Browsing: alternative investments

Posts Tagged ‘ alternative investments ’

Postcards from the Edge

Aug 5th, 2019 | Filed under: Newly Added, What about beta?, Private Equity, Regulatory Environment, Hedge Funds, Alternative Investments in Context, Private Investments

By Bill Kelly, CEO, CAIA Association As the calendar turns to August we are in the waning weeks of summer in the northern hemisphere. Perhaps it is a good time to turn to the mailbag to see who has been doing what in this halcyon season… From Jerome in DC Read More


Ramping Up a PE Allocation Over Time

Jul 21st, 2019 | Filed under: Newly Added, Private Equity, The A.I. Industry, Debt Types of Private Equity, Risk management, Equity Types of Private Equity, Private Investments, Risk Management Strategies & Processes

Many investors with long horizons are increasing their allocation to private equity funds: to extract the gains from managerial skill in that field, to reap the illiquidity premium, and simply to diversify. TIAA Endowment & Philanthropic Services has put out a paper on the creation and maintenance of a privateRead More


Restrictions on Pension Plan Investments: A Global Survey

Jul 16th, 2019 | Filed under: Newly Added, Derivatives, The A.I. Industry, Institutional Investing, Hedge Funds, Commodities, Institutional Asset Management, Structured Products, Allocating to A.I.

A new report from the Organization for Economic Cooperation and Development surveys the main quantitative investment restrictions to which pension funds and other pension providers are subject in both OECD countries and a selection of International Organization of Pension Supervisors’ (IOPS) member countries. It reminds us of the general desireRead More


Tick Size and High-Frequency Trading

Jul 15th, 2019 | Filed under: Newly Added, Algorithmic and high-frequency trading, The A.I. Industry, Business News

A lot of hopes have been placed on changes in market tick sizes. In the 1990s there was a big push to reduce the tick sizes of securities, allowing them to get down to one cent or fractions thereof. In the new millennium came a sense of regret. Observers suspectedRead More


The Audacity of Opacity

Jul 15th, 2019 | Filed under: Newly Added, What about beta?, Consultants, Media Coverage of Hedge Funds, Private Equity, Industry Size & Managers, Asset Managers, Institutional Investing, Hedge Funds, High-net-worth investors, Alternative Investments in Context, Endowments & Foundations, Institutional Asset Management, Private Investments, Family Offices, Allocating to A.I.

By Bill Kelly, CEO, CAIA Association Why are we still talking about this? No, it’s not the central bankers and their insatiable easing tendencies, trade wars with China, or even the Women’s World Cup football match (sorry Netherlands!). These stories all make great headlines, drive news ratings, generate tickertape parades,Read More


SOS

Jul 1st, 2019 | Filed under: Newly Added, What about beta?, Retail Investing, Institutional Investing, Asset allocation, Asset Allocation Models, Alternative Investments in Context, Institutional Asset Management, Allocating to A.I., Other Topics in A.I.

By Bill Kelly, CEO, CAIA Association Ask someone of a certain generation to name the most common worldwide distress signal, and they will likely come back with SOS. No surprise then that this same signal, borne from the Morse code, turns 111 years old on this date in history. MostRead More


Mind the Gap: The Unforeseen Consequences of Smart Beta

Jun 27th, 2019 | Filed under: Newly Added, Retail Investing, The A.I. Industry, Alpha & Beta, Liquid Alternative Investiments, Hedge Funds, Liquid Alts, ETFs, Smart Beta, Other Topics in A.I.

A new paper by Sean Markowicz, a strategist at Schroders, looks into the possibility that fund flows into the assets generically called smart beta are having detrimental consequences for the financial system. It also sheds some light on investors’ bad timing regarding ETFs. The assets at issue are, according toRead More


Public to Private LBOs and Innovation

May 21st, 2019 | Filed under: Newly Added, Private Equity, The A.I. Industry, Debt Types of Private Equity, Regulatory Environment, Equity Types of Private Equity, Other Issues in Private Investments, Private Investments

A new study considers the proposition that indebtedness can reduce innovation. It offers support for the view that indebtedness in a particular context reduces patent flow. But whether patent flow should be considered a good surrogate for innovation remains open to question. An argument that has long been aimed atRead More


HEDGE FUND ETFS: BETTER THAN THE ORIGINALS

May 12th, 2019 | Filed under: Newly Added, Hedge Fund Industry Trends, Retail Investing, Hedge Fund Strategies, The A.I. Industry, Equity Hedge Funds, Hedge Funds, Event-Driven Hedge Funds, Alternative Investments in Context, ETFs, Macro and Managed Futures Funds, Relative Value Hedge Funds, Allocating to A.I.

By Nicolas Rabener of FactorResearch (@FactorResearch) INTRODUCTION As Amazon has been decimating large parts of the retail industry over the last two decades, ETFs have done the equivalent to the mutual fund industry in the financial world. Today ETFs are covering nearly all areas of the markets, no matter howRead More


‘There You Go Again’

May 6th, 2019 | Filed under: Newly Added, What about beta?, Private Equity, Debt Types of Private Equity, Hedge Funds, Equity Types of Private Equity, Other Issues in Private Investments, Alternative Investments in Context, Private Investments

By Bill Kelly, CEO, CAIA Association This now famous line was uttered by then citizen Ronald Reagan almost 40 years ago in a presidential debate with the incumbent Jimmy Carter. It was a simple and clever turn of a phrase acting as a counter-punch to Carter’s excoriation of Reagan’s priorRead More


Price Discovery in the Bitcoin Markets

Apr 30th, 2019 | Filed under: Newly Added, The A.I. Industry, Emerging Alternative Investments, The Global Economy & Currencies, Digital currencies, Frontier markets, Other Topics in A.I.

Tatja Karkkainen, a scholar on financial technology who is pursuing a PhD at the University of Glasgow, has written an illuminating paper on price discovery in the bitcoin markets. She begins with the observation that CBOE and CME introduced bitcoin futures in December 2017, “as the first institutional standard cryptocurrencyRead More


State of the European Union: Alternative Lending

Apr 25th, 2019 | Filed under: Newly Added, The A.I. Industry, Debt Types of Private Equity, Hedge Funds, Other Issues in Private Investments, Private Investments

The state of alternative lending and pertinent regulation within the European Union is the topic of a new white paper co-authored by Allen & Overy, the multinational law firm, and the Alternative Credit Council (an affiliate of AIMA). The paper begins with the observation that over the last four yearsRead More


McKinsey on Mainstream Private Markets

Apr 22nd, 2019 | Filed under: Newly Added, Private Equity, The A.I. Industry, Debt Types of Private Equity, Equity Types of Private Equity, Alternative Investments in Context, Private Investments

The 2019 edition of McKinsey’s annual review of private investment markets is now available. One of the themes of the new edition is that private markets have gone mainstream. Since 2002, private equity’s net asset value has grown twice as fast as global public equities. Looking at that growth fromRead More


Earth to Kerth… It’s Our Day 

Apr 22nd, 2019 | Filed under: Newly Added, What about beta?, Socially responsible investing, Emerging Alternative Investments, Alternative energy, Climate change, SRI and Clean Energy, Other Topics in A.I.

By Bill Kelly, CEO, CAIA Association The Urban Dictionary turned 20 years old last month. If staying power means anything, perhaps it is time to use it as a citable source for modern day lexicon of words like Kerth. It seems Kerth is a name for someone who connotes sweetness, politeness,Read More


REPLICATING FAMOUS HEDGE FUNDS

Apr 21st, 2019 | Filed under: Newly Added, Hedge Fund Strategies, The A.I. Industry, Alternative Beta & Hedge Fund Replication, Hedge Funds

By Nicolas Rabener @Factor Research INTRODUCTION In 1973, the U.S. Food and Drug Administration (FDA) published the first regulations that required the nutrition labeling of certain foods as consumers were left in the dark about what they were eating. The regulations evolved and culminated in the widely-recognized nutrition facts panelRead More


The Illiquidity Premium and the Market for Private Assets

Apr 14th, 2019 | Filed under: Newly Added, Real Estate, Private Equity, The A.I. Industry, Debt Types of Private Equity, Liquid and Fixed Income Real Estate, Asset allocation, Equity Types of Private Equity, Asset Allocation Models, Other Issues in Private Investments, Operationally Intensive Real Assets, Private Investments, Real Estate Equity Investments, Real Assets, Finance & Economics

The illiquidity premium is one of the most frequently discussed and hotly disputed subjects in financial economics. Speaking broadly, an investment is not a checking account. One generally cannot just “get the cash back” at a moment’s notice, by visiting some equivalent of an ATM. How long will it takeRead More


Let WSYD Be Your Guide 

Apr 8th, 2019 | Filed under: Newly Added, What about beta?, Hedge Funds, Alternative Investments in Context, Allocating to A.I.

By Bill Kelly, CEO, CAIA Association WWJD has been a motto for certain holy rollers who ask, ‘What Would Jesus Do?’ in any variety of situations. Perhaps this phrase is meant to serve as an ethical guide or a touchstone back to someone who might just know what is right more than you do. ThisRead More


High-Frequency-Trading Firms: Fast, Faster, Fastest

Apr 2nd, 2019 | Filed under: Newly Added, Hedge Fund Industry Trends, Algorithmic and high-frequency trading, Hedge Fund Strategies, The A.I. Industry, Equity Hedge Funds, Hedge Funds, Business News

Many high-frequency trading (HFT) firms have disappeared into larger firms as merger activity has increased recently. Those acquired include Chopper, Infinium, Teza, RGM Advisors, and Sun Trading. It also includes Getco, the Chicago-based firm founded in 1999 by two former floor traders that almost defined the field for some time.Read More


Alternative Real Estate Shows Attractively

Mar 28th, 2019 | Filed under: Newly Added, Real Estate, The A.I. Industry, Liquid and Fixed Income Real Estate, Operationally Intensive Real Assets, Real Estate Equity Investments, Real Assets

PricewaterhouseCoopers, the London-based professional services network, in conjunction with the Urban Land Institute, has prepared a report on ongoing trends in real estate, which sheds some light on the attractions of alternative real estate. The background to the report is the continued and intensifying consensus that a recession is nigh,Read More


Eurekahedge: Light at the End of Trade-War Tunnel?

Mar 25th, 2019 | Filed under: Newly Added, Hedge Fund Industry Trends, Hedge Fund Strategies, The A.I. Industry, Equity Hedge Funds, Indexes, Hedge Funds, Event-Driven Hedge Funds

During the Vietnam War era, the metaphor of “light at the end of a tunnel” expressed American optimism under stress, The image was supposed to convey the idea that the US and its local allies could eventually attain a favorable peace in that country if only they persevered—that the lightRead More


Oak-and-Tree and Larry Grows… 

Mar 25th, 2019 | Filed under: Newly Added, What about beta?, Risk management, Risk Management Strategies & Processes, Allocating to A.I.

By Bill Kelly, CEO, CAIA Association The adaptation to this week’s title harkens back to late 19th century Scotland where this was a play song more popularly known as “Oats and Beans and Barley Grow.” It was a song of action in a time and a place—where most of the wakingRead More


Algorithms Moving into the Bond Markets

Mar 17th, 2019 | Filed under: Newly Added, Algorithmic and high-frequency trading, The A.I. Industry, Risk management, Risk Metrics and Measurement, Risk Management Strategies & Processes

Algorithmic trading may fairly be said to have conquered the public equities world, although there are still pockets of resistance and related controversies. The robots have now turned their attention to the bond markets. Bond markets are different from stock markets in a lot of ways, and many of theseRead More


Hedge Funds: Observing the Unobserved Performance

Mar 14th, 2019 | Filed under: Newly Added, Hedge Fund Industry Trends, Performance, Analytics & Metrics, Hedge Fund Strategies, The A.I. Industry, Alpha & Beta, Benchmarking & Performance Attribution, Hedge Funds, Structure of the Hedge Funds Industry

Two different strands of scholarly research into hedge fund performance produce markedly different conclusions. There is the returns-based approach, which finds that the average hedge fund manager does better than the market portfolio, net of fees. But there is also a holdings-based approach, which looks at the performance of theRead More


Private Equity: The Power of Buy-and-Build

Mar 12th, 2019 | Filed under: Newly Added, Private Equity, The A.I. Industry, Equity Types of Private Equity, Private Investments

Bain & Co., the Boston-based consultancy, has put out its annual report on the global private equity industry. This report begins with the observation that over the last five years PE returns “have slowly declined toward public market averages.” It attributes this to a convergence of factors, including high assetRead More


Dry, Drier, Driest 

Mar 11th, 2019 | Filed under: Newly Added, What about beta?, Other Issues in Private Investments, Private Investments

By Bill Kelly, CEO, CAIA Association When it comes to dryness there are degrees of gradation, especially when it comes to the most discriminating tastes amongst us. Whether we are talking martinis, snow, or our skin, dry doesn’t always mean dry. We slake, salve, or schuss our way through, alwaysRead More


World Currency: Who Needs a Numeraire?

Mar 10th, 2019 | Filed under: Newly Added, Currencies, The A.I. Industry, Forex, The Global Economy & Currencies, Finance & Economics

One startling fact about the new book, How Global Currencies Work: Past Present and Future, is to be found in the index. One would normally expect, from a title and subtitle like that, that there would be a lot of pages enumerated at the index heading “Bretton Woods.” After all,Read More


Pension Funds Not Quite Swamped by ‘Grey Tsunami’

Mar 5th, 2019 | Filed under: Newly Added, Real Estate, Private Equity, Hedge Fund Strategies, Infrastructure, The A.I. Industry, Equity Hedge Funds, Debt Types of Private Equity, Institutional Investing, Asset allocation, Hedge Funds, Event-Driven Hedge Funds, Equity Types of Private Equity, Natural Resources and Land, Asset Allocation Models, Commodities, Operationally Intensive Real Assets, Institutional Asset Management, Macro and Managed Futures Funds, Private Investments, Real Estate Equity Investments, Real Assets, Allocating to A.I.

A recent study of public employee retirement systems in the United States reaches conclusions, that, after a fair amount of “grey tsunami” alarmism in recent years, sound reassuring. The study, based on a recent survey of system managements conducted by the National Conference of Public Employee Retirement Systems (NCPERS) inRead More


Hedge Funds Stronger in January, Thanks to The Fed

Mar 3rd, 2019 | Filed under: Newly Added, Hedge Fund Industry Trends, Performance, Analytics & Metrics, Hedge Fund Strategies, CTA, The A.I. Industry, Industry Size & Managers, Equity Hedge Funds, Benchmarking & Performance Attribution, Hedge Funds, Event-Driven Hedge Funds, Funds of Hedge Funds, Macro and Managed Futures Funds, Relative Value Hedge Funds

Risk-on sentiment returned in January, with good news on trade talks and with the Federal Reserve in the United States putting some distance between itself and its 2018 hard-money stance (the Fed started saying in January that it would be “patient” about selling off-balance sheet assets). Globally, hedge funds grewRead More


Defined Contribution Schemes in Britain: Encouraging a Broader Portfolio

Feb 28th, 2019 | Filed under: Newly Added, Consultants, Private Equity, The A.I. Industry, Institutional Investing, Alpha Strategies, Hedge Funds, Equity Types of Private Equity, Institutional Asset Management, Private Investments, Allocating to A.I.

Britain’s All-Party Parliamentary Group on Alternative Investment Management has published a paper on the country’s pensions. It’s focus is defined contribution schemes especially and the demographic strain they face, and the prospect of their moving more heavily into alternative assets and strategies in response. Defined benefit schemes “have some freedomRead More


Waiting for Godot

Feb 25th, 2019 | Filed under: Newly Added, What about beta?, Consultants, Institutional Investing, Asset allocation, Asset Allocation Models, Institutional Asset Management, Allocating to A.I.

By Bill Kelly, CEO, CAIA Association Waiting for Godot is a tragic comedy play by Samuel Beckett which first premiered on stage in Paris in 1953. There is only one scene and two primary characters who seem to know that they must wait for someone named Godot. They don’t knowRead More


Alpha: The Rise of the Middle Class in Emerging Markets

Feb 21st, 2019 | Filed under: Newly Added, The A.I. Industry, Investing in Commodities, Financial Economics Theory, The Global Economy & Currencies, Emerging markets, Commodities, Finance & Economics

A new paper from State Street Global Advisors takes a sociological approach to the search for alpha in emerging market nations. It contends that the “major theme for growth” in the emerging markets moving forward will be “based on the rise of the middle class and rising consumption in theseRead More


Steps to Attain Sustainable Development Goals

Feb 19th, 2019 | Filed under: Newly Added, Social investing, The A.I. Industry, Institutional Investing, Socially responsible investing, Other Issues in Private Investments, Climate change, Institutional Asset Management, Private Investments, SRI and Clean Energy

Amber Fairbanks, a portfolio manager at Mirova, a division of Natixis, recently talked to Clarice Avery, a Natixis investment strategist on Asset TV about potential long-term investment opportunity in the ESG space. She described ESG as a way in which investors can benefit from long-term secular trends rather than tryingRead More


M&A Deal-Flow Faltering & Brexit is One Culprit

Feb 17th, 2019 | Filed under: Newly Added, Private Equity, Hedge Fund Strategies, The A.I. Industry, Hedge Funds, Event-Driven Hedge Funds, Equity Types of Private Equity, Private Investments

The latest Intralinks Deal Flow Predictor says that the current M&A upcycle, which this report describes as having begun in 2014, is about to peak. There will still be some short-term upward movement, especially given the existence of a lot of private equity fund “dry powder,” from recent successful fundraising.Read More


A Proposed Model for VIX Derivatives Pricing

Feb 14th, 2019 | Filed under: Newly Added, Derivatives, The A.I. Industry, Commodities, Structured Products

The VIX may be about to get some competition. VIX is the “fear gauge,” the very visible measure of expected price fluctuations in the S&P 500 index options. On the foundation of its popularity, CBOE has built a monopoly on exchange-traded volatility products. VIX derivatives have become among the mostRead More


Can LIBOR Be Replaced?

Feb 12th, 2019 | Filed under: Newly Added, Derivatives, The A.I. Industry, Credit Derivatives, Economics, Macroeconomics, Structured Products, Finance & Economics

Given a long wave of scandals that lasted from 2008 until 2012, most of the derivatives industry, and most of its regulators, have agreed that the London Interbank Offered rate [Libor] ought to be replaced by a more tamper-resistant mechanism. Surely there must be an index that will measure theRead More


The Survey Says… 

Feb 11th, 2019 | Filed under: Newly Added, What about beta?, Consultants, Hedge Fund Strategies, Institutional Investing, Hedge Funds, Asset Allocation Models, Alternative Investments in Context, Institutional Asset Management, Private Investments, Allocating to A.I.

By Bill Kelly, CEO, CAIA Association Earlier this year, we surveyed the CAIA Association Membership to ascertain their views on investment-related topics as we step into 2019. We had well over 1,000 responses which, according to the statisticians, puts us in the 95% confidence interval, plus or minus 3%. The respondents’ geographic breakdown tracked the home region of our broader Member base, andRead More


Women in Alternative Investments: ‘Leveraging Diverse Perspectives’

Feb 10th, 2019 | Filed under: Newly Added, Private Equity, The A.I. Industry, Institutional Investing, Venture capital, Hedge Funds, Institutional Asset Management, Private Investments

“With change happening at an unprecedented pace, it is fitting that alternative investment firms are strategically focused on leveraging diverse perspectives in these disruptive times,” says KPMG Chairman and CEO Lynne Doughtie, “The Call to Act,” a new paper that looks at the roles of women in the alternative investmentRead More


Finance Lessons from the Aftermath of Sherman’s March

Feb 7th, 2019 | Filed under: Newly Added, Private Equity, The A.I. Industry, Debt Types of Private Equity, Private Investments

In the closing months of 1864, General William Tecumseh Sherman and his army marched notoriously “to the sea,” from Atlanta to Savannah. In the opening weeks of 1865, Sherman followed this up with his “Carolinas campaign,” again working to destroy the productive infrastructure, in a path that took him toRead More


Smart Beta and Tail Events

Feb 5th, 2019 | Filed under: Newly Added, The A.I. Industry, Financial Economics Theory, Liquid Alternative Investiments, Business News, Smart Beta, Finance & Economics, Other Topics in A.I.

A sound “portfolio optimization strategy” is one that takes into consideration how its assets are behaving in the bad times, those that represent the left-side tail of the bell curve. This is not all that novel an idea, but Maria Kartsakli and Felix Schlumpf, Zurich Insurance Company executives, give itRead More


Modeling the Volatility of Crypto Exchange Rates

Jan 31st, 2019 | Filed under: Newly Added, The A.I. Industry, Regulatory Environment, Emerging Alternative Investments, Digital currencies, Risk Metrics and Measurement, Risk Management & Operations, Other Topics in A.I.

GARCH (Generalized Autoregressive Conditional Heteroskedasticity) models are very useful for estimating the volatility for a lot of more traditional assets (stocks and bonds) and their indices, which is why they’ve been around since the 1980s. But when they’re used for Bitcoin, Ethereum, Ripple, and Litecoin they yield incorrect predictions forRead More


How Public Pension Funds are Subsidizing Infrastructure

Jan 29th, 2019 | Filed under: Newly Added, Infrastructure, The A.I. Industry, Institutional Investing, Socially responsible investing, Alternative energy, Operationally Intensive Real Assets, Institutional Asset Management, Frontier markets, Real Assets, SRI and Clean Energy

Public pension funds in the United States invest in infrastructure. Unfortunately, they aren’t very good at it. A recent working paper of the NBER concludes, indeed, that public pensions are so bad at such investments that they—and thus either the public or its retirees or both—are unwittingly subsidizing infrastructure projects.Read More


Next Stop, The Opportunity Zone

Jan 28th, 2019 | Filed under: Newly Added, What about beta?, Qualified Opportunity Zones, Emerging Alternative Investments, Other Topics in A.I.

By Bill Kelly, CEO, CAIA Association Witness if you will… This was often the opening line of Rod Serling, the creator and narrator of The Twilight Zone series. Launched on CBS television 60 years ago, it dealt with human morality superimposed over what were almost always surreal or otherwise unusual circumstances. Serling’s narrative at both the beginning and the end of eachRead More


Assessing Risk Measurement for a Portfolio of Hedge Funds

Jan 27th, 2019 | Filed under: Newly Added, Hedge Fund Industry Trends, Hedge Fund Operations and Risk Management, Hedge Fund Strategies, The A.I. Industry, Risk management, Technology, Hedge Funds, Risk Metrics and Measurement, Risk Management Strategies & Processes, Structure of the Hedge Funds Industry, Risk Management & Operations

Two scholars, Shubeur Rahman and Ranjan Bhaduri, have in a new paper taken a fresh look at a long-standing dilemma in the alternative investments industry. The question is: how should investors in hedge funds (especially in a multi-asset class, multi-strategy portfolio of hedge funds) measure the market risk inherent inRead More


Eurekahedge: The Grinch Stole December’s Returns

Jan 22nd, 2019 | Filed under: Newly Added, Hedge Fund Industry Trends, Hedge Fund Strategies, The A.I. Industry, Industry Size & Managers, Equity Hedge Funds, Asset Managers, Indexes, Hedge Funds

The Eurekahedge Hedge Fund Index was down for the month of December 1.31%, and that this brought the total decline of 2018 down to 3.85%, according to the January 2019 report. Part of the reason for the bad December numbers was a broad concern about the yield-curve inversion in USRead More


A Jack for Our Trade? 

Jan 22nd, 2019 | Filed under: Newly Added, What about beta?, Who's Who, Personalities in AI

By Bill Kelly, CEO, CAIA Association According to the Bible’s Book of Genesis 2:2, on the seventh day God rested after having created all the heavens and earth. Jack Bogle was on the eve of his tenth decade on this earth and he must have skipped both that chapter and verse. In fact, Jack was more of a Matthew 21:12 kind of guy. The one who comes into a templeRead More


Nick Pollard: The View from Mumbai

Jan 21st, 2019 | Filed under: Newly Added, The A.I. Industry, Hedge Funds, The Global Economy & Currencies, Emerging markets, Economics, Macroeconomics

On Jan. 11,  the CFA Society India hosted the 9th Annual India Investment Conference in Mumbai. CAIA was a platinum sponsor of this event.  The theme of this year’s IIC was “investing insights for uncertain times.” Nick Pollard, Managing Director, Asia Pacific at CFA Institute, kicked things off with aRead More


The Affluent Family Pro: A conversation with Stuart Lucas: wealth manager, educator, and family scion

Jan 21st, 2019 | Filed under: Newly Added, The A.I. Industry, High-net-worth investors, Institutional Asset Management, Family Offices

By Charles Skorina Stuart Lucas has double-barreled credentials as a wealth manager. He’s a Harvard MBA who worked for years with top-shelf financial firms including Wellington Management Company and Banc One (now JP Morgan Chase), where he led their Ultra HNW unit. And, he is himself an heir to familyRead More


CORPORATE DEBT IN THE CHINESE STOCK MARKET

Jan 17th, 2019 | Filed under: Newly Added, The A.I. Industry, The Global Economy & Currencies, Economics, Frontier markets, Macroeconomics, Finance & Economics

By Nicolas Rabener, CAIA, Factor Research Summary: China exhibits the world’s highest corporate debt as % of GDP However, Chinese stocks are not significantly more levered than U.S. stocks Asset and debt growth has stalled in 2018, likely indicating an economic slowdown INTRODUCTION The McKinsey Global Institute published an influentialRead More


How Bayesians Solve the Markowitz Problem

Jan 13th, 2019 | Filed under: Newly Added, CAPM / Alpha Theory, Financial Economics Theory, Behavioral finance, The Global Economy & Currencies, Macroeconomics, Finance & Economics

Understanding of the “Markowitz problem” has changed in the 60+ years since Harry Markowitz’ publication of an article in the Journal of Finance that outlined the basics of modern portfolio theory. The problem is that portfolio theory requires an investor to estimate risk, return, and correlation from market data, meaningRead More


‘Great Moderation?’ Forget about it, says new Fed working paper

Jan 10th, 2019 | Filed under: Newly Added, The A.I. Industry, Financial Economics Theory, The Global Economy & Currencies, Economics, Macroeconomics, Finance & Economics

A new working paper from the Federal Reserve Bank of Chicago looks at the real risk-free interest rate over the last 30 years, where it has been trending, and why that trend hasn’t had the consequences one might intuitively have predicted. The paper, Accounting for Macro-Finance Trends, is the workRead More