Browsing: Alpha

Posts Tagged ‘ Alpha ’

Justice Anthony Kennedy and Securities Law

Jul 10th, 2018 | Filed under: Legislation/Court rulings, Newly Added, Regulatory, Regulatory Environment, The A.I. Industry

When Justice Kennedy announced that he is stepping down from the US Supreme Court, the profiles of his time on that bench said a good deal about abortion, homosexual rights, and other hot-button issues, but relatively little about Kennedy’s contribution to securities law. Yet it is worth remembering that heRead More


How Robust is a Smart Beta Strategy?

Oct 15th, 2015 | Filed under: Liquid Alternative Investiments, Other Topics in A.I., Smart Beta

According to one scholarly count, there are no fewer than 314 factors that might be used in selecting a portfolio, each with a positive historical risk premium. A strategy construction could be produced through more-or-less arbitrary fishing in this large pond. Smart beta produced that way might not be smart -- or, at least, not robustly smart.Read More


Signs of a Renaissance in Emerging Manager ‘Alpha’

Oct 2nd, 2014 | Filed under: Alpha Seekers, Alpha Strategies, Hedge Fund Strategies, Institutional Investing, Performance, Analytics & Metrics

Guest columnist Peter Urbani looks at emerging managers and why they may be re-emerging and bringing alpha with them.Read More


Risk Management versus Risk Mitigation & Absolute Return versus Hedge Funds

Jan 31st, 2013 | Filed under: Alpha Strategies, Hedge Fund Industry Trends

Rene Levesque looks at risk management and absolute return from an industry practitioner's point of view.Read More


It isn’t All About Alpha

Jun 10th, 2012 | Filed under: Alpha Strategies

Rene Levesque, Mountjoy Capital, discussing alpha and the traders who generate it.Read More


Alpha Hunters: Looking at Alternative Investments From the Inside Out

Jun 7th, 2012 | Filed under: Alpha Hunters, Alpha Strategies, CTA, Derivatives, Forex, Hedge Fund Industry Trends, Hedge Fund Strategies, Institutional Investing, Private Equity, Real Estate, Venture capital

A deeper look at alternatives with Dr. Bob Swarup, a world-renowned expert and commentator on alternatives and financial markets as well as being a visiting fellow at London School of Economics.Read More


No Federal Prohibition on Stealing Code for Trading Infrastructure

Apr 18th, 2012 | Filed under: Algorithmic and high-frequency trading, Regulatory

Chief Judge Dennis Jacons said that the statutory language refers on the one hand to products that have “already been introduced into [placed in] the stream of commerce” and on the other hand to those that “are still being developed or readied” [produced for] such placement. The words evoke two distinct sets of products with a sequential relationship to one another, which satisfies well-established rules of statutory construction. The district court had upheld the indictment against challenge along these lines, because the district court had construed the language to include the production of anything whose purpose is “to facilitate or engage in such commerce.” The appeals court panel found error here.Read More


A Paradox: Avoid Correlation by Following the Trends

Apr 2nd, 2012 | Filed under: Commodities, CTA, Institutional Investing

According to its advocates, trend following as a strategy works from the premise that price trends represent a process of consensus building. As a new idea takes hold, "the earliest adopters of this idea place their trades in accordance with it" and they get to watch in satisfaction as "a growing mass of market participants adopts the same thesis. Early adopters can surf the wave to the beach.Read More


Axioma to Quants: Beware of Cherry Picking by Optimizers

Mar 15th, 2012 | Filed under: Algorithmic and high-frequency trading

Reliance on optimization tools that in turn rely on standard “user risk factors” will make factor alignment worse, caution three executives of Axioma. An optimizer will cherry pick “the aspects of the model of expected returns that it deems desirable when gauged on the yardstick of marginal contribution to systemic risk.” This amounts to making, and betting on, the erroneous assumption that a lack of correlation with the used risk factors is a lack of systemic risk altogether.Read More


PwC on Public Pension Managers Who ‘Do’ Hedge Funds

Mar 5th, 2012 | Filed under: Alpha Strategies, Fees, Hedge Fund Industry Trends, Hedge Fund Strategies, Institutional Investing

The question in 2012 is not whether hedge funds (and other alternative investment vehicles) can attract pension funds, but how they should go about it. Alternatives managers will benefit most from the heightened interest of pension funds if they address the continuing concerns of their pension fund colleagues. For example, pension fund managers are well aware that investment in exotic and illiquid products is something hedge funds do, and they know that these products can help make a quick exit impossible. Read More


Conviction Versus Clarity—A Difference With a Distinction

Mar 4th, 2012 | Filed under: Hedge Fund Industry Trends

Emerging managers want and need investors and investors reputedly are sitting on cash looking for opportunities. So why aren't the two managing to get together?Read More


Alix Capital: Market Neutral Up, Fixed Income Down

Feb 29th, 2012 | Filed under:

After a survey of recipients of the UCITS Alternative Index, the UAI Industry Survey Q1 2012, Alix Capital reports that majorities expressed satisfaction with the current level of allocation for certain strategies: commodities, emerging markets, forex, and macro global strategies. But there was a lot of interest in increasing allocations to CTAs, equity market neutral, and volatility-based strategies. The strategy that receives the largest negative response (largest intended reduction in portfolio allocation) is fixed income. Read More


The Shifting Hedge Fund Landscape: Operations and Due Diligence

Feb 28th, 2012 | Filed under: Alpha Strategies, Hedge Fund Industry Trends, Institutional Investing

One crucial takeaway from SEI's latest is that "the quality of operations is a major consideration in institutions' screening and evaluation of hedge funds." Eighty percent of respondents agreed with the observation that "operational strength is a hallmark of an institutional-quality hedge fund." One quarter of those say they agree "strongly." Only three percent disagree.Read More


The Volcker Rule: Return of the Fabulous Fab

Feb 20th, 2012 | Filed under: Regulatory

Because of the furor over ABACUS and analogous transactions, the legislative mandate of the Volcker rule came to include a section 619, telling the SEC to ban underwriters or sponsors of asset-backed securities from engaging “in any transaction that would involve or result in any material conflict of interest with respect to any investor in a transaction arising out of such activity.” On Monday, February 13, the final day for comment on the proposed rule, some of the more fascinating comments spoke to this issue. Read More


Video: Erik Knutzen of NEPC Speaks on the Role of Alternatives

Feb 12th, 2012 | Filed under:

From Lynne Feldman, Director of Marketing at the CAIA Association: Introducing CAIA Conversations, a series of interviews with leading alternative investment experts that showcases current viewpoints on the alternative assets covered by the CAIA curriculum. The series launches with Erik L. Knutzen, CAIA, CFA, Chief Investment Officer, NEPC, who commentsRead More


Passivity, Activity, and Alpha in Currency Management

Oct 2nd, 2011 | Filed under: Alpha Strategies, Currencies, Hedge Fund Operations and Risk Management, Hedge Fund Strategies, Performance, Analytics & Metrics

By Christopher Faille Passive and active investments are often contrasted as if the distinction is self-evident. It isn’t. Even for an unambitious long-only equity indexed fund, trades have to be executed in order to maintain the desired balance, and these trades can be executed either well or poorly, in waysRead More