AllAboutAlpha

• newESG: Why the Ratings Diverge
  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 aff…
  - 14 hours ago, 20 Jan 20, 7:00pm -
• Fossil Fuel: Divestment By the Numbers
  Bill Gates, the founder of Microsoft and one of the world’s wealthiest humans, attracted a good deal of attention last fall by saying, “Divestment, to date, probably has reduced about zero tons of emissions.” He thereby put his finger on a key…
  - 5 days ago, 16 Jan 20, 7:00pm -
• An Alternative View of Manager Selection Risk
  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…
  - 5 days ago, 16 Jan 20, 12:06pm -
• Icahn, HP and Xerox: The Story Remains the Same
  A long-running drama continues over Xerox’ desire to buy HP. Xerox upped the ante early in the new year, announcing that it has secured binding financing commitments in the amount of $24 million. The dispute, with long-time shareholder activist Car…
  - 7 days ago, 14 Jan 20, 7:00pm -
• Hedge Fund Investors Respond to the Turning of the Business Cycle
  It is reasonable to expect that a diversified hedge fund portfolio will make more modest returns in 2020 than it did in 2019, according to Agecroft Partners, which has done its usual January crystal-ball gazing on the new year, looking for the top in…
  - 8 days ago, 13 Jan 20, 7:00pm -
• How Expensive Are ESG Stocks?
  By Nicolas Rabener, FactorResearch (@FactorResearch) INTRODUCTION Europeans seem far more focused on the environment than Americans, which might be considered unusual given that both share an interest in the outdoors and have great national parks. Pe…
  - 9 days ago, 12 Jan 20, 7:00pm -
• Simpler Rules for Commodity Pools
  The Commodity Futures Trading Commission has changed the rules for the managers of commodity pools. The new regulations, approved in November and published in the Federal Register for Dec. 10, take effect on Thursday, January 9, 2020. Some key points…
  - 12 days ago, 9 Jan 20, 7:00pm -
• Shorting NMC Health: The Waters are Muddy
  NMC Health, an Abu Dhabi-based firm listed on the London Stock Exchange, has suffered a sharp loss in value as a consequence of its dispute with a forensic short seller, Carson Block, the man behind Muddy Waters Research. Block has bet against the st…
  - 14 days ago, 7 Jan 20, 7:00pm -
• The Dog Days of… print(“Season is”,season)
  By Bill Kelly, CEO, CAIA Association As a global organization, it is pleasing to know there is always a CAIA Association Member, somewhere in the world, enjoying the dog days of summer. Although we can’t get Portfolio Management Research to recogni…
  - 15 days ago, 6 Jan 20, 12:26pm -
• Opportunities Emerge in Emerging Markets Debt
  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 “attract…
  - 16 days ago, 5 Jan 20, 7:00pm -

Alpha Global Investors

Calculated Risk

• newRetired Workers and the Overall Labor Force Participation Rate

  

  In December I wrote Ten Economic Questions for 2020. I noted that I expect the overall participation rate to start declining again in 2020, pushing down the unemployment rate.Note: Every month, with the employment report, I focus on the prime partic…
  - 13 mins ago, 21 Jan 20, 9:08am -
• newMonday Night Futures

  

  Weekend:• Schedule for Week of January 19, 2020Tuesday:• No major economic releases scheduled.From CNBC: Pre-Market Data and Bloomberg futures: S&P 500 and DOW futures are down slightly (fair value).Oil prices were up slightly over the last week…
  - 15 hours ago, 20 Jan 20, 6:28pm -
• newExisting Home Sales: Lawler vs. the Consensus

  

  The NAR is scheduled to release Existing Home Sales for December at 10:00 AM, Wednesday, Jan 22nd.The consensus is for 5.43 million SAAR, up from 5.35 million in November. Housing economist Tom Lawler estimates the NAR will report sales of 5.40 mill…
  - 24 hours ago, 20 Jan 20, 9:46am -
• Phoenix Real Estate in December: Sales up 18.5% YoY, Active Inventory Down 31.2% YoY

  

  This is a key housing market to follow since Phoenix saw a large bubble / bust followed by strong investor buying.The Arizona Regional Multiple Listing Service (ARMLS) reports ("Stats Report"):1) Overall sales were at 7,585 in December, up from 6,974…
  - 2 days ago, 19 Jan 20, 9:51am -
• Schedule for Week of January 19, 2020

  

  The key report scheduled for this week is December Existing Home sales.For manufacturing, the January Kansas City Fed manufacturing survey will be released.----- Monday, Jan 20th -----All US markets will be closed in observance of Martin Luther King…
  - 3 days ago, 18 Jan 20, 8:11am -
• Lawler: Early Read on Existing Home Sales in December

  

  From housing economist Tom Lawler:Based on publicly-available local realtor/MLS reports released across the country through today, I project that existing home sales as estimated by the National Association of Realtors ran at a seasonally adjusted an…
  - 4 days ago, 17 Jan 20, 2:44pm -
• CAR on California December Housing: Sales up 7.4% YoY, Inventory down 26.5%, Lowest Inventory in "nearly seven years"

  

  The CAR reported: Low interest rates boost housing market in second half of year as home prices post strong gains in December, C.A.R. reportsClosed escrow sales of existing, single-family detached homes in California totaled a seasonally adjusted an…
  - 4 days ago, 17 Jan 20, 2:26pm -
• Q4 GDP Forecasts: 1.2% to 2.0%

  

  From Merrill Lynch On balance retail sales cut our 4Q GDP tracking by 0.2pp to 2.0% qoq saar. [Jan 17 estimate]emphasis addedFrom the NY Fed Nowcasting ReportThe New York Fed Staff Nowcast stands at 1.2% for 2019:Q4 and 1.7% for 2020:Q1. [Jan 17 est…
  - 4 days ago, 17 Jan 20, 2:18pm -
• Comments on December Housing Starts

  

  Earlier: Housing Starts increased to 1.608 Million Annual Rate in DecemberTotal housing starts in December were well above expectations and revisions to prior months were positive. The housing starts report showed starts were up 16.9% in December com…
  - 4 days ago, 17 Jan 20, 12:22pm -
• BLS: Job Openings "Fell" to 6.8 Million in November

  

  Notes: In November there were 6.800 million job openings, and, according to the November Employment report, there were 5.811 million unemployed. So, for the twenty-first consecutive month, there were more job openings than people unemployed. Also…
  - 4 days ago, 17 Jan 20, 10:06am -

Finanical Times Alphaville

• newMarkets not live, Tuesday 21st January 2020 
  Featuring Lekoil, Dixons Carphone, SSP, RELX, Spire Healthcare, L&G, Fevertree, Melrose and whatnot. 
  - 1 hour ago, 21 Jan 20, 7:52am -
• newGermany’s spending finally. But how green is it? 
  Germany’s green package belies years of underinvestment.
  - 7 hours ago, 21 Jan 20, 2:14am -
• newCalpers and the ‘illiquidity premium’
  Outta site, outta mind.
  - 8 hours ago, 21 Jan 20, 1:30am -
• newFurther reading
  Bioplastics; Chinese coal demand; the price of a slave; Labour’s future and more...
  - 8 hours ago, 21 Jan 20, 1:00am -
• Markets not live, Monday 20th January 2020
  Featuring Fevertree, Diageo, Sirius Minerals, Intu, Capita, ConvaTec, Asos, Prada and some other things.  
  - 1 day ago, 20 Jan 20, 7:44am -
• The Witcher is not a freelancer
  “Toss a coin to your Witcher, preferably at a rate consummate with local minimum wage laws.”
  - 1 day ago, 20 Jan 20, 6:09am -
• What Abkhazia’s crypto dalliance teaches us about monetary sovereignty 
  While it takes more to be a sovereign than just operating your own central bank, it doesn’t half help with appearances.
  - 1 day ago, 20 Jan 20, 3:00am -
• Further reading
  Malta’s blockchain visions; Woke coke; Davos burnout clinics; plus much more... 
  - 1 day ago, 20 Jan 20, 1:30am -
• How too much virtue signalling hinders stakeholder capitalism 
  And why meaningful corporate-specific targets are needed if social impact objectives are to be achieved.
  - 1 day ago, 20 Jan 20, 1:30am -
• Thoughts for the weekend
  “Being funny is apparently not always our strong suit.”
  - 4 days ago, 17 Jan 20, 3:57pm -

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

• newAt UBS, asset cull drives down RWAs
  Final quarter of 2019 saw risk-weighted assets fall $5.4 billion
  - 1 hour ago, 21 Jan 20, 7:57am -
• newCFTC urged to cement relief from a non-cleared margin rule
  Isda seeks permanent right for firms to specify two separate minimum transfer amounts as initial margin rules approach full implementation
  - 2 hours ago, 21 Jan 20, 6:53am -
• newSigning the Libor fallback protocol: a cautionary tale
  As Orwell’s Room 101 beckons for Libor publication, muRisQ Advisory’s Marc Henrard warns of a potential pitfall in the fallback protocol
  - 10 hours ago, 20 Jan 20, 11:30pm -
• newBank disrupters: SocGen’s call to start-ups
  Fintechs and ‘intrapreneurs’ are leading Societe Generale’s digital transformation
  - 10 hours ago, 20 Jan 20, 11:30pm -
• newTip of the tongue: Haitong taps NLP to inform collateral coverage
  Broker scours news and blogs in a bid for better corporate signals in China’s opaque markets
  - 13 hours ago, 20 Jan 20, 8:05pm -
• newTies between banks and non-banks at pre-crisis levels – FSB
  Other financial intermediaries grow share of total financial assets to 30.5% in 2017
  - 21 hours ago, 20 Jan 20, 12:32pm -
• newOn share buybacks, BofA leads US banks with $28bn splurge
  In total, US G-Sibs spend 28% more on own shares in 2019 than previous year
  - 22 hours ago, 20 Jan 20, 11:05am -
• Growth of shadow banks slowed in 2018 – FSB
  Funds susceptible to run risk make up 72% of narrowly-defined non-bank universe
  - 1 day ago, 20 Jan 20, 6:02am -
• Bank disrupters: Barclays finds blockchain nirvana
  USC could transform the financial markets. But first, its backers must prove it is secure
  - 1 day ago, 19 Jan 20, 11:30pm -
• Bank disrupters: tread carefully and bend things
  How BofA, SocGen, JP Morgan, Nomura, UBS and others are disrupting themselves
  - 1 day ago, 19 Jan 20, 11:30pm -

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 -