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AllAboutAlpha

  • newThe Unmasking of ESG 
    By Bill Kelly, CEO, CAIA Association PPE has entered the global vernacular, courtesy of another (deadly) acronym now known as COVID-19. The latter needs no additional introduction, as the former (Personal Protective Equipment) has been one of t…
    - 24 hours ago, 6 Apr 20, 9:18am -
  • Puzzles or LEGOs? Building a Private Equity Allocation from Scratch
    Aaron Filbeck, CAIA, CFA, CIPM, Associate Director, Content Development at CAIA Association I live in the state of Ohio, which has effectively been on lockdown since the beginning of March. Thankfully, most of my daily activities haven’t been disru…
    - 2 days ago, 5 Apr 20, 8:00pm -
  • Funding a Covid ‘Long Shot’
    Every venture exists to solve a problem. Since the dawn of the Covid-19 pandemic, pharmaceutical companies and investors have been scrambling to solve what has quickly become one of the biggest problems in modern history. But as the Financial Times o…
    - 5 days ago, 2 Apr 20, 8:00pm -
  • Covid-19 Alpha
    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 idiosyncrat…
    - 7 days ago, 31 Mar 20, 8:00pm -
  • Using Alternative Data and Machine Learning in Alternative Asset Classes
    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 o…
    - 8 days ago, 30 Mar 20, 8:00pm -
  • Wedding ESG with Modern Portfolio Theory
    Three executives at AQR Capital have proposed a new variant on modern portfolio theory, an elaboration of the classical idea of an efficient frontier. The idea, going back to Markowitz’ 1952 paper, is that there exists a set of possible portfolios…
    - 9 days ago, 29 Mar 20, 8:58pm -
  • Long Alpha and Activist Strategies 
    By Aaron Filbeck, CAIA, CFA, CIPM Associate Director, Content Development at CAIA Association Excerpted from the Alternative Investment Analyst Review, Volume 8, Issue 2 The Alternative Investment Analyst Review is the official publication of the CAI…
    - 11 days ago, 27 Mar 20, 9:39am -
  • THOU SHALL NOT SHORT THE VIX
    By Nicolas Rabener of FactorResearch (@FactorResearch) INTRODUCTION Scratching the surface of most people’s knowledge often does not reveal depth, but a lack thereof. When the former US Democratic candidates Tom Steyer and Amy Klobuchar were asked…
    - 12 days ago, 26 Mar 20, 8:00pm -
  • The Future is in the Hands of Private Debt Funds
    A new analyst report looks at what is in store for the private markets given Covid-19, an impending economic slowdown, and energy price volatility. It argues that we are entering a bear different from other bears. This bear market may be part of a tr…
    - 15 days ago, 23 Mar 20, 8:00pm -
  • Did Correlations Among Asset Classes Approach 1 During COVID-19 Crash?
    Hossein Kazemi, Ph.D., CFA, Senior Advisor, CAIA Program Did correlations among asset classes approach one during COVID-19 Crash? The short answer is no. Did the benefits of diversification disappear? The short answer is no, again. During the last…
    - 16 days ago, 22 Mar 20, 8:00pm -

Alpha Global Investors

    Calculated Risk

    • newCoreLogic: House Prices up 4.1% Year-over-year in February

      CoreLogic: House Prices up 4.1% Year-over-year in February

      Notes: This CoreLogic House Price Index report is for February. The recent Case-Shiller index release was for January. The CoreLogic HPI is a three month weighted average and is not seasonally adjusted (NSA).From CoreLogic: CoreLogic Reports Februa…
      - 36 mins ago, 7 Apr 20, 8:40am -
    • newLas Vegas Real Estate in March: Sales up 6.5% YoY, Inventory down 17% YoY

      Las Vegas Real Estate in March: Sales up 6.5% YoY, Inventory down 17% YoY

      Note: Las Vegas will probably see a significant decline in visitor and convention traffic over the next several months due to COVID-19.  This will likely have a significant impact on local real estate.  Sales in March were solid, and prices were at…
      - 1 hour ago, 7 Apr 20, 8:00am -
    • newTuesday: Job Openings

      Tuesday: Job Openings

      More pre-crisis data.Tuesday:• At 8:00 AM ET, Corelogic House Price index for February.• At 10:00 AM, Job Openings and Labor Turnover Survey for February from the BLS. • At 3:00 PM, Consumer Credit from the Federal Reserve.
      - 13 hours ago, 6 Apr 20, 8:16pm -
    • newApril 6 Update: US COVID-19 Test Results

      April 6 Update: US COVID-19 Test Results

      Note: the large increase Saturday in test results reported was due to California working through the backlog of pending tests.Test-and-trace is a key criteria in starting to reopen the country.   My current guess is test-and-trace will require aroun…
      - 16 hours ago, 6 Apr 20, 5:21pm -
    • newU.S. Heavy Truck Sales down 43% Year-over-year in March

      U.S. Heavy Truck Sales down 43% Year-over-year in March

      The following graph shows heavy truck sales since 1967 using data from the BEA. The dashed line is the March 2020 seasonally adjusted annual sales rate (SAAR).Heavy truck sales really collapsed during the great recession, falling to a low of 180 thou…
      - 19 hours ago, 6 Apr 20, 1:53pm -
    • newTSA checkpoint travel numbers

      TSA checkpoint travel numbers

      The TSA is providing daily travel numbers. (ht @conorsen)This is another measure that will be useful to track when the economy starts to reopen. Click on graph for larger image.This data shows the daily total traveler throughput from the TSA for 2019…
      - 22 hours ago, 6 Apr 20, 10:49am -
    • newUpdate: Framing Lumber Future Prices Down 25% Year-over-year

      Update: Framing Lumber Future Prices Down 25% Year-over-year

      Here is another monthly update on framing lumber prices.   Lumber prices declined sharply from the record highs in early 2018, and then increased until the COVID-19 crisis.This graph shows two measures of lumber prices: 1) Framing Lumber from Random…
      - 24 hours ago, 6 Apr 20, 9:24am -
    • Sunday Night Futures

      Sunday Night Futures

      Weekend:• Schedule for Week of April 5, 2020Monday:• No major economic releases scheduled.From CNBC: Pre-Market Data and Bloomberg futures S&P 500 are up 37 and DOW futures are up 275 (fair value).Oil prices were up over the last week with WTI fu…
      - 2 days ago, 5 Apr 20, 6:49pm -
    • April 5 Update: US COVID-19 Test Results

      April 5 Update: US COVID-19 Test Results

      Note: the large increase yesterday in test results reported was due to California working through the backlog of pending tests.Test-and-trace is a key criteria in starting to reopen the country.   My current guess is test-and-trace will require arou…
      - 2 days ago, 5 Apr 20, 5:09pm -
    • April 4 Update: US COVID-19 Test Results Increase; California to Increase Testing Fivefold

      April 4 Update: US COVID-19 Test Results Increase; California to Increase Testing Fivefold

      From the LA Times: Gov. Gavin Newsom said he ‘owns’ coronavirus testing lapses, announces task force In a Saturday news conference, Newsom announced a task force that he said will work toward a fivefold increase in daily testing in the state by…
      - 3 days ago, 4 Apr 20, 5:59pm -

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