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	<title>AllAboutAlpha: Hedge Fund Trends &#38; Alternative Investment Analysis &#187; CAPM / Alpha Theory</title>
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	<link>http://allaboutalpha.com/blog</link>
	<description>A finance blog about hedge funds, portable alpha and alternative investing.</description>
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		<title>Idiosyncratic Risk Puzzle Solved: Not All Investors Are The Same</title>
		<link>http://allaboutalpha.com/blog/2011/11/20/idiosyncratic-risk-puzzle-solved-not-all-investors-are-the-same/</link>
		<comments>http://allaboutalpha.com/blog/2011/11/20/idiosyncratic-risk-puzzle-solved-not-all-investors-are-the-same/#comments</comments>
		<pubDate>Mon, 21 Nov 2011 00:00:29 +0000</pubDate>
		<dc:creator>cfaille</dc:creator>
				<category><![CDATA[Alpha Strategies]]></category>
		<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Performance, Analytics & Metrics]]></category>
		<category><![CDATA[Today's Post]]></category>
		<category><![CDATA[Alpha]]></category>
		<category><![CDATA[idosyncratic risk]]></category>
		<category><![CDATA[risk]]></category>
		<category><![CDATA[short]]></category>
		<category><![CDATA[short-selling]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=24034</guid>
		<description><![CDATA[Intuition (codified by many models) suggests that investors have to be bribed to accept risk, so that there ought to be a positive link for any given class of security between the amount of risk, and thus the measurement of volatility, on the one hand, and expected return on the other. A puzzle arises, then, from empirical research indicating that “idiosyncratic” volatility, that is, the volatility due to the characteristics of a specific security, is negatively correlated with return once one passes the mid-point of the range of volatility.  ]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2011/11/20/idiosyncratic-risk-puzzle-solved-not-all-investors-are-the-same/feed/</wfw:commentRss>
		<slash:comments>2</slash:comments>
		</item>
		<item>
		<title>Derman: Why All Models Are Toys</title>
		<link>http://allaboutalpha.com/blog/2011/11/10/derman-why-all-models-are-toys/</link>
		<comments>http://allaboutalpha.com/blog/2011/11/10/derman-why-all-models-are-toys/#comments</comments>
		<pubDate>Fri, 11 Nov 2011 00:06:31 +0000</pubDate>
		<dc:creator>cfaille</dc:creator>
				<category><![CDATA[Alpha Strategies]]></category>
		<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Derivatives]]></category>
		<category><![CDATA[Institutional Investing]]></category>
		<category><![CDATA[Performance, Analytics & Metrics]]></category>
		<category><![CDATA[Portable Alpha & Alpha/Beta Separation]]></category>
		<category><![CDATA[Recommended Books]]></category>
		<category><![CDATA[Timely Research]]></category>
		<category><![CDATA[Today's Post]]></category>
		<category><![CDATA[Alpha]]></category>
		<category><![CDATA[Black-Scholes]]></category>
		<category><![CDATA[Emanuel Derman]]></category>
		<category><![CDATA[measuring alpha]]></category>
		<category><![CDATA[modeling]]></category>
		<category><![CDATA[Nassim Nicholas Taleb]]></category>
		<category><![CDATA[options]]></category>
		<category><![CDATA[options pricing]]></category>
		<category><![CDATA[risk managememt]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=24018</guid>
		<description><![CDATA[In general, this is what models are, “metaphors that compare the object of their attention to something else that it resembles.” This makes them inherently different from theories, which stand on their own feet and describe the world as it is. Economics doesn’t have theories, at best it has models. Consider the word “liquidity,” which I used above and which figures in a lot of economic models. This is obviously a metaphor, and its non-literal character has consequences. In finance, Derman says, everybody “thinks he knows what liquidity means, yet no one has adequately defined and quantified it.”]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2011/11/10/derman-why-all-models-are-toys/feed/</wfw:commentRss>
		<slash:comments>1</slash:comments>
		</item>
		<item>
		<title>Sibling Rivals: CAPM versus The Risk Parity Portfolio</title>
		<link>http://allaboutalpha.com/blog/2011/08/16/sibling-rivals-capm-versus-the-risk-parity-portfolio/</link>
		<comments>http://allaboutalpha.com/blog/2011/08/16/sibling-rivals-capm-versus-the-risk-parity-portfolio/#comments</comments>
		<pubDate>Wed, 17 Aug 2011 00:37:02 +0000</pubDate>
		<dc:creator>AAA Staff</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Hedge Fund Industry Trends]]></category>
		<category><![CDATA[Hedge Fund Operations and Risk Management]]></category>
		<category><![CDATA[Institutional Investing]]></category>
		<category><![CDATA[Performance, Analytics & Metrics]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=22674</guid>
		<description><![CDATA[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 Asset Pricing Model (CAPM) are sibling rivals. [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2011/08/16/sibling-rivals-capm-versus-the-risk-parity-portfolio/feed/</wfw:commentRss>
		<slash:comments>2</slash:comments>
		</item>
		<item>
		<title>How well does your hedge fund hedge?</title>
		<link>http://allaboutalpha.com/blog/2011/07/05/how-well-does-your-hedge-fund-hedge/</link>
		<comments>http://allaboutalpha.com/blog/2011/07/05/how-well-does-your-hedge-fund-hedge/#comments</comments>
		<pubDate>Wed, 06 Jul 2011 00:45:18 +0000</pubDate>
		<dc:creator>Guest</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Hedge Fund Operations and Risk Management]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=22075</guid>
		<description><![CDATA[A perfectly "hedged" fund is one which has no downside risk. Its payoff relative to the market or some other benchmark is the same as that of the fund plus a put option that provides protection against the downside.  In the real world...]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2011/07/05/how-well-does-your-hedge-fund-hedge/feed/</wfw:commentRss>
		<slash:comments>4</slash:comments>
		</item>
		<item>
		<title>In Search of Crisis Alpha: A Short Guide to Investing in Managed Futures</title>
		<link>http://allaboutalpha.com/blog/2011/05/23/in-search-of-crisis-alpha-a-short-guide-to-investing-in-managed-futures/</link>
		<comments>http://allaboutalpha.com/blog/2011/05/23/in-search-of-crisis-alpha-a-short-guide-to-investing-in-managed-futures/#comments</comments>
		<pubDate>Mon, 23 May 2011 13:10:40 +0000</pubDate>
		<dc:creator>icappelletti</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Dossier]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=21391</guid>
		<description><![CDATA[By: CME 
Published: May 2011
Abstract: Most investment strategies are susceptible to suffering devastating losses during equity market crisis. Given this, for almost any investor, the key to finding true diversification is in finding an investment which is able to deliver performance during these turbulent periods. The recent losses of the credit crisis have also reinforced [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2011/05/23/in-search-of-crisis-alpha-a-short-guide-to-investing-in-managed-futures/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Alpha not &#8220;dead&#8221; &#8211; just not always better than beta (as long as you&#8217;re sure about the future direction of markets of course)</title>
		<link>http://allaboutalpha.com/blog/2011/05/01/alpha-not-dead-just-not-always-better-than-beta-as-long-as-youre-sure-about-the-future-direction-of-markets-of-course/</link>
		<comments>http://allaboutalpha.com/blog/2011/05/01/alpha-not-dead-just-not-always-better-than-beta-as-long-as-youre-sure-about-the-future-direction-of-markets-of-course/#comments</comments>
		<pubDate>Mon, 02 May 2011 01:00:21 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=20794</guid>
		<description><![CDATA[A recent research note concludes that alpha (as a performance measure) passed away recently after along battle with beta-tosis and several other ailments.  But wait!  Did Alpha's nose just twitch?]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2011/05/01/alpha-not-dead-just-not-always-better-than-beta-as-long-as-youre-sure-about-the-future-direction-of-markets-of-course/feed/</wfw:commentRss>
		<slash:comments>1</slash:comments>
		</item>
		<item>
		<title>The Interaction of Demand and Supply Curves for Alpha</title>
		<link>http://allaboutalpha.com/blog/2011/04/20/the-interaction-of-demand-and-supply-curves-for-alpha/</link>
		<comments>http://allaboutalpha.com/blog/2011/04/20/the-interaction-of-demand-and-supply-curves-for-alpha/#comments</comments>
		<pubDate>Wed, 20 Apr 2011 23:00:31 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=20610</guid>
		<description><![CDATA[If only the marketplace for alpha fit neatly into a model from an Economics textbook.]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2011/04/20/the-interaction-of-demand-and-supply-curves-for-alpha/feed/</wfw:commentRss>
		<slash:comments>1</slash:comments>
		</item>
		<item>
		<title>New spin on the Fundamental Law of Active Management finds US mutual funds were &#8220;a victim of their own success&#8221;</title>
		<link>http://allaboutalpha.com/blog/2011/03/31/new-spin-on-the-fundamental-law-of-active-management-finds-us-mutual-funds-were-a-victim-of-their-own-success/</link>
		<comments>http://allaboutalpha.com/blog/2011/03/31/new-spin-on-the-fundamental-law-of-active-management-finds-us-mutual-funds-were-a-victim-of-their-own-success/#comments</comments>
		<pubDate>Fri, 01 Apr 2011 01:00:51 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Real Estate]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=19886</guid>
		<description><![CDATA[Finally, a version of the Fundamental Law that fundamental managers can actually use.  But be forewarned, if you're a fundamental mutual fund manager, you won't like what it has to say...   ]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2011/03/31/new-spin-on-the-fundamental-law-of-active-management-finds-us-mutual-funds-were-a-victim-of-their-own-success/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>The &#8220;Most Diversified Portfolio&#8221;</title>
		<link>http://allaboutalpha.com/blog/2011/03/27/the-most-diversified-portfolio/</link>
		<comments>http://allaboutalpha.com/blog/2011/03/27/the-most-diversified-portfolio/#comments</comments>
		<pubDate>Mon, 28 Mar 2011 02:10:00 +0000</pubDate>
		<dc:creator>Guest</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=20071</guid>
		<description><![CDATA[Think your basket of thousands of stocks is the most diversified portfolio possible?  Maybe not...]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2011/03/27/the-most-diversified-portfolio/feed/</wfw:commentRss>
		<slash:comments>6</slash:comments>
		</item>
		<item>
		<title>Study finds that factor timing isn&#8217;t actually a huge source of hedge fund alpha</title>
		<link>http://allaboutalpha.com/blog/2011/03/16/study-finds-that-factor-timing-isnt-actually-a-huge-source-of-hedge-fund-alpha/</link>
		<comments>http://allaboutalpha.com/blog/2011/03/16/study-finds-that-factor-timing-isnt-actually-a-huge-source-of-hedge-fund-alpha/#comments</comments>
		<pubDate>Thu, 17 Mar 2011 01:00:44 +0000</pubDate>
		<dc:creator>AAA Staff</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=20008</guid>
		<description><![CDATA[In the never-ending search for the source of hedge fund alpha, some have looked to factor timing. But a new study suggests that this, like many other possible explanations, falls short of explaining the hedge fund secret sauce.]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2011/03/16/study-finds-that-factor-timing-isnt-actually-a-huge-source-of-hedge-fund-alpha/feed/</wfw:commentRss>
		<slash:comments>1</slash:comments>
		</item>
		<item>
		<title>Managers operating in mature and &#8220;efficient&#8221; markets rejoice!  Study finds you too can generate alpha.</title>
		<link>http://allaboutalpha.com/blog/2011/02/22/managers-operating-in-mature-and-efficient-markets-rejoice-study-finds-you-too-can-generate-alpha/</link>
		<comments>http://allaboutalpha.com/blog/2011/02/22/managers-operating-in-mature-and-efficient-markets-rejoice-study-finds-you-too-can-generate-alpha/#comments</comments>
		<pubDate>Wed, 23 Feb 2011 01:00:12 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Academic Research]]></category>
		<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=19164</guid>
		<description><![CDATA[Thought managers in "inefficient markets" like emerging markets or small cap equities had the advantage when it comes to alpha-generation?  Maybe not...]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2011/02/22/managers-operating-in-mature-and-efficient-markets-rejoice-study-finds-you-too-can-generate-alpha/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Institutional ownership nears all-time highs.  Good or bad for alpha-seekers?</title>
		<link>http://allaboutalpha.com/blog/2011/02/02/institutional-ownership-nears-all-time-highs-good-or-bad-for-alpha-seekers/</link>
		<comments>http://allaboutalpha.com/blog/2011/02/02/institutional-ownership-nears-all-time-highs-good-or-bad-for-alpha-seekers/#comments</comments>
		<pubDate>Thu, 03 Feb 2011 01:00:52 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=18894</guid>
		<description><![CDATA[If a recent study of French institutional investors can be applied to a recent report on US equity markets, alpha opportunities abound for years to come.]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2011/02/02/institutional-ownership-nears-all-time-highs-good-or-bad-for-alpha-seekers/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Diversification: Often Discussed, but Frequently Misunderstood</title>
		<link>http://allaboutalpha.com/blog/2011/01/28/diversification-often-discussed-but-frequently-misunderstood/</link>
		<comments>http://allaboutalpha.com/blog/2011/01/28/diversification-often-discussed-but-frequently-misunderstood/#comments</comments>
		<pubDate>Fri, 28 Jan 2011 21:17:59 +0000</pubDate>
		<dc:creator>icappelletti</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Dossier]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=18851</guid>
		<description><![CDATA[By: Welton 
Published: January 2011
Abstract: Diversification remains the cornerstone of modern portfolio theory.  Yet, during the financial crisis many “diversifying” investments readily followed the direction of the equity markets as they collapsed in 2008 and 2009.  This lesson forced investors to revisit their longest-standing beliefs about asset allocation, leading many to suspect that [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2011/01/28/diversification-often-discussed-but-frequently-misunderstood/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Study finds private equity &#8220;four-peats&#8221; can be more difficult than previously thought</title>
		<link>http://allaboutalpha.com/blog/2011/01/19/study-find-private-equity-four-peats-can-be-more-difficult-than-previously-thought/</link>
		<comments>http://allaboutalpha.com/blog/2011/01/19/study-find-private-equity-four-peats-can-be-more-difficult-than-previously-thought/#comments</comments>
		<pubDate>Thu, 20 Jan 2011 01:00:02 +0000</pubDate>
		<dc:creator>AAA Staff</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=18627</guid>
		<description><![CDATA[Success breeds success – and expectations of continued success. Except in private equity, where success bodes reversion to the mean, a recent study on performance persistence argues.]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2011/01/19/study-find-private-equity-four-peats-can-be-more-difficult-than-previously-thought/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Mutual funds with far-away holdings found to mimic hedge funds</title>
		<link>http://allaboutalpha.com/blog/2011/01/11/mutual-funds-with-far-away-holdings-found-to-mimic-hedge-funds/</link>
		<comments>http://allaboutalpha.com/blog/2011/01/11/mutual-funds-with-far-away-holdings-found-to-mimic-hedge-funds/#comments</comments>
		<pubDate>Wed, 12 Jan 2011 01:00:39 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Academic Research]]></category>
		<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=18215</guid>
		<description><![CDATA[A transnational study of mutual funds sheds light on one of the secrets of hedge funds' overall success. ]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2011/01/11/mutual-funds-with-far-away-holdings-found-to-mimic-hedge-funds/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Pop Quiz for Long/Short Equity Investors: When does a high &#8220;up-capture&#8221; not cost you a commensurately high &#8220;down-capture&#8221;?</title>
		<link>http://allaboutalpha.com/blog/2010/12/07/pop-quiz-for-longshort-equity-investors-when-does-a-high-up-capture-not-cost-you-a-commensurately-high-down-capture/</link>
		<comments>http://allaboutalpha.com/blog/2010/12/07/pop-quiz-for-longshort-equity-investors-when-does-a-high-up-capture-not-cost-you-a-commensurately-high-down-capture/#comments</comments>
		<pubDate>Wed, 08 Dec 2010 01:00:10 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=17397</guid>
		<description><![CDATA[The dream long/short equity fund is one that has a high market "up-capture" with little or no market "down-capture".  But how do you find your dream fund when up-capture and down-capture fluctuate all the time?  Here's one innovative idea...   ]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2010/12/07/pop-quiz-for-longshort-equity-investors-when-does-a-high-up-capture-not-cost-you-a-commensurately-high-down-capture/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Active Share and Mutual Fund Performance</title>
		<link>http://allaboutalpha.com/blog/2010/11/30/active-share-and-mutual-fund-performance/</link>
		<comments>http://allaboutalpha.com/blog/2010/11/30/active-share-and-mutual-fund-performance/#comments</comments>
		<pubDate>Tue, 30 Nov 2010 15:21:09 +0000</pubDate>
		<dc:creator>icappelletti</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Dossier]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=17701</guid>
		<description><![CDATA[By: Antti Petajisto 
Published: September 2010
Abstract: I sort domestic all-equity mutual funds into different categories of active management using Active Share and tracking error, as suggested by Cremers and Petajisto (2009). I find that over my sample period until the end of 2009, the most active stock pickers have outperformed their benchmark indices even after [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2010/11/30/active-share-and-mutual-fund-performance/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Finding money where there&#8217;s no liquidity</title>
		<link>http://allaboutalpha.com/blog/2010/11/17/finding-money-where-theres-no-liquidity/</link>
		<comments>http://allaboutalpha.com/blog/2010/11/17/finding-money-where-theres-no-liquidity/#comments</comments>
		<pubDate>Thu, 18 Nov 2010 02:05:45 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=17264</guid>
		<description><![CDATA[Retail and high net worth investors can now gain access to hedge funds through a number of more liquid vehicles.  But is their liquidity one of the very reasons their performance may be lower? ]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2010/11/17/finding-money-where-theres-no-liquidity/feed/</wfw:commentRss>
		<slash:comments>2</slash:comments>
		</item>
		<item>
		<title>Hubbert&#8217;s Peak: Is the world running out of &#8220;cheap alpha?&#8221; If so, here&#8217;s an idea&#8230;</title>
		<link>http://allaboutalpha.com/blog/2010/11/12/hubberts-peak-is-the-world-running-out-of-cheap-alpha-if-so-heres-an-idea/</link>
		<comments>http://allaboutalpha.com/blog/2010/11/12/hubberts-peak-is-the-world-running-out-of-cheap-alpha-if-so-heres-an-idea/#comments</comments>
		<pubDate>Fri, 12 Nov 2010 12:36:00 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=19821</guid>
		<description><![CDATA[The search for alpha is much like the search for oil, prompting us to muse a few years ago about whether there was going to be a Hubbert&#8217;s Peak in alpha.  But regardless of whether the world is running out of &#8220;cheap alpha,&#8221; the process of refining crude returns into something that can power [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2010/11/12/hubberts-peak-is-the-world-running-out-of-cheap-alpha-if-so-heres-an-idea/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Stock-picking alpha in a life or death struggle?</title>
		<link>http://allaboutalpha.com/blog/2010/10/31/stock-picking-alpha-in-a-life-or-death-struggle/</link>
		<comments>http://allaboutalpha.com/blog/2010/10/31/stock-picking-alpha-in-a-life-or-death-struggle/#comments</comments>
		<pubDate>Mon, 01 Nov 2010 00:00:17 +0000</pubDate>
		<dc:creator>AAA Staff</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=16866</guid>
		<description><![CDATA[With stock dispersion at all-time lows, is the art of stock-picking dead or just napping?  ]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2010/10/31/stock-picking-alpha-in-a-life-or-death-struggle/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Downer for hedge fund managers: Apparently you have no skill, talent or alpha</title>
		<link>http://allaboutalpha.com/blog/2010/10/06/downer-for-hedge-fund-managers-apparently-you-have-no-skill-talent-or-alpha/</link>
		<comments>http://allaboutalpha.com/blog/2010/10/06/downer-for-hedge-fund-managers-apparently-you-have-no-skill-talent-or-alpha/#comments</comments>
		<pubDate>Thu, 07 Oct 2010 00:00:10 +0000</pubDate>
		<dc:creator>AAA Staff</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=16276</guid>
		<description><![CDATA[A recent academic study finds that hedge fund managers has "zero" ability to put their market timing skills to proper use and produce alpha.  ]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2010/10/06/downer-for-hedge-fund-managers-apparently-you-have-no-skill-talent-or-alpha/feed/</wfw:commentRss>
		<slash:comments>2</slash:comments>
		</item>
		<item>
		<title>Modern Portfolio Theory: Break free dude!</title>
		<link>http://allaboutalpha.com/blog/2010/08/12/modern-portfolio-theory-break-free-dude/</link>
		<comments>http://allaboutalpha.com/blog/2010/08/12/modern-portfolio-theory-break-free-dude/#comments</comments>
		<pubDate>Fri, 13 Aug 2010 00:00:18 +0000</pubDate>
		<dc:creator>AAA Staff</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=15065</guid>
		<description><![CDATA[Modern portfolio theory, the hallmark of institutional investing, isn't so modern anymore, according to a new report by State Street that encourages embracing new types of risk models and investment options.]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2010/08/12/modern-portfolio-theory-break-free-dude/feed/</wfw:commentRss>
		<slash:comments>7</slash:comments>
		</item>
		<item>
		<title>New factor on the block: Research suggests you don&#8217;t need alternative investments to get an &#8220;illiquidity premium&#8221;</title>
		<link>http://allaboutalpha.com/blog/2010/08/02/a-factor-is-born-research-suggests-you-dont-need-alternative-investments-to-harvest-an-illiquidity-premium/</link>
		<comments>http://allaboutalpha.com/blog/2010/08/02/a-factor-is-born-research-suggests-you-dont-need-alternative-investments-to-harvest-an-illiquidity-premium/#comments</comments>
		<pubDate>Tue, 03 Aug 2010 00:00:53 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Academic Research]]></category>
		<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=14850</guid>
		<description><![CDATA[Move over "momentum factor", there's a new kid in town and it's one that is familiar to the alternative investment industry. ]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2010/08/02/a-factor-is-born-research-suggests-you-dont-need-alternative-investments-to-harvest-an-illiquidity-premium/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Study finds market &#8220;under-reaction&#8221; to Buffett&#8217;s 13F filings, proposes trading strategy to exploit it</title>
		<link>http://allaboutalpha.com/blog/2010/07/28/study-finds-market-under-reaction-to-buffetts-13f-filings-proposes-trading-strategy-to-exploit-it/</link>
		<comments>http://allaboutalpha.com/blog/2010/07/28/study-finds-market-under-reaction-to-buffetts-13f-filings-proposes-trading-strategy-to-exploit-it/#comments</comments>
		<pubDate>Thu, 29 Jul 2010 00:00:52 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Academic Research]]></category>
		<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=14578</guid>
		<description><![CDATA[In an age where hair-trigger investors exploit information in nanoseconds, here's a trade you can apparently take your sweet time to make.]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2010/07/28/study-finds-market-under-reaction-to-buffetts-13f-filings-proposes-trading-strategy-to-exploit-it/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Managed Futures: A New View</title>
		<link>http://allaboutalpha.com/blog/2010/07/15/managed-futures-a-new-view/</link>
		<comments>http://allaboutalpha.com/blog/2010/07/15/managed-futures-a-new-view/#comments</comments>
		<pubDate>Thu, 15 Jul 2010 14:31:12 +0000</pubDate>
		<dc:creator>icappelletti</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Dossier]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=14513</guid>
		<description><![CDATA[By: Welton Investment Corporation
Published: July 2010
Abstract: Managed futures is one of the oldest and most established alternative investments, yet many investors are unfamiliar with the strategy’s performance traits. A fresh look at the strategy’s past performance in the chart below reveals its tendency toward controlled downside risk, with an asymmetric tendency toward upside performance. This [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2010/07/15/managed-futures-a-new-view/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Capturing Political Alpha</title>
		<link>http://allaboutalpha.com/blog/2010/05/23/capturing-political-alpha/</link>
		<comments>http://allaboutalpha.com/blog/2010/05/23/capturing-political-alpha/#comments</comments>
		<pubDate>Mon, 24 May 2010 00:00:59 +0000</pubDate>
		<dc:creator>Guest</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=12826</guid>
		<description><![CDATA[Here's another reason to count domestic and geopolitics as betas.]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2010/05/23/capturing-political-alpha/feed/</wfw:commentRss>
		<slash:comments>2</slash:comments>
		</item>
		<item>
		<title>When is alpha not really &#8220;alpha&#8221;?  When it&#8217;s &#8220;beta-alpha.&#8221;</title>
		<link>http://allaboutalpha.com/blog/2010/05/12/when-is-alpha-not-really-alpha-when-its-beta-alpha/</link>
		<comments>http://allaboutalpha.com/blog/2010/05/12/when-is-alpha-not-really-alpha-when-its-beta-alpha/#comments</comments>
		<pubDate>Thu, 13 May 2010 00:00:32 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Academic Research]]></category>
		<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=13169</guid>
		<description><![CDATA[A paper by a pair of institutional investment consultants challenges the notion of a "stock-picker's market" and finds that "beta-alpha" is the real source of returns - at least for US large cap managers.  ]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2010/05/12/when-is-alpha-not-really-alpha-when-its-beta-alpha/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>What NASCAR Can Teach Us About Return Persistence</title>
		<link>http://allaboutalpha.com/blog/2010/04/28/what-nascar-can-teach-us-about-return-persistence/</link>
		<comments>http://allaboutalpha.com/blog/2010/04/28/what-nascar-can-teach-us-about-return-persistence/#comments</comments>
		<pubDate>Thu, 29 Apr 2010 00:00:57 +0000</pubDate>
		<dc:creator>Guest</dc:creator>
				<category><![CDATA[Academic Research]]></category>
		<category><![CDATA[CAIA Alternative Viewpoints Columns]]></category>
		<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Guest Posts]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=12846</guid>
		<description><![CDATA[At the very least, NASCAR and Formula One share two things in common with the alternative asset management industry...]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2010/04/28/what-nascar-can-teach-us-about-return-persistence/feed/</wfw:commentRss>
		<slash:comments>2</slash:comments>
		</item>
		<item>
		<title>The Five Faces of Alpha (II): &#8220;True&#8221; alpha reveals itself</title>
		<link>http://allaboutalpha.com/blog/2010/04/07/the-five-faces-of-alpha-ii-true-alpha-reveals-itself/</link>
		<comments>http://allaboutalpha.com/blog/2010/04/07/the-five-faces-of-alpha-ii-true-alpha-reveals-itself/#comments</comments>
		<pubDate>Thu, 08 Apr 2010 00:00:54 +0000</pubDate>
		<dc:creator>Guest</dc:creator>
				<category><![CDATA[CAIA Alternative Viewpoints Columns]]></category>
		<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Hedge Fund Industry Trends]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=12470</guid>
		<description><![CDATA[Today we bring you part 2 of Erik Einertson&#8217;s special to AllAboutAlpha.com &#8220;The Five face of Alpha&#8221;  (first installment here)&#8230;
Alpha #2: Insurance Beta
The second type of “Alpha” often found in the market can be referred to as insurance beta or Informationless Investing (Weisman 2002). This type of exposure has persistent tilts towards strategies that have [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2010/04/07/the-five-faces-of-alpha-ii-true-alpha-reveals-itself/feed/</wfw:commentRss>
		<slash:comments>3</slash:comments>
		</item>
		<item>
		<title>The Five Faces of Alpha</title>
		<link>http://allaboutalpha.com/blog/2010/04/06/the-five-faces-of-alpha/</link>
		<comments>http://allaboutalpha.com/blog/2010/04/06/the-five-faces-of-alpha/#comments</comments>
		<pubDate>Wed, 07 Apr 2010 00:00:32 +0000</pubDate>
		<dc:creator>Guest</dc:creator>
				<category><![CDATA[CAIA Alternative Viewpoints Columns]]></category>
		<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=12452</guid>
		<description><![CDATA[As we have noted over the past several years, alpha is notoriously difficult to define and isolate since its existence depends not only on the target being observed, but on the perspective of its observer.  The more we study alpha, it seems, the less we know about it.
We are reminded of this irony by today&#8217;s [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2010/04/06/the-five-faces-of-alpha/feed/</wfw:commentRss>
		<slash:comments>1</slash:comments>
		</item>
		<item>
		<title>The Presidential Puzzle: Political Cycles and the Stock Market</title>
		<link>http://allaboutalpha.com/blog/2010/04/01/the-presidential-puzzle-political-cycles-and-the-stock-market/</link>
		<comments>http://allaboutalpha.com/blog/2010/04/01/the-presidential-puzzle-political-cycles-and-the-stock-market/#comments</comments>
		<pubDate>Thu, 01 Apr 2010 20:15:48 +0000</pubDate>
		<dc:creator>icappelletti</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Dossier]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=13517</guid>
		<description><![CDATA[By: Pedro Santa-Clara and Rossen Valkanov
Published: April 2010
Introduction: The excess return in the stock market is higher under Democratic than Republican presidencies: nine percent for the value-weighted and 16 percent for the equal-weighted portfolio. The difference comes from higher real stock returns and lower real interest rates, is statistically significant, and is robust in subsamples. [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2010/04/01/the-presidential-puzzle-political-cycles-and-the-stock-market/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Private Equity Performance: Returns, Persistence and Capital Flows</title>
		<link>http://allaboutalpha.com/blog/2010/04/01/private-equity-performance-returns-persistence-and-capital-flows/</link>
		<comments>http://allaboutalpha.com/blog/2010/04/01/private-equity-performance-returns-persistence-and-capital-flows/#comments</comments>
		<pubDate>Thu, 01 Apr 2010 15:08:21 +0000</pubDate>
		<dc:creator>AAA Staff</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Dossier]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=12990</guid>
		<description><![CDATA[By: Steve Kaplan and Antoinette Schoar
Published: April 2010
Abstract: This paper investigates the performance and capital inflows of private equity partnerships. Average fund returns (net of fees) approximately equal the S&#38;P 500 although there is substantial heterogeneity across funds. Returns persist strongly across dierent funds raised by a partnership. Better performing partnerships are more likely to [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2010/04/01/private-equity-performance-returns-persistence-and-capital-flows/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>The Beta-Alpha Ratio</title>
		<link>http://allaboutalpha.com/blog/2010/04/01/the-beta-alpha-ratio/</link>
		<comments>http://allaboutalpha.com/blog/2010/04/01/the-beta-alpha-ratio/#comments</comments>
		<pubDate>Thu, 01 Apr 2010 14:42:50 +0000</pubDate>
		<dc:creator>AAA Staff</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Dossier]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=13332</guid>
		<description><![CDATA[By: Eric J. Petroff
Published: April, 2010
Abstract: Predicting the future is very difficult. Predicting someone else’s ability to predict the future is even harder, if not outright impossible. Though we recognize there will never be a definitive process for identifying alpha generating managers ex-ante (ahead of time), this is not to mean we cannot take measures [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2010/04/01/the-beta-alpha-ratio/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Behaviour: Bear, Bull or Lemming?</title>
		<link>http://allaboutalpha.com/blog/2010/03/01/behaviour-bear-bull-or-lemming/</link>
		<comments>http://allaboutalpha.com/blog/2010/03/01/behaviour-bear-bull-or-lemming/#comments</comments>
		<pubDate>Mon, 01 Mar 2010 17:38:31 +0000</pubDate>
		<dc:creator>AAA Staff</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Dossier]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=10564</guid>
		<description><![CDATA[By: Lloyd&#8217;s
Published: March, 2010
Introduction: Underwriters take risks every day of their lives, yet many are unaware of the subconscious thoughts that are clouding their judgements. Behavioural theory tells us there are many unintended filters which distort the way we think about risk. Insurance professionals will benefit by being aware of these biases, leading to clearer [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2010/03/01/behaviour-bear-bull-or-lemming/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>The Value of the Pole: Evidence from NASCAR</title>
		<link>http://allaboutalpha.com/blog/2010/03/01/the-value-of-the-pole-evidence-from-nascar/</link>
		<comments>http://allaboutalpha.com/blog/2010/03/01/the-value-of-the-pole-evidence-from-nascar/#comments</comments>
		<pubDate>Mon, 01 Mar 2010 15:02:47 +0000</pubDate>
		<dc:creator>AAA Staff</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Dossier]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=12987</guid>
		<description><![CDATA[By: Craig Depken
Published: March, 2010
Abstract: This paper investigates the value of the pole-position over the history of NASCAR. Early in the sport’s history, the pole-sitter enjoyed a considerable advantage over other racers both in terms of the probability of winning a race and in the percentage of a race’s purse won. Over time, however, the [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2010/03/01/the-value-of-the-pole-evidence-from-nascar/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Examining &#8220;Real Alpha&#8221; and &#8220;Exotic Beta&#8221; in mutual funds</title>
		<link>http://allaboutalpha.com/blog/2010/02/01/examining-real-alpha-and-exotic-beta-in-mutual-funds/</link>
		<comments>http://allaboutalpha.com/blog/2010/02/01/examining-real-alpha-and-exotic-beta-in-mutual-funds/#comments</comments>
		<pubDate>Tue, 02 Feb 2010 02:00:20 +0000</pubDate>
		<dc:creator>Guest</dc:creator>
				<category><![CDATA[Academic Research]]></category>
		<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Retail Investing]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=9068</guid>
		<description><![CDATA[Usually the term "exotic beta" is associated with hedge funds.  Finally, it's being applied to the largest pool of active management - mutual funds. ]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2010/02/01/examining-real-alpha-and-exotic-beta-in-mutual-funds/feed/</wfw:commentRss>
		<slash:comments>2</slash:comments>
		</item>
		<item>
		<title>New study of mutual fund alpha shows that what-goes-around-comes-around</title>
		<link>http://allaboutalpha.com/blog/2010/01/27/new-study-of-mutual-fund-alpha-shows-that-what-goes-around-comes-around/</link>
		<comments>http://allaboutalpha.com/blog/2010/01/27/new-study-of-mutual-fund-alpha-shows-that-what-goes-around-comes-around/#comments</comments>
		<pubDate>Thu, 28 Jan 2010 01:47:37 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Academic Research]]></category>
		<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=9022</guid>
		<description><![CDATA[A study of the variables driving mutual fund alpha also reveals something about the changing nature of markets themselves. ]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2010/01/27/new-study-of-mutual-fund-alpha-shows-that-what-goes-around-comes-around/feed/</wfw:commentRss>
		<slash:comments>1</slash:comments>
		</item>
		<item>
		<title>The Value and Price of Active Management</title>
		<link>http://allaboutalpha.com/blog/2009/12/26/the-value-and-price-of-active-management/</link>
		<comments>http://allaboutalpha.com/blog/2009/12/26/the-value-and-price-of-active-management/#comments</comments>
		<pubDate>Sat, 26 Dec 2009 18:46:56 +0000</pubDate>
		<dc:creator>icappelletti</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Dossier]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2009/12/26/the-value-and-price-of-active-management/</guid>
		<description><![CDATA[By: Brian J. Jacobsen, Ph. D., J.D.
Published: Dec 26, 2009
Abstract: This paper establishes an arbitrage pricing framework for evaluating how valuable fund managers really are. This simple framework allows for an investor to determine whether a manager is over or underpaid by looking at the relationship between the manager’s up-capture and down-capture ratio. The relationship [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/12/26/the-value-and-price-of-active-management/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Do Taxes Matter in the CAPM?</title>
		<link>http://allaboutalpha.com/blog/2009/12/01/do-taxes-matter-in-the-capm/</link>
		<comments>http://allaboutalpha.com/blog/2009/12/01/do-taxes-matter-in-the-capm/#comments</comments>
		<pubDate>Tue, 01 Dec 2009 14:12:29 +0000</pubDate>
		<dc:creator>AAA Staff</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Dossier]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=12638</guid>
		<description><![CDATA[By: Lutz Kruschwitz
Published: December 1, 2009
Abstract: The traditional literature on the CAPM assumes that investor&#8217;s tax payments simply vanish from the model. This assumption is not at all consistent with the actual behavior of the Treasury. The theory of general equilibrium states that an interest rate rf = 0 will not affect prices if taxes [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/12/01/do-taxes-matter-in-the-capm/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Why bother separating alpha and beta?  Here&#8217;s why.</title>
		<link>http://allaboutalpha.com/blog/2009/11/08/why-bother-separating-alpha-and-beta-heres-why/</link>
		<comments>http://allaboutalpha.com/blog/2009/11/08/why-bother-separating-alpha-and-beta-heres-why/#comments</comments>
		<pubDate>Mon, 09 Nov 2009 00:00:21 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Academic Research]]></category>
		<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=7383</guid>
		<description><![CDATA[With the un-alpha-like performance of the hedge fund portion of portable alpha strategies last year, it's easy to disregard alpha/beta separation as hype.  But here's a must-read paper that shows why the concept is fundamentally sound.]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/11/08/why-bother-separating-alpha-and-beta-heres-why/feed/</wfw:commentRss>
		<slash:comments>1</slash:comments>
		</item>
		<item>
		<title>One reason why equity allocations may never fully recover from recent injuries</title>
		<link>http://allaboutalpha.com/blog/2009/10/28/one-reason-why-equity-allocations-may-never-fully-recover-from-recent-injuries/</link>
		<comments>http://allaboutalpha.com/blog/2009/10/28/one-reason-why-equity-allocations-may-never-fully-recover-from-recent-injuries/#comments</comments>
		<pubDate>Thu, 29 Oct 2009 00:42:50 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=7111</guid>
		<description><![CDATA[Institutional equity allocations have dropped along with the markets over the past 2 years.  But even as the market rebounds, there may be some fundamental reasons why institutional investors will throw in the towel on "60/40" for good this time around.]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/10/28/one-reason-why-equity-allocations-may-never-fully-recover-from-recent-injuries/feed/</wfw:commentRss>
		<slash:comments>1</slash:comments>
		</item>
		<item>
		<title>Measuring Alpha Based Performance: Implications for Alpha Focused, Structured Products</title>
		<link>http://allaboutalpha.com/blog/2009/10/14/measuring-alpha-based-performance-implications-for-alpha-focused-structured-products/</link>
		<comments>http://allaboutalpha.com/blog/2009/10/14/measuring-alpha-based-performance-implications-for-alpha-focused-structured-products/#comments</comments>
		<pubDate>Wed, 14 Oct 2009 14:52:45 +0000</pubDate>
		<dc:creator>AAA Staff</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Dossier]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=10814</guid>
		<description><![CDATA[By: Larry Gorman, Cal Poly
Published: October 14, 2009
Abstract: Portable Alpha, an alpha-focused absolute return product with tremendous potential, has met with somewhat muted demand. Much of the confusion arises from a lack of clear consensus regarding a strict definition of alpha. Inquiries by potential investors are too often met with off the cuff, vague, and [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/10/14/measuring-alpha-based-performance-implications-for-alpha-focused-structured-products/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Active management redeemed?</title>
		<link>http://allaboutalpha.com/blog/2009/10/05/active-management-redeemed/</link>
		<comments>http://allaboutalpha.com/blog/2009/10/05/active-management-redeemed/#comments</comments>
		<pubDate>Tue, 06 Oct 2009 00:00:41 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Academic Research]]></category>
		<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=6362</guid>
		<description><![CDATA[A plethora of studies have shown that, on average, active management doesn't pay.  But so many "active" funds are just closet indexers.  So what happens when you analyze only the truly active funds?  The results might surprise you. ]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/10/05/active-management-redeemed/feed/</wfw:commentRss>
		<slash:comments>1</slash:comments>
		</item>
		<item>
		<title>Hedge fund fame and fortune comes with strings attached says new paper</title>
		<link>http://allaboutalpha.com/blog/2009/08/31/hedge-fund-fame-and-fortune-comes-with-strings-attached-says-new-paper/</link>
		<comments>http://allaboutalpha.com/blog/2009/08/31/hedge-fund-fame-and-fortune-comes-with-strings-attached-says-new-paper/#comments</comments>
		<pubDate>Tue, 01 Sep 2009 00:00:57 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Academic Research]]></category>
		<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=5673</guid>
		<description><![CDATA[A new paper tries to put a value on the "redemption option" that a manager gives to investors and the "funding option" it gives to its prime brokers.  Too bad more hedge funds didn't read this before last year.]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/08/31/hedge-fund-fame-and-fortune-comes-with-strings-attached-says-new-paper/feed/</wfw:commentRss>
		<slash:comments>1</slash:comments>
		</item>
		<item>
		<title>Fund of Hedge Funds Diversification &amp; the Importance of Life Cycle</title>
		<link>http://allaboutalpha.com/blog/2009/08/11/fund-of-hedge-funds-diversification-the-importance-of-life-cycle/</link>
		<comments>http://allaboutalpha.com/blog/2009/08/11/fund-of-hedge-funds-diversification-the-importance-of-life-cycle/#comments</comments>
		<pubDate>Wed, 12 Aug 2009 00:00:09 +0000</pubDate>
		<dc:creator>Guest</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=5458</guid>
		<description><![CDATA[The number of underlying managers in a fund of funds can tell you a lot about redemption frequency - but not so much about fees.  So says a new academic study.]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/08/11/fund-of-hedge-funds-diversification-the-importance-of-life-cycle/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Do Active Funds Perform Better In Down Markets? New Evidence from Cross-Sectional Study</title>
		<link>http://allaboutalpha.com/blog/2009/08/01/do-active-funds-perform-better-in-down-markets-new-evidence-from-cross-sectional-study/</link>
		<comments>http://allaboutalpha.com/blog/2009/08/01/do-active-funds-perform-better-in-down-markets-new-evidence-from-cross-sectional-study/#comments</comments>
		<pubDate>Sat, 01 Aug 2009 16:24:59 +0000</pubDate>
		<dc:creator>icappelletti</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Dossier]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=6469</guid>
		<description><![CDATA[By: Zheng Sun, Ashley Wang, Lu Zheng
Published: August, 2009
Abstract: As discussed in Gruber (1996), the dramatic growth of actively managed funds constitutes a major puzzle in the finance literature. Despite the large amount of money invested in actively managed funds, these funds on average underperform their passive counterparts after fees. The existing literature proposes a [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/08/01/do-active-funds-perform-better-in-down-markets-new-evidence-from-cross-sectional-study/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>How Hollywood, lotteries and mutual funds show that all risk is relative</title>
		<link>http://allaboutalpha.com/blog/2009/07/06/how-hollywood-lotteries-and-mutual-funds-show-that-all-risk-is-relative/</link>
		<comments>http://allaboutalpha.com/blog/2009/07/06/how-hollywood-lotteries-and-mutual-funds-show-that-all-risk-is-relative/#comments</comments>
		<pubDate>Tue, 07 Jul 2009 00:00:48 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Academic Research]]></category>
		<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=4949</guid>
		<description><![CDATA[Since the birth of the CAPM, empirical evidence has been uncooperative - showing that high risk investments produce lower returns, not higher ones.  Now one author looks beyond equity markets and finds even more evidence against the vaunted CAPM.  ]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/07/06/how-hollywood-lotteries-and-mutual-funds-show-that-all-risk-is-relative/feed/</wfw:commentRss>
		<slash:comments>3</slash:comments>
		</item>
		<item>
		<title>Risk Management Framework for Hedge Funds Role of Funding and Redemption Options on Leverage</title>
		<link>http://allaboutalpha.com/blog/2009/07/01/risk-management-framework-for-hedge-funds-role-of-funding-and-redemption-options-on-leverage/</link>
		<comments>http://allaboutalpha.com/blog/2009/07/01/risk-management-framework-for-hedge-funds-role-of-funding-and-redemption-options-on-leverage/#comments</comments>
		<pubDate>Wed, 01 Jul 2009 21:01:02 +0000</pubDate>
		<dc:creator>icappelletti</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Dossier]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=5953</guid>
		<description><![CDATA[By: John Dai and Suresh Sundaresan (Capula Investment Management, London)
Published: July 2009
Abstract: We develop a model of hedge fund returns, which reflect the contractual relationships between a hedge fund, its investors and its prime brokers. These relationships are modelled as short option positions held by the hedge fund, wherein the “funding option” reflects the short [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/07/01/risk-management-framework-for-hedge-funds-role-of-funding-and-redemption-options-on-leverage/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Real Estate Alpha</title>
		<link>http://allaboutalpha.com/blog/2009/06/22/real-estate-alpha/</link>
		<comments>http://allaboutalpha.com/blog/2009/06/22/real-estate-alpha/#comments</comments>
		<pubDate>Tue, 23 Jun 2009 02:20:56 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Academic Research]]></category>
		<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=4903</guid>
		<description><![CDATA[A lot of research has been conducted on real estate mutual funds.  But precious little has ever been conducted on the alpha produced by institutional funds that invest in commercial real estate - until now... ]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/06/22/real-estate-alpha/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Crowds may not be so &#8220;wise&#8221; after all</title>
		<link>http://allaboutalpha.com/blog/2009/06/18/crowds-may-not-be-so-wise-after-all/</link>
		<comments>http://allaboutalpha.com/blog/2009/06/18/crowds-may-not-be-so-wise-after-all/#comments</comments>
		<pubDate>Fri, 19 Jun 2009 00:00:28 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=4888</guid>
		<description><![CDATA[A new book, an industry survey, and media reports have propelled the age-old topic of market efficiency into the spotlight this month.  ]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/06/18/crowds-may-not-be-so-wise-after-all/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Study hints that alpha may be finite (at least in the short term)</title>
		<link>http://allaboutalpha.com/blog/2009/06/14/study-hints-that-alpha-may-be-finite-at-least-in-the-short-term/</link>
		<comments>http://allaboutalpha.com/blog/2009/06/14/study-hints-that-alpha-may-be-finite-at-least-in-the-short-term/#comments</comments>
		<pubDate>Mon, 15 Jun 2009 00:48:04 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Academic Research]]></category>
		<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=4832</guid>
		<description><![CDATA[Is it a coincidence that hedge fund returns are exploding right after the biggest culling in the industry's history?]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/06/14/study-hints-that-alpha-may-be-finite-at-least-in-the-short-term/feed/</wfw:commentRss>
		<slash:comments>1</slash:comments>
		</item>
		<item>
		<title>What Now?Active or Passive Management? Examining Real Alpha and Exotic Beta</title>
		<link>http://allaboutalpha.com/blog/2009/04/01/what-now%e2%80%95active-or-passive-management-examining-real-alpha-and-exotic-beta/</link>
		<comments>http://allaboutalpha.com/blog/2009/04/01/what-now%e2%80%95active-or-passive-management-examining-real-alpha-and-exotic-beta/#comments</comments>
		<pubDate>Wed, 01 Apr 2009 14:10:20 +0000</pubDate>
		<dc:creator>icappelletti</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Dossier]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=9132</guid>
		<description><![CDATA[By: Jane Li, CFA, CAIA
Published: April 2009
Introduction: In late 2007, we published Practical Applications of Active and Passive Investment Management: Examining Real Alpha and Exotic Beta. The economic environment has changed dramatically since the last study. The U.S. entered a recession in December 2007 and most major equity indices have lost more than half of [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/04/01/what-now%e2%80%95active-or-passive-management-examining-real-alpha-and-exotic-beta/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Practical Portfolio Optimization</title>
		<link>http://allaboutalpha.com/blog/2009/03/01/practical-portfolio-optimization/</link>
		<comments>http://allaboutalpha.com/blog/2009/03/01/practical-portfolio-optimization/#comments</comments>
		<pubDate>Sun, 01 Mar 2009 16:19:11 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Dossier]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=4830</guid>
		<description><![CDATA[By: K V Fernando (Oxford)
Published: March 2009
Abstract: The selection of assets or equities is not just a problem of finding attractive investments. Designing the correct portfolio of assets cannot be done by human intuition alone and requires modern, powerful and reliable mathematical programs called optimizers. The Numerical Algorithms Group Ltd (NAG) is world renowned for [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/03/01/practical-portfolio-optimization/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Strategic Asset Allocation in Money Management</title>
		<link>http://allaboutalpha.com/blog/2009/02/02/strategic-asset-allocation-in-money-management/</link>
		<comments>http://allaboutalpha.com/blog/2009/02/02/strategic-asset-allocation-in-money-management/#comments</comments>
		<pubDate>Tue, 03 Feb 2009 01:06:10 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Posting Categories]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=4245</guid>
		<description><![CDATA[By: Suleyman Basak (LBS; Centre for Economic Policy Research) and Dmitry Makarov (New Economic School)
Published: February 2009
Abstract: This article analyzes the dynamic portfolio choice implications of strategic interaction among money managers. The strategic interaction emerges as the managers compete for money flows displaying empirically documented convexities. A manager gets money flows increasing with performance, and [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/02/02/strategic-asset-allocation-in-money-management/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>The Gain-Loss Spread: A New and Intuitive Measure of Risk</title>
		<link>http://allaboutalpha.com/blog/2009/01/14/the-gain-loss-spread-a-new-and-intuitive-measure-of-risk/</link>
		<comments>http://allaboutalpha.com/blog/2009/01/14/the-gain-loss-spread-a-new-and-intuitive-measure-of-risk/#comments</comments>
		<pubDate>Thu, 15 Jan 2009 01:17:45 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Hedge Fund Operations and Risk Management]]></category>
		<category><![CDATA[Posting Categories]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=4259</guid>
		<description><![CDATA[By: Javier Estrada (IESE Business School)
Published: January 2009
Abstract: The standard deviation, arguably the most widely-used measure of risk, suffers from at least two limitations. First, the number itself offers little insight; after all, what is the intuition behind the square root of the average quadratic deviation from the arithmetic mean return? Second, investors tend to [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/01/14/the-gain-loss-spread-a-new-and-intuitive-measure-of-risk/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Evaluating Portfolio Value-at-Risk Using Semi-Parametric GARCH Models</title>
		<link>http://allaboutalpha.com/blog/2009/01/14/evaluating-portfolio-value-at-risk-using-semi-parametric-garch-models/</link>
		<comments>http://allaboutalpha.com/blog/2009/01/14/evaluating-portfolio-value-at-risk-using-semi-parametric-garch-models/#comments</comments>
		<pubDate>Thu, 15 Jan 2009 01:04:41 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Hedge Fund Operations and Risk Management]]></category>
		<category><![CDATA[Posting Categories]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=4243</guid>
		<description><![CDATA[By: J.V.K. Rombouts (HEC Montreal) and Marno Verbeek (Erasmus University; Netspar) 
Published: January 2009
Abstract: In this paper we examine the usefulness of multivariate semi-parametric GARCH models for portfolio selection under a Value-at-Risk (VaR) constraint. First, we specify and estimate several alternative multivariate GARCH models for daily returns on the S&#38;P 500 and Nasdaq indexes. Examining [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/01/14/evaluating-portfolio-value-at-risk-using-semi-parametric-garch-models/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Does Size Matter in the Hedge Fund Industry?</title>
		<link>http://allaboutalpha.com/blog/2009/01/14/does-size-matter-in-the-hedge-fund-industry/</link>
		<comments>http://allaboutalpha.com/blog/2009/01/14/does-size-matter-in-the-hedge-fund-industry/#comments</comments>
		<pubDate>Thu, 15 Jan 2009 00:01:11 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Hedge Fund Industry Trends]]></category>
		<category><![CDATA[Posting Categories]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=4195</guid>
		<description><![CDATA[By: Melvyn Teo (Singapore Management University) 
Published: January 2009
Abstract: We document a negative and convex relationship between hedge fund size and future risk-adjusted returns. Small hedge funds outperform large hedge funds by 3.65 percent per year after adjusting for risk. This over performance is not driven by fund age, leverage, serial correlation, or self-selection biases. [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2009/01/14/does-size-matter-in-the-hedge-fund-industry/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Dynamic Mean-Variance Asset Allocation</title>
		<link>http://allaboutalpha.com/blog/2008/12/01/dynamic-mean-variance-asset-allocation/</link>
		<comments>http://allaboutalpha.com/blog/2008/12/01/dynamic-mean-variance-asset-allocation/#comments</comments>
		<pubDate>Mon, 01 Dec 2008 20:39:23 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Dossier]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=4850</guid>
		<description><![CDATA[By: Suleyman Basak (London Business School and CEPR) and Georgy Chabakauri (London Business School)
Published: December 2008
Abstract: Mean-variance criteria remain prevalent in multi-period problems, and yet not much is known about their dynamically optimal policies. We provide a fully analytical characterization of the optimal dynamic mean-variance portfolios within a general incomplete-market economy, and recover a simple [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/12/01/dynamic-mean-variance-asset-allocation/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>FPGA Acceleration of Mean Variance Framework for Optimal Asset Allocation</title>
		<link>http://allaboutalpha.com/blog/2008/11/16/fpga-acceleration-of-mean-variance-framework-for-optimal-asset-allocation/</link>
		<comments>http://allaboutalpha.com/blog/2008/11/16/fpga-acceleration-of-mean-variance-framework-for-optimal-asset-allocation/#comments</comments>
		<pubDate>Sun, 16 Nov 2008 19:58:56 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Dossier]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=4846</guid>
		<description><![CDATA[By: Ali Irturk, Bridget Benson, Nikolay Laptev and Ryan Kastner (University of California)
Published: November 2008
Abstract: Asset classes respond differently to shifts in financial markets, thus an investor can minimize the risk of loss and maximize return of his portfolio by diversification of assets. Increasing the number of diversified assets in a financial portfolio significantly improves [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/11/16/fpga-acceleration-of-mean-variance-framework-for-optimal-asset-allocation/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Hedge funds not bad at reading tea leaves finds new study</title>
		<link>http://allaboutalpha.com/blog/2008/10/09/hedge-funds-not-bad-at-reading-tea-leaves-finds-new-study/</link>
		<comments>http://allaboutalpha.com/blog/2008/10/09/hedge-funds-not-bad-at-reading-tea-leaves-finds-new-study/#comments</comments>
		<pubDate>Fri, 10 Oct 2008 00:41:03 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Academic Research]]></category>
		<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=3534</guid>
		<description><![CDATA[Hedge funds have been dropping their net exposure since last summer.  Now a new study finds that changes in hedge fund market betas may actually portend the future.]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/10/09/hedge-funds-not-bad-at-reading-tea-leaves-finds-new-study/feed/</wfw:commentRss>
		<slash:comments>2</slash:comments>
		</item>
		<item>
		<title>Locked Up by a Lockup: Valuing Liquidity as a Real Option</title>
		<link>http://allaboutalpha.com/blog/2008/10/03/locked-up-by-a-lockup-valuing-liquidity-as-a-real-option/</link>
		<comments>http://allaboutalpha.com/blog/2008/10/03/locked-up-by-a-lockup-valuing-liquidity-as-a-real-option/#comments</comments>
		<pubDate>Fri, 03 Oct 2008 17:36:57 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Hedge Fund Industry Trends]]></category>
		<category><![CDATA[Posting Categories]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=3987</guid>
		<description><![CDATA[By: Andrew Ang (NBER) and Nicolas P.B. Bollen (Vanderbilt University)
Published: October 2008
Abstract: Hedge funds often impose lockups and notice periods to limit the ability of investors to withdraw capital. We model the investor&#8217;s decision to withdraw capital as a real option and treat lockups and notice periods as exercise restrictions. Our methodology incorporates time-varying probabilities [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/10/03/locked-up-by-a-lockup-valuing-liquidity-as-a-real-option/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>The Origin of Species</title>
		<link>http://allaboutalpha.com/blog/2008/08/21/the-origin-of-species/</link>
		<comments>http://allaboutalpha.com/blog/2008/08/21/the-origin-of-species/#comments</comments>
		<pubDate>Fri, 22 Aug 2008 02:00:18 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Academic Research]]></category>
		<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Today's Post]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2008/08/21/the-origin-of-species/</guid>
		<description><![CDATA[How can hedge fund anomalies like the one we described yesterday possibly survive?  Have we stumbled on new species of investor?]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/08/21/the-origin-of-species/feed/</wfw:commentRss>
		<slash:comments>1</slash:comments>
		</item>
		<item>
		<title>What&#8217;s behind the drop in mutual fund alpha?</title>
		<link>http://allaboutalpha.com/blog/2008/08/13/are-hedge-funds-to-blame-for-drop-in-mutual-fund-alpha/</link>
		<comments>http://allaboutalpha.com/blog/2008/08/13/are-hedge-funds-to-blame-for-drop-in-mutual-fund-alpha/#comments</comments>
		<pubDate>Thu, 14 Aug 2008 02:00:08 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Guest Posts]]></category>
		<category><![CDATA[Retail Investing]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2008/08/13/are-hedge-funds-to-blame-for-drop-in-mutual-fund-alpha/</guid>
		<description><![CDATA[Like hedge funds, mutual funds are finding true alpha harder to come by.  But you might be surprised to learn who is to blame.]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/08/13/are-hedge-funds-to-blame-for-drop-in-mutual-fund-alpha/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Build-Buy-Lease: Three Approaches to Alpha Generation</title>
		<link>http://allaboutalpha.com/blog/2008/08/03/build-buy-lease-three-approaches-to-alpha-generation/</link>
		<comments>http://allaboutalpha.com/blog/2008/08/03/build-buy-lease-three-approaches-to-alpha-generation/#comments</comments>
		<pubDate>Mon, 04 Aug 2008 02:00:45 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Guest Posts]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2008/08/03/build-buy-lease-three-approaches-to-alpha-generation/</guid>
		<description><![CDATA[If you're a traditional long-only asset manager, one expert has some advice for you. ]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/08/03/build-buy-lease-three-approaches-to-alpha-generation/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Fundamental Value Investors: Characteristics and Performance</title>
		<link>http://allaboutalpha.com/blog/2008/08/01/fundamental-value-investors-characteristics-and-performance/</link>
		<comments>http://allaboutalpha.com/blog/2008/08/01/fundamental-value-investors-characteristics-and-performance/#comments</comments>
		<pubDate>Sat, 02 Aug 2008 00:40:54 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Posting Categories]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=4226</guid>
		<description><![CDATA[By: Wesley R. Gray (University of Chicago) and Andrew E. Kern (University of Missouri)
Published: August 2008
Abstract: We examine novel data on the detailed investment decisions of professional value investors. We find evidence that value investors are not easily defined: they exploit traditional tangible asset valuation discrepancies such as buying high book-to-market stocks, but spend more [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/08/01/fundamental-value-investors-characteristics-and-performance/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>More on Freud and Finance</title>
		<link>http://allaboutalpha.com/blog/2008/07/29/more-on-freud-and-finance/</link>
		<comments>http://allaboutalpha.com/blog/2008/07/29/more-on-freud-and-finance/#comments</comments>
		<pubDate>Wed, 30 Jul 2008 02:01:33 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2008/07/29/more-on-freud-and-finance/</guid>
		<description><![CDATA[Sometimes an alpha symbol is just an alpha symbol.]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/07/29/more-on-freud-and-finance/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>A picture of the &#8220;betafication&#8221; of alpha</title>
		<link>http://allaboutalpha.com/blog/2008/07/29/a-picture-of-the-betafication-of-alpha/</link>
		<comments>http://allaboutalpha.com/blog/2008/07/29/a-picture-of-the-betafication-of-alpha/#comments</comments>
		<pubDate>Wed, 30 Jul 2008 02:00:07 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2008/07/29/a-picture-of-the-betafication-of-alpha/</guid>
		<description><![CDATA[This graphic from a recent Andrew Lo presentation sums it all up.]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/07/29/a-picture-of-the-betafication-of-alpha/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>A Longer Look at the Asymmetric Dependence between Hedge Funds and the Equity Market</title>
		<link>http://allaboutalpha.com/blog/2008/07/25/a-longer-look-at-the-asymmetric-dependence-between-hedge-funds-and-the-equity-market/</link>
		<comments>http://allaboutalpha.com/blog/2008/07/25/a-longer-look-at-the-asymmetric-dependence-between-hedge-funds-and-the-equity-market/#comments</comments>
		<pubDate>Fri, 25 Jul 2008 18:11:19 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Posting Categories]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=4021</guid>
		<description><![CDATA[By: Byoung Uk Kang, Francis Haeuck In, Gunky Kim (Monash University) Tong Suk Kim (Korea Advanced Institute of Science and Technology (KAIST)
Published: July 2008
Abstract: This paper re-examines, at a range of investment horizons, the asymmetric dependence between hedge fund returns and market returns. Given the current availability of hedge fund data, the joint distribution of [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/07/25/a-longer-look-at-the-asymmetric-dependence-between-hedge-funds-and-the-equity-market/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>New study says widely-used models can be particularly misleading in performance evaluation</title>
		<link>http://allaboutalpha.com/blog/2008/07/14/new-study-says-widely-used-models-%e2%80%9ccan-be-particularly-misleading-in-performance-evaluation%e2%80%9d/</link>
		<comments>http://allaboutalpha.com/blog/2008/07/14/new-study-says-widely-used-models-%e2%80%9ccan-be-particularly-misleading-in-performance-evaluation%e2%80%9d/#comments</comments>
		<pubDate>Tue, 15 Jul 2008 01:00:26 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Academic Research]]></category>
		<category><![CDATA[CAPM / Alpha Theory]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2008/07/14/new-study-says-widely-used-models-%e2%80%9ccan-be-particularly-misleading-in-performance-evaluation%e2%80%9d/</guid>
		<description><![CDATA[A recent study says that widely-used performance measures may not be as good as we all might have thought. ]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/07/14/new-study-says-widely-used-models-%e2%80%9ccan-be-particularly-misleading-in-performance-evaluation%e2%80%9d/feed/</wfw:commentRss>
		<slash:comments>1</slash:comments>
		</item>
		<item>
		<title>Harry Markowitz</title>
		<link>http://allaboutalpha.com/blog/2008/07/14/harry-markowitz/</link>
		<comments>http://allaboutalpha.com/blog/2008/07/14/harry-markowitz/#comments</comments>
		<pubDate>Mon, 14 Jul 2008 23:51:57 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Academic Foundations]]></category>
		<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Hall of Fame]]></category>
		<category><![CDATA[Who's Who]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=2273</guid>
		<description><![CDATA[Harry Markowitz
Formerly at the RAND Corporation, Markowitz won the Nobel Prize in 1990 while a professor of finance at Baruch College of the City University of New York.  Best known for his pioneering work in modern portfolio theory, studying the effects of asset risk, correlation and diversification on expected investment portfolio returns.
Bio (Wikipedia)
Homepage (UCSD)
Research (SSRN)
Nobel [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/07/14/harry-markowitz/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
<enclosure url="http://easylink.ovsmedia.com/onlinevideoservice/clients/afa/Markowitz_Hi.wvx" length="230" type="video/x-ms-wvx" />
		</item>
		<item>
		<title>French fries active management</title>
		<link>http://allaboutalpha.com/blog/2008/06/16/french-fries-active-management/</link>
		<comments>http://allaboutalpha.com/blog/2008/06/16/french-fries-active-management/#comments</comments>
		<pubDate>Tue, 17 Jun 2008 02:00:52 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2008/06/16/french-fries-active-management/</guid>
		<description><![CDATA[Kenneth French, one half of the "Fama &#038; French" duo calls active management "futile" and wonders why institutions haven't thrown in the towel. ]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/06/16/french-fries-active-management/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Alternative Viewpoints: Raining on the weather/return correlation parade</title>
		<link>http://allaboutalpha.com/blog/2008/05/29/academic-rains-on-weatherreturn-correlation-parade/</link>
		<comments>http://allaboutalpha.com/blog/2008/05/29/academic-rains-on-weatherreturn-correlation-parade/#comments</comments>
		<pubDate>Fri, 30 May 2008 00:45:06 +0000</pubDate>
		<dc:creator>Guest</dc:creator>
				<category><![CDATA[CAIA Alternative Viewpoints Columns]]></category>
		<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Guest Posts]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2008/05/29/academic-rains-on-weatherreturn-correlation-parade/</guid>
		<description><![CDATA[We've all heard the old adage "Sell in May and go away".  One academic determines if the weather is the source of this apparent market anomaly.]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/05/29/academic-rains-on-weatherreturn-correlation-parade/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>A &#8220;small-cap bias&#8221; in hedge funds themselves?</title>
		<link>http://allaboutalpha.com/blog/2008/05/21/a-small-cap-bias-in-hedge-funds-themselves/</link>
		<comments>http://allaboutalpha.com/blog/2008/05/21/a-small-cap-bias-in-hedge-funds-themselves/#comments</comments>
		<pubDate>Thu, 22 May 2008 02:34:04 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Hedge Fund Industry Trends]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2008/05/21/a-small-cap-bias-in-hedge-funds-themselves/</guid>
		<description><![CDATA[An analysis of the performance of small, medium and large hedge funds reveals a small-fund advantage that disciples of Fama and French will appreciate.]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/05/21/a-small-cap-bias-in-hedge-funds-themselves/feed/</wfw:commentRss>
		<slash:comments>2</slash:comments>
		</item>
		<item>
		<title>Dynamic Investment Opportunities and the Cross-Section of Hedge Fund Returns: Implications of Higher-Moment Risks for Performance</title>
		<link>http://allaboutalpha.com/blog/2008/05/18/dynamic-investment-opportunities-and-the-cross-section-of-hedge-fund-returns-implications-of-higher-moment-risks-for-performance/</link>
		<comments>http://allaboutalpha.com/blog/2008/05/18/dynamic-investment-opportunities-and-the-cross-section-of-hedge-fund-returns-implications-of-higher-moment-risks-for-performance/#comments</comments>
		<pubDate>Sun, 18 May 2008 10:12:04 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Posting Categories]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=3814</guid>
		<description><![CDATA[By: Vikas Agarwal (Georgia State University), Gurdip Bakshi (University of Maryland) and Joop Huij (Erasmus University Rotterdam)
Published: May 2008
Abstract: This paper examines higher-moment market risks in the cross-section of hedge fund returns to make several contributions. First, it is shown that hedge funds, but not mutual funds, are substantially exposed to volatility, skewness, and kurtosis risks. [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/05/18/dynamic-investment-opportunities-and-the-cross-section-of-hedge-fund-returns-implications-of-higher-moment-risks-for-performance/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Report: &#8220;Exposure yardsticks may provide little insight about a fund&#8217;s alpha potential&#8221;</title>
		<link>http://allaboutalpha.com/blog/2008/05/15/report-exposure-yardsticks-may-provide-little-insight-about-a-fund%e2%80%99s-alpha-potential/</link>
		<comments>http://allaboutalpha.com/blog/2008/05/15/report-exposure-yardsticks-may-provide-little-insight-about-a-fund%e2%80%99s-alpha-potential/#comments</comments>
		<pubDate>Fri, 16 May 2008 02:00:03 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[130/30]]></category>
		<category><![CDATA[CAPM / Alpha Theory]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2008/05/15/report-exposure-yardsticks-may-provide-little-insight-about-a-fund%e2%80%99s-alpha-potential/</guid>
		<description><![CDATA[Simply adding a "short-extension" to a fund doesn't necessarily pave the way for alpha generation says a Morgan Stanley report available here at AAA. ]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/05/15/report-exposure-yardsticks-may-provide-little-insight-about-a-fund%e2%80%99s-alpha-potential/feed/</wfw:commentRss>
		<slash:comments>1</slash:comments>
		</item>
		<item>
		<title>Does &#8220;Sentiment Beta&#8221; beget &#8220;Sentimental Alpha&#8221;?</title>
		<link>http://allaboutalpha.com/blog/2008/05/14/does-sentiment-beta-beget-sentimental-alpha/</link>
		<comments>http://allaboutalpha.com/blog/2008/05/14/does-sentiment-beta-beget-sentimental-alpha/#comments</comments>
		<pubDate>Thu, 15 May 2008 03:26:22 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2008/05/14/does-sentiment-beta-beget-sentimental-alpha/</guid>
		<description><![CDATA[Academics say their "sentiment indexes do, to a large extent, capture a prevailing greed versus fear."]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/05/14/does-sentiment-beta-beget-sentimental-alpha/feed/</wfw:commentRss>
		<slash:comments>1</slash:comments>
		</item>
		<item>
		<title>False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas</title>
		<link>http://allaboutalpha.com/blog/2008/05/13/false-discoveries-in-mutual-fund-performance-measuring-luck-in-estimated-alphas/</link>
		<comments>http://allaboutalpha.com/blog/2008/05/13/false-discoveries-in-mutual-fund-performance-measuring-luck-in-estimated-alphas/#comments</comments>
		<pubDate>Tue, 13 May 2008 19:17:32 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Retail Investing]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=2872</guid>
		<description><![CDATA[By: Laurent Barras (Swiss Finance Institute), O. Scaillet (University of Geneva), Russ Wermers (University of Maryland)
Published: May 2008
Abstract: Prior approaches to identifying skilled funds in a population examine the performance of each fund in isolation, without regard to the role of luck in this multiple fund setting. Our paper develops a new, simple technique to properly account [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/05/13/false-discoveries-in-mutual-fund-performance-measuring-luck-in-estimated-alphas/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Research puts price on hedge fund &#8220;illiquidity premium&#8221;</title>
		<link>http://allaboutalpha.com/blog/2008/05/06/research-puts-price-on-hedge-fund-illiquidity-premium/</link>
		<comments>http://allaboutalpha.com/blog/2008/05/06/research-puts-price-on-hedge-fund-illiquidity-premium/#comments</comments>
		<pubDate>Wed, 07 May 2008 02:00:59 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Guest Posts]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2008/05/06/research-puts-price-on-hedge-fund-illiquidity-premium/</guid>
		<description><![CDATA[Lock-ups, redemption gates, notice periods...liquidity has become a major issue in the hedge fund industry - and a new study now tries to put a price on it.]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/05/06/research-puts-price-on-hedge-fund-illiquidity-premium/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Google, efficient markets and box lunches with Bill Sharpe</title>
		<link>http://allaboutalpha.com/blog/2008/04/09/google-efficient-markets-and-box-lunches-with-bill-sharpe/</link>
		<comments>http://allaboutalpha.com/blog/2008/04/09/google-efficient-markets-and-box-lunches-with-bill-sharpe/#comments</comments>
		<pubDate>Thu, 10 Apr 2008 02:00:58 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2008/04/09/google-efficient-markets-and-box-lunches-with-bill-sharpe/</guid>
		<description><![CDATA[Some of the world's staunchest allies of efficient market theory are actually more open to active management than you might expect.   ]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/04/09/google-efficient-markets-and-box-lunches-with-bill-sharpe/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Skeptics to hedge fund managers: Your alpha has been faked!</title>
		<link>http://allaboutalpha.com/blog/2008/04/03/skeptics-to-hedge-fund-managers-your-alpha-has-been-faked/</link>
		<comments>http://allaboutalpha.com/blog/2008/04/03/skeptics-to-hedge-fund-managers-your-alpha-has-been-faked/#comments</comments>
		<pubDate>Fri, 04 Apr 2008 02:00:22 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Investment Management Fees]]></category>
		<category><![CDATA[Performance, Analytics & Metrics]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2008/04/03/skeptics-to-hedge-fund-managers-your-alpha-has-been-faked/</guid>
		<description><![CDATA[There's a debate brewing in the hedge fund community right now over an academic paper on hedge fund alpha.  Here's what you need to know.]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/04/03/skeptics-to-hedge-fund-managers-your-alpha-has-been-faked/feed/</wfw:commentRss>
		<slash:comments>2</slash:comments>
		</item>
		<item>
		<title>Alternative Viewpoints: Sustainable Hedge Fund Performance</title>
		<link>http://allaboutalpha.com/blog/2008/03/31/alternative-viewpoints-sustainable-hedge-fund-performance/</link>
		<comments>http://allaboutalpha.com/blog/2008/03/31/alternative-viewpoints-sustainable-hedge-fund-performance/#comments</comments>
		<pubDate>Tue, 01 Apr 2008 02:06:51 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAIA Alternative Viewpoints Columns]]></category>
		<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Guest Posts]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2008/03/31/alternative-viewpoints-sustainable-hedge-fund-performance/</guid>
		<description><![CDATA[Identifying persistent returns can be done with the naked eye.  But identifying persistent alpha?  That's a different ball game according one researcher. ]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/03/31/alternative-viewpoints-sustainable-hedge-fund-performance/feed/</wfw:commentRss>
		<slash:comments>2</slash:comments>
		</item>
		<item>
		<title>New Study: No hedge fund bubble&#8230;but a potentially serious capacity constraint</title>
		<link>http://allaboutalpha.com/blog/2008/03/30/new-study-no-hedge-fund-bubblebut-a-potentially-serious-capacity-constraint/</link>
		<comments>http://allaboutalpha.com/blog/2008/03/30/new-study-no-hedge-fund-bubblebut-a-potentially-serious-capacity-constraint/#comments</comments>
		<pubDate>Mon, 31 Mar 2008 01:06:05 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Academic Research]]></category>
		<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Hedge Fund Industry Trends]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2008/03/30/new-study-no-hedge-fund-bubblebut-a-potentially-serious-capacity-constraint/</guid>
		<description><![CDATA[A new study backs up the notion that hedge fund alpha is decreasing.  But it also explores, for the first time, the possible mechanics behind this phenomenon.  ]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/03/30/new-study-no-hedge-fund-bubblebut-a-potentially-serious-capacity-constraint/feed/</wfw:commentRss>
		<slash:comments>1</slash:comments>
		</item>
		<item>
		<title>The End of (asset management) History?</title>
		<link>http://allaboutalpha.com/blog/2008/03/12/the-end-of-asset-management-history/</link>
		<comments>http://allaboutalpha.com/blog/2008/03/12/the-end-of-asset-management-history/#comments</comments>
		<pubDate>Thu, 13 Mar 2008 00:45:45 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Investment Management Fees]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2008/03/12/the-end-of-asset-management-history/</guid>
		<description><![CDATA[If the history of asset management could be characterized as a struggle between active and passive management, are we nearing the end?]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/03/12/the-end-of-asset-management-history/feed/</wfw:commentRss>
		<slash:comments>3</slash:comments>
		</item>
		<item>
		<title>Alternative Viewpoints: &#8220;Liquidity Insurance&#8221;</title>
		<link>http://allaboutalpha.com/blog/2008/03/03/alternative-viewpoints-liquidity-insurance/</link>
		<comments>http://allaboutalpha.com/blog/2008/03/03/alternative-viewpoints-liquidity-insurance/#comments</comments>
		<pubDate>Tue, 04 Mar 2008 01:25:35 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAIA Alternative Viewpoints Columns]]></category>
		<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Guest Posts]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2008/03/03/alternative-viewpoints-liquidity-insurance/</guid>
		<description><![CDATA[In today's "Alternative Viewpoints...powered by CAIA" Konstantin Danilov proposes a new type of security that might address the illiquidity risks inherent in individual positions.]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/03/03/alternative-viewpoints-liquidity-insurance/feed/</wfw:commentRss>
		<slash:comments>6</slash:comments>
		</item>
		<item>
		<title>Hedge Fund Portfolio Selection with Modified Expected Shortfall</title>
		<link>http://allaboutalpha.com/blog/2008/02/29/hedge-fund-portfolio-selection-with-modified-expected-shortfall/</link>
		<comments>http://allaboutalpha.com/blog/2008/02/29/hedge-fund-portfolio-selection-with-modified-expected-shortfall/#comments</comments>
		<pubDate>Sat, 01 Mar 2008 00:07:51 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Posting Categories]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=3797</guid>
		<description><![CDATA[By: Guidance Capital Management
Published: February 2008
Abstract: Modified Value-at-Risk (VaR) and Expected Shortfall (ES) are recently introduced downside risk estimators based on the Cornish-Fisher expansion for assets such as hedge funds whose returns are non-normally distributed. Modified VaR has been widely implemented as a portfolio selection criterion. We are the first to investigate hedge fund portfolio [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/02/29/hedge-fund-portfolio-selection-with-modified-expected-shortfall/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Why the common expression &#8220;all correlations go to one&#8221; may be overstated</title>
		<link>http://allaboutalpha.com/blog/2008/02/28/why-the-common-expression-all-correlations-go-to-one-may-be-overstated/</link>
		<comments>http://allaboutalpha.com/blog/2008/02/28/why-the-common-expression-all-correlations-go-to-one-may-be-overstated/#comments</comments>
		<pubDate>Fri, 29 Feb 2008 01:45:45 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2008/02/28/why-the-common-expression-all-correlations-go-to-one-may-be-overstated/</guid>
		<description><![CDATA[In a January report to clients (available here), Morgan Stanley explores the true implications of the adage "all correlations go to one during times of stress".  ]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/02/28/why-the-common-expression-all-correlations-go-to-one-may-be-overstated/feed/</wfw:commentRss>
		<slash:comments>3</slash:comments>
		</item>
		<item>
		<title>Alpha in Final Four tickets?</title>
		<link>http://allaboutalpha.com/blog/2008/02/17/alpha-in-final-four-tickets/</link>
		<comments>http://allaboutalpha.com/blog/2008/02/17/alpha-in-final-four-tickets/#comments</comments>
		<pubDate>Mon, 18 Feb 2008 01:02:40 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2008/02/17/alpha-in-final-four-tickets/</guid>
		<description><![CDATA[A New York-based start-up is applying sophisticated financial acumen to the opaque world of championship sporting events.  Scalpers are certainly into it.  Will hedge funds be far behind. ]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/02/17/alpha-in-final-four-tickets/feed/</wfw:commentRss>
		<slash:comments>4</slash:comments>
		</item>
		<item>
		<title>Manufacturing Alpha from Beta</title>
		<link>http://allaboutalpha.com/blog/2008/02/16/manufacturing-alpha-from-beta-2/</link>
		<comments>http://allaboutalpha.com/blog/2008/02/16/manufacturing-alpha-from-beta-2/#comments</comments>
		<pubDate>Sun, 17 Feb 2008 00:25:56 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Sponsored Content]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=2554</guid>
		<description><![CDATA[By Tristram Lett, INTEGRA CAPITAL -
The title of this article suggests that alpha can be derived from market timing. In the strict statistical sense, it is not considered a source of alpha, but any investment practitioner knows that, relative to a buy and hold position, being in and out of a particular market in a [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/02/16/manufacturing-alpha-from-beta-2/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Does the &#8220;wisdom of crowds&#8221; produce alpha?</title>
		<link>http://allaboutalpha.com/blog/2008/02/10/does-the-wisdom-of-crowds-produce-alpha/</link>
		<comments>http://allaboutalpha.com/blog/2008/02/10/does-the-wisdom-of-crowds-produce-alpha/#comments</comments>
		<pubDate>Mon, 11 Feb 2008 02:00:10 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2008/02/10/does-the-wisdom-of-crowds-produce-alpha/</guid>
		<description><![CDATA[Last week's O'Reilly Money:Tech conference in New York showed what you get when you mix online "social networking" with stock picking.  But is the result truly alpha? ]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/02/10/does-the-wisdom-of-crowds-produce-alpha/feed/</wfw:commentRss>
		<slash:comments>3</slash:comments>
		</item>
		<item>
		<title>Paper revisits what it means for a manager to be truly &#8220;active&#8221;</title>
		<link>http://allaboutalpha.com/blog/2008/02/05/paper-revisits-what-it-means-for-a-manager-to-be-truly-active/</link>
		<comments>http://allaboutalpha.com/blog/2008/02/05/paper-revisits-what-it-means-for-a-manager-to-be-truly-active/#comments</comments>
		<pubDate>Wed, 06 Feb 2008 00:24:41 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Academic Research]]></category>
		<category><![CDATA[CAPM / Alpha Theory]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2008/02/05/paper-revisits-what-it-means-for-a-manager-to-be-truly-active/</guid>
		<description><![CDATA[Is your manager a (passive) grasshopper or an (active) ant?  The debate continues about how to best measure manager "activeness".]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/02/05/paper-revisits-what-it-means-for-a-manager-to-be-truly-active/feed/</wfw:commentRss>
		<slash:comments>4</slash:comments>
		</item>
		<item>
		<title>S&amp;P&#8217;s New Dividend Indices: Really alpha or just alternative beta?</title>
		<link>http://allaboutalpha.com/blog/2008/01/30/sps-new-dividend-indices-really-alpha-or-just-alternative-beta/</link>
		<comments>http://allaboutalpha.com/blog/2008/01/30/sps-new-dividend-indices-really-alpha-or-just-alternative-beta/#comments</comments>
		<pubDate>Thu, 31 Jan 2008 02:00:17 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2008/01/30/sps-new-dividend-indices-really-alpha-or-just-alternative-beta/</guid>
		<description><![CDATA[Hot on the heels of its new 130/30 indices, S&#038;P released a new "alpha producing" index last Friday.  But does it really produce alpha?]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/01/30/sps-new-dividend-indices-really-alpha-or-just-alternative-beta/feed/</wfw:commentRss>
		<slash:comments>1</slash:comments>
		</item>
		<item>
		<title>Research finds most equity indices actually contain alpha</title>
		<link>http://allaboutalpha.com/blog/2008/01/28/research-finds-most-equity-indices-actually-contain-alpha/</link>
		<comments>http://allaboutalpha.com/blog/2008/01/28/research-finds-most-equity-indices-actually-contain-alpha/#comments</comments>
		<pubDate>Tue, 29 Jan 2008 01:00:17 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Academic Research]]></category>
		<category><![CDATA[CAPM / Alpha Theory]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2008/01/27/research-finds-most-equity-indices-actually-contain-alpha/</guid>
		<description><![CDATA[A study of various global equity indices shows that the smaller more "exclusive" ones (like the Dow) depart significantly from the passive "buy and hold ethos" of indexation.]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/01/28/research-finds-most-equity-indices-actually-contain-alpha/feed/</wfw:commentRss>
		<slash:comments>3</slash:comments>
		</item>
		<item>
		<title>Betting on the Super Bowl?  Read this report on &#8220;NFL Alphas&#8221; first.</title>
		<link>http://allaboutalpha.com/blog/2008/01/13/betting-on-the-super-bowl-read-this-report-on-nfl-alphas-first/</link>
		<comments>http://allaboutalpha.com/blog/2008/01/13/betting-on-the-super-bowl-read-this-report-on-nfl-alphas-first/#comments</comments>
		<pubDate>Mon, 14 Jan 2008 00:51:00 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Academic Research]]></category>
		<category><![CDATA[CAPM / Alpha Theory]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2008/01/13/betting-on-the-super-bowl-read-this-report-on-nfl-alphas-first/</guid>
		<description><![CDATA[A new study suggests that NFL gamblers can develop an unwarranted love affair with last season's "darlings".  So are Las Vegas bookmakers serving up a "free lunch"?]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/01/13/betting-on-the-super-bowl-read-this-report-on-nfl-alphas-first/feed/</wfw:commentRss>
		<slash:comments>2</slash:comments>
		</item>
		<item>
		<title>Bookstaber&#8217;s pre-boarding call for the &#8220;flight to simplicity&#8221;</title>
		<link>http://allaboutalpha.com/blog/2008/01/10/bookstabers-pre-boarding-call-for-the-flight-to-simplicity/</link>
		<comments>http://allaboutalpha.com/blog/2008/01/10/bookstabers-pre-boarding-call-for-the-flight-to-simplicity/#comments</comments>
		<pubDate>Fri, 11 Jan 2008 00:34:04 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Hedge Fund Regulation]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2008/01/10/bookstabers-pre-boarding-call-for-the-flight-to-simplicity/</guid>
		<description><![CDATA[Author Richard Bookstaber says you can't fight complexity with even more complexity.  What is needed, he says, is a "flight to simplicity".  Do they have business class on that plane? ]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/01/10/bookstabers-pre-boarding-call-for-the-flight-to-simplicity/feed/</wfw:commentRss>
		<slash:comments>2</slash:comments>
		</item>
		<item>
		<title>Why Does Hedge Fund Alpha Decrease Over Time? Evidence from Individual Hedge Funds</title>
		<link>http://allaboutalpha.com/blog/2008/01/10/why-does-hedge-fund-alpha-decrease-over-time-evidence-from-individual-hedge-funds/</link>
		<comments>http://allaboutalpha.com/blog/2008/01/10/why-does-hedge-fund-alpha-decrease-over-time-evidence-from-individual-hedge-funds/#comments</comments>
		<pubDate>Thu, 10 Jan 2008 12:49:54 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Posting Categories]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=2721</guid>
		<description><![CDATA[By: Zhaodong Zhong (Penn State University)
Published: January 2008
Abstract: Why has the aggregate level of hedge fund alpha (risk-adjusted return) decreased over the last decade? By studying the distribution of individual hedge fund alphas, we find that the large right tail (funds with positive alphas) that was once present has shrunk over time, while the left [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/01/10/why-does-hedge-fund-alpha-decrease-over-time-evidence-from-individual-hedge-funds/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>&#8220;Homemade Hedge Funds&#8221;: Delicious but deadly?</title>
		<link>http://allaboutalpha.com/blog/2008/01/08/homemade-hedge-funds-delicious-but-deadly/</link>
		<comments>http://allaboutalpha.com/blog/2008/01/08/homemade-hedge-funds-delicious-but-deadly/#comments</comments>
		<pubDate>Wed, 09 Jan 2008 01:00:43 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Alternative Beta & Hedge Fund Replication]]></category>
		<category><![CDATA[CAPM / Alpha Theory]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2008/01/08/homemade-hedge-funds-delicious-but-deadly/</guid>
		<description><![CDATA[There is a lot of talk about how hedge fund returns can be "replicated" using liquid derivatives, swaps, futures, and "exotic beta".  But what about good old-fashioned ETFs?  ]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/01/08/homemade-hedge-funds-delicious-but-deadly/feed/</wfw:commentRss>
		<slash:comments>3</slash:comments>
		</item>
		<item>
		<title>New paper explains &#8220;muted demand&#8221; for portable alpha</title>
		<link>http://allaboutalpha.com/blog/2008/01/03/new-paper-explains-muted-demand-for-portable-alpha/</link>
		<comments>http://allaboutalpha.com/blog/2008/01/03/new-paper-explains-muted-demand-for-portable-alpha/#comments</comments>
		<pubDate>Fri, 04 Jan 2008 00:00:11 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[Academic Research]]></category>
		<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Investment Management Fees]]></category>
		<category><![CDATA[Performance, Analytics & Metrics]]></category>
		<category><![CDATA[Portable Alpha & Alpha/Beta Separation]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2008/01/03/new-paper-explains-muted-demand-for-portable-alpha/</guid>
		<description><![CDATA[When arguments can be made that 130/30 investing and portable alpha are cousins, why then has 130/30 become the cat's meow and portable alpha growth is "muted"?  Two academics have a theory.]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/01/03/new-paper-explains-muted-demand-for-portable-alpha/feed/</wfw:commentRss>
		<slash:comments>1</slash:comments>
		</item>
		<item>
		<title>Do Hedge Funds Arbitrage Market Anomalies?</title>
		<link>http://allaboutalpha.com/blog/2008/01/02/do-hedge-funds-arbitrage-market-anomalies/</link>
		<comments>http://allaboutalpha.com/blog/2008/01/02/do-hedge-funds-arbitrage-market-anomalies/#comments</comments>
		<pubDate>Wed, 02 Jan 2008 14:54:01 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Posting Categories]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=3833</guid>
		<description><![CDATA[By: Dan Lawson and David R. Peterson (Florida State University)
Published: January 2008
Abstract: We investigate whether hedge funds arbitrage market anomalies. We examine a seven-factor model including traditional Fama and French (1993) and Carhart (1997) factors and factors associated with the anomalies of earnings momentum, equity financing, and asset growth rates. We find the average hedge [...]]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2008/01/02/do-hedge-funds-arbitrage-market-anomalies/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Optimisation of a Fund of Hedge Funds Portfolio Using Price Maximisation of Basket Options</title>
		<link>http://allaboutalpha.com/blog/2008/01/01/optimisation-of-a-fund-of-hedge-funds-portfolio-using-price-maximisation-of-basket-options/</link>
		<comments>http://allaboutalpha.com/blog/2008/01/01/optimisation-of-a-fund-of-hedge-funds-portfolio-using-price-maximisation-of-basket-options/#comments</comments>
		<pubDate>Tue, 01 Jan 2008 20:40:48 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Dossier]]></category>
		<category><![CDATA[Posting Categories]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/?p=3843</guid>
		<description><![CDATA[By: Abhimanyu Chatterjee (Hermes Pension Fund Management)
Published: January 2008
Abstract: Optimisation in the context of portfolios of stocks and bonds have been researched in detail in extant literature. To cater to the evergrowing world of hedge funds, we develop a alternative method for optimisation of Fund of Hedge Fund portfolios, by replicating payoffs of a basket [...]]]></description>
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		<slash:comments>0</slash:comments>
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		<item>
		<title>More on how the ivory towers grow so tall</title>
		<link>http://allaboutalpha.com/blog/2007/12/27/more-on-how-the-ivory-towers-grow-so-tall/</link>
		<comments>http://allaboutalpha.com/blog/2007/12/27/more-on-how-the-ivory-towers-grow-so-tall/#comments</comments>
		<pubDate>Fri, 28 Dec 2007 01:00:10 +0000</pubDate>
		<dc:creator>Alpha Male</dc:creator>
				<category><![CDATA[CAPM / Alpha Theory]]></category>
		<category><![CDATA[Guest Posts]]></category>

		<guid isPermaLink="false">http://allaboutalpha.com/blog/2007/12/27/more-on-how-the-ivory-towers-grow-so-tall/</guid>
		<description><![CDATA[How exactly to top performing university endowments make all their money?  You may be surprised by what this academic has to say on the issue.]]></description>
		<wfw:commentRss>http://allaboutalpha.com/blog/2007/12/27/more-on-how-the-ivory-towers-grow-so-tall/feed/</wfw:commentRss>
		<slash:comments>1</slash:comments>
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