Browsing: CAPM / Alpha Theory

CAPM / Alpha Theory

How Hollywood, lotteries and mutual funds show that all risk is relative

Jul 6th, 2009 | Filed under: CAPM / Alpha Theory

Since the birth of the CAPM, empirical evidence has been uncooperative - showing that high risk investments produce lower returns, not higher ones. Now one author looks beyond equity markets and finds even more evidence against the vaunted CAPM. Read More


Real Estate Alpha

Jun 22nd, 2009 | Filed under: CAPM / Alpha Theory

A lot of research has been conducted on real estate mutual funds. But precious little has ever been conducted on the alpha produced by institutional funds that invest in commercial real estate - until now... Read More


Crowds may not be so “wise” after all

Jun 18th, 2009 | Filed under: CAPM / Alpha Theory

A new book, an industry survey, and media reports have propelled the age-old topic of market efficiency into the spotlight this month. Read More


Study hints that alpha may be finite (at least in the short term)

Jun 14th, 2009 | Filed under: CAPM / Alpha Theory

Is it a coincidence that hedge fund returns are exploding right after the biggest culling in the industry's history?Read More


Hedge funds not bad at reading tea leaves finds new study

Oct 9th, 2008 | Filed under: CAPM / Alpha Theory

Hedge funds have been dropping their net exposure since last summer. Now a new study finds that changes in hedge fund market betas may actually portend the future.Read More


The Origin of Species

Aug 21st, 2008 | Filed under: CAPM / Alpha Theory

How can hedge fund anomalies like the one we described yesterday possibly survive? Have we stumbled on new species of investor?Read More


What’s behind the drop in mutual fund alpha?

Aug 13th, 2008 | Filed under: CAPM / Alpha Theory, Retail Investing

Like hedge funds, mutual funds are finding true alpha harder to come by. But you might be surprised to learn who is to blame.Read More


Build-Buy-Lease: Three Approaches to Alpha Generation

Aug 3rd, 2008 | Filed under: CAPM / Alpha Theory

If you're a traditional long-only asset manager, one expert has some advice for you. Read More


More on Freud and Finance

Jul 29th, 2008 | Filed under: CAPM / Alpha Theory

Sometimes an alpha symbol is just an alpha symbol.Read More


A picture of the “betafication” of alpha

Jul 29th, 2008 | Filed under: CAPM / Alpha Theory

This graphic from a recent Andrew Lo presentation sums it all up.Read More


New study says widely-used models can be particularly misleading in performance evaluation

Jul 14th, 2008 | Filed under: CAPM / Alpha Theory

A recent study says that widely-used performance measures may not be as good as we all might have thought. Read More


Harry Markowitz

Jul 14th, 2008 | Filed under: CAPM / Alpha Theory, Hall of Fame, Who's Who, Academic Foundations

Harry Markowitz Formerly at the RAND Corporation, Markowitz won the Nobel Prize in 1990 while a professor of finance at Baruch College of the City University of New York.  Best known for his pioneering work in modern portfolio theory, studying the effects of asset risk, correlation and diversification on expectedRead More


French fries active management

Jun 16th, 2008 | Filed under: CAPM / Alpha Theory

Kenneth French, one half of the "Fama & French" duo calls active management "futile" and wonders why institutions haven't thrown in the towel. Read More


Alternative Viewpoints: Raining on the weather/return correlation parade

May 29th, 2008 | Filed under: CAPM / Alpha Theory, CAIA Alternative Viewpoints

We've all heard the old adage "Sell in May and go away". One academic determines if the weather is the source of this apparent market anomaly.Read More


A “small-cap bias” in hedge funds themselves?

May 21st, 2008 | Filed under: CAPM / Alpha Theory, Hedge Fund Industry Trends

An analysis of the performance of small, medium and large hedge funds reveals a small-fund advantage that disciples of Fama and French will appreciate.Read More


Report: “Exposure yardsticks may provide little insight about a fund’s alpha potential”

May 15th, 2008 | Filed under: CAPM / Alpha Theory, 130/30

Simply adding a "short-extension" to a fund doesn't necessarily pave the way for alpha generation says a Morgan Stanley report available here at AAA. Read More


Does “Sentiment Beta” beget “Sentimental Alpha”?

May 14th, 2008 | Filed under: CAPM / Alpha Theory

Academics say their "sentiment indexes do, to a large extent, capture a prevailing greed versus fear."Read More


Research puts price on hedge fund “illiquidity premium”

May 6th, 2008 | Filed under: CAPM / Alpha Theory

Lock-ups, redemption gates, notice periods...liquidity has become a major issue in the hedge fund industry - and a new study now tries to put a price on it.Read More


Google, efficient markets and box lunches with Bill Sharpe

Apr 9th, 2008 | Filed under: CAPM / Alpha Theory

Some of the world's staunchest allies of efficient market theory are actually more open to active management than you might expect. Read More


Skeptics to hedge fund managers: Your alpha has been faked!

Apr 3rd, 2008 | Filed under: CAPM / Alpha Theory, Performance, Analytics & Metrics, Fees

There's a debate brewing in the hedge fund community right now over an academic paper on hedge fund alpha. Here's what you need to know.Read More


Alternative Viewpoints: Sustainable Hedge Fund Performance

Mar 31st, 2008 | Filed under: CAPM / Alpha Theory, CAIA Alternative Viewpoints

Identifying persistent returns can be done with the naked eye. But identifying persistent alpha? That's a different ball game according one researcher. Read More


New Study: No hedge fund bubble…but a potentially serious capacity constraint

Mar 30th, 2008 | Filed under: CAPM / Alpha Theory, Hedge Fund Industry Trends

A new study backs up the notion that hedge fund alpha is decreasing. But it also explores, for the first time, the possible mechanics behind this phenomenon. Read More


The End of (asset management) History?

Mar 12th, 2008 | Filed under: CAPM / Alpha Theory, Fees

If the history of asset management could be characterized as a struggle between active and passive management, are we nearing the end?Read More


Alternative Viewpoints: “Liquidity Insurance”

Mar 3rd, 2008 | Filed under: CAPM / Alpha Theory, CAIA Alternative Viewpoints

In today's "Alternative Viewpoints...powered by CAIA" Konstantin Danilov proposes a new type of security that might address the illiquidity risks inherent in individual positions.Read More


Why the common expression “all correlations go to one” may be overstated

Feb 28th, 2008 | Filed under: CAPM / Alpha Theory

In a January report to clients (available here), Morgan Stanley explores the true implications of the adage "all correlations go to one during times of stress". Read More


Alpha in Final Four tickets?

Feb 17th, 2008 | Filed under: CAPM / Alpha Theory

A New York-based start-up is applying sophisticated financial acumen to the opaque world of championship sporting events. Scalpers are certainly into it. Will hedge funds be far behind. Read More


Manufacturing Alpha from Beta

Feb 16th, 2008 | Filed under: CAPM / Alpha Theory

By Tristram Lett, INTEGRA CAPITAL – The title of this article suggests that alpha can be derived from market timing. In the strict statistical sense, it is not considered a source of alpha, but any investment practitioner knows that, relative to a buy and hold position, being in and outRead More


Does the “wisdom of crowds” produce alpha?

Feb 10th, 2008 | Filed under: CAPM / Alpha Theory

Last week's O'Reilly Money:Tech conference in New York showed what you get when you mix online "social networking" with stock picking. But is the result truly alpha? Read More


Paper revisits what it means for a manager to be truly “active”

Feb 5th, 2008 | Filed under: CAPM / Alpha Theory

Is your manager a (passive) grasshopper or an (active) ant? The debate continues about how to best measure manager "activeness".Read More


S&P’s New Dividend Indices: Really alpha or just alternative beta?

Jan 30th, 2008 | Filed under: CAPM / Alpha Theory

Hot on the heels of its new 130/30 indices, S&P released a new "alpha producing" index last Friday. But does it really produce alpha?Read More


Research finds most equity indices actually contain alpha

Jan 28th, 2008 | Filed under: CAPM / Alpha Theory

A study of various global equity indices shows that the smaller more "exclusive" ones (like the Dow) depart significantly from the passive "buy and hold ethos" of indexation.Read More


Betting on the Super Bowl? Read this report on “NFL Alphas” first.

Jan 13th, 2008 | Filed under: CAPM / Alpha Theory

A new study suggests that NFL gamblers can develop an unwarranted love affair with last season's "darlings". So are Las Vegas bookmakers serving up a "free lunch"?Read More


Bookstaber’s pre-boarding call for the “flight to simplicity”

Jan 10th, 2008 | Filed under: CAPM / Alpha Theory, Hedge Fund Regulation

Author Richard Bookstaber says you can't fight complexity with even more complexity. What is needed, he says, is a "flight to simplicity". Do they have business class on that plane? Read More


“Homemade Hedge Funds”: Delicious but deadly?

Jan 8th, 2008 | Filed under: CAPM / Alpha Theory, Alternative Beta & Hedge Fund Replication

There is a lot of talk about how hedge fund returns can be "replicated" using liquid derivatives, swaps, futures, and "exotic beta". But what about good old-fashioned ETFs? Read More