Browsing: Alpha Strategies

Alpha Strategies

A Critique of (Non-forensic) Short Selling

Dec 12th, 2019 | Filed under: Newly Added, Hedge Fund Strategies, The A.I. Industry, Equity Hedge Funds, Financial Economics Theory, Alpha Strategies, Hedge Funds, Finance & Economics

In a new paper, three quants with Robeco suggest that the “short” side of the activity of many long/short equity trades is pointless. These quants are David Blitz, Guido Baltussen, who is also affiliated with Erasmus University, Rotterdam, and Pim Van Vliet. They have broken down the common equity factorRead More


Pairs Trading Suggested for Energy Stocks

Dec 11th, 2019 | Filed under: Newly Added, CAPM / Alpha Theory, Hedge Fund Strategies, The A.I. Industry, Alpha & Beta, Alpha Strategies, Hedge Funds, ETFs, Allocating to A.I., Finance & Economics

Carlos Salas Najera, of the New York City Data Science Academy, has tested an old idea (pairs trading) for a strategy that could be tailored to energy stocks and related ETFs. The resulting paper is “Pairs Trading and VAR Analysis Applied to Energy Stocks.” His latest paper, though, has aRead More


Machine Learning: Beyond the Fear of Unknown Unknowns

Nov 17th, 2019 | Filed under: Newly Added, Technology, Artificial Intelligence, Algorithmic and high-frequency trading, The A.I. Industry, Equity Hedge Funds, Alpha Strategies, Hedge Funds, Event-Driven Hedge Funds, Business News, Macro and Managed Futures Funds, Other Topics in A.I.

Machine learning as a way of managing a portfolio is a “wave of the future” with a lot of sea to cover before it breaks on the shore. Meson Capital Partners has sent its investors an update and summary for 2019 Q3 regarding its managed market neutral fund, and thisRead More


The Persistence of the Low-Risk Effect

Oct 10th, 2019 | Filed under: Newly Added, CAPM / Alpha Theory, Hedge Fund Strategies, The A.I. Industry, Financial Economics Theory, Alpha Strategies, Hedge Funds, Finance & Economics

The “volatility effect,” also known as the “low-risk effect,” is the subject of a new paper from Robeco. The gist of the “effect” is this: low-risk stocks “should” show a lesser return than high-risk stocks. The Capital Asset Pricing Model predicts a linear relationship between the risk of a securityRead More


Climate Change and Artificial Intelligence as Investment Mega-Trends

Sep 24th, 2019 | Filed under: Newly Added, Technology, Artificial Intelligence, Private Equity, The A.I. Industry, Alpha Strategies, Venture capital, Emerging Alternative Investments, The Global Economy & Currencies, Other Issues in Private Investments, Private Investments, Frontier markets, SRI and Clean Energy, Other Topics in A.I.

A report from CREATE in collaboration with BNY Mellon looks at two related megatrends in investing—climate change and artificial intelligence. It asks in each case: how is this trend perceived in terms of opportunities and risks? What are the specific investment issues involved or solutions likely to be adopted? AndRead More


Negative Interest Rates: A Reason to Invest in Hedge Funds?

Sep 9th, 2019 | Filed under: Newly Added, Hedge Fund Strategies, CTA, The A.I. Industry, Equity Hedge Funds, Liquid Alternative Investiments, Alpha Strategies, Hedge Funds, Event-Driven Hedge Funds, Liquid Alts, Macro and Managed Futures Funds, Allocating to A.I.

Negative interest rate policy—that is, central bank arrangements that seek to inspire spending by punishing savings, not merely in real but in nominal terms—have spread in recent years among the developed economies, and are now in use in Japan, Switzerland, Sweden, and the Eurozone. Denmark got the ball rolling inRead More


Zebras Are Reactionaries

Sep 9th, 2019 | Filed under: Newly Added, What about beta?, The A.I. Industry, Asset Managers, Alpha Strategies, Hedge Funds, Smart Beta, Risk Management & Operations, Allocating to A.I.

Someone told me that it’s all happening At the Zoo. In this case, it was Paul Simon in his 1967 title song where he anthropomorphizes the animals he sees in the Central Park Zoo. Some are deemed to be honest, some kindly but dumb, and some insincere or skeptical, and,Read 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


Goldman Sachs Equity Hedge Fund Report Deep Dives 13Fs

Oct 7th, 2018 | Filed under: Newly Added, Hedge Fund Industry Trends, Hedge Fund Strategies, The A.I. Industry, Equity Hedge Funds, Alpha Strategies, Risk management, Hedge Funds, Risk Management Strategies & Processes, Structure of the Hedge Funds Industry

Working from a database drawn from 13F filings, authors of a new report from Goldman Sachs Asset Management maintain: (1) hedge funds tend to overweight equities in three markets: information technology, consumer discretionary, healthcare; (2) quarter-on-quarter turnover for equity hedge funds’ portfolios is limited; and (3) a long-only sample portfolioRead More


Volatility Arbitrage and Cross-Border Options

Jul 29th, 2018 | Filed under: Newly Added, Hedge Fund Strategies, Investing in Commodities, Alpha Strategies, Risk management, Hedge Funds, Commodities, Macro and Managed Futures Funds, Risk Management Strategies & Processes, Risk Management & Operations

A new paper, by Adriano Tosi, of the University of Zurich, Switzerland, looks at the mispricing of a cross-section of international option returns, which suggests that there is money to be made (in more decorous language a “positive risk premium” may be “commanded,”) by selling exchange-traded products and buying theRead More


UC Berkeley: Stale Prices Not a Threat to Liquidity Takers

Sep 7th, 2016 | Filed under: Newly Added, Algorithmic and high-frequency trading, Equity Hedge Funds, Alpha Strategies, Hedge Funds, Business News, Finance & Economics

Two scholars associated with the University of California, Berkeley, have argued in a recent paper that there is less to latency arbitrage, or at least to a certain paradigmatic sort of latency arb, than meets the eye. Robert P. Bartlett III and Justin McCrary used data from the Securities InformationRead More


The Convertible Bond Trifecta

Mar 21st, 2016 | Filed under: Newly Added, Alpha Strategies, Hedge Funds

By Scott Henderson, CFA, CIMA®, CMFC, Calamos Investments Convertible securities have not been immune from the volatility that has roiled risk assets in 2016. However, we believe the volatile start to the year has set the stage for longer-term opportunities. A convertible bond can be thought of as a corporateRead More


Strategy Idea: Short Sell High-DTC Stocks, Go Long Low-DTC Stocks

Mar 6th, 2016 | Filed under: Newly Added, Hedge Fund Strategies, The A.I. Industry, Equity Hedge Funds, Alpha Strategies, Hedge Funds

A recent paper correlating days-to-cover with stock returns finds a DTC premium effect and suggests that hedge funds might want to arbitrage it. This study begins with the crowded trade problem. With so many sophisticated investors in the markets, looking for or at the same arb opportunities, a number ofRead More


How ‘Fair’ is New Chapter 11 Reform? New ABI Study Investigates

Jan 14th, 2016 | Filed under: Newly Added, The A.I. Industry, Equity Hedge Funds, Alpha Strategies, Regulatory, Regulatory Environment, Hedge Funds, Event-Driven Hedge Funds

By Konstantin Danilov, CFA Even though the rate of public company bankruptcies is at an all-time low, there has recently been lots of discussion regarding proposed chapter 11 reform.  If enacted, some of these proposals may have interesting implications for distressed debt investors in the future. Proposed Reforms and ResponseRead More


SWFs under Pressure: No Panic Selling Yet

Sep 15th, 2015 | Filed under: Hedge Fund Strategies, Institutional Investing, Alpha Strategies

Sovereigns and their politicians are looking over the shoulders of the managers of their sovereign wealth funds. This is a pain in the neck for the latter, but it may mean opportunity for their counterparties. Read More


Supreme Court Decisions: Post-Announcement Hours & Days

Sep 10th, 2015 | Filed under: CAPM / Alpha Theory, Hedge Fund Strategies, Alpha Hunters, Alpha Strategies, Legislation/Court rulings, Alpha Seekers

Presumably the U.S. Supreme Court's decision, in December 2008, that states can in fact make and enforce tougher labeling standards for cigarettes than does the federal government was a negative for tobacco stocks. But did that mean that stock prices had already anticipated the decision before it happened? or that they immediately adjusted downward on the morning the decision was announced? Or ... neither of those? Read More


The Skorina Report: Fearless Forecast Says That Endowment Returns Will Disappoint in FY2015

Sep 3rd, 2015 | Filed under: Performance, Analytics & Metrics, Hedge Fund Strategies, Institutional Investing, Alpha Hunters, Alpha Strategies, Alpha Seekers, Endowments & Foundations

Guest columnist Charles Skorina looks at the potential for 2016 endowment returns and finds them to be somewhat lacking... Could alternatives ride to the rescue?Read More


What Taper Tantrum?  And, Will Yellen Pull a Bernanke?

Aug 30th, 2015 | Filed under: Hedge Fund Industry Trends, Alpha Strategies, Indexes, Macroeconomics

The head of the New York Fed said on Wednesday, August 26th, that "the decision to begin the normalization process at the September FOMC meeting seems less compelling to me than it was a few weeks ago." We may be about to see another Fed retreat, analogous to that of a little more than two years ago. Read More


Eurekahedge: The Markets are Reading the Headlines

Aug 18th, 2015 | Filed under: Commodities, Hedge Fund Strategies, Currencies, CTA, Alpha Strategies, Alpha Seekers

In the three month period that ends with July, Eurekahedge’s Greater China Index (which has 85 constituents) is down 9.39%. That has come about for precisely the reasons that a reader of the pertinent headlines would guess. Read More


The Skorina Report: Risky Business–Chief Investment Officers and Public Pension Plans

Aug 16th, 2015 | Filed under: Institutional Investing, Alpha Hunters, Alpha Strategies, Risk management, Alpha Seekers

Guest columnist Charles Skorina with a cautionary tale of greed and deceit and less-than-best practices at a large public pension plan.Read More


Event-Driven Hedge Funds Rescued by Obamacare

Aug 11th, 2015 | Filed under: Hedge Fund Industry Trends, Hedge Fund Strategies, Institutional Investing, Alpha Hunters, Alpha Strategies, Alpha Seekers

Obamacare's impact on the investment world may have been mitigated until very recently by the protracted and complicated litigation that the law immediately generated starting with its enactment in 2010. But now.... Read More


The Strength of Multi-Strat Is No Mystery

Aug 2nd, 2015 | Filed under: Hedge Fund Industry Trends, Hedge Fund Strategies, Institutional Investing, Alpha Hunters, Alpha Strategies, Fees

Credit Suisse Capital Services says that appetite has increased of late, among institutional investors, for multistrategy funds. Faille offers some thoughts as to why. Read More


Crisis? Tempted to Flee to Shelter of Big Funds? Bad Idea

Jul 29th, 2015 | Filed under: CAPM / Alpha Theory, Hedge Fund Industry Trends, Hedge Fund Strategies, Institutional Investing, Alpha Hunters, Alpha Strategies, Behavioral finance

The authors of a new study of the relationship between fund size and performance employ a database consisting of 7,261 funds and their performance over a twenty year period (1994 to 2014). Spoiler alert: size is bad. Especially in a crisis.Read More


PwC on Mergers and Acquisitions Activity

Jul 28th, 2015 | Filed under: Currencies, Agriculture, Alpha Strategies

"Not moving is more risky than moving," said one CEO asked about mergers and acquisitions. "We will make more acquisitions, but they’ll probably be larger in nature, more transformative. " Read More


7 Messages Family Offices Give Emerging Managers

Jul 26th, 2015 | Filed under: Institutional Investing, Alpha Strategies, Family Offices

Guest columnist Diane Harrison examines the relationship between family offices and emerging managers and why some managers get money and why others don't. Read More


Alternative Investments By the Numbers: Top 5 2015 YTD Takeaways

Jul 23rd, 2015 | Filed under: Hedge Fund Industry Trends, Performance, Analytics & Metrics, Private Equity, Hedge Fund Strategies, Alpha Strategies, Liquid Alts

Guest columnist Andre Boreas takes a look at the alternative investment universe year-to-date 2015 by the numbers.Read More


‘Women of the Street’—Not Just Another War Story

Jul 22nd, 2015 | Filed under: Retail Investing, Institutional Investing, Alpha Hunters, Alpha Strategies, Alpha Seekers

Meredith Jones' book on investing in women takes it to the Street and comes back with some solid conclusions.Read More


Delivering Alpha Highlights: Part Two

Jul 20th, 2015 | Filed under: Hedge Fund Strategies, Alpha Hunters, Alpha Strategies, Alpha Seekers

Low interest rates and record equity valuations together mean that companies can use either stock swaps or borrowed cash or a combination of the two, to buy one another. Further, corporate executives infer that they have to keep buying in order not to become a target themselves. Read More


Delivering Alpha Highlights: Part One

Jul 19th, 2015 | Filed under: Media Coverage of Hedge Funds, Currencies, Alpha Hunters, Alpha Strategies, Alpha Seekers, ETFs

Larry Fink is "deeply worried" that the combination of share repo with high-yield debt is "one of the reasons why we have a below trend-line economy. We're not investing in the future as much as we should." Carl Icahn, predictably, has a very different view of what ails us. Read More


The Old Puzzle of SRI: India and France

Jul 12th, 2015 | Filed under: Social investing, Alpha Strategies, Socially responsible investing, Alpha Seekers

The conclusion of two Indian scholars in a new study supports the view that socially responsible investing is good for investors in India. But Faille worries that the battle-of-the-studies has thus far been indecisive, and that aerodynamics suggests this insect shouldn't be able to fly. Read More


Rogue Trader Adoboli’s Return to Freedom: Down Memory Lane

Jun 30th, 2015 | Filed under: Alpha Strategies, Risk management

Perhaps the fate of Kweku Adoboli, whose roguish trading at UBS' expense came to light in September 2011, can serve now in the summer of 2015 as a caution for some in the European elite contemplating the long stand-off between Syriza and the Troika. Read More


European Investor Satisfaction with Smart Beta ETFs

Jun 28th, 2015 | Filed under: CAPM / Alpha Theory, Alpha Strategies, Risk management, Liquid Alts, ETFs, Smart Beta

Two authors at EDHEC remind us that 15% of the assets in any ETF or ETF-like products for European investors were in smart-beta indexed products as of August 2014, and that this amount is growing. They discuss the extent to which investors are pleased with their results. Read More


The Core Satellite Model: How to Cut Hedge Fund Fees in Half Part II

Jun 25th, 2015 | Filed under: Hedge Fund Industry Trends, Performance, Analytics & Metrics, Alpha Hunters, Alpha Strategies, Alpha Seekers, Fees

Andrew Beer continues his discussion on slashing hedge fund fees without burning yourself or your clients.Read More


Who Will Meet Yahoo at the Altar?

Jun 16th, 2015 | Filed under: Real Estate, Alpha Strategies, Technology, Intellectual Property

There was some excitement as recently as January 2015 over renewed talk of a Yahoo/AOL deal, but after the bloom finally came off that rose, YHOO settled into a trading range has been roughly from $42 to $46. Faille guesses that there is an opportunity here on the upside of that range, because another suitor is bound to appear.Read More


Hybrid Equity: Another Perspective on Private Equity

Jun 14th, 2015 | Filed under: Hedge Fund Industry Trends, Retail Investing, Private Equity, Alpha Hunters, Alpha Strategies, Liquid Alts

Managers who offer funds that provide shorter time frames to investment exits, greater liquidity through a hedge fund structure, and employ the event-driven skill set that identifies and manages an investment portfolio yielding private equity-like returns are finding increased interest from an investment community seeking returns married with reasonable liquidity. Read More


Side Letters and the Caymans: The Latest

Jun 2nd, 2015 | Filed under: Hedge Fund Regulation, Alpha Strategies, Insolvency, Legislation/Court rulings

This Lancelot's adventures came to a bad end: defeated by the dragon of insolvency. But its official liquidator did win a victory over an investor seeking special treatment via a side letter.Read More


Top Hedge Fund Managers: They Aren’t Wizards, but They Are Masters

May 28th, 2015 | Filed under: Hedge Fund Industry Trends, Real Estate, Hedge Fund Strategies, Institutional Investing, Alpha Hunters, Alpha Strategies, Alpha Seekers

For Faille, the stand-out essay in this collection of case studies, from CNBC's Maneet Ahuja, concerns Marc Lasry and Sonia Gardner, of the Avenue Capital Group. As Myron Scholes says in his afterword to this volume, Lasry and Gardner take returns from those whose demand for liquidity makes them willing to give them up. Read More


Eurekahedge on Funds of Hedge Funds: A Downward Spiral

May 27th, 2015 | Filed under: Hedge Fund Industry Trends, Hedge Fund Strategies, Alpha Strategies, Fees

A new report by Eurekahedge says that the rise of new products such as hedge fund trackers and related developments since the global financial crisis have set the fund of funds world into a downward spiral whence it has yet to recover. Read More


Lies, Damned Lies and Alpha

May 21st, 2015 | Filed under: CAPM / Alpha Theory, Alpha Hunters, Alpha Strategies

Guest columnist Andrew Beer looks at alpha.Read More


A Caddie’s Observations on Money Management

May 14th, 2015 | Filed under: Alpha Hunters, Alpha Strategies

Guest columnist Diane Harrison on investment lessons learned on the golf course.Read More


What Happens When You Pick A Fight With Activist Hedge Funds

May 12th, 2015 | Filed under: Media Coverage of Hedge Funds, Hedge Fund Strategies, Alpha Strategies

The tear-jerker ending to a famous Broadway musical comes to Faille's mind as he contemplates the latest twist in the struggle over DuPont's board. Read More


AIMA: Debt Funds Filling a Need in Europe, UK and US

May 11th, 2015 | Filed under: Hedge Fund Strategies, Alpha Strategies, Insolvency

A new survey from AIMA seems designed to dispel the idea that alternative finance is a game played somewhere far away from the 'real economy.' The gist of it is that as banks withdraw from lending to that real economy, alternative asset managers, including hedge funds, have stepped in to fill the void. Read More


The Value Factor Reconsidered

May 10th, 2015 | Filed under: Alpha Strategies

Guest columnist Andrew Beer examines the "value" of value.Read More


Bankruptcy Giant Harvey Miller: Rest in Peace

May 5th, 2015 | Filed under: Alpha Strategies, Insolvency, Legislation/Court rulings

One can argue with Harvey Miller, and with his old-school views about bankruptcy law, but now that he can no longer argue back one should show due deference. Read More


The Skorina Report: The Best, The Rest & Our Pick for Public Endowment CIO of Decade

Apr 30th, 2015 | Filed under: Institutional Investing, Alpha Hunters, Alpha Strategies

Charles Skorina looks at the top public endowments and discusses performance with Erik Lundberg.Read More


Griffin, Bernanke, and the Saud family

Apr 27th, 2015 | Filed under: Currencies, Alpha Hunters, Alpha Strategies, Indexes, Macroeconomics

Why has Ken Griffin, the founder of Citadel, hired former Fed Chair Ben Bernanke as a Senior Advisor? This decision represents a surprise given Griffin's views on "quantitative easing," views he forcefully expressed a couple of years ago. Read More


Some Assets are Hard to Ignore

Apr 23rd, 2015 | Filed under: Currencies, Infrastructure, Hard metals, Alpha Hunters, Alpha Strategies, Gold

Guest columnist Diane Harrison looks at the world of alternatives to alternatives, including stamps, cars, farmland and more...Read More


Larry Fink Thinks ‘The Market Is Wrong’ on Greece

Apr 19th, 2015 | Filed under: Currencies, Alpha Strategies

It is always dangerous to say (of any deep and liquid market) that the market is simply wrong in its valuations. Likewise, if you're sitting at a poker table and you don't know who the sucker is .... Read More


The Latest News from Italian Banking and the Dane-geld

Apr 15th, 2015 | Filed under: Alpha Strategies, Risk management, Insolvency

Banca Monte dei Paschi di Siena, BMPS, the oldest bank in the world, has now admitted that its exposure to Nomura Holdings has exceeded the 25% cap set by Italy’s regulators. Faille can't think of a good alpha-winning play on this fact, but it does inspire him to re-work a Kipling poem. Read More


They Do It Right Down Under: Australian Institutional Funds

Apr 14th, 2015 | Filed under: CAPM / Alpha Theory, Institutional Investing, Alpha Hunters, Alpha Strategies, Indexes, Alpha Seekers, ETFs

The hapless U.S. mutual funds Chen and Gallagher sample have a nominally positive pre fee alpha only when measured against CAPM. That disappears into the negatives when the baseline used is the Fama-French model, and deeper into the negatives when the momentum factor is added. Read More