emerging markets, Indexes, Today's Post

GFIA says that most of the Asia Pacific managers it tracks generated substantial returns above the relevant index in May 2014. The long-biased firms did best there, their event-driven peers … not so much.


Index Provider Transparency: End Users Unimpressed

May 19th, 2014 | Filed under: Academic Research, Best Practices, Indexes, Today's Post

Europe's index providers, by their own account, already have strong incentives to offer optimal transparency and, in their self-interest, they do so. A survey and report from EDHEC examines this claim.


Chopping Hedge Fund Data and Joining a Choir

May 13th, 2014 | Filed under: Alpha Strategies, Currencies, Indexes, Today's Post

The latest news from Eurekahedge shows a spotty performance for the global hedge fund industry in April, and generally in the year to date. The report also makes a casual remark about low inflation numbers that gives our Christopher Faille an opportunity to grouse about its Keynesian premises.


High-end Luxuries: Word of Mouth vs. Digital Platforms

May 6th, 2014 | Filed under: High-net-worth investors, Indexes, Retail Investing, Timely Research, Today's Post

The Big Items subsector of the luxury industry sells yachts, private jets, etc. Fifty-eight percent of the respondents in this subsector told researchers that they would soon increase their digital footprint as part of a growth strategy.


The Luxury Industry by Continent and Product

Mar 18th, 2014 | Filed under: High-net-worth investors, Indexes, Timely Research, Today's Post

Big Items" luxury is the subsector of the luxury industry that involves the marketing and sale of yachts and private jets. A full 87% of the respondents from that subsector expect growth in revenue this quarter.


Data Delays in Fed Shutdown: On Getting Over It

Oct 7th, 2013 | Filed under: Alpha Seekers, Indexes, Today's Post

I would expect that some numbers-thirsty alpha seekers have suffered a reaction in recent days -- since the budget impasse -- analogous to that of the regular customer of a bottle shop who arrives there at the usual time only to find a "Closed" sign unaccountably still front-and-center.


Axioma on those Low-Vol Picnic Baskets

Jul 25th, 2013 | Filed under: Alpha Strategies, CAPM / Alpha Theory, Indexes, Today's Post

The success of low-volatility strategies has been noted in the literature at least since the mid-1970s, with the publication of a seminal work by Haugen and Heins. And such strategies continue to prove successful today. Why do they still work? Why don't the excess profits draw in the bears, consuming all the picnic baskets, driving profit levels down to normal?


Of Falling Risks and Indexes

May 1st, 2012 | Filed under: Commodities, Indexes, Risk management, Today's Post

Any quantitative strategy is susceptible to being reduced to an index, and along with this, to transparency and routine. Once this happens, that "alpha" becomes "beta," and the 2 + 20 fees are no longer available. A manager in search of alpha will have to move beyond that strategy, peeling away that layer of the onion and going to a deeper, not-yet-indexable, strategy.


ESMA and EDHEC on Indexes and Tracking Errors

Feb 1st, 2012 | Filed under: Alpha Strategies, ETFs, Indexes, Today's Post, UCITS

Since transaction costs and the illiquidity of certain portions of an index make ideal tracking impossible, there will be a difference between the return of a tracking ETF, such as those tracking ETFs that are structured as UCITS in Europe, and the return of the underlying index or benchmark. The European Securities and Markets Authority maintains that investors should be informed of the factors that are likely to affect the size and the volatility of this difference.