Browsing: asset allocation

Posts Tagged ‘ asset allocation ’

A Brief History of Asset Allocation

Oct 16th, 2018 | Filed under: Algorithmic and high-frequency trading, Business News, CAPM / Alpha Theory, Crowdfunding, Emerging Alternative Investments, Finance & Economics, Financial Economics Theory, Hedge Fund Strategies, Hedge Funds, Newly Added, Other Topics in A.I., Risk management, Risk Management Strategies & Processes, Risk Metrics and Measurement, The A.I. Industry

Glassbridge has put out an ambitious white paper about the “evolution of asset allocation across the investment management industry,” one that begins with the basics of the Capital Asset Pricing Model and ends with quantitative analysis and crowdsourcing. The premise is that new strategies, and new ranges of data, areRead More


Pensions and Real Estate: CEM Benchmarking

Oct 11th, 2018 | Filed under: Allocating to A.I., Asset allocation, Asset Allocation Models, Institutional Asset Management, Institutional Investing, Newly Added, Operationally Intensive Real Assets, Real Assets, Real Estate, The A.I. Industry

A new paper by Alexander D. Beath and Chris Flynn examines the significance of real estate investing within the portfolios of large European institutional investors from 2005 to 2016. Beath is a senior research analyst with CEM Benchmarking, with a PHD. from McGill University on condensed matter and materials physics.Read More


State Street Forecasts on Smart Beta

Dec 12th, 2017 | Filed under: Allocating to A.I., Alpha & Beta, Finance & Economics, Institutional Asset Management, Institutional Investing, Liquid Alternative Investiments, Newly Added, Other Topics in A.I., Smart Beta

State Street Global Advisors has a new paper out that seeks to help State Street clients “refine their own strategic asset allocation” especially insofar as their portfolios include smart beta investments, by explaining how State Street forecasts returns, and where the forecasts as to some of the factor returns standRead More


Sovereign Wealth Funds: Partners and Capability

Sep 7th, 2017 | Filed under: Allocating to A.I., Alpha & Beta, Institutional Asset Management, Institutional Investing, Newly Added

Sometimes it pays to read footnotes and end matter, because that turns out to be where the story is. Bocconi University’s Sovereign Investment Lab has published its latest annual report on sovereign wealth funds, and this gives us a case in point. The report says that 2016 was far fromRead More


Hedge Fund Performance: A Multi-Factor Model

Jan 22nd, 2017 | Filed under: Allocating to A.I., Benchmarking & Performance Attribution, Hedge Funds, Newly Added

Dimitrios Stafylas, of Aston University, Aston Business School, in Birmingham, England, has proposed a “holistic” model of hedge fund performance attribution with three key features: Irrespective of underlying fundamentals, it is only during good times that hedge funds as a class deliver significant excess return to their investors; Also duringRead More


New Paper Tackles Basic Questions About Alternative Investments

Aug 11th, 2016 | Filed under: Allocating to A.I., Alternative Investments in Context, Asset allocation, Asset Allocation Models, Newly Added, The A.I. Industry

RCM Alternatives, a Chicago-based asset manager specializing in managed futures products, has published a new white paper asking the naive-seeming question, “Why Alternatives?” The paper begins with the observation that many alternative investors look to this field for an answer to a specific problem:  hedging the long position in equitiesRead More


Factor-Based Asset Allocation

Jun 19th, 2016 | Filed under: Allocating to A.I., Alpha & Beta, Asset allocation, Asset Allocation Models, Commodities, Investing in Commodities, Newly Added, Other Topics in A.I., Smart Beta

A paper by Xiaowei Kang and Daniel Ung, published in June 2014, remains timely because risk parity and related approaches remain the center of controversy and some confusion. The Kang & Ung paper looked at three approaches to risk factor based portfolio construction, studying specifically the practical aspects of theRead More


Allocating to Risk-Managed Strategies: Reasons to Consider Hedged Equities

Jun 13th, 2016 | Filed under: Allocating to A.I., Asset allocation, Asset Allocation Models, Equity Hedge Funds, Hedge Fund Strategies, Hedge Funds, Newly Added

By Calamos Investments Team Introduction In this segment of our series on Allocating to Risk-Managed Strategies we explain the benefits of hedging equities in a portfolio or investment strategy. You’ll learn: How institutional investors effectively employed a hedged equity strategy during the economic recovery period beginning in 2010. Why theRead More


The Ups & Downs of Alternative Investing.

Oct 12th, 2015 | Filed under: Alternative Investments in Context, Media Coverage of Hedge Funds

It's that time of year when investment advisers are talking about asset allocation. Guest columnist Diane Harrison explains why you should never give up on your alternative investments.Read More


Burr XII, Extreme Value, and a Fantasy

Sep 15th, 2014 | Filed under: Asset allocation, Risk management

The eight authors of a new study seek to add to “the existing literature of Bayesian VaR methods by … considering the … general class of Burr XII extreme value distributions “ and by estimating error bounds. After having a little fun we try to puzzle out what that means. Read More