AllAboutAlpha

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A finance blog about private equity, commodities, and other alternative asset classes.
Updated: 24 min 7 sec ago

The Transformation of the Global Reinsurance Industry

Thu, 12/14/2017 - 19:00
A new paper from Milliman, a consultant to the insurance and financial services industries, discusses the ongoing transformation in and of the global reinsurance industry that alternative investment has created. About 20 years ago, in the wake of Hurricane Andrew and the Northridge earthquake, catastrophe bonds caught on as aRead More
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State Street Forecasts on Smart Beta

Tue, 12/12/2017 - 19:00
State Street Global Advisors has a new paper out that seeks to help State Street clients “refine their own strategic asset allocation” especially insofar as their portfolios include smart beta investments, by explaining how State Street forecasts returns, and where the forecasts as to some of the factor returns standRead More
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University endowments in the crosshairs

Mon, 12/11/2017 - 19:00
By Charles Skorina The U.S. has the greatest university system in the world.  But it’s expensive.  And congress is about to make matters worse by taxing the endowment earnings of “large” private college and university endowments. The latest congressional proposal aims to slap a 1.4 percent excise tax on theRead More
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Deloitte on Initial Coins Offerings (ICOs) as IPOs

Sun, 12/10/2017 - 19:00
An October 2017 white paper from Deloitte discusses the extent to which the offerings of tokens built upon blockchains have become the new IPOs of the crypto era. There are no binding rules about how to execute an initial coin offering (ICO). Nonetheless, there have been enough of these soRead More
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Around the World with a Timberland Outlook

Thu, 12/07/2017 - 19:00
New Forests, an Australia-based investment manager focusing on strategies in forestry, land management, and conservation, has published its 2017 Timberland Investment Outlook. This paper begins with the observation that institutional investment in timberland now amounts to more than $100 billion. This makes it still a “relatively small” asset class, butRead More
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Regulatory Challenges Posed by Crypto Funds

Tue, 12/05/2017 - 19:00
A forthcoming paper in the Stanford Journal of Law, Business, and Finance looks at the cryptocurrency markets (bitcoin and its kin), the hedge funds that look to make money from them and the operational issues involved. Two independent scholars collaborated on writing the paper: Edmund Mokhtarian and Alexander Lindgren. AlthoughRead More
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Bain on Dry Powder and High Asset Prices

Sun, 12/03/2017 - 19:00
Bain & Co., a consultancy to the private equity industry, has issued its Global Private Equity Report 2017. One central theme of the report is that prices of desired assets aren’t merely high, they are “structurally high,” and thus likely to remain so. They are high because there is aRead More
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PwC Charge: Asset Managers are Digital Tech ‘Laggards’

Thu, 11/30/2017 - 19:00
A new paper from PricewaterhouseCoopers on the coming transformations in the asset and wealth management industries says that firms in this market must adapt or die. And the adaptation the authors have in mind isn’t just the usual Darwinian metaphor – managers must “become business revolutionaries, even disruptors” in orderRead More
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WHAT CHALLENGES LIE AHEAD FOR ALTERNATIVES IN 2018?

Wed, 11/29/2017 - 19:00
By Diane Harrison With year-end holidays approaching and investment action wrap-up and forward planning in process, investors are bracing for change in many formats. November seems like a good time to take an industry snapshot survey of portfolio managers, wealth advisors, regulatory professionals, and the like, and ask them aRead More
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A look at the European pension industry

Tue, 11/28/2017 - 19:00
Three years ago, Amin Rajan, the CEO of CREATE-Research, prepared a study of the way that pension plans had reacted to the global financial crisis and to the subsequent financial conditions.  His study continues to be worthy of attention in 2017. The study included a survey of 190 pension plansRead More
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HOW MUCH OF YOUR ALPHA DO YOU PAY AWAY TO YOUR HEDGE FUND MANAGERS?

Mon, 11/27/2017 - 07:00
Introduction to TK Fee-to-Alpha ratioTM (TKFA)                    By Tanuj Khosla, CFA, CAIA, MBA INTRODUCTION The construction of hedge fund portfolios by institutional investors around the world has been a combination of both science and art over the years. While some use a strict quantitative methodology like Risk Budgeting and/or SharpeRead More
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Exley on Cashflow-Driven Investment

Sun, 11/26/2017 - 19:00
A new paper by Jon Exley, solutions manager of Schroders, discusses cashflow-driven investment (CDI) as a system of portfolio management that accepts and builds upon liability-driven investment (LDI). The idea in both cases is to match all future projected liability payments as they fall due, which is definitionally the imperativeRead More
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Interest Rates and Hedge Fund Returns

Thu, 11/23/2017 - 19:00
A paper put out in October by an Associate Director and a Managing Director at Pavilion Alternatives Group says that hedge fund performance can suffer from a performance fee drag as a consequence of rising interest rates, and from the increasing cash rate that comes with that rise.  They explainRead More
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Artificial Intelligence and Productivity: NBER Takes a Look

Tue, 11/21/2017 - 19:00
A new working paper from the National Bureau of Economic Research, in Cambridge, Mass., discusses what its authors see as a paradox: although artificial intelligence has made astonishing advances in the last 20 years, taking along with it related technologies and stock prices, real income has stagnated, and productivity seemsRead More
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QUANT STRATEGIES IN THE CRYPTOCURRENCY SPACE

Tue, 11/21/2017 - 14:55
By Nicolas Rabener, FactorResearch Factor Investing in the Wild West of Financial Markets Summary: Cryptocurrencies have reached a market capitalisation of > $150bn Backtesting quantitative strategies is difficult given a limited trading history & universe Short-term Momentum works very well, classic factor investing strategies less so INTRODUCTION The year 2017Read More
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Selecting an Optimal Private Equity Fee Validation Methodology

Mon, 11/20/2017 - 17:07
By Alex Tarantino These are good times to be a private equity fund investor.  Returns have been strong with distributions on the rise, both in the U.S. and Europe. Limited partners, for their part, have voted with their wallets that the asset class will continue to outperform. Indeed, fundraising continuesRead More
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Advice to Hedge Fund Managers on Attracting, Retaining Investors

Sun, 11/19/2017 - 19:00
Ernst & Young has released a new survey on how hedge fund managers may “embrace innovation to illuminate competitive advantages,” that is, to attract and retain investors and their assets. Manager may need such advice, because the investors surveyed said they are more likely to decrease allocations to hedge fundsRead More
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Amato on the Late-Cycle Dilemma

Thu, 11/16/2017 - 19:00
Joseph V. Amato, president of Neuberger Berman Group LLC and Chief Investment Officer – Equities at Neuberger Berman, has written a thoughtful discussion of late about where the markets, and the business cycle, stands. This, the end of 2017, is a “late cycle” moment. Equities continue to rise, but theRead More
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HEDGE FUND FACTOR EXPOSURE & ALTERNATIVES

Wed, 11/15/2017 - 13:05
By Nicolas Rabener, FactorResearch Alternatives to Alternative Investments? Summary: Equity hedge fund returns have been disappointing over the last 14 years An exposure analysis shows no structural factor exposure, but frequent factor rotation Multi-factor long-short products are an interesting alternative, depending on the fee level INTRODUCTION Hedge fund assets reachedRead More
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4 Lessons from the EQT Proxy Context

Tue, 11/14/2017 - 19:00
D.E. Shaw & Co., a hedge fund manager with an activist strategy and with about 4% of the equity in EQT Corp., said on September 14 that it thought the then-pending acquisition of Rice Energy Inc (RICE) by EQT should be contingent on two commitments: first, that EQT would mergeRead More
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