Browsing: Allocating to A.I.

Allocating to A.I.

Energy Infrastructure: The Midstream Sector

Nov 10th, 2016 | Filed under: Allocating to A.I., Endowments & Foundations, Institutional Asset Management, Newly Added, Regulatory Environment, The A.I. Industry

Is it a stream or is it a sea? They seem to have gotten their hydrological imagery mixed up. But no, the “sea” in question is a literal sea, though the “stream” in question is a mere bit of imagery, so clichéd as such that no one sees it asRead More


Pension Funds, Hedge Funds, and Allocations

Nov 8th, 2016 | Filed under: Allocating to A.I., Alpha & Beta, Institutional Asset Management, Institutional Investing, Newly Added

A new scholarly paper addresses the puzzle: which institutional investors are best informed? Zhe Chen, of the University of New South Wales, David Forsberg, Macquarie Graduate School of Management, and David R. Gallagher, UNSW Australia Business School,  compare hedge funds, mutual funds, pension funds, and private banking firms to determineRead More


Outsourced CIO assets grow to $1.3 Trillion

Nov 7th, 2016 | Filed under: Consultants, Institutional Asset Management, Newly Added, The A.I. Industry

By Charles Skorina With 74 firms reporting in, total outsourced CIO assets (managed with full discretion) have grown by $240 billion to $1.367 trillion since we published our last list in 2014.  That’s an increase of over 19 percent in two years, implying an annual growth rate of about 9Read More


Judge Rose: Libya’s SWF Heads Knew What They Were Doing

Nov 1st, 2016 | Filed under: Allocating to A.I., Institutional Asset Management, Institutional Investing, Legislation/Court rulings, Newly Added, Regulatory Environment, The A.I. Industry

The economic historians of posterity have their work cut out for them here. There are doctoral dissertations in the works already, no doubt. And in time several scholarly careers will hang on this.   Those scholars will have to make sense of the political developments in late-Qaddafi Libya, of the roleRead More


Eurekahedge: Exodus from the Event-Driven Funds YTD  

Oct 23rd, 2016 | Filed under: Allocating to A.I., Commodities, Equity Hedge Funds, Event-Driven Hedge Funds, Hedge Funds, Newly Added, Relative Value Hedge Funds

The event-driven hedge fund space is the most troubled in a generally troubled time for the industry. According to the new Eurekahedge report, the event-driven strategy “has seen US$14 billion investor redemptions over the past nine months,” and $10.7 billion over just the past six months. The first nine monthsRead More


BLEAK HOUSE–OR THE OUTLOOK ON HEDGE FUNDS NOW

Oct 19th, 2016 | Filed under: Allocating to A.I., Endowments & Foundations, Family Offices, Hedge Fund Industry Trends, Hedge Funds, High-net-worth investors, Institutional Asset Management, Institutional Investing, Investor Relations, Newly Added, Sales & Marketing in the AI Industry

By Diane Harrison Charles Dickens’ Bleak House spins a tale of mystery, intrigue, family dynamics, and irony in the Victorian age that had readers gripped by its indictment of the English court system. While the novel is packed with intricate plot twists and turns, the main story line centers onRead More


Islam, Western Pensions, and Real Assets

Oct 18th, 2016 | Filed under: Allocating to A.I., Institutional Asset Management, Institutional Investing, Intellectual Property, Natural Resources and Land, Newly Added, Operationally Intensive Real Assets, Real Assets

A recent academic discussion of the much-vexed question of Islamic finance (including the always at least implicit query, how does it fit into the broader usually non-Islamic global picture?) focuses on the role in Islam of real assets, understood as tangible objects such as land, buildings, machinery, and commodities. TheRead More


Harvard gives Narv the nod

Oct 17th, 2016 | Filed under: Academic Foundations, Endowments & Foundations, Institutional Asset Management, Institutional Investing, Newly Added, Personalities in AI, Who's Who

By Charles Skorina As all the world now knows, Harvard has selected Columbia’s Nirmal P. “Narv” Narvekar as the new head of Harvard Management Company. His name had been bandied about as a prime candidate for weeks.  We discussed it ourselves in our Aug. 29 newsletter. Reportedly, a few big-endowment CIOsRead More


From UMIFA to UPMIFA: Taking Stock 10 Years Later

Sep 29th, 2016 | Filed under: Endowments & Foundations, Institutional Asset Management, Newly Added

Ten years ago, thus before the global financial crisis, the Uniform Law Commission promulgated the Uniform Prudent Management of Institutional Funds Act (UPMIFA), a successor to an earlier uniform act, the UMIFA. One of the big changes from UMIFA to UPMIFA was the elimination of the concept of “historic dollarRead More


The Harvard Management Company to Big to Hail?

Sep 28th, 2016 | Filed under: Allocating to A.I., Endowments & Foundations, Institutional Asset Management, Institutional Investing, Newly Added

In asset management, as in other endeavors, size really does matter. Bigger is better.  But growth in AUM drives growth in headcount and complexity; and that can overwhelm existing structures and challenge management. A few weeks ago in “Crunch Time for the Harvard Endowment” we referred to HMC’s hunt for aRead More


Northill: In Defense of Active Management

Aug 27th, 2016 | Filed under: Allocating to A.I., Alpha & Beta, Benchmarking & Performance Attribution, Newly Added, Performance, Analytics & Metrics

Northill Capital, a London-based asset manager, has released a report defending active asset management from the common charge that it cannot, after costs, beat the passive managers. That is an old and familiar subject for debate. What cannot be debated, because it is a simple matter of definition and arithmetic,Read More


Sovereign Credit Swaps: Europe’s Sovereigns and Regime Changes

Aug 16th, 2016 | Filed under: Allocating to A.I., Asset allocation, Asset Allocation Models, Credit Derivatives, Newly Added, Regulatory Environment, Structured Credit Products, Structured Products, The A.I. Industry

Andrea Consiglio and two of his colleagues have developed models for the management of risk in the sovereign credit swaps market, and they have successfully back tested these models against recent European history. Consiglio is a professor at the University of Palermo, in Italy. Sovereign CDS’ are contracts that offerRead More


Crunch Time for the Harvard Endowment

Aug 14th, 2016 | Filed under: Endowments & Foundations, Institutional Asset Management, Institutional Investing, Newly Added, Personalities in AI

By Charles Skorina The hunt is underway for a new CEO at the Harvard Management Company.  And chairman Paul Finnegan and his board intend to get it right this time. Counting interims, they’ve now had six CEOs at their shop since Jack Meyer departed in 2005, and mostly mediocre returns to show for it. AfterRead 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


Active vs. Passive: A 3-Club Headwind

Aug 10th, 2016 | Filed under: Allocating to A.I., Alpha & Beta, Benchmarking & Performance Attribution, Newly Added, The A.I. Industry

By Scott Opsal Relative Performance Actively managed funds have recently underperformed passive indexes. As a result, fund inflows and deposits have favored passive funds. Active Vs. Passive Return Patterns Are Cyclical Our research suggests relative returns between active and passive are cyclical, depending on the market environment. We examine severalRead More


Study Says Pensions May Be Looking for Returns in the Wrong Places

Aug 7th, 2016 | Filed under: Allocating to A.I., Alpha & Beta, Newly Added, Private Investments, Real Estate Equity Investments

Alex Beath, senior research analyst at CEM Benchmarking, the Toronto-based pension research firm, has produced a white paper on the pension fund performance in the U.S. since 1998, and the news he brings is not good (for pension funds themselves, or for the hedge funds to which they have allocatedRead More


The Harvard Management Co.: Time for some creative destruction?

Jul 18th, 2016 | Filed under: Endowments & Foundations, Institutional Asset Management, Institutional Investing, Newly Added

By Charles Skorina It’s been 10 years now since Jack Meyer stepped down as head of Harvard Management Company, while David Swensen – now in his 31st year – has carried on at the Yale Investment Office. Each endowment has pursued its own distinctive management model: HMC with its “hybrid” internal/external approach,Read More


ESG Issues: The Material and the Immaterial

Jul 12th, 2016 | Filed under: Allocating to A.I., Alternative energy, Benchmarking & Performance Attribution, Newly Added, Other Topics in A.I., Socially responsible investing, SRI and Clean Energy

Activists pressing for corporate change on environmental, social, and governance issues often focus on issues that are, from the point of view of firm valuation, immaterial. Three scholars associated with the Harvard Business School recently quantified the materiality versus immateriality of shareholder proposals on ESG topics and discussed some ofRead More


Managing Expectations: The Rise of the Separately Managed Account

Jul 11th, 2016 | Filed under: Family Offices, Hedge Fund Industry Trends, High-net-worth investors, Newly Added, Sales & Marketing in the AI Industry, Structure of the Hedge Funds Industry

By Diane Harrison The line between wealth management and fund management continues to blur for the alternative asset managers who serve the high-net-worth investor community. Driven by a growing desire on the part of these investors to maximize control over their investment portfolio, managers who are emerging or who operateRead More


Lyxor Quants Ask: What Exactly is a ‘Risk Factor’ Anyway?

Jul 6th, 2016 | Filed under: Allocating to A.I., Alpha & Beta, Finance & Economics, Financial Economics Theory, Newly Added, The A.I. Industry

Given the growing body of scholarly work over “risk factor” investing, especially the growing number of risks cited as factors, one has to wonder: what exactly is a “factor”?  In terms that admirers of Rodgers and Hammerstein will remember: is a feature of an investment a risk factor because it’sRead More


Welcome to Low-Return World: Will Chief Investment Officers and Trustees be ready?

Jun 22nd, 2016 | Filed under: Infrastructure, Institutional Asset Management, Institutional Investing, Newly Added, Operationally Intensive Real Assets

By Charles Skorina For executive recruiters like us, that’s a question we’ll have to wrestle with as we present candidates to the boards of institutional asset managers. Two of our investment-management village elders–Bill Gross and Burton Malkiel–say we’re staring down the barrel of a low-return decade.  They’ve been around for aRead 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


Canadian Universities and Interest Rate Swaps

Jun 16th, 2016 | Filed under: Allocating to A.I., Endowments & Foundations, Institutional Asset Management, Institutional Investing, Newly Added

Two scholars looked recently at the behavior of Canadian universities regarding the management of their interest rate risk. They found something peculiar. The universities are making an increased use of interest-rate swaps, apparently under the impression that they are hedging against risks. But they aren’t. Almost all the swaps enteredRead 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


SLAM Wars: The Flow Awakens Ranking Asset-Manager Flows & Profits

Jun 6th, 2016 | Filed under: Asset Managers, Endowments & Foundations, Family Offices, High-net-worth investors, Industry Size & Managers, Institutional Asset Management, Institutional Investing, Newly Added

By Charles A. Skorina As recruiters we work both sides of the investment-management street: serving for-profit money managers and not-for-profits like foundations and endowments.Fee-based publicly listed asset managers, especially the big ones, are newsworthy because they invest a lot of money for a lot of customers, including non-profits investors.  There’sRead More


Investors ‘Misoverestimate’ ETFs and a Push Towards ESG

May 26th, 2016 | Filed under: Allocating to A.I., ETFs, Industry Size & Managers, Newly Added, Other Topics in A.I., Socially responsible investing, SRI and Clean Energy, The A.I. Industry

In a newly released report, Natixis Global Asset Management speaks to the quite positive views of passive investment vehicles and exchange traded funds that it finds in today’s marketplace.  Their report inspires the neologism “misoverestimate,” as a logical analog of a former U.S. president’s term, “misunder ….” A Natixis surveyRead More


Hedge Funds are Still Relevant in a Diversified Portfolio: 4 Fundamental Criteria for Superior Manager Selection

May 25th, 2016 | Filed under: Asset allocation, Asset Allocation Models, Hedge Fund Industry Trends, Hedge Fund Strategies, Hedge Funds, Newly Added

By Appomattox Advisory, Inc. The discussion has revived again:  are hedge funds still relevant in a diversified portfolio? We believe that a thoughtful allocation to hedge funds continues to be an impactful, prudent and profitable strategy for institutional portfolios. For allocators seeking to achieve stable returns in a difficult investing environment,Read More


Best Practices for Private Equity Sponsors in an Age of Increasing Scrutiny

May 23rd, 2016 | Filed under: Benchmarking & Performance Attribution, Newly Added, Other Issues in Private Investments, Performance, Analytics & Metrics, Private Equity, Private Investments, Risk management, Risk Management Strategies & Processes

By John Czapla, Parag Patel and Shane Newell, Valuation Research Corporation As the demand for transparency rises for private equity and hedge funds, the spotlight is increasingly focusing on valuation practices. There are an important number of reasons why the valuation process has become important, and they are essential forRead More


Tricky Times for Hedge Funds and a Lot of Negative YTD Performances

May 22nd, 2016 | Filed under: Benchmarking & Performance Attribution, Equity Hedge Funds, Fees, Hedge Fund Strategies, Hedge Funds, Indexes, Newly Added, Performance, Analytics & Metrics, Structure of the Hedge Funds Industry

A slim majority of hedge fund managers are in the red year to date, through April, according to the latest report from Eurekahedge. Specifically, 51.4% of managers have negative YTD performance. Over the same period in 2015, the analogous number was only 21.2%. That is a good indication of whatRead More


The Alberta Approach to Benchmarking & Performance Attribution

May 18th, 2016 | Filed under: Allocating to A.I., Benchmarking & Performance Attribution, Industry Size & Managers, Newly Added, The A.I. Industry

The Alberta Management Investment Corp. began life in 2008, as a successor to a division of Alberta Finance. It became a crown corporation in order to better manage the allocation of assets for twenty-six pension funds and investment plans. Its leaders initiated a review and soon discovered that they hadRead More


Wrangling the Unicorns: Yale celebrates their VC heroes

May 15th, 2016 | Filed under: Allocating to A.I., Endowments & Foundations, High-net-worth investors, Institutional Asset Management, Institutional Investing, Newly Added, Private Equity, Private Investments, Venture capital

Yale, in their 2015 annual report issued this month has broken out their private equity allocation into two distinct segments: Leveraged Buyouts and Venture Capital.  See: This is the first time in many years they’ve offered that level of detail.  And they’ve given the whole report a VC-and-entrepreneurial theme, supplementing theRead More


Global Focus Capital: Market’s Inflationary Expectations Are Too Low

May 12th, 2016 | Filed under: Allocating to A.I., Benchmarking & Performance Attribution, Commodities, Currencies, Finance & Economics, Macroeconomics, Newly Added, The Global Economy & Currencies

Investors can get ahead of events by aligning their portfolios to “a world of lower expected capital market returns and higher forward volatility.” That, at any rate, is the upshot of a thoughtful analysis by Eric J. Wiegel of Global Focus Capital, a Boston based asset allocation advisor. Why doesRead More


Why NYCERS Should Reconsider Exiting All Hedge Funds

Apr 25th, 2016 | Filed under: Hedge Funds, Institutional Asset Management, Institutional Investing, Newly Added

By Donald A. Steinbrugge, CFA I would like to share some thoughts regarding New York City Employees Retirement System (NYCERS) voting to exit all hedge funds. Pension funds should always be managed in the best interest of the plan’s beneficiaries. I believe this blanket decision to eliminate a full setRead More


March Improved, but 2016 Still Rains Red for Hedge Funds

Apr 24th, 2016 | Filed under: Allocating to A.I., Alpha & Beta, Benchmarking & Performance Attribution, Equity Hedge Funds, Hedge Fund Industry Trends, Hedge Fund Strategies, Hedge Funds, Newly Added

The latest report from Eurekahedge indicates that hedge funds worldwide gained in March, though by far less than the underlying markets gained during the same period. Specifically, the Eurekahedge Hedge Fund Index gained 1.33 percent over the month, while the MSCI World Index, representing those underlying markets, gained 5.47 percent.Read More


Inside the Bubble: The Investment Habits of the Wealthy Investor

Apr 13th, 2016 | Filed under: Family Offices, High-net-worth investors, Institutional Asset Management, Newly Added

By Diane Harrison The wealthy have always worn a mantle of mystery: their gated communities, private memberships, exclusive clubs and the like emphasizing this “otherness.” Their investment management activities are no different; most high-net-worth investors employ a professional advisor to stand between them and those who clamor to serve them. YetRead More


Active vs. Passive Money Management

Apr 11th, 2016 | Filed under: Allocating to A.I., High-net-worth investors, Institutional Asset Management, Newly Added, Other Topics in A.I., Retail Investing

By Baird’s Asset Manager Research Exploring the costs and benefits of two alternative investment approaches Synopsis Proponents of active and passive investment management styles have made exhaustive and valid arguments for and against both approaches. Each has its merits and inherent drawbacks, and this paper will not endorse one styleRead More


The Skorina Report: Why You Can’t Clone Yale

Apr 5th, 2016 | Filed under: Allocating to A.I., Endowments & Foundations, Institutional Asset Management, Institutional Investing, Newly Added

By Charles Skorina   Can you copy great endowment investment performance?  The Yale endowment, for example? Reverse-engineering a good performer is probably achievable.  The key attributes can often be identified and, to some extent, duplicated. But can you replicate great performers? That’s a much taller order.  There’s always something slightlyRead More


The Skorina Report: A Conversation with Sam Gallo, CIO, University System of Maryland Foundation

Mar 28th, 2016 | Filed under: Institutional Asset Management, Institutional Investing, Newly Added

By Charles Skorina My friend Sam Gallo has just finished the two-year executive MBA program at the University of Chicago (Chicago Booth School of Business).  He graduates this month with a stellar academic record after commuting every other weekend for two years from D.C. to Chicago while running the MarylandRead More


Eurekahedge: From Latin America to Middle Earth 

Mar 20th, 2016 | Filed under: Allocating to A.I., CTA, Hedge Funds, Macro and Managed Futures Funds, Newly Added, Performance, Analytics & Metrics

The latest report from Eurekahedge tells us that hedge funds worldwide are down year-to-date through February, -1.27 percent. Dividing the industry by geographic mandates, Latin America is the only region to post YTD gains, +1.9% due to a rally in oil and commodities. Table 1, adapted from the report below,Read More


Fiduciary Duty: Do Investors Know What It Means?

Feb 23rd, 2016 | Filed under: Family Offices, High-net-worth investors, Institutional Asset Management, Newly Added, Other Topics in A.I., Regulatory Environment, Retail Investing, The A.I. Industry

According to a new Spectrem Group whitepaper, most investors questioned believed (usually erroneously) that their advisors have a fiduciary responsibility in caring for their money.Read More


The Skorina Report: Who are the Best Institutional Investors? It’s Not That Simple

Feb 22nd, 2016 | Filed under: Asset Managers, Institutional Asset Management, Institutional Investing, Newly Added, The A.I. Industry

By Charles Skorina There is simply no place like New York for the depth and breadth of exceptional investment professionals. Yet with all this talent, the challenge of building superior investment teams that can endure and outperform over a decade or more is daunting and seldom achieved. Consistent, multi-decade superiorityRead More


Eurekahedge: Performance after the ECB Underwhelms

Jan 28th, 2016 | Filed under: Benchmarking & Performance Attribution, Equity Hedge Funds, Hedge Funds, Macro and Managed Futures Funds, Newly Added, Performance, Analytics & Metrics

The latest Eurekahedge report says that regional mandates for the month of December 2015 produced quite mixed results. Asia ex-Japan managers yielded the best results, gains of 1.45%. Their Japanese counterparts produced 0.27%. In annual terms, Asia ex-Japan funds delivered 8.23% in 2015. Such funds saw an annual AUM growthRead More


Michigan State University Hires its First Chief Investment Officer

Jan 11th, 2016 | Filed under: Institutional Asset Management, Institutional Investing, Practitioners, Who's Who

By Charles Skorina   Michigan State University announced the appointment of Philip Zecher as Chief Investment Officer on Friday, December 18th, 2015. Philip Zecher has just been appointed MSU’s first-ever chief investment officer, reporting directly to Dr. Lou Anna K. Simon, MSU’s president. The trustees announced the appointment on Friday and PhilRead More


Smart Beta Strategy: Aces Australian Scrutiny

Jan 10th, 2016 | Filed under: Allocating to A.I., Alpha & Beta, Alternative Beta & Hedge Fund Replication, CAPM / Alpha Theory, Finance & Economics, Financial Economics Theory, Newly Added, Other Topics in A.I., Smart Beta

Paul Docherty, a senior lecturer at Newcastle Business School. University of Newcastle, in Australia, has studied the performance of the factors that underlie smart beta portfolios within the equity markets of that country. On the basis of a long time-series of data, Docherty has concluded that four such factors “allRead More


Eurekahedge: All Regional Mandates Up for November

Dec 23rd, 2015 | Filed under: Allocating to A.I., Benchmarking & Performance Attribution, Event-Driven Hedge Funds, Hedge Funds, Newly Added, Performance, Analytics & Metrics

Faille takes a quick trip around the world with the assistance of Eurekahedge's numbers and graphs showing performance in November 2015 and year to date.Read More


Institutions Thinking About Interest Rates and Volatility

Dec 15th, 2015 | Filed under: Allocating to A.I., Benchmarking & Performance Attribution, Endowments & Foundations, Institutional Asset Management, Institutional Investing, Newly Added, Performance, Analytics & Metrics

In recent months, even the anticipation of Fed Reserve tightening has been able to send markets into a tizzy. Now the actual tightening is at last upon us. Both Natixis and Reuters surveys speak to the way the buy-side and sell-side see this. Read More


Arbitrage Pricing Theory and Large Pricing Errors

Dec 13th, 2015 | Filed under: Allocating to A.I., Alpha & Beta, CAPM / Alpha Theory, Finance & Economics, Financial Economics Theory, Hedge Fund Operations and Risk Management, Newly Added, Portable Alpha & Alpha/Beta Separation, Risk Management & Operations, Risk Management Strategies & Processes

Uppal and Zaffaroni use Arbitrage Pricing Theory as a meta-model: a model that can be employed to check the errors in the specification of first-order models that in turn are used to value assets.Read More


For Practitioners of Risk Parity: Don’t Panic

Dec 6th, 2015 | Filed under: Allocating to A.I., Hedge Fund Operations and Risk Management, Newly Added, Risk management, Risk Management Strategies & Processes

A new paper by Cliff Asness puts the recent relative weakness of Risk Parity Portfolio performance into a broader context. The cumulative excess return from what he calls "simple risk parity" continues to rise steadily though undramatically. Read More


DB Global Prime: Hedge Funds See Steady Combined Inflows, But Lots of Action

Nov 29th, 2015 | Filed under: Asset Managers, Benchmarking & Performance Attribution, Equity Hedge Funds, Hedge Fund Strategies, Hedge Funds, Industry Size & Managers, Newly Added, Performance, Analytics & Metrics, The A.I. Industry

DB Prime's researchers have highlighted the multi-year outflows from EM to DM. EM equity inflows in particular reached a peak in early 2011. Since then EM equities have seen an outflow which has benefitted primarily Europe and Japan within the developed world. Read More


MFS: The Limits of Passive Investing

Nov 15th, 2015 | Filed under: Allocating to A.I., Alpha & Beta

One helpful characteristic of active managers is that, in the words of a newly issued white paper from MFS, they can “avoid taking full market risk, intentionally avoiding companies and segments of the markets where risk is overpriced.” Read More