Browsing: Risk Management & Operations

Risk Management & Operations

Responsible Investment – Are You Ready?

Mar 30th, 2021 | Filed under: Newly Added, ESG, SRI and Clean Energy, Risk Management & Operations

By Maria Long, Content Director, The Standards Board for Alternative Investments (SBAI) Responsible Investment (“RI”), also known as ESG Investing or Sustainable Investing, is a growing area of interest for asset managers, allocators, and regulators. Historically RI was associated with value-based exclusions of specific securities or sectors from a portfolio,Read More


What Hedge Fund Risk Systems Don’t See

Mar 16th, 2021 | Filed under: Hedge Fund Operations and Risk Management, Newly Added, Risk Management Strategies & Processes, Hedge Funds, Risk Management & Operations

By Linus Nilsson and Rikard Lundgren Many investors, trading floor managers, fund of fund allocators, and risk managers have experienced unexpectedly large losses that were not predicted by their risk management systems. Seemingly out of the blue, a safe portfolio can generate large losses for reasons that had not beenRead More


Breaking the Fourth Wall of ESG

Mar 14th, 2021 | Filed under: Newly Added, Socially responsible investing, What about beta?, Risk Metrics and Measurement, ESG, Climate change

By Aaron Filbeck, CFA, CAIA, CIPM, FDP, Director of Global Content Development at CAIA Association “In a real magic act, everything is fake.” – Wanda Maximoff, WandaVision (2021) A harmless phrase used in the latest addition to the Marvel Cinematic Universe, WandaVision. The protagonist, Wanda Maximoff, has created a false reality byRead More


Axe Capital and Spartan-Ives: The Impact of Prime Broker Relationships

Mar 11th, 2021 | Filed under: Hedge Fund Industry Trends, Hedge Fund Operations and Risk Management, Hedge Fund Strategies, Newly Added, Hedge Funds

By Hossein Kazemi, PhD, CFA, CAIA Association, FDP Institute, and Isenberg School of Management Introduction Bobby Axelrod had a good day on June 10, 2018. On this day, Axe Capital’s manager took the podium in front of a group of institutional and high-net-worth investors to pitch his fund. Thirty minutesRead More


The Art of Due Diligence, Part II: The Good News for Emerging Managers

Mar 2nd, 2021 | Filed under: Due Diligence Process, Newly Added, Asset Managers, Operations, Institutional Asset Management, Risk Management Strategies & Processes, Risk Management & Operations

By Keith Black, PhD, CFA, CAIA, FDP, Managing Director, Content Strategy, CAIA Association, and Mark S. Rzepczynski, PhD, CEO, AMPHI Research and Trading Managing alternative assets is especially competitive for small and emerging managers. At the end of 2020, HFR data shows that the private hedge fund industry had $3.6Read More


The Art of Due Diligence, Part I: The Story Beyond the Numbers

Feb 25th, 2021 | Filed under: Hedge Fund Operations and Risk Management, Due Diligence Process, Newly Added, Operations, Risk Management Strategies & Processes, Hedge Funds, Private Investments, Risk Management & Operations

By Keith Black, PhD, CFA, CAIA, FDP, Managing Director, Content Strategy, CAIA Association and Mark S. Rzepczynski, PhD, Founding Partner and CEO, AMPHI Research and Trading Given the reliance on quantitative analysis in asset allocation, some investors may be tempted to continue with a numerical approach when filling their assetRead More


Enhancing an Income Portfolio with Factor Design

Feb 21st, 2021 | Filed under: Newly Added, Risk management, Asset Allocation Models, Risk Management Strategies & Processes

By Daniel Fang, CFA, CAIA, Lead Portfolio Manager at Emotomy, and Sabrina Bailey, CEO at Emotomy Interest Rates to Stay Lower for Longer Since the Great Financial Crisis, central banks across all major economies have kept interest rates low to stimulate economic growth (See Exhibit 1). This trajectory took aRead More


Improving Time Travel in Long-Term Investing

Feb 4th, 2021 | Filed under: Newly Added, Technology, Alternative Investments in Context

By Ashby Monk and Dane Rook, Stanford Global Projects Center To succeed at investing, you must master time travel.[i] You need to be proficient at beaming yourself into a hypothetical future, and then analyzing the best route to get “there” from the actual “now.” And the route itself is crucial:Read More


Strategic Note: Improved Smile-Implied Hedging

Jan 21st, 2021 | Filed under: CAPM / Alpha Theory, Financial Economics Theory, Newly Added, Risk management, Risk Metrics and Measurement, Risk Management Strategies & Processes, Finance & Economics

A recent paper by two Canadian scholars looks to improve on the art of smile-implied option replication. Pascal Francois, of the HEC Montreal Department of Finance, and Lars Stentoft, of the University of Western Ontario, Department of Economics, begins with the observation that options can be dynamically replicated using model-freeRead More


The Often-Forgotten Art and Science of Manager Due Diligence

Jan 10th, 2021 | Filed under: Due Diligence Process, Newly Added, Risk Management & Operations

By Shana Sissel, CAIA – Chief Investment Officer of Spotlight Asset Group For almost two decades I have worked in roles that were heavily focused on investment manager due diligence across asset classes and legal structures. I began my career in due diligence-focused on the world of hedge funds. HedgeRead 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


Keynes vs. Markowitz ‘Thrilla in Portfolia’

Nov 19th, 2020 | Filed under: CAPM / Alpha Theory, Financial Economics Theory, Newly Added, Risk management, Asset allocation, CAIA Alternative Viewpoints, Asset Allocation Models, Risk Management Strategies & Processes, Hedge Funds, Finance & Economics

By Hossein Kazemi, PhD, CFA, CAIA Association, FDP Institute, and Isenberg School of Management Introduction While Keynes vs. Markowitz is not as thrilling as Ali vs. Frazier, it has important implications for investors when selecting funds and investment managers when constructing portfolios.  In this “fight,” we have in one cornerRead More


OECD Works on Sorting Through the ESG Ratings Systems

Nov 8th, 2020 | Filed under: Newly Added, Risk management, Socially responsible investing, ESG, ETFs, Risk Management Strategies & Processes, SRI and Clean Energy, Other Topics in Alts

A report from the Organization for Economic Cooperation and Development critiques “current market practices” in connection with Environmental, Social, and Governance investing. It says that the bewildering ratings, investment terminology, and individual metrics, “present a fragmented and inconsistent view of ESG risks and performances.” On the bright side, the OECDRead More


Why Alternative Investment Operations Still Matter

Oct 20th, 2020 | Filed under: Hedge Fund Industry Trends, Hedge Fund Operations and Risk Management, Private Equity, Due Diligence Process, Newly Added, Risk management, Operations, Funds of Hedge Funds, Risk Management Strategies & Processes, Hedge Funds, Private Investments, Risk Management & Operations

By Jason Scharfman Esq., CFE, CRISC, CAMS, CAIA Managing Partner, Corgentum Consulting As an operational due diligence (ODD) professional who performs ODD reviews of alternative investment managers on behalf of institutional investors and family offices, I have noticed a recent increase not only in the number of ODD reviews investorsRead More


IS DOWNSIDE RISK PRICED IN CRYPTOCURRENCY MARKET?

Aug 23rd, 2020 | Filed under: CAPM / Alpha Theory, Newly Added, Risk management, Digital currencies, Risk Management Strategies & Processes, Emerging Alternative Investments, Finance & Economics

By Victoria Dobrynskaya, PhD, associate professor of Finance at National Research University Higher School of Economics Looking at the whole cryptocurrency market through the prism of standard multi-factor asset-pricing models reveals that there is a significant heterogeneity in the exposure to the downside market risk across coins, and that aRead More


Putting 2020 into Perspective: Diversification May Work Better than You Think

Aug 6th, 2020 | Filed under: CAPM / Alpha Theory, Financial Economics Theory, Newly Added, Risk management, Asset allocation, Asset Allocation Models, Alternative Investments in Context, Institutional Asset Management, Risk Management Strategies & Processes, Hedge Funds, Allocating to Alts

By Rodney Sullivan, CFA, CAIA, Executive Director, University of Virginia Darden School of Business US recessions are typically accompanied by declines in stock market returns and, of course, 2020 has been no exception. We are once again reminded that investing is not easy leaving many investors to wonder how bestRead 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 Alts

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


The Inflation-Deflation Debate and its Implication for Asset Allocation 

Jun 28th, 2020 | Filed under: Newly Added, Risk management, Asset allocation, Asset Allocation Models, Alternative Investments in Context, Risk Management Strategies & Processes, Allocating to Alts, Finance & Economics

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


Variance Risk Premium: What Premium?

Jun 25th, 2020 | Filed under: Newly Added, Alpha Strategies, Risk management, Risk Metrics and Measurement, Alternative Investments in Context, Risk Management Strategies & Processes

By Nicolas Rabener of FactorResearch (@FactorResearch) INTRODUCTION Investing is akin to fighting in the forever war. There are long periods of peace and prosperity, but investors are frequently drawn into short-term combat, extended battles, and multi-year wars. And the cycle repeats over and over. For some of the foot soldiers,Read More


Stewardship: It Hertz When You Ignore It

May 26th, 2020 | Filed under: Debt Types of Private Equity, Newly Added, What about beta?, Risk Management & Operations

Hertz has been around for just over a century. It was started by a fellow name Jacobs in the city of Chicago with a very modest fleet consisting of about a dozen Model Ts. The ensuing years would find the growing franchise initially as a small business owned by JohnRead 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


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


Model Risk Management as Algo Trading Expands

May 10th, 2020 | Filed under: Algorithmic and high-frequency trading, Newly Added, Technology, Artificial Intelligence, The Alts Industry, Machine Learning, Risk Management & Operations, Other Topics in Alts

The FICC Market Standards Board Ltd. (FMSB) is a London-based standards body for participants in the wholesale fixed income, currencies, and commodities (FICC) markets. It has been looking into the root causes of market misconduct, and pursuant to that research it recently published a report on the “themes and challenges”Read More


Time-varying Volatility Adds a Critical Dimension to Diversification

Apr 21st, 2020 | Filed under: Newly Added, Risk management, The Alts Industry, Risk Management Strategies & Processes, Allocating to Alts

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


Covid-19 Alpha

Mar 31st, 2020 | Filed under: Newly Added, Risk management, CAIA Alternative Viewpoints, Risk Management Strategies & Processes

During the Global Financial Crisis, the financial world learned that, in times of calamity, “the correlations of risk-on assets move towards one.”  Asset classes that had appeared to be uncorrelated and which appeared to contain only idiosyncratic risks suddenly became correlated.  It turned out that systemic risk (correlation) was non-linear. Read More


Using Alternative Data and Machine Learning in Alternative Asset Classes

Mar 30th, 2020 | Filed under: Algorithmic and high-frequency trading, Newly Added, Alternative data, Fintech, Risk management, Technology, Technology, Artificial Intelligence, CAIA Alternative Viewpoints, Machine Learning, Risk Management & Operations, Other Topics in Alts

Keith Black, PhD, CFA, CAIA, FDP, Managing Director of Content Strategy, CAIA Association Michael Oliver Weinberg and Peter Strikwerda work at the Dutch pension fund APG and serve as the head of hedge funds and alternative alpha and the global head of digital and innovation, respectively. CAIA Association and FDPRead More


Diversification Strikes Back!

Mar 13th, 2020 | Filed under: Real Estate, Private Equity, Hedge Fund Strategies, Newly Added, Asset allocation, CAIA Alternative Viewpoints, Asset Allocation Models, Institutional Asset Management, Real Estate Equity Investments, Risk Management Strategies & Processes, Hedge Funds, Private Investments, Real Assets, Allocating to Alts

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


Real Assets ‘Inception:’ Diversification within Diversification

Feb 27th, 2020 | Filed under: Consultants, Real Estate, Liquid and Fixed Income Real Estate, Newly Added, Institutional Investing, Risk management, Asset allocation, Natural Resources and Land, CAIA Alternative Viewpoints, Asset Allocation Models, Operationally Intensive Real Assets, Endowments & Foundations, Institutional Asset Management, Real Estate Equity Investments, Risk Management Strategies & Processes, Real Assets

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


In the room where it happens: An investigation of the potential of regulatory technology

Feb 26th, 2020 | Filed under: Newly Added, Technology, Artificial Intelligence, CAIA Alternative Viewpoints, Machine Learning

Keith Black, PhD, CFA, CAIA, FDP, Managing Director of Content Strategy at CAIA Association Do you want to be in the room where it happens, when “The Smartest Guys in the Room”* are plotting their fraud and trying to prevent the demise of Enron? Look around at how lucky weRead More


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

Jan 28th, 2020 | Filed under: Financial Economics Theory, Newly Added, Risk management, Behavioral finance, The Alts Industry, Risk Management Strategies & Processes, Machine Learning, Finance & Economics, Other Topics in Alts

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


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


CAIA Alternative Viewpoint: Risk Parity

Jan 23rd, 2020 | Filed under: Newly Added, Risk management, CAIA Alternative Viewpoints, Risk Metrics and Measurement, The Alts Industry, Risk Management Strategies & Processes

Mean variance optimization (MVO) is a simple, yet well-regarded asset allocation technique designed to create a portfolio that maximizes it’s expected level of return for a given level of standard deviation. Many institutions construct diversified portfolios using this simple technique, attempting to maximize their risk-adjusted returns. While popular with manyRead More


False Positives and Machine Learning

Jan 23rd, 2020 | Filed under: CTA, Newly Added, Alternative data, Fintech, Risk management, Technology, Artificial Intelligence, Alternative Investments in Context, The Alts Industry, Risk Management Strategies & Processes, Machine Learning, Hedge Funds, Other Topics in Alts

There is a high rate of failure among quant funds. These include smart beta, factor investing, statistical arbitrage, and CTAs. Such false positive strategies are a widespread industry problem. Since psychiatrists have long traded on the ability of the human mind to find an elaborate narrative in a random inkRead 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 Alts

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


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 Alts Industry, Institutional Asset Management, Risk Management Strategies & Processes, Hedge Funds, Private Investments, Risk Management & Operations, Allocating to Alts

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


Requiem for a Heavyweight

Dec 2nd, 2019 | Filed under: Due Diligence Process, Newly Added, What about beta?, Risk Management & Operations

By Bill Kelly, CAIA Association CEO A requiem is a solemn chant for the repose of the dead. Chant-worthiness when it comes to the Enron Corporation is still subject to much debate depending, of course, upon which side of that trade you were on as the company slipped into bankruptcyRead More


Alternative Investments: Investing By Numbers

Nov 19th, 2019 | Filed under: Real Estate, Private Equity, Debt Types of Private Equity, Liquid and Fixed Income Real Estate, Newly Added, Fintech, Technology, Equity Types of Private Equity, Technology, The Alts Industry, Real Estate Equity Investments, Hedge Funds, Private Investments, Real Assets, Risk Management & Operations

What’s in the future for alternative investments asset management? A new publication from Ernst & Young, London, contends that allocations to alternative investments and are “robust,” but that there is an important shift underway in favor of private equity and at the expense of hedge funds. In 2018, 40% ofRead More


How to Improve Momentum Risk Management

Nov 12th, 2019 | Filed under: Hedge Fund Strategies, Equity Hedge Funds, Newly Added, Risk management, Risk Metrics and Measurement, The Alts Industry, Risk Management Strategies & Processes, Hedge Funds

Matthew X. Hanauer and Steffen Windmueller, two scholars affiliated with the Technical University of Munich, compare the performance of three risk management approaches applicable to the momentum strategy. Their new paper also explores the risk management techniques available for hedge fund managers and others who pursue a momentum strategy. ARead More


Past performance guarantees no future results

Oct 17th, 2019 | Filed under: Algorithmic and high-frequency trading, Financial Economics Theory, Newly Added, Risk management, Business News, The Alts Industry, Risk Management Strategies & Processes, Finance & Economics

Since, as everyone says, “past performance is no guarantee of future results,” a history of close correlation between two assets, or between a single asset and a benchmark, is no guarantee of future correlation. The threat that a correlation upon which a particular investor has relied will cease to applyRead 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


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


Valuation: A New Approach to an Old Financial Tool

Oct 7th, 2019 | Filed under: Equity Hedge Funds, Newly Added, Risk management, Event-Driven Hedge Funds, Other Issues in Private Investments, The Alts Industry, Risk Management Strategies & Processes, Hedge Funds

Zane Swanson, an accounting professor at the University of Central Oklahoma, has been at work on a fascinating new approach to the valuation of firms and the valuation of their equity shares. This approach may be of great interest to risk arb hedge funds. Swanson is working with an establishedRead More


Low Vol vs Option-Based Strategies

Oct 6th, 2019 | Filed under: Newly Added, Risk management, Risk Metrics and Measurement, The Alts Industry, Risk Management Strategies & Processes

By Nicolas Rabener of FactorResearch (@FactorResearch) INTRODUCTION Some investment products and strategies can be considered toxic given their history on Wall Street. Portfolio insurance is rarely used in marketing materials, given its role in the 1987 stock market crash. CDO-Squared instruments and structured investment vehicles (SIVs) are also unlikely toRead More


Goldman Sachs Puts Stop-loss on Options

Oct 1st, 2019 | Filed under: Newly Added, Risk management, The Alts Industry, Risk Management Strategies & Processes, Structured Products

Goldman Sachs threw in the towel two years ago. Well, “a towel,” anyway. Goldman has lots of towels. But two years ago, Goldman gave up on market making at the US options exchanges. In time for the anniversary, Alphacution has posted a research paper on the “long arc” of optionsRead More


Zebras Are Reactionaries

Sep 9th, 2019 | Filed under: Newly Added, Asset Managers, Alpha Strategies, What about beta?, Smart Beta, The Alts Industry, Hedge Funds, Risk Management & Operations, Allocating to Alts

Someone told me that it’s all happening At the Zoo. In this case, it was Paul Simon in his 1967 title song where he anthropomorphizes the animals he sees in the Central Park Zoo. Some are deemed to be honest, some kindly but dumb, and some insincere or skeptical, and,Read More


Anticipating Buyout Deals: A Prospective New Model on an Old Strategy

Aug 22nd, 2019 | Filed under: Hedge Fund Strategies, Equity Hedge Funds, Newly Added, Risk management, Event-Driven Hedge Funds, Risk Metrics and Measurement, Smart Beta, The Alts Industry, Risk Management Strategies & Processes, Hedge Funds, Risk Management & Operations

Milind Sharma and Aravind Ganesan have developed what they call the QMIT Leveraged Buyout Model—a trading strategy—based on anticipating announcements of LBOs based on QMIT’s factor library. Sharma is the CEO of QMIT, QuantZ Machine Intelligence Technologies. QMIT is itself a spin-off from QuantZ Capital, which is a stat arbRead More


Liquidity: Running for the Exits

Aug 15th, 2019 | Filed under: Newly Added, Risk management, Other Issues in Private Investments, The Alts Industry, Risk Management Strategies & Processes, Hedge Funds, Risk Management & Operations

Liquidity vanishes when you need it most. That isn’t an especially original observation. It’s like saying that the exit doors are always jammed precisely when you need a quick exit quickly. Amin Rajan gives us a forceful statement of this point inspired by the “current travails at Woodford Asset Management.”Read More


Active Risk Budgeting Gets Consistent Alpha

Jul 28th, 2019 | Filed under: CAPM / Alpha Theory, Financial Economics Theory, Newly Added, Risk management, Risk Metrics and Measurement, The Alts Industry, Risk Management Strategies & Processes, Risk Management & Operations, Finance & Economics

A new paper takes an experimental look at “Active Risk Budgeting,” a method of portfolio construction that looks to build upon older and sometimes passive risk budgeting approaches, adding enough active management to allow the risk budget to change over time. For example, an institution might want its risk budgetRead More