Browsing: Performance, Analytics & Metrics

Performance, Analytics & Metrics

Women and Alternatives: A Long-Deferred Tipping Point

Jan 16th, 2013 | Filed under: Hedge Fund Industry Trends, Performance, Analytics & Metrics, Institutional Investing, Alpha Strategies, High-net-worth investors

If you are managing the portfolio of an institution that invests in hedge funds, you might want to ensure that some sizable portion of the HF-allocated assets go to funds managed by women-led firms. In this, you will have company. Read More


Like Wine: Hedge Funds Have a ‘Terroir’

Jan 3rd, 2013 | Filed under: Hedge Fund Industry Trends, Performance, Analytics & Metrics, Alpha Strategies

Hedge fund partners and traders in a given city socialize together, they talk shop, and they may have histories together in other local institutions before opening their respective hedge fund firms. They naturally develop locally distinctive ideas and practices, such as the value emphasis in Boston, or the relatively lower fees distinctive to Dallas.Read More


Top 10 Operational Risks: The ninth and tenth risk areas in a 10-part series

Nov 12th, 2012 | Filed under: Performance, Analytics & Metrics, Risk management

SEI put together a 10-part guide as an effective risk management tool to set the foundation for operational excellence. Below are excerpts from chapters nine and ten, now available for download at www.seic.com/OpsSurvivalGuide.Read More


Canada’s Hedge Funds Are Worthy of the Name

Sep 3rd, 2012 | Filed under: Performance, Analytics & Metrics, Alpha Strategies

Amitesh Kapoor's research into Canadian hedge funds and mutual funds shows that the hedgers really do have a performance edge.Read More


A Word of Caution on the Modified Distribution

Jan 29th, 2012 | Filed under: Performance, Analytics & Metrics, Hedge Fund Operations and Risk Management

Peter Urbani looks at Cornish Fisher and modified VaR as a function of skewness.Read More


New Survey Concludes Finding Alpha Is Difficult

Oct 5th, 2011 | Filed under: Performance, Analytics & Metrics, Private Equity, Institutional Investing, Alpha Strategies

The second in a three-part series on private equity from SEI shows that alpha is a bit slippery these days.Read More


Passivity, Activity, and Alpha in Currency Management

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

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


Sibling Rivals: CAPM versus The Risk Parity Portfolio

Aug 16th, 2011 | Filed under: CAPM / Alpha Theory, Hedge Fund Industry Trends, Performance, Analytics & Metrics, Hedge Fund Operations and Risk Management, Institutional Investing

By Christopher Faille A presentation by Samuel Kunz, chief investment officer of the Policeman’s Annuity and Benefit Fund, Chicago, to the CFA Institute 2011 Asset and Risk Allocation conference addressed the pros and cons of “risk parity.”  His presentation makes it seem that risk-parity portfolios (RPP) and the Capital AssetRead More


An Identity Crisis for the Variable ‘R’

Aug 15th, 2011 | Filed under: Performance, Analytics & Metrics, Hedge Fund Operations and Risk Management

By Christopher Faille It might be the subject of a Sesame Street episode.  “R is an important letter.  It stands for Rate and Return and Risk-Free and lots of other words!”  Yet, like Oscar the Grouch if deprived of his garbage can, R has lost its fixed abode. Much ofRead More


How to not get caught in hedge fund gates

Aug 9th, 2011 | Filed under: Hedge Fund Industry Trends, Performance, Analytics & Metrics

By Christopher Faille One of the scariest things about hedge funds is the loss of liquidity that such an investment involves, with lock-up periods, redemption suspensions, wonder about what is in the “side pockets,” and worry about getting caught in the clanging gates.


Do phantasy, paranoia, schizophrenia and testosterone hold the true keys to trader performance?

Aug 8th, 2011 | Filed under: Performance, Analytics & Metrics

When academics from other disciplines turn their attention to finance, they sometimes make some quite startling discoveries. These may at first sight seem to resonate with behavioural finance but they are in fact quite different – and this research has not gone unnoticed by some of the most senior central bankers, financial regulators, and legendary hedge fund managers.Read More


Wanted dead or alive: fat-tailed black swan

Aug 7th, 2011 | Filed under: Hedge Fund Industry Trends, Performance, Analytics & Metrics, Hedge Fund Operations and Risk Management

By Christopher Faille The press still seems to be discovering “fat tails” and “black swans.”  In July, news outlets gave admiring coverage to the International Monetary Fund’s expression of interest in the ideas of Nassim Taleb, the perhaps-overexposed philosopher who made the phrase “black swan” a cliché upon the successRead More


Alpha Hunter: The DNA of Financial Markets

Aug 4th, 2011 | Filed under: Hedge Fund Industry Trends, Performance, Analytics & Metrics, Hedge Fund Operations and Risk Management, Alpha Hunters

Professor Neil Johnson talks about the DNA of financial markets with AllAboutAlpha's Vikas ShahRead More


Court Decision May Muddy Activist Alpha Seekers’ Strategies

Aug 1st, 2011 | Filed under: Performance, Analytics & Metrics, Hedge Fund Regulation

As if there wasn't enough confusion in the roiling U.S. capital markets and regulatory environment, the U.S. Second Circuit Court has issued a decision that will make alpha that more elusive for hedge funds involved in shareholder activism. Read More


The 800-pound Hedge Fund Gorilla Might Have a Monkey on its Back

Jul 26th, 2011 | Filed under: Hedge Fund Industry Trends, Performance, Analytics & Metrics, Institutional Investing

Hedge fund assets have bounced back from 2008 to make a new high above two trillion and many performance measures have also more than recovered their losses. Yet it seems most of the inflows are being hogged by the Billionaire's Club, despite studies shouting "Small is Beautiful."Read More


Quant Funds: Model Risk and Error Disclosure Missing From Many Radar Screens

Jul 19th, 2011 | Filed under: Hedge Fund Industry Trends, Performance, Analytics & Metrics, Hedge Fund Operations and Risk Management, Institutional Investing

A CMRA/IAFE study of the AXA Rosenberg case shows that model risk may not be on the radar screens of many quant funds.Read More


The Search for a New Normal in Europe

Jul 4th, 2011 | Filed under: Hedge Fund Industry Trends, Performance, Analytics & Metrics, Hedge Fund Operations and Risk Management

The European Central Bank’s latest regular financial stability review uses the word “normalisation” a lot. But what does that mean?Read More


Is optimization handicapped by astigmatism? Or by one million co-kurtosis coefficients?

Jun 7th, 2011 | Filed under: Performance, Analytics & Metrics

Nobody seriously thinks hedge fund returns have a normal distribution, so why does old fashioned optimization continue to dictate portfolio construction? Just as prisms in lenses are used to correct some eye defects, do allocators need to look through more statistical windows?Read More


Want alpha during the next financial crisis? Try managing the future

May 22nd, 2011 | Filed under: Hedge Fund Industry Trends, Performance, Analytics & Metrics, Commodities

Managed futures and hedge funds aren't exactly best friends, but a new report suggests investors should have the two together as a way to generate alpha the next time a black swan shows up.Read More


Is there a “cost” to allowing hedge fund investors to see their money?

May 19th, 2011 | Filed under: Performance, Analytics & Metrics

A new study finds that the downside to providing position-level transparency (to some investors at least) is basically zero. Good news if you're a hedge fund offering managed accounts.Read More


If the shoe fits…

May 11th, 2011 | Filed under: Performance, Analytics & Metrics

It's tough to find a benchmark that fits snugly but doesn't cause blisters.Read More


“Crisis Alpha”

Apr 26th, 2011 | Filed under: Performance, Analytics & Metrics

Some types of alpha have a sting in the tail: they hibernate or head south when tail risks appear, while other types of alpha thrive on panics. Crisis alpha is about celebrating low Sharpe ratios, and looking beyond price volatility to gauge risk.Read More


GIPS to Hedge Fund Managers: No worries. You’re already covered (mostly).

Apr 14th, 2011 | Filed under: Performance, Analytics & Metrics

The arbiters of quality investment reporting have released a new set of draft guidelines of hedge fund managers. Most of it is simply a restatement of existing guidelines, but some is designed specifically for hedge funds.Read More


Report: Hedge funds should stick to the Green Zone to avoid land mines, enemy fire

Mar 8th, 2011 | Filed under: Hedge Fund Industry Trends, Performance, Analytics & Metrics, Hedge Fund Operations and Risk Management

For some investors, the hedge fund world is assumed to be riddled with potential land mines and threats of heavy gunfire. Which is why finding managers who stick to the "Green Zone" is good practice, according to a new white paper. Read More


Hedge funds and “stock manipulation”: Perpetrators, accomplices or just in the wrong place at the wrong time (again)?

Mar 2nd, 2011 | Filed under: Performance, Analytics & Metrics

A new study of stocks with high hedge fund ownership claims that something fishy is going on at the end of every month.Read More


A Tale of Two Bubbles

Feb 10th, 2011 | Filed under: Performance, Analytics & Metrics

What the Dickens?! Although financial bubbles look pretty similar on the outside, it turns out that they may be more like snowflakes: no two are the same. Read More


Hedge fund quandary: Choosing fame or just fortune?

Feb 8th, 2011 | Filed under: Performance, Analytics & Metrics

Do hedge funds really care about being the "best"? Read More


A drawdown disguised as a pick-me-up?

Feb 6th, 2011 | Filed under: Performance, Analytics & Metrics

A recent academic paper takes issue with the common view of what drawdowns mean for hedge fund performance. Read More


Researchers try to fix “unreliable” hedge fund measures

Jan 23rd, 2011 | Filed under: Performance, Analytics & Metrics, Alternative Beta & Hedge Fund Replication

The ubiquitous Sharpe ratio ignores those pesky "higher moments." But evidently, that's not all it lacks.Read More


One possible reason why investable hedge fund indexes underperform

Jan 20th, 2011 | Filed under: Performance, Analytics & Metrics

Hedge fund indexes are often said to contain inherent biases - biases not shared by their investable counterparts. Now, new research sheds light on one source of the divergence between these two types of indexes.Read More


Report warns about taking credit spreads at face value

Jan 12th, 2011 | Filed under: Performance, Analytics & Metrics

Gone are the days when figuring the crowd affected the pricing and spreads along various parts of the credit market structure. According to a recent report by Standard & Poor's, hedge fund traders and other market participants make measuring credit risk a lot more difficult than it used to be.Read More