Browsing: Allocating to A.I.

Allocating to A.I.

Adding Some Contrarianism to the Momentum Strategy

Nov 12th, 2017 | Filed under: Allocating to A.I., Alpha & Beta, Hedge Funds, Newly Added

A scholar in Moscow, at National Research University Higher School of Economics, has proposed a trading strategy that combines ‘momentum’ and “contrarian’ strategies in a way that, this scholar believes, could reap the upsides of both. The scholar, Victoria Dobrynskaya, assistant professor of finance, says that momentum strategies do produceRead More


Endowment costs: The secret history

Nov 6th, 2017 | Filed under: Endowments & Foundations, Institutional Asset Management, Institutional Investing, Newly Added

By Charles Skorina In early 2016 certain Congressional committees sent letters to 65 major private universities asking for information about their endowments.  They supposedly had an urgent need for this data and gave the schools just 30 days to respond. It was worded as a polite request, but it cameRead More


EIU on Institutions and Time Horizons

Oct 19th, 2017 | Filed under: Allocating to A.I., Institutional Asset Management, Institutional Investing, Newly Added, Risk management, Risk Management Strategies & Processes

With the  sponsorship of Franklin Templeton, The Economist Intelligence Unit (EIU)  has surveyed  143 investing institutions in North America (part of the global sample of 571) in order to study recent shifts in their portfolio allocation, especially with an eye to the risks that concern them and the length ofRead More


Outsourced assets under management up 18% year-over-year

Oct 18th, 2017 | Filed under: Consultants, Endowments & Foundations, Institutional Asset Management, Institutional Investing, Newly Added

By Charles Skorina With 76 firms heard from, we’re now reporting $1.62 trillion in full-discretion assets under management by outsourced chief investment officer firms. That’s a year-over-year jump of $292 billion – or 18 percent – since September, 2016. The number of reported RFPs is also rising as institutions seek better returnsRead More


The State of Alternative Investments in Australia and New Zealand 

Oct 8th, 2017 | Filed under: Institutional Asset Management, Institutional Investing, Newly Added, The A.I. Industry

A new Preqin paper presents the state of the alternatives investment industry in Australia and New Zealand. Mark O’Hare, the CEO of Preqin, says in a Foreword that Preqin’s databases track 481 fund managers active in one or the other of those two countries, and 443 “significant institutional investors” TheRead More


Alternative Investments in Target Date Funds

Oct 3rd, 2017 | Filed under: Alternative Investments in Context, Asset allocation, Asset Allocation Models, Newly Added, The A.I. Industry

Vanguard, the manager of about 370 low cost traditional funds and ETFs, and an institution famously associated with low cost retail investing, has made public a new paper on the inclusion of alternative investments in target date funds. It isn’t enamored of the idea. Target date funds (TDFs), otherwise knownRead More


The Function of the High-Watermark: Not What You Think

Oct 1st, 2017 | Filed under: Newly Added, Performance, Analytics & Metrics, The A.I. Industry

A new paper in the Journal of Accounting and Finance discusses hurdle rates and high watermarks, and how they affect, or at least correlate with, performance. A hurdle rate is a minimum contractually specified rate of return that a hedge fund must achieve in order to collect performance fees. ARead More


AIMA and SGPS on Managed Futures and CTAs

Sep 28th, 2017 | Filed under: Algorithmic and high-frequency trading, Allocating to A.I., Business News, Commodities, CTA, Institutional Asset Management, Investing in Commodities, Macro and Managed Futures Funds, Newly Added, The A.I. Industry

The Alternative Investment Management Association and Societe Generale Prime Services have together put out a white paper about managed futures funds and the commodity trading advisers who manage them. A key themes of the paper is that managed futures strategies aren’t as risky as are typical investments in equity markets.Read More


Aon: Alternative Risk Premia Viable for Many

Sep 17th, 2017 | Filed under: Allocating to A.I., Alpha & Beta, Asset Allocation Models, Finance & Economics, Financial Economics Theory, Newly Added

A new report from Aon discusses the contemporary market for alternative risk premia: where it is, how it got here; where it may be headed. The authors, Matthew Towsey and Chris Walvoord, begin with some very basic considerations of what ‘risk premia’ are. They are, on the one hand, theRead More


Paying the Top Guns of Institutional Investing

Sep 11th, 2017 | Filed under: Endowments & Foundations, Institutional Asset Management, Institutional Investing, Newly Added, Personalities in AI

By Charles Skorina Last month in Part One of this report we focused on relative performance.  We ranked 107 CIOs by trailing 5-year returns. Now, we focus on how much institutions pay these excellent people. The bare comp numbers lead us to the tricky and perennial question of whether their payRead More


Wide Range of Investors Has Wide Range of Opinions on their Managers

Sep 10th, 2017 | Filed under: Allocating to A.I., Institutional Asset Management, Institutional Investing, Newly Added, The A.I. Industry

Intralinks, in partnership with Global Fund Media, has surveyed the opinions of limited partners: they’ve been asking LPs what they think about their GPs/managers in the alternative investment context. The bottom line of the survey is that LPs are looking in the near future to increase their allocations in alternatives.Read 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


NEPC Surveys E&F Managers About Alternative Investments

Aug 27th, 2017 | Filed under: Allocating to A.I., Endowments & Foundations, Institutional Asset Management, Institutional Investing, Newly Added, The A.I. Industry

NEPC, the investment consulting group that caters especially to endowments and foundations, has posted a survey about what such institutions think of marketable alternatives. This broad category “marketable alternatives” includes direct hedge funds, funds of hedge funds, liquid alternatives, and global asset allocation. Eighty-seven percent of the E&F respondents inRead More


Build Value: Don’t Just Meet Quarterly Targets!

Aug 15th, 2017 | Filed under: Allocating to A.I., Alternative Investments in Context, Institutional Asset Management, Newly Added, The A.I. Industry

FCLT Global, a new not-for-profit organization that seeks to promote long-term thinking in business and finance, has issued a manifesto, “Rising to the Challenge of Short-Termism.” The paper was written by Dominic Barton, Jonathan Bailer, and Joshua Zoffer. Each is affiliated with McKinsey & Company, which is one of theRead More


Boston College’s CRR on Alternatives in Pension Portfolios

Aug 13th, 2017 | Filed under: Asset Allocation Models, Institutional Asset Management, Newly Added, The A.I. Industry

The Center for Retirement Research at Boston College has put out a white paper about public pensions and alternative investments.  It asks two questions: which plans have made the largest shift into alternatives? And, how has that shift mattered to their returns and risk? The report begins with the observationRead More


A Simple Approach to the Management of Endowments

Aug 7th, 2017 | Filed under: Allocating to A.I., Asset allocation, Asset Allocation Models, Endowments & Foundations, Institutional Asset Management, Newly Added

By Hossein Kazemi & Kathryn Wilkens, CAIA Endowments and foundations are tax exempt and charitable organizations that rely on permanent pools of capital to fund their activities. These pools of capital are owned by institutions such as colleges, universities, hospitals, museums, scientific organizations, charitable entities, and religious institutions. When well-fundedRead More


Lessons from University Endowments

Jul 23rd, 2017 | Filed under: Allocating to A.I., Asset allocation, Asset Allocation Models, Endowments & Foundations, Institutional Asset Management, Institutional Investing, Newly Added

In a recent article for The Journal of Investment Consulting, John Mulvey and Margaret Holen look at the practice of asset allocation among large U.S. university endowments. They focus on asset category definitions in the hope of throwing some light on “the movement to define asset categories with reference toRead More


Preqin and NXT Capital on the Filling of a Post-GFC Vacuum

Jul 20th, 2017 | Filed under: Allocating to A.I., Institutional Asset Management, Newly Added

Preqin, in collaboration with NXT Capital, has surveyed institutional investors about the U.S. lower middle-market direct lending space, and has issued a report on their attitudes. The gist of the report is that investor appetite for the lower middle market “has steadily gained momentum in the past decade and …Read More


The 100+ Top Guns of Institutional Investing

Jul 12th, 2017 | Filed under: Endowments & Foundations, Institutional Asset Management, Institutional Investing, Newly Added, Personalities in AI, Who's Who

By Charles Skorina This letter looks at the most recent five-year performance of over one hundred of the world’s best institutional investors. Endowment chief investment officers have an infinite investment horizon, a global playing field, and can invest in anything anywhere – within the broad policy limits set by theirRead More


Pensions: On Mortality and Long-Duration Corporate Bonds

Jul 11th, 2017 | Filed under: Allocating to A.I., Asset allocation, Asset Allocation Models, Newly Added

Milliman, an actuarial and consulting firm headquartered in Seattle, has completed a white paper on corporate pension funding based on its 17th annual analysis of the disclosures of the “Milliman 100,” that is, of the 100 biggest corporate defined benefit plan sponsors in the U.S. The funded ratio of theseRead More


Alternative Risk Premia Investing

Jul 9th, 2017 | Filed under: Allocating to A.I., Alpha & Beta, Asset Allocation Models, Newly Added

Unigestion has posted a research paper by Olivier Blin, Joan Lee, and Jérôme Teiletche, on “some of the practical considerations that should help investors get the most out of their allocation to” alternative risk premia (ARP) strategies. Unigestion is a boutique asset manager, and Blin is its head of crossRead More


Sovereign Funds: Illiquidity and Transparency

Jun 22nd, 2017 | Filed under: Allocating to A.I., Institutional Asset Management, Newly Added, Real Assets

News reports in the waning days of the second quarter of 2017 indicate that sovereign wealth funds, especially those of the Middle East, have turned in a big way toward real estate. Invesco says that the region’s SWFs allocated 11% of their portfolios to international real property in 2016. RealRead More


Do Teachers Pensions Need Trumpian Negotiators?

Jun 20th, 2017 | Filed under: Allocating to A.I., Hedge Funds, Institutional Asset Management, Institutional Investing, Newly Added

The American Federation of Teachers (AFT) has issued a lengthy rebuke to and critique of the fee structure of the alternatives investment industry; in a position paper it calls The Big Squeeze. Should the title be considered obscure, the subtitle is clearer about the paper’s thesis, “How Money Managers’ FeesRead More


Growth and Challenges for Asset Management in Italy

Jun 15th, 2017 | Filed under: Allocating to A.I., Alternative Investments in Context, ETFs, Newly Added, The A.I. Industry

A recent (May 2017) Deloitte white paper discussed asset management in Italy. The paper begins with the observation that key institutions in Italian finance have a relatively short history: going no further back than the mists of the 1990s. The Società di Intermediazione Mobiliare (SIM) – literally, the phrase meansRead More


Pension Funds’ Portfolio Decisions: The Dutch Data

Jun 11th, 2017 | Filed under: Allocating to A.I., Institutional Asset Management, Institutional Investing, Newly Added

DeNederlandscheBank (DNB) issued a working paper this spring about the impact of liquidity and capital constraints on defined benefit pension plans. The paper has three authors, Dirk Broeders, Kristy Jansen, and Bas Werker. The first named author, Broeders, is the only one formally affiliated with DNB. The others are affiliatedRead More


Leading the charge into OCIO battlespace: 2 Harvardians invent an industry

Jun 7th, 2017 | Filed under: Endowments & Foundations, Institutional Asset Management, Institutional Investing, Newly Added

By Charles Skorina In 1973, two former Harvard roommates and budding entrepreneurs – Jim Bailey and Hunter Lewis – took on an assignment to review the investments held in their school’s endowment. Things were very different back then.  A treasurer of the Harvard Corporation with the wonderfully Bostonian name ofRead More


Broad Commodities: Value, Inflation, Implementation

May 29th, 2017 | Filed under: Commodities, ETFs, Investing in Commodities, Newly Added

ETF Securities (US) LLC, a New York-based asset manager and manufacturer of ETP’s (Exchange Traded Products),” has issued a white paper written by its Director, Investment Strategy, (Maxwell Gold), on “broad commodities,” that is, on the use of a broad basket of commodities, as a way of allowing an investor’sRead More


The Intelligent Use of Smart Beta     

May 25th, 2017 | Filed under: Allocating to A.I., Newly Added, Other Topics in A.I., Smart Beta

This is the first of a series of articles on smart beta. By Scott Opsal, The Leuthold Group Understanding Factor Returns And Market Conditions Quantitative investing has become an integral component of professional investment management, and smart beta funds have become popular vehicles for advisors as they assemble actively-managed clientRead More


State Pensions and Complex Investments

May 14th, 2017 | Filed under: Allocating to A.I., Alpha & Beta, Institutional Asset Management, Institutional Investing, Newly Added

A recent report from the PEW charitable trusts discusses the degree to which the pension funds of the states of the United States are increasing their use of “complex investments.” It also speaks to the consequences of this move. The term “complex investments” is used here to describe any departureRead More


SWFs: Growth Slows but Continues

May 4th, 2017 | Filed under: Allocating to A.I., Institutional Asset Management, Institutional Investing, Newly Added

Preqin’s new Sovereign Wealth Fund Review makes the point that total assets under the management of SWFs continue to grow, but the rate of growth is notably slowing. This graph, measuring in US$ trillions, illustrates the growth trend since the financial crisis. Although the space grew by $.76 trillion betweenRead More


What makes a great Chief Investment Officer?

May 1st, 2017 | Filed under: Endowments & Foundations, Family Offices, Institutional Asset Management, Institutional Investing, Newly Added

By Charles Skorina All professional investors want to make money.  The question is, how and for whom? In the for-profit world of Wall Street asset managers and retail mutual funds, the differences among managers reflect investor appetites, time horizons and risk tolerances.  They must all serve their customers, or theRead More


Longevity Risk Transfer Markets: Limits to Growth

Apr 30th, 2017 | Filed under: Allocating to A.I., Finance & Economics, Financial Economics Theory, Institutional Asset Management, Institutional Investing, Newly Added

It was a fairly routine item about an accomplished executive changing jobs in the asset management industry, but it caught my eye. A March 2017 news item said that Andrew Reid, until recently the head of corporate pension origination at Deutsche Bank, had left that post to work with InsightRead More


Credit Suisse Finds that Institutions Remain Committed to Hedge Funds

Apr 11th, 2017 | Filed under: Allocating to A.I., Hedge Funds, Newly Added, Structure of the Hedge Funds Industry

A new Credit Suisse report about hedge fund investors’ appetites, titled “shifting tides,” comes to the somewhat re-assuring conclusion that, in some respects at least, the shift isn’t what one might fear. The report begins with the simple observation that 2016, a year that began with unexpected swings in manyRead More


A Look at Sustainable Investment around the World

Apr 6th, 2017 | Filed under: Allocating to A.I., Industry Size & Managers, Other Topics in A.I., SRI and Clean Energy

The Global Sustainable Investment Alliance, a collaboration of green investment-oriented entities, has released its latest Global Sustainable Investment Review, looking at the state of SRI investments. This is the third in a series of reports “presenting results from Europe, the United States, Canada, Asia, Japan, and Australia and New Zealand.”Read More


Some Granularity on the Mexican Pension Industry

Apr 4th, 2017 | Filed under: Allocating to A.I., Institutional Asset Management, Newly Added, Operationally Intensive Real Assets, Real Assets

BlackRock has published a research report about pension funds in Mexico, a report produced as part of its broader research project looking into the state of the pension fund industry around the globe.  It shows that the cause of alternatrive investments as a group is the cause of diversification forRead More


Sovereign Wealth Funds: Just Like You and Me?

Apr 2nd, 2017 | Filed under: Allocating to A.I., Institutional Asset Management, Institutional Investing, Newly Added

Sovereign wealth funds, however invulnerable and leviathan-like they may seem to outsiders, have the same concerns as other institutions in the current environment. On the one hand, bond yields remain at historic lows, with $13 trillion of fixed-income securities now commanding negative interest rates. On the other hand, the globalRead More


Survey Respondents: Market Volatility is the Gravest Threat Just Now

Mar 26th, 2017 | Filed under: Allocating to A.I., Alpha & Beta, Institutional Asset Management, Institutional Investing, Newly Added

Natixis Global Asset Management is out with its annual survey of institutional investors and their views about alternative investors. The survey included institutions around the world and of many distinct classes: corporate and public pension funds, insurance funds, sovereign wealth funds, endowments/foundations, managing amongst them $15.5 trillion. The break-down ofRead More


Foundation CIOs and the American Dream: A Conversation With Carnegie’s Kim Lew

Mar 22nd, 2017 | Filed under: Endowments & Foundations, Institutional Asset Management, Institutional Investing, Newly Added

By Charles Skorina This month we focus on the venerable foundations of New York City and one of their most accomplished investment pros: Kim Y. Lew, chief investment officer of the Carnegie Corporation. We have an in-depth conversation with Ms. Lew on her career in foundation investing and the future of womenRead More


Factor Investing And The Importance Of Market Cycles

Mar 15th, 2017 | Filed under: Allocating to A.I., ETFs, Newly Added, Other Topics in A.I., Smart Beta

By Scott Opsal, CFA Director of Equities, The Leuthold Group The widespread popularity of smart beta ETFs demonstrates that factor-based investing has advanced from the province of academia to rank among the most popular investment strategies for institutional and retail investors. Originally of interest to researchers looking to test, andRead More


BlackRock: Smart Beta Strategies Have Room for Growth

Mar 5th, 2017 | Filed under: Allocating to A.I., Alpha & Beta, ETFs, Liquid Alternative Investiments, Liquid Alts, Newly Added, Other Topics in A.I., Smart Beta

A recent Columbia Business School research paper looks into the transaction costs associated with smart beta strategies in order to estimate the capacity of each strategy. The three authors of the report are all affiliated with asset manager BlackRock Inc. They are: Ronald Ratcliffe, Paolo Miranda, and Andrew Ang. RatcliffeRead More


The Principal-Agent Problem and Smart Beta

Mar 2nd, 2017 | Filed under: Allocating to A.I., Alpha & Beta, Institutional Asset Management, Newly Added

Economists  devote a good deal of attention to what they call the “principal-agent problem,” defined to include the whole nest of conflicts of interest and moral hazards that arise when one party agrees to work for and make decisions on behalf of another, especially when the goal is to  optimizeRead More


Why Do Alpha Seekers Find It In the Small Caps?

Feb 21st, 2017 | Filed under: Allocating to A.I., Alpha & Beta, Finance & Economics, Financial Economics Theory, Newly Added

The median performance of active fund managers with a small-cap mandate is uniformly better than the performance of their colleagues with a large cap mandate against their respective benchmarks. Fewer than 40% of large-cap managers outperform U.S. large-cap equity. More than 60% of their small-cap counterparts do so. The patternRead More


A conversation with UTIMCO’s Bruce Zimmerman

Feb 13th, 2017 | Filed under: Endowments & Foundations, Institutional Asset Management, Institutional Investing, Newly Added

By Charles Skorina Bruce Zimmerman joined UTIMCO as Chief Executive Officer and chief investment officer in June of 2007, six months before the official start of the “great recession” in December 2007 (US National Bureau of Economic Research).But despite a 13% drop in the endowment in UTIMCO’s 2009 fiscal yearRead More


DC Sponsors and PE General Partners: A Good Marriage?

Feb 7th, 2017 | Filed under: Allocating to A.I., Institutional Asset Management, Institutional Investing, Newly Added, Other Issues in Private Investments, Private Investments

The British Private Equity & Venture Capital Association, in a new paper, contends that private equity has a valuable part to play in the portfolios of defined contribution schemes, for the simple reason that the PE world offers high returns in an era of low interest rates. To make thatRead More


Texas Turmoil: UTIMCO picks a new path through a political minefield

Jan 30th, 2017 | Filed under: Allocating to A.I., Asset allocation, Asset Allocation Models, Endowments & Foundations, Institutional Asset Management, Institutional Investing, Newly Added

By Charles Skorina Endowment returns took a beating last year and the turnover in chief investment officers tells the tale. Among the big names to make an exit in 2016 was Bruce Zimmerman, longtime CEO of The University of Texas Investment Management Company (UTIMCO). We wrote about endowment turnover in ourRead More


Pension Institute on the Herding Tendency of Pensions as Investors

Jan 29th, 2017 | Filed under: Allocating to A.I., Asset allocation, Asset Allocation Models, Institutional Asset Management, Institutional Investing, Newly Added

A new paper by the Pension Institute looks at the investing behavior of UK defined-benefit plans over the past 25 years, and finds a degree of correlation that should be worrisome to plan sponsors. The sponsors might want to design an improved incentive structure “that can better motivate pension fundsRead More


Big Data is Old Hat: Machine Learning is Hot

Jan 26th, 2017 | Filed under: Algorithmic and high-frequency trading, Allocating to A.I., Benchmarking & Performance Attribution, Business News, Finance & Economics, Newly Added

A year ago, in a report on Big Data and investment management, Citi Business Advisory Services predicted that “with the improved volume, velocity and variety of data inherent in the big data approach, the innovation seen in systematic trading models over the past decade could accelerate.” One of the platformsRead 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


Cash Management Strategies for Private Equity

Jan 10th, 2017 | Filed under: Allocating to A.I., Asset allocation, Asset Allocation Models, Newly Added, Other Issues in Private Investments, Private Equity, Private Investments

Private equity investors have a distinctive cash management question: what do they do with the money that has yet to be drawn or called? Keeping cash in pillow cases is, here as always, less than the optimal solution. One of the defining features of a PE firm is that anRead More


Another Take on ‘A Modest Proposal’

Jan 9th, 2017 | Filed under: Allocating to A.I., Asset allocation, Hedge Funds, Newly Added

By Diane Harrison Jonathan Swift, one of the great satirists of all time, published a disturbing and provocative essay, ‘A Modest Proposal,’ in 1729 suggesting a unique and terrible solution to Ireland’s famine crisis. In his piece, Swift recommended cannibalism as a wholesale solution to Ireland’s struggles with overpopulation, starvation,Read More