Indexes

Headline Factors and Hedge Fund Success

Jun 23rd, 2015 | Filed under: Indexes, Macroeconomics, Performance, Analytics & Metrics, Today's Post

European mandated hedge funds, benefitting from improved expectations regarding that region, are up 5.54% year to date, says Eurekahedge. Wait: improved expectations? Yes, notwithstanding continued Greek drama.


Vindication for Pirrong and Irwin: Why Are Trafigura’s Profits Up?

Jun 22nd, 2015 | Filed under: Commodities, Derivatives, Indexes, Media Coverage of Hedge Funds, Today's Post

Trafigura has done quite well from the decline in crude oil prices in recent months. So well, in fact, as to throw a harsh light on a story that appeared in The New York Times in December 2013.


Mladina on Peeling the Onion: Looking for Idiosyncratic Skill

Jun 21st, 2015 | Filed under: Currencies, Emerging markets, Indexes, Performance, Analytics & Metrics, Today's Post

Factor models will evolve as researchers untangle what value is to be attributed to what factor. Model selection, then, has to remain flexible to keep pace with such research, and must of course remain useful for the investment decision makers.


A New Index: The Eurekahedge 50

Jun 1st, 2015 | Filed under: Alternative Beta & Hedge Fund Replication, Indexes, Liquid Alts, Portable Alpha & Alpha/Beta Separation, Today's Post

It appears likely that the new index, the Eurekahedge 50, as well as the daily tracker index that has been built around it, will have aspirational significance. It is designed to set a bar that will be very difficult for other alpha seekers to clear, yet easy for replicators to follow.


Study: Corporate/Government Cronyism Does Create Alpha

May 3rd, 2015 | Filed under: Academic Research, CAPM / Alpha Theory, Indexes, Today's Post

A new report finds that firms where current public officials are destined to become employees outperform other private firms by 7.43% per year during the three years before the officials/employees pass from one post to the other. The outperformance is highest in the year immediately before the switch, Justas a cynic looking for corrupt quid pro quos would suspect.


Eurekahedge on Asia in March, and on Asia Over the Years

Apr 28th, 2015 | Filed under: Currencies, Emerging markets, Hedge Fund Strategies, Indexes, Performance, Analytics & Metrics, Today's Post

According to Eurekahedge the hedge fund industry globally returned $54.1 billion in performance gains in the first quarter 2015. This is the greatest first-quarter gain since before the global financial crisis.


Griffin, Bernanke, and the Saud family

Apr 27th, 2015 | Filed under: Alpha Hunters, Alpha Strategies, Currencies, Indexes, Macroeconomics, Today's Post

Why has Ken Griffin, the founder of Citadel, hired former Fed Chair Ben Bernanke as a Senior Advisor? This decision represents a surprise given Griffin's views on "quantitative easing," views he forcefully expressed a couple of years ago.


Authorities Offer Revisionism About Flash Crash

Apr 22nd, 2015 | Filed under: Algorithmic and high-frequency trading, Derivatives, Indexes, Today's Post

Authorities now claim that the shenanigans that set off the flash crash of May 2010 were the work of Navinder Singh Sarao. Does this mean Waddell & Reed were unjustly maligned? Almost certainly.


They Do It Right Down Under: Australian Institutional Funds

Apr 14th, 2015 | Filed under: Alpha Hunters, Alpha Seekers, Alpha Strategies, CAPM / Alpha Theory, ETFs, Indexes, Institutional Investing, Today's Post

The hapless U.S. mutual funds Chen and Gallagher sample have a nominally positive pre fee alpha only when measured against CAPM. That disappears into the negatives when the baseline used is the Fama-French model, and deeper into the negatives when the momentum factor is added.


Why Constraints on Hedge Funds Matter

Mar 8th, 2015 | Filed under: Alpha Strategies, Alternative Mutual Funds, Hedge Fund Industry Trends, Hedge Fund Strategies, Indexes, Performance, Analytics & Metrics, Today's Post

Andrew Beer looks at what happens when talented hedge fund managers try and perform within the constraints of the mutual fund structure.


Focus on U.S. Real Estate Benchmarks: NCREIF Transaction Based Index

Feb 20th, 2015 | Filed under: Alpha Hunters, Alpha Strategies, Indexes, Real Estate, Today's Post

By Brad Case, PhD, CFA, CAIA This is the third in a series of articles focusing on the strengths of different indices that are published regularly and may be appropriate for benchmarking, risk assessment, and other real estate investment purposes. The first article focused on two similar index families, the Moody’s/RCA Commercial Property Price Index (CPPI) […]


Eurekahedge Airs Wide Range of Views on Indian Hedge Funds

Feb 16th, 2015 | Filed under: Alpha Seekers, Alpha Strategies, Emerging markets, Indexes, Today's Post

A new report from Eurekahedge tries to go beyond some obvious observations about the performance of hedge funds there in 2014, or about the performance of that country's broad economy last year. Eurekahedge talked to seven experts in the field. They took quite different views on the most basic of questions. So different that a contrarian would have a tough time finding the consensus to counter.


The Danger of Indices

Feb 1st, 2015 | Filed under: Indexes, Performance, Analytics & Metrics, Today's Post

A useful benchmark or a dangerous prop? Guest columnist Andrew Beer looks at the hidden dangers in indices.


Low Energy Prices: Crude and Refined Consequences

Jan 21st, 2015 | Filed under: Currencies, Hedge Fund Industry Trends, Hedge Fund Strategies, Indexes, Today's Post

Eurekahedge tells us that hedge funds were in the black 4.57% in 2014. That's hardly cause for celebration, since the MSCI World Index returned 6.79% over the same year. But all eyes now turn to the still-sliding price of oil.


Low-Vol Anomaly Provokes Reflections on an Old Adage

Jan 11th, 2015 | Filed under: CAPM / Alpha Theory, Indexes, Risk management, Today's Post

A new paper by Eric Falkenstein discusses an old question: the reason for the high risk-adjusted return in low-risk equities, and the adjustments it requires in CAPM. This is no fleeting oddity, but a lasting characteristic of markets. In econo-speak, not only the existence but the persistence of the anomaly requires explanation.


New Greek Political Crisis Looks Like the Old Greek Crises

Jan 7th, 2015 | Filed under: Alpha Strategies, Currencies, Indexes, Today's Post

The newly called snap elections in Greece will serve as a contest between pro-austerity and anti-austerity forces. Anti-austerity means abandoning the bail-out deal, and that position now seems the likely victor.


Focus on U.S. Real Estate Benchmarks: NCREIF Property Index

Jan 4th, 2015 | Filed under: Alpha Hunters, Alpha Strategies, Indexes, Real Estate, Today's Post

Brad Case, Ph.D., CFA, CAIA, guest columnist, continues his series on U.S. real estate benchmarks as he looks at the NCREIF Property Index.


The Top 0.004%: The Wealth-X Report

Nov 24th, 2014 | Filed under: High-net-worth investors, Indexes, Timely Research, Today's Post

A report focuses on the life and spending habits of the 211,275 wealthiest individuals on the planet, and their network of family and friends.


Hedge Funds: Good Run for India, but Troubles in Brazil

Oct 21st, 2014 | Filed under: Emerging markets, Indexes, Performance, Analytics & Metrics, Today's Post

India accounts for much of the positive showing of Asia ex-Japan in the hedge fund world YTD. That positive showing, in turn, may be attracting asset flow.


The Bubble This Time: Oil & Gas Energy Stocks?

Oct 15th, 2014 | Filed under: Commodities, Energy, Indexes, Today's Post

If we look for the recent peak in Dow Jones U.S. oil & gas stocks we’ll look to the start of the summer. In June of this year the energy sector got above $850. The fall from that height puts the size of our correction in the neighborhood of 16%. It is possible these stocks are leading the rest of the market down.


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.