Browsing: Asset Allocation

Asset Allocation

Impact Investing Won’t Save Capitalism, But Its Example Might

Jul 22nd, 2020 | Filed under: State of the Industry, Featured Post, Private Equity, Newly Added, Asset Allocation, ESG

By Michael O’Leary and Warren Valdmanis GIIN’s 10th Anniversary report highlights new records, but what’s the endgame? When the Global Impact Investing Network (GIIN) issued its first survey a decade ago, the term “impact investing” had only been coined three years earlier. Just 24 investors responded. In GIIN’s tenth anniversaryRead More


Socially Distant Inflation

Jul 16th, 2020 | Filed under: State of the Industry, Featured Post, Newly Added, Asset Allocation

By Keith Black, PhD, CFA, CAIA, FDP As the COVID-19 lockdowns start to ease across the country, governmental entities often have phased approaches for opening. Smaller crowds, smaller businesses, and more socially distanced activities are the first to reopen. It may take until 2021, at the earliest, to return toRead More


Looking For Sustainability in Energy SDG Credits

Jul 9th, 2020 | Filed under: State of the Industry, Featured Post, Newly Added, Asset Allocation, ESG

A new report by two analysts at Robeco discusses sustainability trends in energy credits, especially in the era of Covid 19. The analysts acknowledge the demand collapse that is keeping crude oil, and accordingly alternatives fuels, at very low values. Their focus is on what lies ahead for energy credits.Read More


‘Expectations Will Increase’ on E(E)SG

Jun 30th, 2020 | Filed under: State of the Industry, Featured Post, Newly Added, Asset Allocation, ESG

 Adam O. Emmerich of the corporate and securities law firm Wachtell Lipton in a recent memo cautioned the firm’s corporate clients that the expectations on them with regard to transparency on environmental, social, and governance matters will increase in the months ahead. His emphasis is on the social part ofRead More


The Inflation-Deflation Debate and its Implication for Asset Allocation 

Jun 28th, 2020 | Filed under: State of the Industry, Featured Post, Newly Added, Asset Allocation, Risk Management

By Alan Dunne, Managing Director, Abbey Capital One of the key questions facing investors at the moment is whether inflation or deflation represents the bigger risk for the coming years. Economists are split on this and one of the reasons for the uncertainty is that COVID-19 represents both a supplyRead More


The Allusivity Premium

Jun 22nd, 2020 | Filed under: State of the Industry, Access to Alternatives, Newly Added, Asset Allocation, What About Beta?

By Bill Kelly, CEO, CAIA Association Since this What About Beta column started about two years and almost 75 entries ago, the goal has always been to take a CAIA article, a relevant news story, or an industry trend and amplify it, replete with an occasional catchy title, and maybeRead 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


‘HAL, Determine the Fatness of the Tail’

Jun 11th, 2020 | Filed under: Data Science & AI, State of the Industry, Featured Post, Newly Added, Asset Allocation

There has been a lot of commentary in the financial press about the idea of “fat tails,” that is, about the idea that disasters are more common than a normal or bell curve view of probability would lead one to expect. Indeed, one might even say that there is someRead More


A Target Date for Target Dates

Jun 8th, 2020 | Filed under: State of the Industry, Access to Alternatives, Private Equity, Manager Selection, Newly Added, Asset Allocation, What About Beta?

By Aaron Filbeck, CAIA, CFA, CIPM | Associate Director, Content Development at CAIA Association While every retirement plan participant has unique life and planning circumstances, they generally (and almost evenly) split into two broad categories regarding investment philosophies: the do-it-yourself crowd and the do-it-for-me crowd. The do-it-yourself crowd typically followsRead More


Has the Corona Virus Helped to Erode the Hype Around Artificial Intelligence?

Jun 4th, 2020 | Filed under: Data Science & AI, State of the Industry, Featured Post, Newly Added, Asset Allocation

By Dr. Mehrzad Mahdavi, Executive Director, CEO Financial Data Professionals Institute According to a recent WSJ article, (subscription required) many companies have just discovered that AI is not some kind of magic sauce that could be poured over any business process to transform it into a moneymaking machin. The article also points outRead More


Stat Arb, Algos and the Difference Between Cats and Dogs

Jun 1st, 2020 | Filed under: Data Science & AI, State of the Industry, Featured Post, Newly Added, Asset Allocation, Hedge Funds

A co-founder of Quantigic Solutions has presented what he calls “the freshmanlevel” answer to the question: why did dollar-neutral quant trading strategies, such as equities stat arb, fail so markedly during the COVID-19 market sell-off? Zura Kakushadze, a professor at the Free University of Tblisi, is on reasonably solid groundRead More


Hedge Funds and 2 Economic Crises: Focus on Systematic and Algorithmic Hedge Funds

May 28th, 2020 | Filed under: State of the Industry, Featured Post, Newly Added, Asset Allocation, Hedge Funds

By Hossein Kazemi, PhD, CFA, Senior Advisor at CAIA Association During the Global Financial Crisis (GFC), the role of hedge funds and their potential to provide significant downside protection was hotly debated. The same debate has resurfaced earlier this year again when markets for risky assets experience double-digit declines withinRead More


Nowcasting Endowment Returns

May 21st, 2020 | Filed under: State of the Industry, Newly Added, Asset Allocation

By Hossein Kazemi, PhD, CFA, Senior Advisor at CAIA Association, and Aaron Filbeck, CAIA, CFA, CIPM, Associate Director, Content Development at CAIA Association “There are at least two kinds of games. One could be called finite, the other infinite. A finite game is played for the purpose of winning, an infiniteRead More


Volatility Forecasting Across the Financial Markets

May 12th, 2020 | Filed under: Featured Post, Newly Added, Asset Allocation, Risk Management

By Mark Caslin, CEO, Alder Capital Uses of volatility forecasting in financial markets Volatility is generally accepted as the best measure of market risk and volatility forecasting is used in many different applications across the industry. These include risk management, VAR, portfolio construction and optimisation, active fund management, risk-parity investing,Read More


ETFs, Systemic Risks, and a Real-Time Test

May 5th, 2020 | Filed under: State of the Industry, Access to Alternatives, Featured Post, Newly Added, Asset Allocation

ETFs are one of the routes by which once alternative and elite-access-only strategies have become democratized or gone retail. As a result of this trend, we have synthetic ETFs, smart beta ETFs, leveraged ETFs, and inverse ETFs. A recent study study provides some reassurance about concerns that have motivated kickbackRead More


The Data, the Virus, and the Rebound

Apr 28th, 2020 | Filed under: State of the Industry, Featured Post, Newly Added, Asset Allocation

A new paper from Loomis Sayles, a subsidiary of Natixis Global Asset Management, discusses the data, and the sort of data, that may tell investors and traders what are the likely effects of the COVID-19 pandemic, in however many mutations there may be. A familiar metaphor in such discussions isRead More


Time-varying Volatility Adds a Critical Dimension to Diversification

Apr 21st, 2020 | Filed under: State of the Industry, Featured Post, Newly Added, Asset Allocation, Risk Management

By Masao Matsuda, CAIA, FRM, Founder, Crossgates Investment and Risk Management In January 2020, the CAIA New York Chapter organized an event titled “Volatility? Downside Protection? Asset Allocation & Factor Management Tools for the Coming Decade.”[i] In retrospect, the event was uncannily prescient, as just a few months into the newRead More


Next Customer!

Apr 20th, 2020 | Filed under: State of the Industry, Newly Added, Asset Allocation, What About Beta?

By Bill Kelly, CAIA Association CEO Our story starts with a former Eagle Scout known as Barber. While his name had absolutely nothing to do with his ultimate professional calling, Barber Conable did, perhaps unwittingly, become the Sweeney Todd of the defined benefit plan. Barber Conable lived a noble lifeRead More


Peeling Back the Wrapper of Hedge Fund Strategies

Apr 13th, 2020 | Filed under: State of the Industry, Access to Alternatives, Newly Added, Asset Allocation, Risk Management, Hedge Funds

By Aaron Filbeck, CAIA, CFA, CIPM, Associate Director, Content Development at CAIA Association During CAIA Association’s most recent Virtual Chapter event, Keith and I (virtually) sat down with Chris Tidmore, CFA, CPA at The Vanguard Group to discuss Vanguard’s recent whitepaper, “The Wrapper Matters: Comparing Liquid Alternatives to Hedge Funds”Read More


Where has all the diversification gone?

Apr 7th, 2020 | Filed under: State of the Industry, Access to Alternatives, Featured Post, Newly Added, Asset Allocation

By Beth Anne Byrne and Kara O’Halloran, FS Investments Warren Buffett’s famous quote reads “You only learn who has been swimming naked when the tide goes out”. The tide is most certainly out now, and many portfolios have been exposed. The historic bull market has ended, and with it theRead More


Machine learning is not magic—It is just a tool!

Mar 20th, 2020 | Filed under: Data Science & AI, State of the Industry, Newly Added, Asset Allocation

Keith Black, PhD, CFA, CAIA, FDP, Managing Director of Content Strategy, CAIA Association “Building your dream has to start now There’s no other road to take You won’t make a mistake I’ll be guiding you You have to believe we are magic Nothin’ can stand in our way” – OliviaRead More


‘Access to private capital benefits should not require premier status’

Mar 19th, 2020 | Filed under: State of the Industry, Newly Added, Asset Allocation

John Bowman, CFA, Senior Managing Director at CAIA Association “If the devil can quote Scripture, in his spare time he might be working on private capital return methodology.” So uttered Bill Elfers in 1995, founder of Greylock Capital and arguably modern venture capital itself. Eleven years later in 2006, HowardRead More


Diversification: The Only Free 3-Course Meal?

Mar 17th, 2020 | Filed under: State of the Industry, Newly Added, Asset Allocation

By Aaron Filbeck, CAIA, CFA, CIPM | Associate Director, Content Development at CAIA Association Depending on the day this blogpost is published, equity markets could be up 10% or down 10%. I guess timing blogposts is just as hard as timing the market these days. We often refer to diversificationRead More


Artificial Intelligence and the Cambrian Explosion

Mar 17th, 2020 | Filed under: Data Science & AI, State of the Industry, Featured Post, Newly Added, Asset Allocation

Three scholars affiliated with University College London have posted a paper on the dangers that increasingly sophisticated algorithms pose for markets, employing a fascinating analogy from paleontology. But we begin with their big picture. The authors are concerned that in the near future an “ecology of trading algorithms across differentRead More


ESG ETFs: A Warning About Opacity

Mar 15th, 2020 | Filed under: State of the Industry, Access to Alternatives, Featured Post, Newly Added, Asset Allocation, ESG

A recent paper by two legal scholars warns of the absence of transparency, of the opacity, that investors may face in ESG funds and ESG exchange-traded funds. “Buyer Beware: Variation and Opacity in ESG ad ESG Index Funds,” is the work of Dana Brackman Reiser and Anne M. Tucker, whoRead More


Diversification Strikes Back!

Mar 13th, 2020 | Filed under: State of the Industry, Real Estate, Private Equity, Newly Added, Asset Allocation, Risk Management, Hedge Funds, Commodities & Natural Resources

By Aaron Filbeck, CFA, CAIA, CIPM, Associate Director, Content Development at CAIA Association, and Keith Black, PhD, CFA, CAIA, FDP, Managing Director, Content Strategy at CAIA Association “Diversification is back” – now that’s not a phrase we’ve heard in a long time…long time. Considering recent market performance, we thought thatRead More


Positioning for Late Cycle with Defensive Equity

Mar 12th, 2020 | Filed under: Featured Post, Newly Added, Asset Allocation

By Aaron Filbeck, CFA, CAIA, CIPM, Associate Director, Content Development at CAIA Association Excerpted from the Alternative Investment Analyst Review, Volume 8, Issue 2 The Alternative Investment Analyst Review is the official publication of the CAIA Association. Access to the most current issue is an exclusive benefit of CAIA MembershipRead More


3 Threats to Hedge Funds

Mar 8th, 2020 | Filed under: State of the Industry, Access to Alternatives, Featured Post, Newly Added, Asset Allocation, Hedge Funds

A recent paper by a scholar at Tilburg University and a market participant at Robeco outlines the difficulties that the hedge fund industry has faced over the last decade. These problems arose, at least in part, from the democratization of alternative investing. There are three important challenges to the hedgeRead More


Are the Robots Really Taking Over?

Mar 5th, 2020 | Filed under: Data Science & AI, State of the Industry, Access to Alternatives, Newly Added, Asset Allocation, Hedge Funds

By Aaron Filbeck, CFA, CAIA, CIPM, Associate Director, Content Development at CAIA Association Excerpted from the Alternative Investment Analyst Review, Volume 8, Issue 3 The Alternative Investment Analyst Review is the official publication of the CAIA Association.  Access to the most current issue is an exclusive benefit of CAIA Membership whileRead More


ESG vs Low-Carbon Investing

Mar 1st, 2020 | Filed under: State of the Industry, Access to Alternatives, Featured Post, Newly Added, Asset Allocation, ESG

By Nicolas Rabener of FactorResearch @FactorResearch INTRODUCTION Investors seeking exposure to global equities with a low carbon footprint could consider the iShares MSCI ACWI Low Carbon ETF (CRBN) or SPDR MSCI ACWI Low Carbon ETF (LOWC). CRBN has $500 million of assets under management, compared with $90 million for LOWC.Read More


Real Assets ‘Inception:’ Diversification within Diversification

Feb 27th, 2020 | Filed under: State of the Industry, Real Estate, Manager Selection, Newly Added, Asset Allocation, Risk Management, Commodities & Natural Resources

By Aaron Filbeck, CFA, CAIA, CIPM, Associate Director, Content Development at CAIA Association Excerpted from the Alternative Investment Analyst Review, Volume 8, Issue 1 The Alternative Investment Analyst Review is the official publication of the CAIA Association. Access to the most current issue is an exclusive benefit of CAIA MembershipRead More


Avoiding Silver Bullets

Feb 24th, 2020 | Filed under: State of the Industry, Access to Alternatives, Newly Added, Asset Allocation, What About Beta?, Hedge Funds

By Aaron Filbeck, CFA, CAIA, CIPM – Associate Director, Content Development at CAIA Association Whether it’s that some retail versions of alternative investments have not lived up to their private counterparts, or that retail investors may be last in the buffet line for private placements, there are several arguments againstRead More


Alpha Comes in Waves

Feb 20th, 2020 | Filed under: State of the Industry, Access to Alternatives, Featured Post, Newly Added, Asset Allocation, Hedge Funds, Commodities & Natural Resources

The brief history of replication funds may already be divided into three waves, the third of which is still in formation. The first wave was about democratization: putting hedge fund strategies in the hands of people who cannot meet the accreditation requirements to invest in hedge funds proper, or ofRead More


Making Your Portfolio About #Goals

Feb 13th, 2020 | Filed under: State of the Industry, Access to Alternatives, Real Estate, Manager Selection, Newly Added, Asset Allocation, Hedge Funds, Commodities & Natural Resources

By Aaron Filbeck, CFA, CAIA, CIPM, Associate Director, Content Development at CAIA Association Central Issue of the Paper If you’re a social media junkie, you have probably seen “#goals” in your timeline. In most cases, the hashtag is referring to an attractive couple or an aesthetically pleasing plate of food.Read More


Lessons from CAIS 2020

Feb 11th, 2020 | Filed under: Data Science & AI, State of the Industry, Private Equity, Private Debt, Newly Added, Asset Allocation, ESG, Hedge Funds

John Bowman, CFA, Senior Managing Director at CAIA Association “You’re a kite dancing in a hurricane, Mr. Bond.” (Mr. White to 007, Spectre) Despite the crystal blue island water, softly rolling Caribbean tide, and perfect skies outside the hotel all week, I opened my conference wrap-up panel reminding delegates forRead More


Climate: The ‘OUR’ Between Dog and Wolf

Feb 10th, 2020 | Filed under: State of the Industry, Newly Added, Asset Allocation, What About Beta?, ESG, Hedge Funds

By Bill Kelly, CEO, CAIA Association While this week’s post may harken to a certain book written by John Coates, there is a different play on the metaphor at work here, with our wheezing planet spinning in the center. Consider the wolf: powerful, aggressive, and risk-seeking. The wolf is alsoRead More


Beyond the Meat; Beyond the Traditional

Feb 6th, 2020 | Filed under: State of the Industry, Private Equity, Newly Added, Asset Allocation, ESG, Hedge Funds

By Aaron Filbeck, CFA, CAIA, CIPM, Associate Director, Content Development at CAIA Association Building the Burger I love when our industry uses analogies to describe investment concepts, so I must applaud one of the introductory pieces to JPMorgan’s 2020 Global Alternatives Outlook. In their introduction to the report, the authorsRead More


Alternative Data: A Road to Alpha

Feb 2nd, 2020 | Filed under: Data Science & AI, State of the Industry, Access to Alternatives, Featured Post, Real Estate, Private Equity, Newly Added, Asset Allocation, Hedge Funds

Investment management firms are increasingly hard-pressed to hedge away risks, increase alpha, and lower costs: a daunting agenda. One way of going about that is by knowing what is going on in the underlying markets more quickly than the competitors and counterparties do.  To that end: alternative data. Investment firms,Read More


Taleb: What Size Tail Does the Smart Money Bet On?

Jan 28th, 2020 | Filed under: Data Science & AI, State of the Industry, Featured Post, Newly Added, Asset Allocation, Risk Management

Statistician/philosopher Nassim Nicholas Taleb critiques “behavioral” economics and finance as he looks at the differences between “binary forecasts” and “real world payoffs,” in a recent paper for the International Journal of Forecasting. Much of the argument will be familiar to those who have some acquaintance with Taleb’s work as itRead More


Leery Funk’s Open Letter to Sovereign Leaders

Jan 27th, 2020 | Filed under: State of the Industry, Access to Alternatives, Private Equity, Manager Selection, Newly Added, Asset Allocation, What About Beta?, ESG

By Bill Kelly, CAIA Association CEO In the interest of brevity, I am going to skip the salutation and get right to the heart of the matter. As my name implies, I am Leery of the lofty promises that depend on solving our long-term problems and I do remain inRead More


SASB + TCFD = Common ESG Disclosure Standards?

Jan 26th, 2020 | Filed under: State of the Industry, Featured Post, Newly Added, Asset Allocation, ESG, Risk Management

The Sustainability Accounting Standards Board (SASB), a non-profit organization has developed industry-specific standards across environmental, social, and governance topics, working toward a consensus on the sorts of disclosures that the issuers of securities should and will make to their investors. In November 2018, SASB released complete standards for 77 industries.Read More


Hope May Not Be a Strategy…But Neither is a 60/40

Jan 21st, 2020 | Filed under: State of the Industry, Access to Alternatives, Manager Selection, Newly Added, Asset Allocation, What About Beta?, Risk Management

By Guest Contributor Aaron Filbeck, CFA, CAIA, CIPM, Associate Director, Content Development The death of the 60/40 may be a welcome change for multi-asset investors who understand that exposure to risk premia is perhaps a far better long-term investment strategy. Diversification remains an important facet of asset allocation, but weRead More


ESG: Why the Ratings Diverge

Jan 20th, 2020 | Filed under: State of the Industry, Featured Post, Newly Added, Asset Allocation, ESG

A recent MIT Sloan research paper looks at the degree to which various environmental, social, and governance (ESG) ratings diverge and why. The paper is the work of Florian Berg and Roberto Rigobon, both of MIT Sloan, and Julian F. Kolbel, who is affiliated with the University of Zurich’s departmentRead More


Fossil Fuel: Divestment By the Numbers

Jan 16th, 2020 | Filed under: State of the Industry, Featured Post, Private Equity, Private Debt, Newly Added, Asset Allocation, ESG

Bill Gates, the founder of Microsoft and one of the world’s wealthiest humans, attracted a good deal of attention last fall by saying, “Divestment, to date, probably has reduced about zero tons of emissions.” He thereby put his finger on a key fault line amongst those who regard ESG investmentRead More


An Alternative View of Manager Selection Risk

Jan 16th, 2020 | Filed under: State of the Industry, Featured Post, Manager Selection, Newly Added, Asset Allocation, Risk Management, Hedge Funds

By Aaron Filbeck, CFA, CAIA, CIPM & Hossein Kazemi, PhD, CFA, CAIA Association & CISDM This is a summary of the editor’s letter originally published in the Volume 8, Issue 4 of the Alternative Investment Analyst Review, a journal published by CAIA Association. The Problem with Studies Many studies onRead More


Icahn, HP and Xerox: The Story Remains the Same

Jan 14th, 2020 | Filed under: State of the Industry, Featured Post, Newly Added, Asset Allocation, Hedge Funds

A long-running drama continues over Xerox’ desire to buy HP. Xerox upped the ante early in the new year, announcing that it has secured binding financing commitments in the amount of $24 million. The dispute, with long-time shareholder activist Carl Icahn at its center, shows that: (a) the corporate worldRead More


The Dog Days of… print(“Season is”,season)

Jan 6th, 2020 | Filed under: Data Science & AI, State of the Industry, Access to Alternatives, Manager Selection, Asset Allocation, What About Beta?

By Bill Kelly, CEO, CAIA Association As a global organization, it is pleasing to know there is always a CAIA Association Member, somewhere in the world, enjoying the dog days of summer. Although we can’t get Portfolio Management Research to recognize the Southern Hemisphere of seasons on the cover ofRead More


Opportunities Emerge in Emerging Markets Debt

Jan 5th, 2020 | Filed under: State of the Industry, Featured Post, Newly Added, Asset Allocation

A new year ushers in new opportunities and 2020 is no different in that respect. Emerging markets debt is one such opportunity, according to the global fixed-income team at Morgan Stanley Investment Management. In its new report, MSIM sees “attractive opportunities in countries displaying disinflationary or stable inflation dynamics andRead More


SHARE BUYBACKS OR COMPOSITE EQUITY ISSUANCE?

Jan 1st, 2020 | Filed under: State of the Industry, Featured Post, Newly Added, Asset Allocation, Risk Management

By Daniel Fang, CFA, CAIA, Quantitative Research, and Diana Olteanu-Veerman, CFA, Quantitative Strategy, Northern Trust Asset Management Composite Equity Issuance (Cei) Can be a Proxy for Intangible Returns Anomalies Even though factor investing is widely supported in academia and investment practice, forecasting and harvesting factor returns remains challenging for various reasons.Read More


Start Your Algorithms: Speed is Good Again, or is it?

Dec 30th, 2019 | Filed under: Data Science & AI, State of the Industry, Access to Alternatives, Featured Post, Newly Added, Asset Allocation, Hedge Funds

Until the final days of 2019, it has been a quiet year for high-frequency trading-related news. The whole concept of a trade executed in nanoseconds, and the related concept of a trading program managed with only sporadic human intervention or oversight, have all faded into background assumptions. What remains isRead More