AllAboutAlpha

• newBayesian Probability Theory and a Hierarchical Learning Portfolio
  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 h…
  - 9 hours ago, 19 Mar 19, 8:00pm -
• Algorithms Moving into the Bond Markets
  Algorithmic trading may fairly be said to have conquered the public equities world, although there are still pockets of resistance and related controversies. The robots have now turned their attention to the bond markets. Bond markets are different f…
  - 2 days ago, 17 Mar 19, 8:00pm -
• Hedge Funds: Observing the Unobserved Performance
  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. B…
  - 5 days ago, 14 Mar 19, 8:00pm -
• Private Equity: The Power of Buy-and-Build
  Bain & Co., the Boston-based consultancy, has put out its annual report on the global private equity industry. This report begins with the observation that over the last five years PE returns “have slowly declined toward public market averages.”…
  - 7 days ago, 12 Mar 19, 8:00pm -
• Dry, Drier, Driest 
  By Bill Kelly, CEO, CAIA Association When it comes to dryness there are degrees of gradation, especially when it comes to the most discriminating tastes amongst us. Whether we are talking martinis, snow, or our skin, dry doesn’t always mean dry. We…
  - 9 days ago, 11 Mar 19, 7:27am -
• World Currency: Who Needs a Numeraire?
  One startling fact about the new book, How Global Currencies Work: Past Present and Future, is to be found in the index. One would normally expect, from a title and subtitle like that, that there would be a lot of pages enumerated at the index headin…
  - 9 days ago, 10 Mar 19, 8:00pm -
• Was 2014 a Turning Point for ESG Investing?
  Amundi, the French asset management firm that, less than a year ago, launched the world’s largest green bond and emerging markets-focused investment, has just posted a scholarly discussion, “How ESG Investing Has Impacted the Asset Pricing in th…
  - 12 days ago, 7 Mar 19, 7:00pm -
• Pension Funds Not Quite Swamped by ‘Grey Tsunami’
  A recent study of public employee retirement systems in the United States reaches conclusions, that, after a fair amount of “grey tsunami” alarmism in recent years, sound reassuring. The study, based on a recent survey of system managements condu…
  - 14 days ago, 5 Mar 19, 7:00pm -
• Hedge Funds Stronger in January, Thanks to The Fed
  
  - 16 days ago, 3 Mar 19, 7:00pm -
• Defined Contribution Schemes in Britain: Encouraging a Broader Portfolio
  Britain’s All-Party Parliamentary Group on Alternative Investment Management has published a paper on the country’s pensions. It’s focus is defined contribution schemes especially and the demographic strain they face, and the prospect of their…
  - 19 days ago, 28 Feb 19, 7:00pm -

Alpha Global Investors

Calculated Risk

• newWednesday: FOMC Announcement

  

  Wednesday:• At 7:00 AM ET, The Mortgage Bankers Association (MBA) will release the results for the mortgage purchase applications index.• During the day, The AIA's Architecture Billings Index for February (a leading indicator for commercial real…
  - 9 hours ago, 19 Mar 19, 8:37pm -
• newLawler: Early Read on Existing Home Sales in February

  

  From housing economist Tom Lawler: Early Read on Existing Home Sales in FebruaryBased on publicly-available local realtor/MLS reports released across the country through today, I project that existing home sales as estimated by the National Associati…
  - 14 hours ago, 19 Mar 19, 3:33pm -
• newCAR: "California home sales rebound in February"

  

  The CAR reported: California home sales rebound in February; median price dips, C.A.R. reportsCalifornia home sales bounced back in February after hitting the lowest sales level in more than 10 years the previous month, the CALIFORNIA ASSOCIATION OF…
  - 16 hours ago, 19 Mar 19, 1:25pm -
• newHousing Inventory Tracking

  

  Update: Watching existing home "for sale" inventory is very helpful. As an example, the increase in inventory in late 2005 helped me call the top for housing.And the decrease in inventory eventually helped me correctly call the bottom for house pric…
  - 19 hours ago, 19 Mar 19, 10:42am -
• newHotels: Occupancy Rate Decreased Year-over-year

  

  From HotelNewsNow.com: STR: US hotel results for week ending 9 March The U.S. hotel industry reported mixed year-over-year results in the three key performance metrics during the week of 3-9 March 2019, according to data from STR.In comparison with t…
  - 20 hours ago, 19 Mar 19, 9:22am -
• "Mortgage Rates Hold 14-Month Lows"

  

  From Matthew Graham at MortgageNewsDaily: Mortgage Rates Hold 14-Month LowsMortgage rates didn't budge today--a logical result with no signs of life in underlying bond markets. In the current case, this is just fine with us considering the bond mark…
  - 2 days ago, 18 Mar 19, 5:20pm -
• Goldman: FOMC Preview

  

  Note: Over the weekend I wrote some thoughts on the FOMC meeting this week.A few excerpts from a note by Goldman Sachs economists David Mericle and Jan Hatzius: March FOMC Preview: Are We There Yet?• The main question for the March meeting is just…
  - 2 days ago, 18 Mar 19, 2:53pm -
• Sacramento Housing in February: Sales Down 10% YoY, Active Inventory up 16% YoY

  

  From SacRealtor.org: February sees increase in sales volume, sales priceThe month closed with 1,015 total sales, a 13.5% increase from the 894 sales of January. Compared to the same month last year (1,131), the current figure is down 10.3%. ...The Ac…
  - 2 days ago, 18 Mar 19, 11:24am -
• NAHB: Builder Confidence "Steady" in March

  

  The National Association of Home Builders (NAHB) reported the housing market index (HMI) was at 62 in March, unchanged from 62 in February. Any number above 50 indicates that more builders view sales conditions as good than poor.From NAHB: Builder…
  - 2 days ago, 18 Mar 19, 10:04am -
• Sunday Night Futures

  

  Weekend:• Schedule for Week of March 17, 2019• FOMC PreviewMonday:• 10:00 AM, The March NAHB homebuilder survey. The consensus is for a reading of  63, up from 62.  Any number above 50 indicates that more builders view sales conditions as goo…
  - 2 days ago, 17 Mar 19, 8:34pm -

Finanical Times Alphaville

• newThe UK's used car write-off conundrum
  In the TEEIFF, someone is always losing.
  - 3 hours ago, 20 Mar 19, 2:30am -
• Calpers goes all in on private equity
  “We need more of it, and we need it now.”
  - 2 days ago, 18 Mar 19, 12:32pm -
• An answer to Mark Cuban's question
  It's simple really.
  - 2 days ago, 18 Mar 19, 9:53am -
• The Unicorn's 'Van Wilder' moment
  Don't celebrate, graduate.
  - 2 days ago, 18 Mar 19, 1:00am -
• Thoughts for the weekend
  “You’ve had loads of blow-ups, blah, blah, blah.”
  - 5 days ago, 15 Mar 19, 4:30pm -
• What Apple's Spotify retort doesn't say
  Squirrel!
  - 5 days ago, 15 Mar 19, 12:35pm -
• GMO's Montier on the rise of the dual economy
  And how profitability strangely doesn't seem to matter any more.
  - 5 days ago, 15 Mar 19, 11:37am -
• Our Bond villain technocracy
  Izzy chats to fellow tech-critic Andrew Keen about the proliferation of the Fyre economy. And the rise of tech Bond villains.
  - 5 days ago, 15 Mar 19, 8:05am -
• For sale: one luxury Georgian townhouse
  Universities as real estate speculators.
  - 5 days ago, 15 Mar 19, 7:59am -
• Mexico: Investment grade no more?
  Pemex's debt woes could imperil the sovereign's investment-grade standing.
  - 5 days ago, 15 Mar 19, 6:40am -

Institutional Investor's alpha

• Alaska Retirement changes fund of funds roster

  

  Turmoil at Cadogan led the Alaska Retirement Management Board to shake up its whole portfolio.
  - 28 Feb 10, 7:00pm -
• Aksia's Jim Vos: "We don't simplify things"

  

  Aksia's reputation soared when a warning not to invest in Madoff became public last year, and the firm has taken off. The consultant talks about the next red flags, how fees are changing and how Aksia's due diligence process works.
  - 28 Feb 10, 7:00pm -
• AC shutters emerging-manager FoF

  

  The fund invested in small emerging managers and was not limited to the commodities sector.
  - 1 Feb 10, 7:00pm -
• Sandalwood taps Robert Wood Johnson Exec. Mihir Meswani for institutional push (Magazine Version)

  

  
  - 31 Jan 10, 7:00pm -
• San Joaquin County preps hedge fund portfolio

  

  The new 7% portfolio is the pension fund's first formal allocation to hedge funds.
  - 31 Jan 10, 7:00pm -
• The Allocator: FRM's Patric de Gentile-Williams

  

  FRM plans to invest between $700 million and $1 billion, with an average allocation of around $50 million to each manager.
  - 26 Jan 10, 7:00pm -
• South Carolina goes the direct route

  

  CIO Borden says trimming funds of funds should boost returns, cut costs.
  - 17 Dec 09, 7:00pm -
• Philadelphia finds more control and lower fees with hedge funds

  

  Philadelphia puts its money into single-manager funds to get more control, better access & lower fees.
  - 28 Oct 09, 8:00pm -
• Portable Alpha Pothole: Colorado Fire and Police moves into absolute return vehicles

  

  Instead of controlling risk, portable alpha added to it, largely because of the leverage involved.
  - 22 Sep 09, 8:00pm -
• The Calpers challenge

  

  The biggest U.S. pension plan is dumping celebrated names, demanding more power and making plans to run money itself.
  - 24 Aug 09, 8:00pm -

Risk.net

• newDTCC members add $26bn to default funds in 2018
  Clearing house's own contributions dipped $8.5 million last year
  - 16 hours ago, 19 Mar 19, 1:38pm -
• newCharles Schwab, Northern Trust’s funding risk rivals G-Sibs'
  Two non-G-Sibs have high short-term wholesale funding scores under Method 2
  - 17 hours ago, 19 Mar 19, 12:19pm -
• newCapturing alpha in Asia’s ETF market – Trends to watch in 2019
  As the inclusion of China A-shares into major indexes could potentially lead to record inflows into China, 2019 is set to be an exceptional year for the Asian exchange-traded funds (ETFs) market. Meanwhile, investors in the region are increasingly ey…
  - 19 hours ago, 19 Mar 19, 10:44am -
• newThe influence of firm efficiency on agency credit ratings
  
  - 20 hours ago, 19 Mar 19, 9:52am -
• newCalibration and mapping of credit scores by riding the cumulative accuracy profile
  
  - 20 hours ago, 19 Mar 19, 9:34am -
• newJapan regulator: new FRTB will help uniform Asian uptake
  Relaxation of non-modellable risk factors, among other revisions, welcomed by JFSA
  - 22 hours ago, 19 Mar 19, 7:20am -
• newNowcasting can illuminate China’s macro scene
  Nowcasting teams are proving a valuable tool for investors
  - 22 hours ago, 19 Mar 19, 7:17am -
• State Street top trading partner of Dodge & Cox Funds in 2018
  Custody bank made up over 90% of all principal transactions
  - 2 days ago, 18 Mar 19, 5:10pm -
• Relationship banking isn’t dead, just different
  Some asset managers are pumping banks for liquidity leads. But what can they offer in return?
  - 2 days ago, 18 Mar 19, 4:43pm -
• Top UK banks cut CVA capital by £190 million
  Barclays and StanChart are only two banks with higher CVA capital requirements in 2018
  - 2 days ago, 18 Mar 19, 2:17pm -

Intrinsic Alpha

• Intrinsic Alpha April 2014 - Told you I'm never going back...
  Intrinsic Alpha April 2014
  - 5 Apr 14, 3:42pm -
• Intrinsic Alpha February 2014 - Fancy a Punt?
  Intrinsic Alpha January 2013 - Fancy a Punt? by The Actuary
  - 28 Jan 14, 6:07pm -
• Portable Smart Beta

  

  Portable Smart BetaThe rise of smart beta raises an interesting question: “Why don’t you extract the smart beta as “alpha”?”  If a smart beta strategy consistently out performs an index tracker then it should be simple enough to constru…
  - 22 Dec 13, 8:36am -
• Intrinsic Alpha November 2013 Note - We All Want to Go To Hell
  PDF download hereIntrinsic Alpha Nov 2013 We All Want to Go To Hell
  - 7 Dec 13, 6:13am -
• Intrinsic Alpha - June 2013 Note - A Reflexive Admission
  Intrinsic Alpha June 2013 by The Actuary
  - 26 Nov 13, 4:32pm -