Browsing: Performance, Analytics & Metrics

Performance, Analytics & Metrics

Is the US Stock Market Overvalued? A Back-of-the-Envelope Calculation

Aug 16th, 2020 | Filed under: Performance, Analytics & Metrics, Financial Economics Theory, Newly Added, The Global Economy & Currencies, Economics, Macroeconomics, Finance & Economics

By Hossein Kazemi, The CAIA Association & The Isenberg School of Management In recent weeks, hundreds of research reports and many more blogs and commentaries have discussed the current valuation of the US stock market.  With the economy in a recession and corporate profits and GDP down by double digits,Read More


An ‘Alternative’ Safe-Haven

Jul 26th, 2020 | Filed under: Performance, Analytics & Metrics, Newly Added, Risk management, Asset allocation, Asset Allocation Models, Risk Metrics and Measurement, Risk Management Strategies & Processes, Allocating to A.I.

By Karl Rogers, ACE Capital Investments Abstract: The sovereign bond market has traditionally been a widely used tool for portfolio construction given its dual characteristics of returning a real yield with a negative correlation to equity markets – providing both a real return expectancy and portfolio protection. Given the zero-lower-boundRead More


Time-varying Equity Volatility Markedly Affects Hedge Fund Performance

May 19th, 2020 | Filed under: Performance, Analytics & Metrics, Hedge Fund Strategies, Newly Added, Risk management, Benchmarking & Performance Attribution, Risk Management Strategies & Processes, Hedge Funds, Structure of the Hedge Funds Industry

By Masao Matsuda, CAIA, FRM, Founder, Crossgates Investment and Risk Management One would think hedge funds can weather market gyrations better than long-only equity investments as hedge funds have greater flexibility in determining the levels of market exposure.  However, while some individual hedge funds may have been successful in adverse marketRead More


Making Your Portfolio About #Goals

Feb 13th, 2020 | Filed under: Performance, Analytics & Metrics, Retail Investing, Newly Added, Institutional Investing, Asset allocation, Benchmarking & Performance Attribution, CAIA Alternative Viewpoints, High-net-worth investors, Asset Allocation Models, Endowments & Foundations, The A.I. Industry, Institutional Asset Management, Real Estate Equity Investments, Family Offices, Hedge Funds, Commodities, Private Investments

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


An Alternative View of Manager Selection Risk

Jan 16th, 2020 | Filed under: Performance, Analytics & Metrics, Newly Added, Institutional Investing, Risk management, Asset allocation, Benchmarking & Performance Attribution, Asset Allocation Models, Other Issues in Private Investments, Risk Metrics and Measurement, The A.I. Industry, Institutional Asset Management, Risk Management Strategies & Processes, Hedge Funds, Private Investments, Risk Management & Operations, Allocating to A.I.

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


Fixing the Sharpe Ratio: A Machine Learning Approach

Jun 16th, 2019 | Filed under: Performance, Analytics & Metrics, Newly Added, Risk management, Benchmarking & Performance Attribution, Risk Metrics and Measurement, The A.I. Industry, Risk Management Strategies & Processes, Hedge Funds

The Sharpe ratio has long served as a simple but important item in the due diligence tool kit. Formulated by William F. Sharpe in 1966 and first called the “reward to variability” ratio, the number arises from an investment’s rate of return minus the risk-free rate divided by the standardRead More


Accommodating Ambiguity Aversion in Portfolio Modeling

May 14th, 2019 | Filed under: Performance, Analytics & Metrics, Newly Added, Risk management, Risk Metrics and Measurement, The A.I. Industry, Risk Management Strategies & Processes

By standard definition, “ambiguity aversion” is the preference for known risks over unknown risks, the known unknowns over the unknown unknowns. A recent paper discusses the portfolio-level consequences of this aversion. The paper, written by Valery Polkovnichenko and Hui (Grace) Wang, explains that for an ambiguity-neutral investor, “adding active portfolio withRead 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


Hedge Funds Stronger in January, Thanks to The Fed

Mar 3rd, 2019 | Filed under: Hedge Fund Industry Trends, Performance, Analytics & Metrics, Hedge Fund Strategies, CTA, Industry Size & Managers, Equity Hedge Funds, Newly Added, Benchmarking & Performance Attribution, Event-Driven Hedge Funds, Funds of Hedge Funds, The A.I. Industry, Macro and Managed Futures Funds, Hedge Funds, Relative Value Hedge Funds

Risk-on sentiment returned in January, with good news on trade talks and with the Federal Reserve in the United States putting some distance between itself and its 2018 hard-money stance (the Fed started saying in January that it would be “patient” about selling off-balance sheet assets). Globally, hedge funds grewRead 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


Self-Organizing Maps for Selecting Hedge Funds

Oct 9th, 2018 | Filed under: Performance, Analytics & Metrics, Hedge Fund Strategies, Newly Added, Asset allocation, Benchmarking & Performance Attribution, Asset Allocation Models, The A.I. Industry, Risk Management Strategies & Processes, Hedge Funds, Allocating to A.I.

A new paper by Claus Huber, of Rodex Risk Advisers, looks at machine learning for risk analysis, working especially from the “self-organizing maps” associated with Finnish Professor Teuvo Kohonen. A SOM is a low-dimensional representation of input space (thinking of it as two dimensional makes the “map” analogy intuitive, andRead More


Cracking the Illiquidity Code

Sep 26th, 2018 | Filed under: Performance, Analytics & Metrics, Private Equity, Newly Added, Benchmarking & Performance Attribution, Equity Types of Private Equity, Other Issues in Private Investments, Risk Metrics and Measurement, The A.I. Industry, Private Investments

By Tom Keck, Partner & Head of Research; Lisa Larsson, Vice President, Research Researchers at StepStone Group, a global private markets firm, recently released a white paper that puts the illiquidity of private equity into perspective. A fund’s life they reckon is too coarse a measure; the picture comes into focusRead More


Pension Funds, ‘Tilt,’ and Underperformance

Jul 1st, 2018 | Filed under: Performance, Analytics & Metrics, Newly Added, Institutional Investing, Benchmarking & Performance Attribution, Institutional Asset Management, Allocating to A.I.

Christina Atanasova and Gilles Chemla have posted a discussion of pension plans,where holdings show a tilt toward private equity and real estate investments. Atanasova is associate professor of finance, Beedie School of Business,  Simon Fraser University in Burnaby, BC, Canada.  Chemia is professor of financial at Imperial College Business School, London,Read More


DB: Investors Newly Optimistic About Hedge Funds

Feb 22nd, 2018 | Filed under: Hedge Fund Industry Trends, Performance, Analytics & Metrics, Industry Size & Managers, Newly Added, Institutional Investing, Asset allocation, Benchmarking & Performance Attribution, Asset Allocation Models, The A.I. Industry, Institutional Asset Management, Fees, Hedge Funds, Structure of the Hedge Funds Industry, Allocating to A.I.

Deustche Bank recently released its Alternative Investment Survey, the 16th annual.  This year the questionnaires received replies from 436 global hedge fund investors, with assets under management of $2.1 trillion, who shared their insights, sentiments, and allocation plans.  Glenn Bunn, co-head of Prime Finance at DB, said in a statementRead More


The Function of the High-Watermark: Not What You Think

Oct 1st, 2017 | Filed under: Performance, Analytics & Metrics, Newly Added, The A.I. Industry

A new paper in the Journal of Accounting and Finance discusses hurdle rates and high watermarks, and how they affect, or at least correlate with, performance. A hurdle rate is a minimum contractually specified rate of return that a hedge fund must achieve in order to collect performance fees. ARead 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


Best Practices for Private Equity Sponsors in an Age of Increasing Scrutiny

May 23rd, 2016 | Filed under: Performance, Analytics & Metrics, Private Equity, Newly Added, Risk management, Benchmarking & Performance Attribution, Other Issues in Private Investments, Risk Management Strategies & Processes, Private Investments

By John Czapla, Parag Patel and Shane Newell, Valuation Research Corporation As the demand for transparency rises for private equity and hedge funds, the spotlight is increasingly focusing on valuation practices. There are an important number of reasons why the valuation process has become important, and they are essential forRead More


Tricky Times for Hedge Funds and a Lot of Negative YTD Performances

May 22nd, 2016 | Filed under: Performance, Analytics & Metrics, Hedge Fund Strategies, Equity Hedge Funds, Newly Added, Indexes, Benchmarking & Performance Attribution, Fees, Hedge Funds, Structure of the Hedge Funds Industry

A slim majority of hedge fund managers are in the red year to date, through April, according to the latest report from Eurekahedge. Specifically, 51.4% of managers have negative YTD performance. Over the same period in 2015, the analogous number was only 21.2%. That is a good indication of whatRead More


Eurekahedge: From Latin America to Middle Earth 

Mar 20th, 2016 | Filed under: Performance, Analytics & Metrics, CTA, Newly Added, Macro and Managed Futures Funds, Hedge Funds, Allocating to A.I.

The latest report from Eurekahedge tells us that hedge funds worldwide are down year-to-date through February, -1.27 percent. Dividing the industry by geographic mandates, Latin America is the only region to post YTD gains, +1.9% due to a rally in oil and commodities. Table 1, adapted from the report below,Read More


Eurekahedge: Performance after the ECB Underwhelms

Jan 28th, 2016 | Filed under: Performance, Analytics & Metrics, Equity Hedge Funds, Newly Added, Benchmarking & Performance Attribution, Macro and Managed Futures Funds, Hedge Funds

The latest Eurekahedge report says that regional mandates for the month of December 2015 produced quite mixed results. Asia ex-Japan managers yielded the best results, gains of 1.45%. Their Japanese counterparts produced 0.27%. In annual terms, Asia ex-Japan funds delivered 8.23% in 2015. Such funds saw an annual AUM growthRead More


Eurekahedge: All Regional Mandates Up for November

Dec 23rd, 2015 | Filed under: Performance, Analytics & Metrics, Newly Added, Benchmarking & Performance Attribution, Event-Driven Hedge Funds, Hedge Funds, Allocating to A.I.

Faille takes a quick trip around the world with the assistance of Eurekahedge's numbers and graphs showing performance in November 2015 and year to date.Read More


Institutions Thinking About Interest Rates and Volatility

Dec 15th, 2015 | Filed under: Performance, Analytics & Metrics, Newly Added, Institutional Investing, Benchmarking & Performance Attribution, Endowments & Foundations, Institutional Asset Management, Allocating to A.I.

In recent months, even the anticipation of Fed Reserve tightening has been able to send markets into a tizzy. Now the actual tightening is at last upon us. Both Natixis and Reuters surveys speak to the way the buy-side and sell-side see this. Read More


DB Global Prime: Hedge Funds See Steady Combined Inflows, But Lots of Action

Nov 29th, 2015 | Filed under: Performance, Analytics & Metrics, Hedge Fund Strategies, Industry Size & Managers, Equity Hedge Funds, Newly Added, Asset Managers, Benchmarking & Performance Attribution, The A.I. Industry, Hedge Funds

DB Prime's researchers have highlighted the multi-year outflows from EM to DM. EM equity inflows in particular reached a peak in early 2011. Since then EM equities have seen an outflow which has benefitted primarily Europe and Japan within the developed world. Read More


A Curtain Opener for the Australia Forum

Sep 13th, 2015 | Filed under: Performance, Analytics & Metrics, Hedge Fund Regulation, Alternative Beta & Hedge Fund Replication

Paul Chadwick, chairman of AIMA Australia, says that the hedge fund industry in Australia is at an "inflection point." Faille reflects on that ubiquitous expression, and then turns to Australia's new Investment Manager Regime. Read More


Billion Dollar Claim from Black Swan Fund: Not from Taleb

Sep 7th, 2015 | Filed under: CAPM / Alpha Theory, Performance, Analytics & Metrics

As regular readers of this blog may recall, I have found much to admire in the writings of Nassim Nicholas Taleb. So I am happy that he had decided to put some distance between himself and a recent claim that Universa made $1 billion when bad news from China shook the world's markets in late August. Read More


The Skorina Report: Fearless Forecast Says That Endowment Returns Will Disappoint in FY2015

Sep 3rd, 2015 | Filed under: Performance, Analytics & Metrics, Hedge Fund Strategies, Institutional Investing, Alpha Hunters, Alpha Strategies, Alpha Seekers, Endowments & Foundations

Guest columnist Charles Skorina looks at the potential for 2016 endowment returns and finds them to be somewhat lacking... Could alternatives ride to the rescue?Read More


Foundations: They’ve Taken a Blow from “Subdued” Markets

Sep 2nd, 2015 | Filed under: Hedge Fund Industry Trends, Performance, Analytics & Metrics, Hedge Fund Strategies, Institutional Investing, Indexes, Risk management, Liquid Alts

Both private and community foundations depend heavily on U.S. equities. Indeed, domestic equities remained the bright spot while other strategies underperformed in 2014. A new report from a collaboration of the Council on Foundations and Commonfund provides food for thought about the reversal in foundation returns in that year. TheRead More


Alternative Investments By the Numbers: Top 5 2015 YTD Takeaways

Jul 23rd, 2015 | Filed under: Hedge Fund Industry Trends, Performance, Analytics & Metrics, Private Equity, Hedge Fund Strategies, Alpha Strategies, Liquid Alts

Guest columnist Andre Boreas takes a look at the alternative investment universe year-to-date 2015 by the numbers.Read More


The Core Satellite Model: How to Cut Hedge Fund Fees in Half Part II

Jun 25th, 2015 | Filed under: Hedge Fund Industry Trends, Performance, Analytics & Metrics, Alpha Hunters, Alpha Strategies, Alpha Seekers, Fees

Andrew Beer continues his discussion on slashing hedge fund fees without burning yourself or your clients.Read More


Headline Factors and Hedge Fund Success

Jun 23rd, 2015 | Filed under: Performance, Analytics & Metrics, Indexes, Macroeconomics

European mandated hedge funds, benefitting from improved expectations regarding that region, are up 5.54% year to date, says Eurekahedge. Wait: improved expectations? Yes, notwithstanding continued Greek drama. Read More


Mladina on Peeling the Onion: Looking for Idiosyncratic Skill

Jun 21st, 2015 | Filed under: Performance, Analytics & Metrics, Currencies, Indexes, Emerging markets

Factor models will evolve as researchers untangle what value is to be attributed to what factor. Model selection, then, has to remain flexible to keep pace with such research, and must of course remain useful for the investment decision makers. Read More


How to Cut Hedge Fund Fees in Half-Part One

May 31st, 2015 | Filed under: Hedge Fund Industry Trends, Performance, Analytics & Metrics, Institutional Investing, Fees

Guest columnist Andrew Beer takes on hedge fund fees. In part one of the series he looks at the investor aggregation model.Read More


Eurekahedge on Asia in March, and on Asia Over the Years

Apr 28th, 2015 | Filed under: Performance, Analytics & Metrics, Hedge Fund Strategies, Currencies, Indexes, Emerging markets

According to Eurekahedge the hedge fund industry globally returned $54.1 billion in performance gains in the first quarter 2015. This is the greatest first-quarter gain since before the global financial crisis. Read More


More Global Mandates, Fewer EM Mandates, and Other Changes

Mar 23rd, 2015 | Filed under: Performance, Analytics & Metrics, CTA, Institutional Investing, Risk management

Eurekahedge's latest report gives a number of timelines for grappling with changes in the hedge fund world: since 2007; since January 2013; YTD January 2015. In any frame, you don't have to be a meteorologist....Read More


Why Constraints on Hedge Funds Matter

Mar 8th, 2015 | Filed under: Hedge Fund Industry Trends, Performance, Analytics & Metrics, Hedge Fund Strategies, Alternative Mutual Funds, Alpha Strategies, Indexes

Andrew Beer looks at what happens when talented hedge fund managers try and perform within the constraints of the mutual fund structure. Read More


Arbitrage 101: When Voting Has Negative Value

Feb 11th, 2015 | Filed under: Performance, Analytics & Metrics, Hedge Fund Strategies

Reuters is now reporting that major investors seek the opportunity to convert their voting shares of Twenty-First Century Fox into non-voting shares, because the voting shares are trading at a discount. Faille takes Reuters' anonymous sources at their words for the purposes of discussion. He doesn't think these investors will get their convertibility. Read More


The Danger of Indices

Feb 1st, 2015 | Filed under: Performance, Analytics & Metrics, Indexes

A useful benchmark or a dangerous prop? Guest columnist Andrew Beer looks at the hidden dangers in indices.Read More


What Happens to Hedge Funds if 2008 Market Conditions Repeat?

Dec 4th, 2014 | Filed under: Hedge Fund Industry Trends, Performance, Analytics & Metrics, Hedge Fund Strategies

Guest columnist Don Steinbrugge examines what might happen to hedge funds if there's a 2008 "Groundhog Day" in the markets.Read More


The Best Offense is a Good Defense: Profiting from Hedging

Dec 3rd, 2014 | Filed under: CAPM / Alpha Theory, Performance, Analytics & Metrics, Risk management, Asset allocation

A regime switching model may treat a high-volatility environment as one “regime,” and a low-vol environment as its successor regime. The idea, as it applies to risk management, then, is simply to be ready in either setting for the switch to the other. This is both playing defense and playing offense. It is both managing risk and pursuing alpha. Read More


The Growing Problem of Calculating Performance Fees

Dec 2nd, 2014 | Filed under: Performance, Analytics & Metrics, Alpha Strategies

A new white paper produced jointly by FundCalcs and Global Perspectives looks at the growing complexity of calculating performance fees.Read More


Wars and Failed Mergers Make for a Tricky October

Dec 1st, 2014 | Filed under: Performance, Analytics & Metrics, Risk management, Emerging markets

Only two hedge fund strategies performed in the positive numbers in October, the rest were all in the red. Managed futures did best, according to the Eurekahedge numbers, benefitting from their short positions on oil prices. Read More


GFIA Hedge Fund Manager Review: The End of an Era

Nov 3rd, 2014 | Filed under: Performance, Analytics & Metrics, Alpha Strategies, Emerging markets

In what will be its last regular monthly report on such matters, GFIA tells us that a sharp correction hit markets in Asia ex Japan in September, and tells us of some of the funds that defied the outgoing tide. Read More


Hedge Funds and Position Crowding

Oct 23rd, 2014 | Filed under: Performance, Analytics & Metrics, Hedge Fund Strategies

Move over! It's crowded in here. What happens when hedge funds crowd a trade? Guest columnist Andrew Beer looks at hedge fund performance and the crowded trade.Read More


Hedge Funds: Good Run for India, but Troubles in Brazil

Oct 21st, 2014 | Filed under: Performance, Analytics & Metrics, Indexes, Emerging markets

India accounts for much of the positive showing of Asia ex-Japan in the hedge fund world YTD. That positive showing, in turn, may be attracting asset flow. Read More


Signs of a Renaissance in Emerging Manager ‘Alpha’

Oct 2nd, 2014 | Filed under: Performance, Analytics & Metrics, Hedge Fund Strategies, Institutional Investing, Alpha Strategies, Alpha Seekers

Guest columnist Peter Urbani looks at emerging managers and why they may be re-emerging and bringing alpha with them.Read More


Merger Arb: Getting Your Stick to Where the Puck Will Be

Sep 8th, 2014 | Filed under: Performance, Analytics & Metrics, Alpha Strategies, Legislation/Court rulings

Christopher Faille speaks to Matt Porzio, the VP of Strategy and Product Marketing at Intralinks, about the data behind Intralinks' DFI. Read More


Eurekahedge: Europe-Focused Managers Took Hits in July

Aug 20th, 2014 | Filed under: Performance, Analytics & Metrics, Emerging markets

Banco Espirito Santo, and its CEO Salgado, had emerged from an earlier round of crisis (way back in 2012) with a roseate smell. Their latest smell ... not so good. Read More


All Regional Mandates in Positive Territory YTD

Jul 28th, 2014 | Filed under: Performance, Analytics & Metrics, Alpha Strategies, Emerging markets

The latest report from Eurekahedge mentions that though instability is "brewing again in the Middle East," things have settled down a bit in Eastern Europe. This report was written prior to the shoot down of a Malaysian jet over the Ukraine. Read More


A Challenge to Bayesian Probability

Jul 23rd, 2014 | Filed under: CAPM / Alpha Theory, Performance, Analytics & Metrics

The stakes, for mathematics, finance, and the overlap of the two, are pretty high. So my ears pricked up when I heard of a sweeping challenge to Bayesianism. Read More


Tactical Alpha and Persistence in Hedge Fund Returns

Jul 7th, 2014 | Filed under: Performance, Analytics & Metrics, Hedge Fund Strategies, Alpha Hunters, Alpha Strategies

Guest columnist Andrew Beer looks at the consistency of hedge fund returns and finds them, well, lacking...Read More