Browsing: Alpha & Beta

Statistical Methods of Estimating Beta & Alpha of Alternative Investments
Alpha and Smart Beta
The Estimation of Alpha and Beta
The Separation of Alpha and Beta
Portable Alpha

Alpha & Beta

AI, What Have You Done for Me Lately?

Sep 10th, 2020 | Filed under: Newly Added, Fintech, Artificial Intelligence, ETFs, Machine Learning, Hedge Funds, Allocating to A.I., Other Topics in A.I.

By Nicolas Rabener of FactorResearch (@FactorResearch) INVESTING IN AI VERSUS AI INVESTING “AI will probably most likely lead to the end of the world, but in the meantime, there’ll be great companies.” – Sam Altman If investors are looking for that one great AI company that will also end theRead More


Understanding the Limitations of Liquid Alternatives

Jul 30th, 2020 | Filed under: Retail Investing, Hedge Fund Strategies, Newly Added, Alternative Mutual Funds, 130/30, Liquid Alts, Alternative Investments in Context, Smart Beta, Hedge Funds, Liquid Alternative Investiments, Allocating to A.I.

By Shana Sissel, CAIA, Spotlight Asset Group More than a decade ago the world of alternative investments witnessed hedge-fund-inspired Investment Act of 1940 (40 Act) funds appear on the scene. Much like their private alternative counterparts, liquid alternatives offer valuable diversification benefits within traditional portfolios, but it’s important to keepRead More


ETFs, Systemic Risks, and a Real-Time Test

May 5th, 2020 | Filed under: Retail Investing, Newly Added, Liquid Alts, ETFs, The A.I. Industry, Liquid Alternative Investiments

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


Peeling Back the Wrapper of Hedge Fund Strategies

Apr 13th, 2020 | Filed under: CAPM / Alpha Theory, Hedge Fund Strategies, Alpha & Beta, Equity Hedge Funds, Newly Added, Institutional Investing, Alpha Strategies, Event-Driven Hedge Funds, CAIA Alternative Viewpoints, Liquid Alts, Institutional Asset Management, Macro and Managed Futures Funds, Hedge Funds, Relative Value Hedge Funds, Liquid Alternative Investiments, Allocating to A.I., Other Topics in A.I.

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


ESG ETFs: A Warning About Opacity

Mar 15th, 2020 | Filed under: Newly Added, Liquid Alts, ESG, ETFs, The A.I. Industry, Liquid Alternative Investiments, Other Topics in A.I.

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


ESG vs Low-Carbon Investing

Mar 1st, 2020 | Filed under: Newly Added, Liquid Alts, ESG, ETFs, The A.I. Industry, Liquid Alternative Investiments, Allocating to A.I., Other Topics in A.I.

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


Alpha Comes in Waves

Feb 20th, 2020 | Filed under: Retail Investing, Newly Added, Alternative Beta & Hedge Fund Replication, Smart Beta, The A.I. Industry, Hedge Funds, Liquid Alternative Investiments, Commodities, Structure of the Hedge Funds Industry, Allocating to A.I.

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


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

Jan 21st, 2020 | Filed under: Consultants, Retail Investing, Alpha & Beta, Newly Added, Institutional Investing, Risk management, Asset allocation, What about beta?, Asset Allocation Models, Alternative Investments in Context, Institutional Asset Management, Risk Management Strategies & Processes, Allocating to A.I.

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


Pairs Trading Suggested for Energy Stocks

Dec 11th, 2019 | Filed under: CAPM / Alpha Theory, Hedge Fund Strategies, Alpha & Beta, Newly Added, Alpha Strategies, ETFs, The A.I. Industry, Hedge Funds, Allocating to A.I., Finance & Economics

Carlos Salas Najera, of the New York City Data Science Academy, has tested an old idea (pairs trading) for a strategy that could be tailored to energy stocks and related ETFs. The resulting paper is “Pairs Trading and VAR Analysis Applied to Energy Stocks.” His latest paper, though, has aRead More


How to Evaluate Smart Beta ETFs

Dec 8th, 2019 | Filed under: Newly Added, ETFs, Smart Beta, The A.I. Industry, Liquid Alternative Investiments, Allocating to A.I., Other Topics in A.I.

By Nicolas Rabener of FactorResearch (@FactorResearch) Beta is like ice cream and comes in many flavors. Broadly we can categorize it into the following four types: Plain beta: Market capitalization-weighted benchmark indices like the S&P 500 or FTSE 100. Smart beta: Indices with tilts to factors backed by academic andRead More


PORTFOLIO PROTECTION VIA MANAGED FUTURES LIQUID ALTS?

Sep 8th, 2019 | Filed under: Commodities, Hedge Fund Strategies, CTA, Investing in Commodities, Newly Added, Alternative Mutual Funds, Liquid Alts, ETFs, The A.I. Industry, Macro and Managed Futures Funds, Hedge Funds, Liquid Alternative Investiments, Commodities, Allocating to A.I., Other Topics in A.I.

By Nicolas Rabener of FactorResearch (@FactorResearch) INTRODUCTION The mafia and the hedge fund industry share some characteristics. Both are powerful, non-transparent, and create little value for society. Naturally the mafia is a criminal organization while the only “criminal” element of hedge funds are the high fees they are charging forRead More


Is it Time for the Gold Bug to Bite?

Aug 27th, 2019 | Filed under: Commodities, Hard metals, Investing in Commodities, Newly Added, Commodities: Examples, ETFs, The A.I. Industry, Gold, Commodities

Diane Merritt, of the Closed-End Fund Association (CEF) spoke recently with Axel Merk, of Merk Investments, about precious metals as part of a portfolio, and specifically the role these metals can play late in the business cycle: which, according to a rather broad consensus, is where we now are. TheRead More


Mind the Gap: The Unforeseen Consequences of Smart Beta

Jun 27th, 2019 | Filed under: Retail Investing, Alpha & Beta, Newly Added, Liquid Alts, ETFs, Smart Beta, The A.I. Industry, Hedge Funds, Liquid Alternative Investiments, Other Topics in A.I.

A new paper by Sean Markowicz, a strategist at Schroders, looks into the possibility that fund flows into the assets generically called smart beta are having detrimental consequences for the financial system. It also sheds some light on investors’ bad timing regarding ETFs. The assets at issue are, according toRead More


A HORSE RACE OF LIQUID ALTERNATIVES

Jun 13th, 2019 | Filed under: Hedge Fund Strategies, CTA, Investing in Commodities, Equity Hedge Funds, Newly Added, Liquid Alts, ETFs, The A.I. Industry, Macro and Managed Futures Funds, Hedge Funds, Liquid Alternative Investiments, Commodities, Other Topics in A.I.

By Nicolas Rabener of FactorResearch (@FactorResearch) INTRODUCTION Investing is challenging as it is complex and complicated, which requires continuous learning and updating of mental frameworks. Conflicts and contradictions are found everywhere. For example, data from the mutual fund industry shows that most funds fail to outperform their benchmarks, but investors inRead More


HEDGE FUND ETFS: BETTER THAN THE ORIGINALS

May 12th, 2019 | Filed under: Hedge Fund Industry Trends, Retail Investing, Hedge Fund Strategies, Equity Hedge Funds, Newly Added, Event-Driven Hedge Funds, Alternative Investments in Context, ETFs, The A.I. Industry, Macro and Managed Futures Funds, Hedge Funds, Relative Value Hedge Funds, Allocating to A.I.

By Nicolas Rabener of FactorResearch (@FactorResearch) INTRODUCTION As Amazon has been decimating large parts of the retail industry over the last two decades, ETFs have done the equivalent to the mutual fund industry in the financial world. Today ETFs are covering nearly all areas of the markets, no matter howRead More


REPLICATING FAMOUS HEDGE FUNDS

Apr 21st, 2019 | Filed under: Hedge Fund Strategies, Newly Added, Alternative Beta & Hedge Fund Replication, The A.I. Industry, Hedge Funds

By Nicolas Rabener @Factor Research INTRODUCTION In 1973, the U.S. Food and Drug Administration (FDA) published the first regulations that required the nutrition labeling of certain foods as consumers were left in the dark about what they were eating. The regulations evolved and culminated in the widely-recognized nutrition facts panelRead More


Hedge Funds: Observing the Unobserved Performance

Mar 14th, 2019 | Filed under: Hedge Fund Industry Trends, Performance, Analytics & Metrics, Hedge Fund Strategies, Alpha & Beta, Newly Added, Benchmarking & Performance Attribution, The A.I. Industry, Hedge Funds, Structure of the Hedge Funds Industry

Two different strands of scholarly research into hedge fund performance produce markedly different conclusions. There is the returns-based approach, which finds that the average hedge fund manager does better than the market portfolio, net of fees. But there is also a holdings-based approach, which looks at the performance of theRead More


Risks & Rewards: The Future of Finance in Blockchain

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

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


ETF Arbitrage and Its Consequences

Jan 1st, 2019 | Filed under: Retail Investing, Newly Added, Alternative Investments in Context, ETFs, The A.I. Industry, Emerging Alternative Investments, Other Topics in A.I.

A new paper by Ilias Filippou and two other scholars looks at ETF arbitrage. This is a trading strategy that plays off of discrepancies between the value of the exchange-traded funds on the one hand and the value of their underlying stocks on the other. ETF arb is not new,Read More


Quantifying High Performance Dispersion Risk in Alternatives

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

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


Active Management, the Business Cycle, and the Silk Road

Jul 31st, 2018 | Filed under: Retail Investing, Alpha & Beta, Newly Added, The Global Economy & Currencies, Macroeconomics, Allocating to A.I., Finance & Economics, Other Topics in A.I.

LPL Financial’s 2018 Forum Conference for investors took place in Boston this week, Sunday through Tuesday. This is an annual event that brings together thousands of advisors and program managers to discuss industry issues and new products. LPL is an independent broker-dealer headquartered in Boston, with offices in Fort Mill,Read More


The Quants, the Algorithms, and the Performance

Mar 18th, 2018 | Filed under: Alpha & Beta, Newly Added, Benchmarking & Performance Attribution, Hedge Funds, Allocating to A.I.

A new paper by J.B. Heaton, forthcoming in the Journal of Financial Transformation, offers a skeptical view of the algorithmic trading of securities, its actuality and its potential. Heaton is a lawyer (admitted to the bars of both Illinois and New York) and has a Ph.D. in finance, University ofRead More


Robeco Researcher on Factor Premiums and ETFs

Mar 6th, 2018 | Filed under: Newly Added, ETFs, Smart Beta, Liquid Alternative Investiments, Allocating to A.I., Other Topics in A.I.

David Blitz has recently discussed the concern in some quarters that factor premiums may disappear as they are arbitraged away by exchange-traded funds. Blitz, the head of quantitative equity research at Robeco Asset Management, says that such a concern is not justified, because “the exposures of ETFs that may beRead More


Institutional Investors Wary of Passivity

Mar 1st, 2018 | Filed under: Alpha & Beta, Newly Added, Institutional Asset Management, SRI and Clean Energy, Allocating to A.I., Other Topics in A.I.

Natixis’ Center for Investor Insight surveyed 500 institutional investors in the fall of 2017 about long-term objectives, short-term opportunities, and the concomitant pressures. In a new paper, Natixis discusses the Center’s take-a-ways from this survey Geopolitical events are the most worrisome prospect on the minds of the decision makers atRead More


Urgent vs. Important: Barriers to Digitization in Alternative Investing

Feb 15th, 2018 | Filed under: Alpha & Beta, Newly Added, Operations, Risk Management & Operations, Allocating to A.I.

KPMG International and CREATE-Research have jointly prepared a report about the digitization imperative for alternative investment management. The report includes within that term both hedge funds and private equity. Early on, its authors list eight key digital innovations that are reconstructing the industry: Application programming interfaces; cognitive technology and machineRead More


SSGA on Smart Beta

Feb 8th, 2018 | Filed under: Alpha & Beta, Newly Added, Liquid Alts, Smart Beta, Liquid Alternative Investiments, Allocating to A.I., Other Topics in A.I.

State Street Global Advisers has put out a “Complete Guide to Smart Beta.” A preface by Lynn S. Blake explains that the focus of the paper is not on equity products but on “exciting new developments in the fixed income world.” Within that space, multi-factor strategies will proliferate going forward.Read More


Unsophisticated Techniques of Equity Factor Investing Still Prevail

Feb 1st, 2018 | Filed under: Alpha & Beta, Newly Added, Institutional Investing, Asset allocation, Asset Allocation Models, Institutional Asset Management, Allocating to A.I.

EDHEC Risk Institute, in collaboration with ERI Scientific Beta, surveyed 114 investment professionals between June and September 2017 about their motivation and interests with regard to equity factor strategies. It found that many, especially on the asset owners’ side of things, were strikingly distant from the state-of-the-art in analytical approachesRead More


Institutional Investors Expect More Vol, Higher Interest Rates: But They Fear Not

Dec 17th, 2017 | Filed under: Consultants, Alpha & Beta, Newly Added, Institutional Investing, Alternative Investments in Context, The A.I. Industry, Institutional Asset Management, Allocating to A.I.

Natixis Investment Managers has released survey data on the mood of institutional investors around the world. Natixis, which has $961 billion in assets under management, polled the decision makers of 500 institutions that together represent more than $19 trillion of assets. Among the takeaways: investors expect more volatility, in bothRead More


State Street Forecasts on Smart Beta

Dec 12th, 2017 | Filed under: Alpha & Beta, Newly Added, Institutional Investing, Smart Beta, Institutional Asset Management, Liquid Alternative Investiments, Allocating to A.I., Finance & Economics, Other Topics in A.I.

State Street Global Advisors has a new paper out that seeks to help State Street clients “refine their own strategic asset allocation” especially insofar as their portfolios include smart beta investments, by explaining how State Street forecasts returns, and where the forecasts as to some of the factor returns standRead More


A look at the European pension industry

Nov 28th, 2017 | Filed under: Alpha & Beta, Newly Added, Institutional Investing, Institutional Asset Management, Allocating to A.I.

Three years ago, Amin Rajan, the CEO of CREATE-Research, prepared a study of the way that pension plans had reacted to the global financial crisis and to the subsequent financial conditions.  His study continues to be worthy of attention in 2017. The study included a survey of 190 pension plansRead More


Adding Some Contrarianism to the Momentum Strategy

Nov 12th, 2017 | Filed under: Alpha & Beta, Newly Added, Hedge Funds, Allocating to A.I.

A scholar in Moscow, at National Research University Higher School of Economics, has proposed a trading strategy that combines ‘momentum’ and “contrarian’ strategies in a way that, this scholar believes, could reap the upsides of both. The scholar, Victoria Dobrynskaya, assistant professor of finance, says that momentum strategies do produceRead More


Aon: Alternative Risk Premia Viable for Many

Sep 17th, 2017 | Filed under: Alpha & Beta, Financial Economics Theory, Newly Added, Asset Allocation Models, Allocating to A.I., Finance & Economics

A new report from Aon discusses the contemporary market for alternative risk premia: where it is, how it got here; where it may be headed. The authors, Matthew Towsey and Chris Walvoord, begin with some very basic considerations of what ‘risk premia’ are. They are, on the one hand, theRead More


Sovereign Wealth Funds: Partners and Capability

Sep 7th, 2017 | Filed under: Alpha & Beta, Newly Added, Institutional Investing, Institutional Asset Management, Allocating to A.I.

Sometimes it pays to read footnotes and end matter, because that turns out to be where the story is. Bocconi University’s Sovereign Investment Lab has published its latest annual report on sovereign wealth funds, and this gives us a case in point. The report says that 2016 was far fromRead More


Alternative Risk Premia Investing

Jul 9th, 2017 | Filed under: Alpha & Beta, Newly Added, Asset Allocation Models, Allocating to A.I.

Unigestion has posted a research paper by Olivier Blin, Joan Lee, and Jérôme Teiletche, on “some of the practical considerations that should help investors get the most out of their allocation to” alternative risk premia (ARP) strategies. Unigestion is a boutique asset manager, and Blin is its head of crossRead More


Growth and Challenges for Asset Management in Italy

Jun 15th, 2017 | Filed under: Newly Added, Alternative Investments in Context, ETFs, The A.I. Industry, Allocating to A.I.

A recent (May 2017) Deloitte white paper discussed asset management in Italy. The paper begins with the observation that key institutions in Italian finance have a relatively short history: going no further back than the mists of the 1990s. The Società di Intermediazione Mobiliare (SIM) – literally, the phrase meansRead More


Broad Commodities: Value, Inflation, Implementation

May 29th, 2017 | Filed under: Investing in Commodities, Newly Added, ETFs, Commodities

ETF Securities (US) LLC, a New York-based asset manager and manufacturer of ETP’s (Exchange Traded Products),” has issued a white paper written by its Director, Investment Strategy, (Maxwell Gold), on “broad commodities,” that is, on the use of a broad basket of commodities, as a way of allowing an investor’sRead More


State Pensions and Complex Investments

May 14th, 2017 | Filed under: Alpha & Beta, Newly Added, Institutional Investing, Institutional Asset Management, Allocating to A.I.

A recent report from the PEW charitable trusts discusses the degree to which the pension funds of the states of the United States are increasing their use of “complex investments.” It also speaks to the consequences of this move. The term “complex investments” is used here to describe any departureRead More


Survey Respondents: Market Volatility is the Gravest Threat Just Now

Mar 26th, 2017 | Filed under: Alpha & Beta, Newly Added, Institutional Investing, Institutional Asset Management, Allocating to A.I.

Natixis Global Asset Management is out with its annual survey of institutional investors and their views about alternative investors. The survey included institutions around the world and of many distinct classes: corporate and public pension funds, insurance funds, sovereign wealth funds, endowments/foundations, managing amongst them $15.5 trillion. The break-down ofRead More


Factor Investing And The Importance Of Market Cycles

Mar 15th, 2017 | Filed under: Newly Added, ETFs, Smart Beta, Allocating to A.I., Other Topics in A.I.

By Scott Opsal, CFA Director of Equities, The Leuthold Group The widespread popularity of smart beta ETFs demonstrates that factor-based investing has advanced from the province of academia to rank among the most popular investment strategies for institutional and retail investors. Originally of interest to researchers looking to test, andRead More


BlackRock: Smart Beta Strategies Have Room for Growth

Mar 5th, 2017 | Filed under: Alpha & Beta, Newly Added, Liquid Alts, ETFs, Smart Beta, Liquid Alternative Investiments, Allocating to A.I., Other Topics in A.I.

A recent Columbia Business School research paper looks into the transaction costs associated with smart beta strategies in order to estimate the capacity of each strategy. The three authors of the report are all affiliated with asset manager BlackRock Inc. They are: Ronald Ratcliffe, Paolo Miranda, and Andrew Ang. RatcliffeRead More


The Principal-Agent Problem and Smart Beta

Mar 2nd, 2017 | Filed under: Alpha & Beta, Newly Added, Institutional Asset Management, Allocating to A.I.

Economists  devote a good deal of attention to what they call the “principal-agent problem,” defined to include the whole nest of conflicts of interest and moral hazards that arise when one party agrees to work for and make decisions on behalf of another, especially when the goal is to  optimizeRead More


Why Do Alpha Seekers Find It In the Small Caps?

Feb 21st, 2017 | Filed under: Alpha & Beta, Financial Economics Theory, Newly Added, Allocating to A.I., Finance & Economics

The median performance of active fund managers with a small-cap mandate is uniformly better than the performance of their colleagues with a large cap mandate against their respective benchmarks. Fewer than 40% of large-cap managers outperform U.S. large-cap equity. More than 60% of their small-cap counterparts do so. The patternRead More


PGIM:  Not All Alternatives Are Alike

Jan 2nd, 2017 | Filed under: Alpha & Beta, Newly Added, Institutional Investing, Asset Allocation Models, Institutional Asset Management, Allocating to A.I.

A new report from PGIM Institutional Advisory looks at an old question: what role should alternative investments play within the portfolio allocation decisions of institutions? The question is especially pressing at the beginning of 2017 because US broad equity indexes have done quite well for years, ever since the marketsRead More


Pension Funds, Hedge Funds, and Allocations

Nov 8th, 2016 | Filed under: Alpha & Beta, Newly Added, Institutional Investing, Institutional Asset Management, Allocating to A.I.

A new scholarly paper addresses the puzzle: which institutional investors are best informed? Zhe Chen, of the University of New South Wales, David Forsberg, Macquarie Graduate School of Management, and David R. Gallagher, UNSW Australia Business School,  compare hedge funds, mutual funds, pension funds, and private banking firms to determineRead More


Northill: In Defense of Active Management

Aug 27th, 2016 | Filed under: Performance, Analytics & Metrics, Alpha & Beta, Newly Added, Benchmarking & Performance Attribution, Allocating to A.I.

Northill Capital, a London-based asset manager, has released a report defending active asset management from the common charge that it cannot, after costs, beat the passive managers. That is an old and familiar subject for debate. What cannot be debated, because it is a simple matter of definition and arithmetic,Read More


Active vs. Passive: A 3-Club Headwind

Aug 10th, 2016 | Filed under: Alpha & Beta, Newly Added, Benchmarking & Performance Attribution, The A.I. Industry, Allocating to A.I.

By Scott Opsal Relative Performance Actively managed funds have recently underperformed passive indexes. As a result, fund inflows and deposits have favored passive funds. Active Vs. Passive Return Patterns Are Cyclical Our research suggests relative returns between active and passive are cyclical, depending on the market environment. We examine severalRead More


Study Says Pensions May Be Looking for Returns in the Wrong Places

Aug 7th, 2016 | Filed under: Alpha & Beta, Newly Added, Real Estate Equity Investments, Private Investments, Allocating to A.I.

Alex Beath, senior research analyst at CEM Benchmarking, the Toronto-based pension research firm, has produced a white paper on the pension fund performance in the U.S. since 1998, and the news he brings is not good (for pension funds themselves, or for the hedge funds to which they have allocatedRead More


Lyxor Quants Ask: What Exactly is a ‘Risk Factor’ Anyway?

Jul 6th, 2016 | Filed under: Alpha & Beta, Financial Economics Theory, Newly Added, The A.I. Industry, Allocating to A.I., Finance & Economics

Given the growing body of scholarly work over “risk factor” investing, especially the growing number of risks cited as factors, one has to wonder: what exactly is a “factor”?  In terms that admirers of Rodgers and Hammerstein will remember: is a feature of an investment a risk factor because it’sRead More


Factor-Based Asset Allocation

Jun 19th, 2016 | Filed under: Alpha & Beta, Investing in Commodities, Newly Added, Asset allocation, Asset Allocation Models, Smart Beta, Commodities, Allocating to A.I., Other Topics in A.I.

A paper by Xiaowei Kang and Daniel Ung, published in June 2014, remains timely because risk parity and related approaches remain the center of controversy and some confusion. The Kang & Ung paper looked at three approaches to risk factor based portfolio construction, studying specifically the practical aspects of theRead More


Investors ‘Misoverestimate’ ETFs and a Push Towards ESG

May 26th, 2016 | Filed under: Industry Size & Managers, Newly Added, Socially responsible investing, ETFs, The A.I. Industry, SRI and Clean Energy, Allocating to A.I., Other Topics in A.I.

In a newly released report, Natixis Global Asset Management speaks to the quite positive views of passive investment vehicles and exchange traded funds that it finds in today’s marketplace.  Their report inspires the neologism “misoverestimate,” as a logical analog of a former U.S. president’s term, “misunder ….” A Natixis surveyRead More