Browsing: The Global Economy & Currencies

The Global Economy & Currencies

Keeping Digital Assets Stable with Stablecoins

Jan 28th, 2021 | Filed under: Currencies, Newly Added, The Global Economy & Currencies, Digital currencies

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


Why STOs are Not ICOs

Dec 27th, 2020 | Filed under: Newly Added, Fintech, The Global Economy & Currencies, Digital currencies, Other Issues in Private Investments, Emerging Alternative Investments, Other Topics in Alts

Security token offerings are not initial coin offerings. Three scholars affiliated with Erasmus University in Rotterdam explain the difference between the STO and the ICO markets in a new paper, contending that getting the distinction right is “crucial for the study of entrepreneurial finance.” The paper also sheds light onRead More


Using ESG as a Risk Management Tool

Dec 10th, 2020 | Filed under: Newly Added, Risk management, The Global Economy & Currencies, Emerging markets, ESG, Risk Management Strategies & Processes, Other Topics in Alts

In the first half of 2020, a period dominated by the spread of the Covid-19 virus and by the shut-down of economic activity in country after country around the world, investing with an eye to environmental, social, and governance issues proved valuable as a risk management measure, according to anRead More


The New Generation of Behavioral Finance

Nov 26th, 2020 | Filed under: Newly Added, Risk management, Asset allocation, Behavioral finance, Socially responsible investing, Asset Allocation Models, ESG, Economics, Risk Management Strategies & Processes, Hedge Funds, Macroeconomics, Finance & Economics

Meir Statman, a professor of finance at Santa Clara University and a consultant to Avantis Investors, has focused his scholarly efforts for decades on behavioral finance, and those efforts have given us a recent book on the subject, Behavioral Finance: The Second Generation. In Statman’s view the first generation ofRead More


Measuring the Inflation Risk of Three ‘Inflation-Hedges’

Nov 24th, 2020 | Filed under: Newly Added, Risk management, The Global Economy & Currencies, ETFs, Economics, Risk Management Strategies & Processes, Macroeconomics, Commodities, Allocating to Alts, Finance & Economics

By Doris Bao, FRM and Alex Botte, CFA, CAIA, Client Solutions Research team at Two Sigma In our previous post on inflation, we covered how the Local Inflation risk factor in Venn, Two Sigma’s risk analytics platform, is constructed and we reviewed its historical performance. The primary conclusion was thatRead More


Markets in the Rear-View Mirror: COVID-19 Collision

Nov 10th, 2020 | Filed under: Newly Added, The Global Economy & Currencies, Alternative Investments in Context, Economics, Macroeconomics, Finance & Economics

By Mike Nigro, Managing Director and Head of Client Solutions Research at Two Sigma and Doris Bao, FRM, Quantitative Researcher on the Client Solutions Research team at Two Sigma During recent months, the COVID-19 pandemic has reshaped the world, causing devastating damage to the global economy. The world is nowRead More


Art Investing: Recession and Volatility-Related Case Studies

Nov 2nd, 2020 | Filed under: Private Equity, Newly Added, Venture capital, Other Issues in Private Investments, Frontier markets, Private Investments

By Arthena’s Art Market Research Team The effects of recessions on fine art prices are, without a doubt, the topic most-opined-about in our industry’s relatively small financial news echo chamber. Any hint of a market slowdown tends to flood our inboxes with an unyielding torrent of analysis, evidenced by theRead More


The Dead vs. the Living Stocks

Oct 29th, 2020 | Filed under: Newly Added, The Global Economy & Currencies, Other Topics in Alts

By Nicolas Rabener of FactorResearch (@FactorResearch) INTRODUCTION Walking through financial centers like London or New York in the spring of this year felt in many ways like being a zombie movie. Shops were boarded up, restaurant and cafes closed, and office towers unoccupied. The few people walking outside were quickRead More


The Alternative Imperative, Part II

Oct 25th, 2020 | Filed under: Algorithmic and high-frequency trading, Hedge Fund Strategies, Newly Added, Alternative data, The Global Economy & Currencies, Artificial Intelligence, Business News, Machine Learning, Hedge Funds, Other Topics in Alts

By Rick Roche, CAIA, Little Harbor Advisors, LLC Part 2 of a two-part series on The Alternative Imperative in the COVID Era. In Part 2, the author tackles notorious technology laggards. This piece transitions to alternative data pioneers (Alt-Venturers) and the 4-1-1 on Alt-Data: Hype or Hope? The author dispelsRead More


Cryptocurrencies: Asset Class or Something Else?

Oct 22nd, 2020 | Filed under: Newly Added, The Global Economy & Currencies, Digital currencies, Other Issues in Private Investments, Alternative Investments in Context, Frontier markets, Emerging Alternative Investments, Other Topics in Alts

By Daniele Bianchi, PhD With the rising prices of Bitcoin and public awareness on blockchain, investors have drawn their attention to cryptocurrency markets, driven by the promise of significant returns compared to the flat or negative yields in more traditional asset classes. But how should investors examine cryptocurrencies in theRead More


Don’t Get Carried Away by Carry

Oct 15th, 2020 | Filed under: Newly Added, Alpha Strategies, The Global Economy & Currencies

By Nicolas Rabener of FactorResearch (@FactorResearch) INTRODUCTION There are folks in finance who know and folks who don’t know. The latter group often drives the former crazy by abusing terminology. For example, moderators and guests on CNBC talking about momentum and growth stocks as if they were the same thing.Read More


How Green is the Cannabis Trade?

Oct 12th, 2020 | Filed under: Newly Added, The Global Economy & Currencies, Emerging markets, Frontier markets

Last week we looked at recent developments in the state-legal marijuana markets. Among the observations we made there, these three stand out: Marijuana is becoming an essential business and a permanent feature of the landscape, surviving crises and helping the portfolios of investors do the same; The major players areRead More


What is Becoming Manifest about Cannabis?

Oct 4th, 2020 | Filed under: Newly Added, Frontier markets, Private Investments, Other Topics in Alts

Consumers in the United States are expected to purchase US$10 billion in state-legal cannabis by the end of this year. This makes it a new emerging growth market at a time when so many other markets are contracting or failing altogether under the weight of the pandemic and other economicRead More


Emerging Market Debts (or Funds) as a Weakened-Dollar Bet

Sep 15th, 2020 | Filed under: Newly Added, The Global Economy & Currencies, Emerging markets, Other Issues in Private Investments, Finance & Economics

A new report by the William Blair Funds illustrates why some investors may see emerging-markets debt as a good play over the near future, especially if the assets of the funds are denominated in the local currency. That is a play on dollar weakness. The report uses the JPMorgan GovernmentRead More


The calm before the (next) storm?

Aug 27th, 2020 | Filed under: Newly Added, The Global Economy & Currencies, Economics, Macroeconomics, Finance & Economics

By Kara O’Halloran, FS Investments The dog days of summer are upon us. While August has historically brought volatility to markets, equities in 2020 appear to have shrugged off their typical late-summer doldrums, posting solid gains to start the month. However, some warning signs are flashing of possible bumps ahead.Read More


EUROPEAN GREEN DEAL: TOWARDS A ZERO-CARBON URBAN ENVIRONMENT

Aug 20th, 2020 | Filed under: Newly Added, Socially responsible investing, The Global Economy & Currencies, Alternative Investments in Context, ESG, Economics, Climate change, Macroeconomics, SRI and Clean Energy, Finance & Economics, Other Topics in Alts

Part 1 of a multi-part series: The Role of the EU, National Governments & Local Authorities By Christos Angelis, CAIA – Director at Masterdam INTRODUCTION In light of the exciting developments in the European Union regarding the European Green Deal (EGD)[1] presented in the end of 2019, it would beRead More


What Covid-19 Teaches Us About Resilience

Aug 18th, 2020 | Filed under: Newly Added, ESG, Macroeconomics, Other Topics in Alts

In late February and early March, we witnessed what the European Corporate Governance Institute calls an “an exogenous and unparalleled” crash, during which the S&P 500 shed one-third of its value, dropping from approximately 3,300 on Feb. 20 to close at 2,200 one month later. This provided a natural experimentRead More


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


This May Not Be the Apocalypse After All

Aug 9th, 2020 | Filed under: Hedge Fund Industry Trends, Financial Economics Theory, Newly Added, The Global Economy & Currencies, Hedge Funds, Macroeconomics, Finance & Economics

From the point of view of the alternative investment world, the dramas associated with the year 2020 may not constitute as apocalyptic a challenge or as paradigmatic a shift as is commonly thought. It may even be considered, in many respects, business as usual (aside from an occasional “murder hornet.”)Read More


Socially Distant Inflation

Jul 16th, 2020 | Filed under: Newly Added, The Global Economy & Currencies, CAIA Alternative Viewpoints, Alternative Investments in Context, Finance & Economics

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


Pursuing Diversification with Cryptocurrencies

Jun 18th, 2020 | Filed under: Newly Added, The Global Economy & Currencies, Digital currencies, Emerging Alternative Investments, Other Topics in Alts

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


Volatility Forecasting Across the Financial Markets

May 12th, 2020 | Filed under: Currencies, Newly Added, Risk management, The Global Economy & Currencies, Risk Management Strategies & Processes

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


Lessons from CAIS 2020

Feb 11th, 2020 | Filed under: Debt Types of Private Equity, Newly Added, Institutional Investing, Socially responsible investing, Equity Types of Private Equity, Artificial Intelligence, CAIA Alternative Viewpoints, Alternative Investments in Context, ESG, Economics, Climate change, Institutional Asset Management, Hedge Funds, Macroeconomics, Private Investments, Personalities in AI, SRI and Clean Energy, Allocating to Alts, Other Topics in Alts

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: Newly Added, Institutional Investing, Media Coverage of Hedge Funds, Socially responsible investing, The Global Economy & Currencies, What about beta?, Alternative Investments in Context, ESG, Economics, Climate change, Institutional Asset Management, Hedge Funds, Macroeconomics, Private Investments, SRI and Clean Energy, Finance & Economics, Other Topics in Alts

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


Leery Funk’s Open Letter to Sovereign Leaders

Jan 27th, 2020 | Filed under: Consultants, Retail Investing, Private Equity, Newly Added, Institutional Investing, The Global Economy & Currencies, What about beta?, Alternative Investments in Context, Endowments & Foundations, Economics, Climate change, Institutional Asset Management, Macroeconomics, Private Investments, Finance & Economics

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: Newly Added, Institutional Investing, Risk management, ESG, Climate change, The Alts Industry, Institutional Asset Management, Risk Management Strategies & Processes, Macroeconomics, Risk Management & Operations, Other Topics in Alts

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


ESG: Why the Ratings Diverge

Jan 20th, 2020 | Filed under: Newly Added, Socially responsible investing, The Global Economy & Currencies, Business News, ESG, The Alts Industry, SRI and Clean Energy, Allocating to Alts, Other Topics in Alts

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


Opportunities Emerge in Emerging Markets Debt

Jan 5th, 2020 | Filed under: Currencies, Newly Added, The Global Economy & Currencies, Emerging markets, Business News, Economics, The Alts Industry, Macroeconomics

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: CAPM / Alpha Theory, Financial Economics Theory, Newly Added, The Global Economy & Currencies, Emerging markets, The Alts Industry, Institutional Asset Management, Finance & Economics

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


Commodities:Waiting for a Paradigm Shift

Dec 25th, 2019 | Filed under: Commodities, CTA, Investing in Commodities, Newly Added, The Global Economy & Currencies, The Alts Industry, Macro and Managed Futures Funds, Hedge Funds, Commodities, Finance & Economics

Ray Dalio, in reference to the current financial scene, with its long period of expansion over more than a decade has said, “This set of circumstances is unsustainable and certainly can no longer be pushed…[which] is why I believe that the world is approaching a big paradigm shift.” Dalio hasRead More


Report: Convertible Bonds Attractive for 2020

Dec 17th, 2019 | Filed under: Newly Added, Alpha Strategies, Event-Driven Hedge Funds, The Global Economy & Currencies, The Alts Industry, Hedge Funds

A new report from Schroders looks at global convertible bonds, instruments that straddle the boundaries of debt/equity/derivatives. It tells us—in a discussion that might be of interest to the portfolio managers of relative value hedge funds—that these bonds have come back into fashion due to the higher volatility of 2019Read More


Africa: Alpha for the Bold

Dec 15th, 2019 | Filed under: Infrastructure, Newly Added, The Global Economy & Currencies, Emerging markets, Operationally Intensive Real Assets, Economics, The Alts Industry, Frontier markets, Macroeconomics

The CFA Institute, in conjunction with the African Stock Exchanges Association (ASEA), has put together a book on the challenges and opportunities in the African capital markets. In Africa as elsewhere, fortune favors the bold. For example—and this is not an example from the ASEA and CFA Institute’s book—the EnkoRead More


Setting The Next Stage in Cryptocurrencies

Dec 1st, 2019 | Filed under: Currencies, Newly Added, The Global Economy & Currencies, Digital currencies, The Alts Industry, Emerging Alternative Investments, Other Topics in Alts

Telegram Open Network (TON) is a blockchain project supported by a native utility token called the Gram, created by Pavel and Nikolai Durov, who were behind the Telegram messaging app. TON now faces an existential regulatory threat. The Durovs created TON in response to what they saw as the limitsRead More


Investors Want Liquidity and They Want it Now

Nov 7th, 2019 | Filed under: Private Equity, Hedge Fund Strategies, Debt Types of Private Equity, Newly Added, Institutional Investing, Equity Types of Private Equity, The Global Economy & Currencies, Other Issues in Private Investments, Business News, Economics, The Alts Industry, Institutional Asset Management, Hedge Funds, Macroeconomics, Private Investments, Allocating to Alts, Finance & Economics, Other Topics in Alts

A recent publication from Fidelity Institutional Asset Management, while looking at the money markets in the US, emphasizes that investors are looking for liquidity. The report, written by Kerry Pope and Chris Lewis, each an institutional portfolio manager with FIAM, begins with a discussion of the Federal Reserve’s September rateRead More


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

Oct 29th, 2019 | Filed under: Currencies, Newly Added, The Global Economy & Currencies, Digital currencies, The Alts Industry, Frontier markets, Emerging Alternative Investments, Other Topics in Alts

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: Derivatives, Newly Added, The Global Economy & Currencies, Digital currencies, Other Issues in Private Investments, The Alts Industry, Risk Management Strategies & Processes, Frontier markets, Structured Products, Other Topics in Alts

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


Of Colossal Fools and Fossil Fuels

Oct 15th, 2019 | Filed under: Social investing, Newly Added, Socially responsible investing, The Global Economy & Currencies, What about beta?, Alternative energy, Business News, Economics, Climate change, Macroeconomics, SRI and Clean Energy, Other Topics in Alts

By Bill Kelly, CEO, CAIA Association The saying “fool me once shame on you, fool me twice shame on me” has its origins all the way back to the 1600’s when most of the carbon now in our atmosphere was “safely” encased in limestone and other rock formations within theRead More


Meet the New Crisis: Looks Like the Old Crisis

Oct 13th, 2019 | Filed under: Newly Added, The Global Economy & Currencies, Business News, Economics, The Alts Industry, Risk Management Strategies & Processes

Last month saw an extraordinary spike in the interest rates of the repo market—the market that consists of the (very) short-term, usually the overnight, borrowing of government securities. Hedge funds, along with other institutions such as trading firms and banks, regularly hand over US Treasury bills and the like inRead More


Climate Change and Artificial Intelligence as Investment Mega-Trends

Sep 24th, 2019 | Filed under: Private Equity, Newly Added, Alpha Strategies, Venture capital, The Global Economy & Currencies, Technology, Artificial Intelligence, Other Issues in Private Investments, The Alts Industry, Frontier markets, Emerging Alternative Investments, Private Investments, SRI and Clean Energy, Other Topics in Alts

A report from CREATE in collaboration with BNY Mellon looks at two related megatrends in investing—climate change and artificial intelligence. It asks in each case: how is this trend perceived in terms of opportunities and risks? What are the specific investment issues involved or solutions likely to be adopted? AndRead More


The Newest New Thing? Initial Exchange Offerings

Sep 11th, 2019 | Filed under: Currencies, Newly Added, The Global Economy & Currencies, Digital currencies, The Alts Industry, Emerging Alternative Investments, Other Topics in Alts

Initial Exchange Offerings, that is, offerings administered by a crypto exchange, on behalf of a startup—where the startup is trying to raise funds with newly issued tokens—has developed as an alternative to an older model, the Initial Coin Offering, where participants make their contributions to a smart contract. Hirander MisraRead More


The Verdict Is In: It’s a Soft Landing for the Global Economy

Aug 1st, 2019 | Filed under: Financial Economics Theory, Newly Added, The Global Economy & Currencies, Economics, The Alts Industry, Macroeconomics, Finance & Economics

Neuberger Berman has long pressed the investment thesis that the prolonged recovery from the depths of the Global Financial Crisis would end, when it ended, with a “soft landing.” There will be a slowing of growth, and with that an increase in volatility, but it need not involve a “hard”Read More


Equity Differential: A Factor in Currency Returns

Jul 23rd, 2019 | Filed under: Currencies, Newly Added, Forex, The Global Economy & Currencies, The Alts Industry, Commodities

A recent publication by two executives of State Street Associates identifies a new factor in currency turns, which it calls the “equity differential.” In effect, it argues for the viability of a trading strategy based on this factor. The paper argues that the differential in trailing equity market performance stronglyRead More


Trade Tensions, Tariffs and European Volatility

May 30th, 2019 | Filed under: Derivatives, Newly Added, The Global Economy & Currencies, Business News, Economics, The Alts Industry, Macroeconomics, Finance & Economics

By Mark Shore As the discussions of trade wars and tariffs persisted throughout 2018 and into 2019, it may have influenced a sense of uncertainty in the global financial and commodity markets as companies might have to rethink their supply chains and manage potential disruptions and at least in theRead More


Quants in China: Which Factors Work?

May 28th, 2019 | Filed under: Hedge Fund Strategies, Equity Hedge Funds, Newly Added, The Global Economy & Currencies, Emerging markets, The Alts Industry, Hedge Funds

The outperformance of the size, value, and reversal factors is strong, but the momentum factor, which has performed well in the U.S., does not work in China. This is the conclusion of a new white paper published by  Neuberger Berman about quantitative investing in China A shares. It has aRead More


The Two Faces of Investing in Renewables

May 27th, 2019 | Filed under: Hedge Fund Strategies, Investing in Commodities, Equity Hedge Funds, Newly Added, Socially responsible investing, Event-Driven Hedge Funds, The Global Economy & Currencies, Emerging markets, Alternative energy, Commodities: Examples, Energy, The Alts Industry, Frontier markets, Hedge Funds, Emerging Alternative Investments, SRI and Clean Energy, Other Topics in Alts

Renewable energy, however defined, is widely seen as a sustainable and socially responsible (and, if the investing is done right, very profitable) addition to one’s portfolio. Indeed, such entities as the Institute for Energy Economics and Financial Analysis, an Ohio based research-and-analysis shop, exist to show that renewables are theRead More


Price Discovery in the Bitcoin Markets

Apr 30th, 2019 | Filed under: Newly Added, The Global Economy & Currencies, Digital currencies, The Alts Industry, Frontier markets, Emerging Alternative Investments, Other Topics in Alts

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


Hedge Funds and the EUR/CHF Trade

Apr 22nd, 2019 | Filed under: Hedge Fund Strategies, Currencies, Equity Hedge Funds, Newly Added, Forex, Event-Driven Hedge Funds, The Global Economy & Currencies, The Alts Industry, Hedge Funds, Macroeconomics

Three scholars affiliated with JP Morgan Chase have written a paper on hedge fund behavior ahead of meetings of the Swiss National Bank, with the idea of shedding light on the consequences of the timing of central bank announcements more generally. They conclude that the SNB contributed to the volatilityRead More


Frame It- Painting A Picture Investors Want To See

Apr 1st, 2019 | Filed under: Newly Added, Alternative Investments in Context, Hedge Funds, Macroeconomics, Finance & Economics

By Diane Harrison Hedge fund investors and marketers seem glad to let go of 2018 and its disappointing finish, down 3.41%, a marked decline from 2017’s 11.99% gain. And yet, 2019 markets started the year with an upswing, reflecting the hope that springs eternal in capital raising. Alternatives managers willRead More


BLACK SWANS, MAJOR EVENTS & FACTOR RETURNS

Mar 24th, 2019 | Filed under: Newly Added, Risk management, The Global Economy & Currencies, Economics, The Alts Industry, Risk Management Strategies & Processes, Macroeconomics, Finance & Economics

By Nicolas Rabener of FactorResearch INTRODUCTION Investors fear black swan events, although it can be argued that this fear is irrational. The black swan theory is a metaphor that describes a surprise event that has a major impact and is often rationalized with hindsight. A recent example would be theRead More


Bayesian Probability Theory and a Hierarchical Learning Portfolio

Mar 19th, 2019 | Filed under: Algorithmic and high-frequency trading, Financial Economics Theory, Newly Added, The Global Economy & Currencies, Business News, The Alts Industry, Finance & Economics

Two scholars working with Bayesian probability theory recently published a fascinating discussion of market timing and portfolio efficiency. They have proposed what they call a “hierarchical ensemble learning portfolio.” Yes, that sounds rather heavy on the jargon. We’ll break it down a bit in what follows. The authors of theRead More