Browsing: Risk Metrics and Measurement

Measures of Risk
Estimating Value at Risk (VaR)

Risk Metrics and Measurement

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


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


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


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


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


Options-based Strategies and their Pay-offs

Apr 10th, 2018 | Filed under: Newly Added, Financial Economics Theory, Behavioral finance, Risk Metrics and Measurement, Risk Management & Operations, Finance & Economics

Roberto Obregon, of the Meketa Investment Group, has written a paper (available at SSRN) on the use of options-based equity strategies. Obregon is the author of a number of scholarly papers on alternative strategies, including one last fall on global macro, which he co-authored with Willam Dana. In his optionsRead More


Why Treasury Professionals are Building Cash Reserves

Mar 25th, 2018 | Filed under: Newly Added, Risk management, Risk Metrics and Measurement, Risk Management Strategies & Processes, Risk Management & Operations

The Association of Finance Professionals recently disclosed, via its Corporate Cash Indicators, that U.S. corporations accumulated more cash in the third quarter of 2017 than had been anticipated. This is consistent with other indications: corporations are concerned about the risks of the present environment and are working to ensure theyRead More


Reducing Dependence on (L)IBOR

Mar 15th, 2018 | Filed under: Newly Added, The Global Economy & Currencies, Risk Metrics and Measurement, Risk Management & Operations, Finance & Economics

A creation of the mid-1980s, the London Interbank Offered rate (LIBOR) became immensely influential over the three decades that followed. It became a reference rate for both finance and commerce for the rate of nearly risk-free interest, and in the process it spawned other IBORs, including EURIBOR and Japan’s TIBOR.Read More


News from AIMA: Performance and UK Regs

Feb 27th, 2018 | Filed under: Newly Added, Risk management, Hedge Funds, Risk Metrics and Measurement, Risk Management Strategies & Processes, Risk Management & Operations

New research by the Alternative Investment Management Association (AIMA), in collaboration with Preqin, indicates that hedge funds have produced “more consistent and steadier returns than equities or bonds over both the short term and the long term.” The study employed four scales of time: one year, three, five, and 10Read More


A Rhetorical Oracle?

Feb 26th, 2018 | Filed under: Newly Added, What about beta?, Hedge Fund Industry Trends, Risk Metrics and Measurement, Fees, Structure of the Hedge Funds Industry

By Bill Kelly, CEO, CAIA Association Warren Buffett cashed out his bet and the final numbers are in courtesy of the Oracle’s annual shareholder letter. Unfortunately, the most important investment lessons have been completely lost, as the media and the investment sage have mostly used this as an opportunity toRead More


The Unrecognized Risks of Short Vol Strategies

Feb 25th, 2018 | Filed under: Newly Added, Financial Economics Theory, Risk Metrics and Measurement, Risk Management & Operations, Finance & Economics

Vineer Bhansali and Lawrence Harris have written a scholarly paper on what they call the “extraordinary growth of short volatility strategies” since late 2010. A lot of people and institutions seem to have come to the conclusion that spiking volatility is just that. A “spike” on a chart is definitionallyRead More


Due Diligence Requires Deep Dives into Data

Nov 7th, 2017 | Filed under: Newly Added, Due Diligence Process, Risk Metrics and Measurement, Private Investments, Risk Management & Operations

The data and analysis provider eVestment has issued a new white paper on “enhancing private equity manager selection with deeper data.” PE funds below the top quartile have not materially outperformed the public markets as a matter of history. So for an institutional investor, earning alpha is in large measureRead More


Below the Black: A Review of Risk Reduction Strategies

Sep 13th, 2017 | Filed under: Newly Added, Commodities, Hedge Fund Strategies, Investing in Commodities, Risk management, Hedge Funds, Commodities, Risk Metrics and Measurement, Macro and Managed Futures Funds, Risk Management Strategies & Processes, Risk Management & Operations

Excerpted from the Alternative Investment Analyst Review, Volume 1, Issue 4 The Alternative Investment Analyst Review is the official publication of the CAIA Association. Access to the most current issue is an exclusive benefit of CAIA Membership while archived issues are available to the public in the Perspectives section atRead More