Browsing: bitcoin

Posts Tagged ‘ bitcoin ’

What About Beta? | Risk: Going, Going, Gone!

Feb 15th, 2021 | Filed under: Newly Added, What About Beta?

By Bill Kelly, CEO, CAIA Association If you live in the Northern Hemisphere, you might have noticed that the days are getting a bit longer. In fact, we are gaining just over two minutes of daylight every day and daylight savings time happens in less than a month. In anotherRead More


Hedging Your Bets on Cryptocurrencies

Feb 14th, 2021 | Filed under: Emerging Asset Classes, Access to Alternatives, Featured Post, Manager Selection, Newly Added

What is the most effective proxy-hedging instrument for the Bitcoin/USD market? A recent study by Dominique Guegan, affiliated with Université Paris, Panthéon-Sorbonne, and two other scholars tackles this question. The study reaches no definitive conclusion, except the negative one that there is no way Bitcoin can be “fully hedged becauseRead More


Keeping Digital Assets Stable with Stablecoins

Jan 28th, 2021 | Filed under: Access to Alternatives, Featured Post, Newly Added, Asset Allocation

By Andrew Keenan, CAIA, CFA, CBP, Assistant Vice President at Credit Suisse INTRODUCTION The recent stratospheric rise of bitcoin and its compatriot altcoins has generated both intrigue and despair as a handful of big-name digital assets reached new apogees in 2021 with respect to price and market capitalization. In theRead More


Pursuing Diversification with Cryptocurrencies

Jun 18th, 2020 | Filed under: Emerging Asset Classes, State of the Industry, Access to Alternatives, Featured Post, Newly Added, Asset Allocation

By Andrew Keenan, CAIA, CFA, CBP, Assistant Vice President – Valuation Risk and Control at Credit Suisse Overview The recent release of CAIA Association’s seminal report “The Next Decade of Alternative Investments: From Adolescence to Responsible Citizenship” underscored four key tenets for the investment industry to adhere to and emphasizeRead More


What if Cryptos Succeed Only After the US has Locked Itself Out?

Oct 29th, 2019 | Filed under: Emerging Asset Classes, State of the Industry, Access to Alternatives, Featured Post, Newly Added, Asset Allocation

Recent developments in cryptocurrency have brought new currencies and more uncertainty about them and some of the underlying investments in this brave new world. Anthony Pompliano, a founder and partner at Morgan Creek Digital, tackles these issues and more relating to the cryptocurrency universe in his blog, Off the Chain.Read More


Bitcoin Derivatives Behaving Just Like Other Underlying Assets

Oct 15th, 2019 | Filed under: State of the Industry, Access to Alternatives, Featured Post, Newly Added, Asset Allocation, Risk Management, Hedge Funds

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


A Fintech Revolution in Commercial Real Estate

May 9th, 2019 | Filed under: Data Science & AI, State of the Industry, Featured Post, Real Estate, Newly Added, Commodities & Natural Resources

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


Price Discovery in the Bitcoin Markets

Apr 30th, 2019 | Filed under: Emerging Asset Classes, State of the Industry, Access to Alternatives, Featured Post, Newly Added, Asset Allocation

Tatja Karkkainen, a scholar on financial technology who is pursuing a PhD at the University of Glasgow, has written an illuminating paper on price discovery in the bitcoin markets. She begins with the observation that CBOE and CME introduced bitcoin futures in December 2017, “as the first institutional standard cryptocurrencyRead More


Risks & Rewards: The Future of Finance in Blockchain

Jan 6th, 2019 | Filed under: Data Science & AI, Emerging Asset Classes, State of the Industry, Access to Alternatives, Featured Post, Newly Added, Asset Allocation, Risk Management

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


ISSA Reports on the Crypto-Infrastructure

Dec 12th, 2018 | Filed under: Emerging Asset Classes, State of the Industry, Access to Alternatives, Featured Post, Newly Added, Asset Allocation

This has been a terrible year for cryptocurrencies. Bitcoin, the flagship for the asset class, peaked in the middle of December 2017 at a value of above $17,000. By the end of January this year, it was below $10,000. By September BTC had settled into a price range of $6,500.Read More


Tiptoe Thru’ the Cryptos With Yale

Oct 9th, 2018 | Filed under: Emerging Asset Classes, State of the Industry, Access to Alternatives, Newly Added, What About Beta?

By Bill Kelly, CEO, CAIA Association Fifty years ago, Tiny Tim, the ukulele-wielding father of falsetto, released his self-aggrandizing album entitled God Bless Tiny Tim. Love it or hate it, those of a certain generation will never forget Track 2 entitled “Tiptoe Thru’ The Tulips With Me.” In the modernRead More


Cryptocurrency Arbitrage: Two Looks

Sep 27th, 2018 | Filed under: Emerging Asset Classes, State of the Industry, Access to Alternatives, Featured Post, Newly Added, Asset Allocation

Do investors arbitrage cryptocurrencies? Two recent studies offer a “yes” answer, though they in certain other respects differ significantly in their conclusions. Specifically, one study shows that in one respect arbitrage has done its duty and effectively eliminated the opportunities for arb profits, enforcing efficiency. In other situations, though, theRead More


New SEC Commissioner Dissents on a Bitcoin ETF

Aug 9th, 2018 | Filed under: Emerging Asset Classes, State of the Industry, Access to Alternatives, Featured Post, Newly Added, Commodities & Natural Resources

The U.S. Securities and Exchange Commission recently (on July 26) disapproved of proposed rules changes that would have greenlit listing of the Winklevoss Bitcoin Trust on the Bats BZX Exchange.  In essence, the SEC has now rejected the listing of a Bitcoin exchange-traded product (ETP) on a national exchange. TheRead More


BarclayHedge Numbers Show Cryptocurrency Dive

Jul 19th, 2018 | Filed under: Emerging Asset Classes, State of the Industry, Access to Alternatives, Featured Post, Newly Added, Asset Allocation, Hedge Funds, Commodities & Natural Resources

BarclayHedge says that its flash estimate for the Barclay CTA Index shows a 0.05% loss in June, and a 2% loss year to date. More remarkably, the flash estimate shows a 16.23% drop in June and a 45.43% drop YTD for the CryptoCurrency Traders Index. The founder and president ofRead More


Chain Blockers

Jul 16th, 2018 | Filed under: Emerging Asset Classes, State of the Industry, Access to Alternatives, Newly Added, What About Beta?

By Bill Kelly, CEO, CAIA Association The base case for distributed ledger technology (or DLT, and often used interchangeably with blockchain) is to create a trusted network of participants where there is just one ledger of account records shared by all and there is no central recordkeeper. Transactions are digitalRead More


The Efficiency of the Markets in Crypto-Currencies

Jun 28th, 2018 | Filed under: Emerging Asset Classes, Access to Alternatives, Featured Post, Newly Added, Asset Allocation

Three scholars affiliated with Johns Hopkins have evaluated cryptocurrency investing, in a new paper available at SSRN, and have concluded that “near-term cryptocurrency markets are semi-strong form efficient.” That bit of finance theorist jargon means that all publicly available information gets discounted quickly into an asset’s price, so that neitherRead More


A Talk on the What and Whys of Cryptocurrencies

Jun 20th, 2018 | Filed under: Emerging Asset Classes, State of the Industry, Access to Alternatives, Featured Post, Newly Added, Asset Allocation

The Battle of the Quants came to New York City on Wednesday, June 20, and the CAIA Association was one of its media sponsors. Much of the event involved cryptocurrencies, including an exchange between John D’Agostino (the global head of investor engagement at DMS Governance) and Nouriel Roubini, Chairman ofRead More


Bitcoin Futures ETFs: SEC Requests Comment

Apr 8th, 2018 | Filed under: Emerging Asset Classes, State of the Industry, Access to Alternatives, Featured Post, Newly Added, Asset Allocation

In December last year the NYSE Arca Inc. filed a proposed rule change that would allow for the creation of Exchange Traded Funds investing in Bitcoin futures contracts, and, potentially, in other related Financial Instruments. In January 2018 the U.S. Securities and Exchange Commission extended its review of this proposal.Read More


Benchmarking Distributed Ledger Technology

Dec 21st, 2017 | Filed under: Emerging Asset Classes, State of the Industry, Access to Alternatives, Featured Post, Newly Added

Two scholars affiliated with the Cambridge Centre for Alternative Finance, in Great Britain, have prepared a fascinating overview of the present state of blockchain and distributed ledger technology (DLT). Dr. Garrick Hileman and Michel Rauchs, respectively a Research Fellow and a research assistant, have gathered data from more than 200Read More


Deloitte on Initial Coins Offerings (ICOs) as IPOs

Dec 10th, 2017 | Filed under: Emerging Asset Classes, State of the Industry, Access to Alternatives, Featured Post, Newly Added, Asset Allocation

An October 2017 white paper from Deloitte discusses the extent to which the offerings of tokens built upon blockchains have become the new IPOs of the crypto era. There are no binding rules about how to execute an initial coin offering (ICO). Nonetheless, there have been enough of these soRead More


Regulatory Challenges Posed by Crypto Funds

Dec 5th, 2017 | Filed under: Emerging Asset Classes, Access to Alternatives, Featured Post, Newly Added, Asset Allocation, Hedge Funds, Commodities & Natural Resources

A forthcoming paper in the Stanford Journal of Law, Business, and Finance looks at the cryptocurrency markets (bitcoin and its kin), the hedge funds that look to make money from them and the operational issues involved. Two independent scholars collaborated on writing the paper: Edmund Mokhtarian and Alexander Lindgren. AlthoughRead More


QUANT STRATEGIES IN THE CRYPTOCURRENCY SPACE

Nov 21st, 2017 | Filed under: Emerging Asset Classes, State of the Industry, Access to Alternatives, Featured Post, Newly Added

By Nicolas Rabener, FactorResearch Factor Investing in the Wild West of Financial Markets Summary: Cryptocurrencies have reached a market capitalisation of > $150bn Backtesting quantitative strategies is difficult given a limited trading history & universe Short-term Momentum works very well, classic factor investing strategies less so INTRODUCTION The year 2017Read More


Blockchains, Innovations, and Intermediaries

Aug 17th, 2017 | Filed under: Emerging Asset Classes, State of the Industry, Access to Alternatives, Featured Post, Newly Added

A new paper by Wulf A. Kaal, an Associate Professor at the University of St. Thomas in Minnesota, looks at the proliferation of blockchain-related innovations in the world of private investment funds. In an earlier paper, Kaal discussed the impact this is having on the fee structure of that industry.Read More


The Cryptocurrency Ecosystem: A New Benchmark Study

May 16th, 2017 | Filed under: Emerging Asset Classes, State of the Industry, Access to Alternatives, Featured Post, Newly Added, Asset Allocation

It is clear by now to even the most hardened skeptic that cryptocurrency, the class of assets of which bitcoin is the paradigm, is much more than a passing fad. Yes, the field may once have been too closely associated with survivalists, cranks, and bit players in the story ofRead More


On the Bitcoin Blockchain: Looking Under the Hood

Jan 19th, 2017 | Filed under: Data Science & AI, Emerging Asset Classes, Access to Alternatives, Featured Post, Newly Added, Asset Allocation

More than a year ago, the Capco Institute Journal of Financial Transformation (Journal) ran a “critical assessment,” by Robert Sams, of bitcoin blockchains as a means of distributed clearing. With both bitcoins and blockchains newly in the news, Sams’ informed assessment is worth another look. Two years ago, Nasdaq announcedRead More


Escape to the Internet? Or Build Better Communities?

May 8th, 2016 | Filed under: Data Science & AI, State of the Industry, Access to Alternatives, Featured Post, Newly Added, Asset Allocation, Risk Management

Dissatisfaction with the fiat money issued by or on signals from central bankers will not go away. Talk of “printing press” money seems quaint, as when people of my generation still refer to a keyboard as a “typewriter.” Central banks and their servants (and their servers) around the world engage,Read More


Where We Stand With Blockchains: Bet on the Disruption

Mar 29th, 2016 | Filed under: Emerging Asset Classes, State of the Industry, Access to Alternatives, Newly Added, Asset Allocation

Chris Skinner has a new book out, ValueWeb, which describes in the words of its lengthy subtitle “how FinTech Firms are Using Bitcoin Blockchain and Mobile Technologies to Create the Internet of Value.” It may appear to a cynic that Skinner is simply entering the already crowded sweepstakes for “whoRead More


Bitcoin’s Founder: Recent History and 2020 Vision

Dec 17th, 2015 | Filed under: Emerging Asset Classes, State of the Industry, Access to Alternatives, Newly Added, Asset Allocation

Two things happened almost at once recently: Wired told us who actually invented bitcoin, (well, it gave the world the latest hot theory), and officials in Australia raided that same fellow’s home in re a tax investigation. More specifically on the first of those points, Wired (and soon thereafter Gizmodo)Read More


Bitcoin and Kin: The View from Europe

Jul 1st, 2015 | Filed under: Access to Alternatives, Asset Allocation, Hedge Funds

Bitcoin's price charts nowadays seem to have settled into an equilibrium between $240 and $220 per. But ESMA, and the authorities in Sweden, are both paying attention. Read More


The Next Big Thing: A Robotic ‘Nexus’ of Contracts

Mar 2nd, 2015 | Filed under: Data Science & AI, Access to Alternatives, Asset Allocation

In some fairly routine middle-critter corporate roles, there may no longer be much need for human managerial involvement. Enter the self-running business entity: another big step toward the obsolescence of human beings some of whom, nonetheless, will get wealthy in the process. Read More


Bitcoin Miners: The Hammer and the Butterfly

Oct 6th, 2014 | Filed under: Access to Alternatives, Asset Allocation

In the matter of a merchant selling computers that are supposed to mine bitcoin, the FTC alleges that the merchant is a sham, simply using the language of the bitcoin world to find suckers. But the agency might have gotten a bit ahead of itself here. Read More