Browsing: Risk Management & Operations

Risk Management & Operations

How to Improve Momentum Risk Management

Nov 12th, 2019 | Filed under: Newly Added, Hedge Fund Strategies, The A.I. Industry, Equity Hedge Funds, Risk management, Hedge Funds, Risk Metrics and Measurement, Risk Management Strategies & Processes

Matthew X. Hanauer and Steffen Windmueller, two scholars affiliated with the Technical University of Munich, compare the performance of three risk management approaches applicable to the momentum strategy. Their new paper also explores the risk management techniques available for hedge fund managers and others who pursue a momentum strategy. ARead More


Past performance guarantees no future results

Oct 17th, 2019 | Filed under: Newly Added, Algorithmic and high-frequency trading, The A.I. Industry, Financial Economics Theory, Risk management, Business News, Risk Management Strategies & Processes, Finance & Economics

Since, as everyone says, “past performance is no guarantee of future results,” a history of close correlation between two assets, or between a single asset and a benchmark, is no guarantee of future correlation. The threat that a correlation upon which a particular investor has relied will cease to applyRead More


Bitcoin Derivatives Behaving Just Like Other Underlying Assets

Oct 15th, 2019 | Filed under: Newly Added, Derivatives, The A.I. Industry, The Global Economy & Currencies, Digital currencies, Other Issues in Private Investments, Risk Management Strategies & Processes, Frontier markets, Structured Products, Other Topics in A.I.

Bitcoin derivatives act a lot like the derivatives of other asset classes. Two scholars at the University of London recently looked at bitcoin’s “volatility smiles and skews” as found in the short and long dated maturity of options traded at the Deribit Exchange in 2019. Helyette Geman and Henry Price,Read More


Meet the New Crisis: Looks Like the Old Crisis

Oct 13th, 2019 | Filed under: Newly Added, The A.I. Industry, The Global Economy & Currencies, Business News, Economics, Risk Management Strategies & Processes

Last month saw an extraordinary spike in the interest rates of the repo market—the market that consists of the (very) short-term, usually the overnight, borrowing of government securities. Hedge funds, along with other institutions such as trading firms and banks, regularly hand over US Treasury bills and the like inRead More


Valuation: A New Approach to an Old Financial Tool

Oct 7th, 2019 | Filed under: Newly Added, The A.I. Industry, Equity Hedge Funds, Risk management, Hedge Funds, Event-Driven Hedge Funds, Other Issues in Private Investments, Risk Management Strategies & Processes

Zane Swanson, an accounting professor at the University of Central Oklahoma, has been at work on a fascinating new approach to the valuation of firms and the valuation of their equity shares. This approach may be of great interest to risk arb hedge funds. Swanson is working with an establishedRead More


Low Vol vs Option-Based Strategies

Oct 6th, 2019 | Filed under: Newly Added, The A.I. Industry, Risk management, Risk Metrics and Measurement, Risk Management Strategies & Processes

By Nicolas Rabener of FactorResearch (@FactorResearch) INTRODUCTION Some investment products and strategies can be considered toxic given their history on Wall Street. Portfolio insurance is rarely used in marketing materials, given its role in the 1987 stock market crash. CDO-Squared instruments and structured investment vehicles (SIVs) are also unlikely toRead More


Goldman Sachs Puts Stop-loss on Options

Oct 1st, 2019 | Filed under: Newly Added, The A.I. Industry, Risk management, Risk Management Strategies & Processes, Structured Products

Goldman Sachs threw in the towel two years ago. Well, “a towel,” anyway. Goldman has lots of towels. But two years ago, Goldman gave up on market making at the US options exchanges. In time for the anniversary, Alphacution has posted a research paper on the “long arc” of optionsRead 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


Anticipating Buyout Deals: A Prospective New Model on an Old Strategy

Aug 22nd, 2019 | Filed under: Newly Added, Hedge Fund Strategies, The A.I. Industry, Equity Hedge Funds, Risk management, Hedge Funds, Event-Driven Hedge Funds, Risk Metrics and Measurement, Smart Beta, Risk Management Strategies & Processes, Risk Management & Operations

Milind Sharma and Aravind Ganesan have developed what they call the QMIT Leveraged Buyout Model—a trading strategy—based on anticipating announcements of LBOs based on QMIT’s factor library. Sharma is the CEO of QMIT, QuantZ Machine Intelligence Technologies. QMIT is itself a spin-off from QuantZ Capital, which is a stat arbRead More


Liquidity: Running for the Exits

Aug 15th, 2019 | Filed under: Newly Added, The A.I. Industry, Risk management, Hedge Funds, Other Issues in Private Investments, Risk Management Strategies & Processes, Risk Management & Operations

Liquidity vanishes when you need it most. That isn’t an especially original observation. It’s like saying that the exit doors are always jammed precisely when you need a quick exit quickly. Amin Rajan gives us a forceful statement of this point inspired by the “current travails at Woodford Asset Management.”Read More


Active Risk Budgeting Gets Consistent Alpha

Jul 28th, 2019 | Filed under: Newly Added, CAPM / Alpha Theory, The A.I. Industry, Financial Economics Theory, Risk management, Risk Metrics and Measurement, Risk Management Strategies & Processes, Risk Management & Operations, Finance & Economics

A new paper takes an experimental look at “Active Risk Budgeting,” a method of portfolio construction that looks to build upon older and sometimes passive risk budgeting approaches, adding enough active management to allow the risk budget to change over time. For example, an institution might want its risk budgetRead More


Ramping Up a PE Allocation Over Time

Jul 21st, 2019 | Filed under: Newly Added, Private Equity, The A.I. Industry, Debt Types of Private Equity, Risk management, Equity Types of Private Equity, Private Investments, Risk Management Strategies & Processes

Many investors with long horizons are increasing their allocation to private equity funds: to extract the gains from managerial skill in that field, to reap the illiquidity premium, and simply to diversify. TIAA Endowment & Philanthropic Services has put out a paper on the creation and maintenance of a privateRead More


One Year Left to Run on Critical No-Action Letters for Investment Managers

Jul 18th, 2019 | Filed under: Newly Added, The A.I. Industry, Risk management, Business News, Risk Management Strategies & Processes

The Securities and Exchange Commission issued three no-action letters on the issue of research payments, in light of developments on that issue in Europe in 2017. Specifically, they dealt with the cross-border of Europe’s rules (MiFID II), which were scheduled to take effect, and which did take effect, on Jan.Read More


Quantum Computing Will Mess Up all Expectations

Jul 11th, 2019 | Filed under: Newly Added, Algorithmic and high-frequency trading, The A.I. Industry, Technology, Other Issues in Private Investments, Business News, Private Investments, Risk Management & Operations

There are reports that Google is preparing an announcement of “quantum supremacy” for later this year. If true, this is the biggest tech story since the transistor replaced vacuum tubes. It could be a disruptive development for just about every business with an IT department. Among much else, quantum supremacyRead More


Net Performance Reporting: Not Just Arithmetic

Jul 2nd, 2019 | Filed under: Newly Added, Hedge Fund Industry Trends, Hedge Fund Operations and Risk Management, The A.I. Industry, Industry Size & Managers, Asset Managers, Operations, Hedge Funds, Partner accounting, Fees, Structure of the Hedge Funds Industry

Why can’t a fund manager simply subtract all fees and expenses from gross returns and present the arithmetical result to existing or potential investors? In a newly released paper, Donald Steinbrugge, the founder and CEO of Agecroft Partners, discusses how hedge funds calculate and present their net performance, and theRead More


Fixing the Sharpe Ratio: A Machine Learning Approach

Jun 16th, 2019 | Filed under: Newly Added, Performance, Analytics & Metrics, The A.I. Industry, Risk management, Benchmarking & Performance Attribution, Hedge Funds, Risk Metrics and Measurement, Risk Management Strategies & Processes

The Sharpe ratio has long served as a simple but important item in the due diligence tool kit. Formulated by William F. Sharpe in 1966 and first called the “reward to variability” ratio, the number arises from an investment’s rate of return minus the risk-free rate divided by the standardRead More


Accommodating Ambiguity Aversion in Portfolio Modeling

May 14th, 2019 | Filed under: Newly Added, Performance, Analytics & Metrics, The A.I. Industry, Risk management, Risk Metrics and Measurement, Risk Management Strategies & Processes

By standard definition, “ambiguity aversion” is the preference for known risks over unknown risks, the known unknowns over the unknown unknowns. A recent paper discusses the portfolio-level consequences of this aversion. The paper, written by Valery Polkovnichenko and Hui (Grace) Wang, explains that for an ambiguity-neutral investor, “adding active portfolio withRead More


A Fintech Revolution in Commercial Real Estate

May 9th, 2019 | Filed under: Newly Added, Real Estate, The A.I. Industry, Technology, Operationally Intensive Real Assets, Real Estate Equity Investments

Cushman & Wakefield, Chicago, has released a discussion of blockchains in connection with real estate. The paper argues that the technology could “transform CRE transactions ranging from property listings, asset management, and the purchase and sale of properties.” It reminds us that blockchains are shared digital ledgers, both tamper-proof andRead More


Oak-and-Tree and Larry Grows… 

Mar 25th, 2019 | Filed under: Newly Added, What about beta?, Risk management, Risk Management Strategies & Processes, Allocating to A.I.

By Bill Kelly, CEO, CAIA Association The adaptation to this week’s title harkens back to late 19th century Scotland where this was a play song more popularly known as “Oats and Beans and Barley Grow.” It was a song of action in a time and a place—where most of the wakingRead More


BLACK SWANS, MAJOR EVENTS & FACTOR RETURNS

Mar 24th, 2019 | Filed under: Newly Added, The A.I. Industry, Risk management, The Global Economy & Currencies, Economics, Risk Management Strategies & Processes, Macroeconomics, Finance & Economics

By Nicolas Rabener of FactorResearch INTRODUCTION Investors fear black swan events, although it can be argued that this fear is irrational. The black swan theory is a metaphor that describes a surprise event that has a major impact and is often rationalized with hindsight. A recent example would be theRead More


Are Data Scientists the ‘New’ Rockstars?

Mar 21st, 2019 | Filed under: Newly Added, Alternative data, The A.I. Industry, Technology, Operations, Risk Management & Operations

Daniel Hill, a research analyst for the global equity team at William Blair, has written an insightful piece about the hot competition for data scientists underway in the alpha-seeking world today.  Hill begins with the observation that there are lots of different buzzwords, hashtag-worthy words and phrases, at use inRead More


Algorithms Moving into the Bond Markets

Mar 17th, 2019 | Filed under: Newly Added, Algorithmic and high-frequency trading, The A.I. Industry, Risk management, Risk Metrics and Measurement, Risk Management Strategies & Processes

Algorithmic trading may fairly be said to have conquered the public equities world, although there are still pockets of resistance and related controversies. The robots have now turned their attention to the bond markets. Bond markets are different from stock markets in a lot of ways, and many of theseRead More


Modeling the Volatility of Crypto Exchange Rates

Jan 31st, 2019 | Filed under: Newly Added, The A.I. Industry, Regulatory Environment, Emerging Alternative Investments, Digital currencies, Risk Metrics and Measurement, Risk Management & Operations, Other Topics in A.I.

GARCH (Generalized Autoregressive Conditional Heteroskedasticity) models are very useful for estimating the volatility for a lot of more traditional assets (stocks and bonds) and their indices, which is why they’ve been around since the 1980s. But when they’re used for Bitcoin, Ethereum, Ripple, and Litecoin they yield incorrect predictions forRead More


Assessing Risk Measurement for a Portfolio of Hedge Funds

Jan 27th, 2019 | Filed under: Newly Added, Hedge Fund Industry Trends, Hedge Fund Operations and Risk Management, Hedge Fund Strategies, The A.I. Industry, Risk management, Technology, Hedge Funds, Risk Metrics and Measurement, Risk Management Strategies & Processes, Structure of the Hedge Funds Industry, Risk Management & Operations

Two scholars, Shubeur Rahman and Ranjan Bhaduri, have in a new paper taken a fresh look at a long-standing dilemma in the alternative investments industry. The question is: how should investors in hedge funds (especially in a multi-asset class, multi-strategy portfolio of hedge funds) measure the market risk inherent inRead More


Dark Pools and the Value of Information

Jan 16th, 2019 | Filed under: Newly Added, The A.I. Industry, Operations, Hedge Funds, Event-Driven Hedge Funds, Risk Management & Operations

Activist hedge funds can always be expected to trade both in lit exchanges and in dark pools, in the course of accumulating the equity stake that in turn will give them sway at an annual meeting or inside the boardroom. That is one inference from a model developed for theRead More


Risks & Rewards: The Future of Finance in Blockchain

Jan 6th, 2019 | Filed under: Newly Added, The A.I. Industry, Risk management, Technology, Operations, Emerging Alternative Investments, Digital currencies, ETFs, Smart Beta, Risk Management Strategies & Processes, Risk Management & Operations, Other Topics in A.I.

A new article by Dave Dowsett and Heather Wied, both of Invesco, looks at blockchains and the way this new technology, precisely as it divorces itself from its original significance as a feature of the cryptocurrencies, is ready to transform finance. Dowsett and Wied contend that blockchain “offers the possibilityRead More


Leveraging and Enhancing Catastrophe Models

Dec 27th, 2018 | Filed under: Newly Added, The A.I. Industry, Risk management, Operations, Emerging Alternative Investments, Risk Metrics and Measurement, Risk Management Strategies & Processes, Risk Management & Operations, Other Topics in A.I.

I write these words soon after reading the news from Sundra Strait, Indonesia. In recent days, the eruption and collapse of a volcano there has set off a tsunami that in turn has devastated the coastal regions of Banten and Lampung, also in Indonesia. Much time may have to passRead More


10 Years Later: Reflections on the Madoff Meltdown

Dec 23rd, 2018 | Filed under: Newly Added, Media Coverage of Hedge Funds, The A.I. Industry, Due Diligence Process, Insolvency, Regulatory Environment, Legislation/Court rulings, Alternative Investments in Context, Business News

It was just about 10 years ago (Dec. 10, 2008) that Bernie Madoff acknowledged to his sons, Mark and Andrew, that he had “absolutely nothing left” of the funds that had been entrusted to him; that the investment fund that bore his name was “just one big lie.” There isRead More


Financialization and the Volatility of Commodity Prices

Dec 20th, 2018 | Filed under: Newly Added, Commodities, The A.I. Industry, Industry Size & Managers, Investing in Commodities, oil, Commodities, Energy, Risk Management Strategies & Processes, Risk Management & Operations

A recent article in the Journal of Risk and Financial Management  takes a fresh look at a familiar issue:  whether the development of exchange-traded funds (ETFs) and related instruments tracking the commodities industry (or, in short, the financialization of commodities) has had an impact on the volatility of the pricesRead More


Steamrollers, Geniuses and Market Crashes

Nov 27th, 2018 | Filed under: Newly Added, Hedge Fund Operations and Risk Management, The A.I. Industry, Risk management, Operations, Hedge Funds, The Global Economy & Currencies, Risk Management Strategies & Processes, Relative Value Hedge Funds, Risk Management & Operations, Finance & Economics

McGraw Hill Education has brought out a new book by Bruce I. Jacobs, of Jacobs Levy Equity Management. The book, Too Smart for our Own Good, concerns “ingenious investment strategies, illusions of safety, and market crashes.” The thesis is that the financial crises of recent decades are the consequence ofRead More


Digitization of alternative investments: the rise of technology

Nov 20th, 2018 | Filed under: Newly Added, Private Equity, The A.I. Industry, Venture capital, Technology, Operations, Hedge Funds, Other Issues in Private Investments, Private Investments, Risk Management & Operations

KPMG, the auditing giant based in the Netherlands, has put out a white paper on the “digitization mandate” in the alternative investment space.  It maintains that fund managers who “dawdle” in digitizing their business are acting foolishly, falling behind the expectations of their actual and potential investors. Consider fees. PreqinRead More


EY Reports on Alternative Investments and Artificial Intelligence

Nov 13th, 2018 | Filed under: Newly Added, Hedge Fund Industry Trends, Private Equity, Hedge Fund Strategies, The A.I. Industry, Risk management, Hedge Funds, Private Investments

The twelfth annual report of what used to be known as the EY Global Hedge Fund Survey has been re-christened the EY Global Alternative Fund Survey. As it has under the earlier name, EY again records the views of fund managers and investors around the globe on a wide rangeRead More


Panayiotis Lambropoulos: The View from a Public Pension Manager’s Office

Nov 11th, 2018 | Filed under: Newly Added, Hedge Fund Operations and Risk Management, The A.I. Industry, Due Diligence Process, Institutional Investing, Alpha Hunters, Risk management, Asset allocation, Hedge Funds, Asset Allocation Models, Alternative Investments in Context, Institutional Asset Management, Risk Management Strategies & Processes, Risk Management & Operations, Allocating to A.I.

On Nov. 13, the 24th Annual National Pension and Institutional Investment Summit convenes in Dallas Texas. CAIA is a sponsor of this event. Panayiotis Lambropoulos, portfolio manager of hedge funds at the Employees Retirement System of Texas, will offer his insights at a panel on emerging hedge fund managers. Lambropoulos’Read More


Avoiding Over-Allocation to Alternative Investments

Nov 6th, 2018 | Filed under: Newly Added, Private Equity, The A.I. Industry, Institutional Investing, Risk management, Asset allocation, Hedge Funds, Asset Allocation Models, Risk Metrics and Measurement, Institutional Asset Management, Private Investments, Risk Management Strategies & Processes

A new white paper from New York Life looks at the role of alternatives in portfolio construction and argues that usual risk-return based approaches can underestimate risk and lead to over-allocation to the alternatives. The paper, by Amit Soni, an NYL portfolio manager, proposes a new method “to quantify performanceRead More


Quantifying High Performance Dispersion Risk in Alternatives

Oct 24th, 2018 | Filed under: Newly Added, Performance, Analytics & Metrics, The A.I. Industry, Alpha & Beta, Institutional Investing, Risk management, Asset allocation, Asset Allocation Models, Risk Metrics and Measurement, Institutional Asset Management, Risk Management Strategies & Processes, Risk Management & Operations, Allocating to A.I.

By Amit Soni, Portfolio Manager, Strategic Asset Allocation, New York Life Investments Lofty valuations in traditional assets have encouraged investors to explore alternatives. Unfortunately, the lack of a holistic investment framework to incorporate alternatives poses a challenge. Traditional risk-return based approaches, alone, over-allocate to alternatives–a result of underestimation of risksRead More


A Brief History of Asset Allocation

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

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


Self-Organizing Maps for Selecting Hedge Funds

Oct 9th, 2018 | Filed under: Newly Added, Performance, Analytics & Metrics, Hedge Fund Strategies, The A.I. Industry, Asset allocation, Benchmarking & Performance Attribution, Hedge Funds, Asset Allocation Models, Risk Management Strategies & Processes, Allocating to A.I.

A new paper by Claus Huber, of Rodex Risk Advisers, looks at machine learning for risk analysis, working especially from the “self-organizing maps” associated with Finnish Professor Teuvo Kohonen. A SOM is a low-dimensional representation of input space (thinking of it as two dimensional makes the “map” analogy intuitive, andRead 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


Cracking the Illiquidity Code

Sep 26th, 2018 | Filed under: Newly Added, Performance, Analytics & Metrics, Private Equity, The A.I. Industry, Benchmarking & Performance Attribution, Equity Types of Private Equity, Other Issues in Private Investments, Risk Metrics and Measurement, Private Investments

By Tom Keck, Partner & Head of Research; Lisa Larsson, Vice President, Research Researchers at StepStone Group, a global private markets firm, recently released a white paper that puts the illiquidity of private equity into perspective. A fund’s life they reckon is too coarse a measure; the picture comes into focusRead More


D’oh!

Sep 17th, 2018 | Filed under: Newly Added, What about beta?, Regulatory Environment, Risk Management & Operations

Much has been written this week about the fall of the house of Lehman. Too big to fail became “someone has to” and the rest is history. The demise of Lehman has been one of the many sign posts that defined the GFC and now, ten years on, traditional and socialRead More


The Connection between Audit Fees and Derivative Hedging

Sep 11th, 2018 | Filed under: Newly Added, Hedge Fund Operations and Risk Management, The A.I. Industry, Risk management, oil, Commodities, Commodities: Examples, Risk Management Strategies & Processes

It is generally acknowledged that there exists a positive association between business risk and audit fees. There is room for dispute as to what that means. On the one hand, the riskier clients for whom an audit firm works might simply be the ones that have the most complicated books,Read More


Hedging or Trading? Why Italian Banks Use Derivatives

Aug 23rd, 2018 | Filed under: Newly Added, Derivatives, The A.I. Industry, Risk management, Hedge Funds, Credit Derivatives, The Global Economy & Currencies, Commodities, Economics, Institutional Asset Management, Risk Management Strategies & Processes, Risk Management & Operations

A recent report by the Bank of Italy looks at why the various banks of Italy use derivatives. Specifically, the central bank of that country wanted to know: is it a matter of hedging? Or is it a matter of keeping a proprietary book? Hedge fund managers and other pursuersRead More


Kurtosis Diagnosis: Don’t get Skewed!

Aug 20th, 2018 | Filed under: Newly Added, What about beta?, The A.I. Industry, Risk management, Risk Metrics and Measurement, Risk Management Strategies & Processes

By Bill Kelly, CEO, CAIA Association The quote “what gets measured gets managed” is oft-times attributed to the author and consultant Peter Drucker. The origin is less significant than its modern-day meaning and, while it is most often used in the context of business management, it ports quite well into the management ofRead 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


Using the Variance Risk Premium to Predict Futures Markets

Jul 15th, 2018 | Filed under: Newly Added, Commodities, Hard metals, Risk management, oil, Commodities, Risk Metrics and Measurement, Commodities: Examples, Energy, Risk Management Strategies & Processes, Gold

A new study of volatility in commodity prices indicates that both the total and the decomposed variance risk premiums of at least certain commodities markets contain information with predictive power. The variance risk premium is the pay-off of the synthetic variance swap contract. Specifically, it’s the difference between the floatingRead More


Neural Networks and EPS Prediction

Jul 12th, 2018 | Filed under: Newly Added, Technology, Risk Management Strategies & Processes, Risk Management & Operations, Other Topics in A.I.

Yes, it sounds a bit like the phrase “jumbo shrimp,” in terms of sense, but a “long short-term memory neural network” is an important recent advance in artificial intelligence research. The term refers to a neural network devised with “forget gates” attached to cells of memory, originally in order toRead More


Ben Graham Conference at Fordham: Value Very Much Alive

Jul 2nd, 2018 | Filed under: Newly Added, The A.I. Industry, Alternative Investments in Context, Risk Management & Operations

The fifth Ben Graham Annual Conference, the marquee event of the CFA Society New York, took place as scheduled on June 27, at Fordham University, Lincoln Center. As its name suggests, this conference is intended to promote, and to share ideas about the application of, the investment principles of BenjaminRead More


Blockchains: Hyped but Here to Stay

Jun 17th, 2018 | Filed under: Newly Added, Operations, Risk Management & Operations

In a recent white paper, a trend analyst and a portfolio manager at Robeco put their heads together to look at the value of blockchains, or more formally of “distributed ledger technology,” in the financial world. Jeroen van Oerle (the analyst) and Patrick Iemmens (the manager) contend that there isRead More


The Irrelevance of Dodd-Frank & Memories of the Crisis

May 28th, 2018 | Filed under: Newly Added, Credit Derivatives, Risk Management Strategies & Processes, Structured Credit Products, Structured Products, Risk Management & Operations

There has been some political excitement of late concerning the repeal of part of the Dodd-Frank statute, which was the great post-crisis reform bill that sought to remake the financial regulatory system in the United States. On Thursday, May 24, President Trump signed a bill that exempts dozens of banksRead More


Greenwich Associates on Exchange-Listed Options

May 22nd, 2018 | Filed under: Newly Added, Risk management, Risk Metrics and Measurement, Risk Management Strategies & Processes, Risk Management & Operations

Greenwich Associates has produced research, commissioned by the Options Industry Council, about the way institutional investors understand exchange listed options. Greenwich concludes that underperforming institutions, including pension plans and endowments, “should be considering investments in options strategies as a means to improve risk-adjusted returns.” Institutions not currently doing so mayRead More