AllAboutAlpha

• Interest Rate Derivatives, Announcements and HFT: It’s All About Timing
  Three scholars associated with the University of Wollogong, Australia, recently published a paper on the contribution of high-frequency traders to the absorption of new information by the markets, especially in relation to the prices of interest rate…
  - 2 days ago, 23 May 19, 8:00pm -
• The Mysterious Shortfall in Women Chief Investment Officers
  By Charles Skorina We recently looked at the number of women CIOs at big endowments*. Among 109 North American endowments over $1 billion we identified twenty (18 plus one director of investments and one CFO who liaises with their OCIO providers). Th…
  - 3 days ago, 22 May 19, 8:00pm -
• Public to Private LBOs and Innovation
  A new study considers the proposition that indebtedness can reduce innovation. It offers support for the view that indebtedness in a particular context reduces patent flow. But whether patent flow should be considered a good surrogate for innovation…
  - 4 days ago, 21 May 19, 8:00pm -
• Caveat Emptor: Leveraged Loans and the Credit Cycle
  AllianceBernstein, the Nashville-based, asset management firm released a white paper on high-yield bank loans. Buying these loans seems, to some investors, a fix for the ongoing low-interest-rate environment. But the white paper is a warning. In two…
  - 6 days ago, 19 May 19, 8:00pm -
• The ‘Vortex of Volatility’ and the Merger Market  
  Intralinks, the provider of inter-enterprise collaboration products that is perhaps best known for its Deal Flow Predictor, recently interviewed Paul Aversano, a managing director at the consultancy Alvarez & Marsal. Aversano leads A&M’s private eq…
  - 9 days ago, 16 May 19, 8:00pm -
• Accommodating Ambiguity Aversion in Portfolio Modeling
  By standard definition, “ambiguity aversion” is the preference for known risks over unknown risks, the known unknowns over the unknown unknowns. A recent paper discusses the portfolio-level consequences of this aversion. The paper, written by Va…
  - 11 days ago, 14 May 19, 8:00pm -
• Canada’s Venture Capitalists: A Gender Gap
  Female Funders, a program within the venture capital company Highline BETA, with offices in both Canada and the United States, has produced a new Women in Venture report, which works with data gathered from more than 300 VC firms and corporate ventur…
  - 12 days ago, 13 May 19, 8:00pm -
• HEDGE FUND ETFS: BETTER THAN THE ORIGINALS
  By Nicolas Rabener of FactorResearch (@FactorResearch) INTRODUCTION As Amazon has been decimating large parts of the retail industry over the last two decades, ETFs have done the equivalent to the mutual fund industry in the financial world. Today ET…
  - 13 days ago, 12 May 19, 8:00pm -
• A Fintech Revolution in Commercial Real Estate
  Cushman & Wakefield, Chicago, has released a discussion of blockchains in connection with real estate. The paper argues that the technology could “transform CRE transactions ranging from property listings, asset management, and the purchase and sal…
  - 16 days ago, 9 May 19, 8:00pm -
• Bart Chilton: A Career of Regulating Commodities, Futures and Cheetahs
  Bart Chilton, a senior adviser at DLA Piper who was from 2007 to 2014 a Commissioner of the Commodity Futures Trading Commission, passed away April 27. Chilton had a colorful reputation in the largely grey-hued world of commodities regulation. Presid…
  - 18 days ago, 7 May 19, 8:00pm -

Alpha Global Investors

Calculated Risk

• newSchedule for Week of May 26, 2019

  

  The key reports this week are the second estimate of Q1 GDP, Case-Shiller house prices, and Personal Income and Outlays for April.For manufacturing, the May Dallas and Richmond Fed manufacturing surveys will be released.----- Monday, May 27th -----Al…
  - 15 hours ago, 25 May 19, 8:11am -
• Oil Prices Down Year-over-year

  

  From MarketWatch: Oil futures suffer worst weekly performance of the yearOil futures settled higher Friday, recouping a portion of recent losses, but a day after posting their biggest one-day loss since December, prices saw their worst weekly perform…
  - 1 day ago, 24 May 19, 5:24pm -
• Q2 GDP Forecasts: Mid 1% Range

  

  From Merrill Lynch: We lowered 2Q GDP tracking by 0.2pp to 1.6%, while 1Q remained unchanged at 2.9% [May 24 estimate]emphasis addedFrom Goldman Sachs: We lowered our Q2 GDP tracking estimate by two tenths to +1.3% and our past-quarter GDP tracking e…
  - 2 days ago, 24 May 19, 11:25am -
• Housing and Recessions

  

  Now that new home sales have reached a new cycle high (in March), I'd like to update a couple of graphs in a previous post (most of this from an earlier post).For the economy, what we should be focused on are single family starts and new home sales.…
  - 2 days ago, 24 May 19, 10:55am -
• Merrill on the "Softening" Auto Sector

  

  A few brief excerpt from a Merrill Lynch research note on the auto sector: Autos: lot full In our view, the peak in auto sales is clear and we will likely see some softening going forward, but we do not expect a sharp drop. The labor market is still…
  - 2 days ago, 24 May 19, 8:52am -
• "Mortgage Rates Drop Quickly as Market Panic Sets In"

  

  We could see a 3 handle for mortgage rates tomorrow.From Matthew Graham at Mortgage News Daily: Lowest Mortgage Rates in More Than a MonthMortgage rates dropped quickly today as global financial markets underwent a volatile shift. When money is flow…
  - 2 days ago, 23 May 19, 6:13pm -
• A few Comments on April New Home Sales

  

  New home sales for April were reported at 673,000 on a seasonally adjusted annual rate basis (SAAR). Sales for March were revised up to 723,000, a new high for this cycle.   Sales in January and February were also revised up.My view has been that we…
  - 2 days ago, 23 May 19, 1:01pm -
• Kansas City Fed: "Growth in Tenth District Manufacturing Activity Continued at a Modest Pace"

  

  From the Kansas City Fed: Growth in Tenth District Manufacturing Activity Continued at a Modest PaceThe Federal Reserve Bank of Kansas City released the May Manufacturing Survey today. According to Chad Wilkerson, vice president and economist at the…
  - 3 days ago, 23 May 19, 11:00am -
• New Home Sales decreased to 673,000 Annual Rate in April, March Revised up to New Cycle High

  

  The Census Bureau reports New Home Sales in April were at a seasonally adjusted annual rate (SAAR) of 692 thousand. The previous three months were revised up."Sales of new single‐family houses in April 2019 were at a seasonally adjusted annual rate…
  - 3 days ago, 23 May 19, 10:19am -
• Weekly Initial Unemployment Claims Decrease to 211,000

  

  The DOL reported:In the week ending May 18, the advance figure for seasonally adjusted initial claims was 211,000, a decrease of 1,000 from the previous week's unrevised level of 212,000. The 4-week moving average was 220,250, a decrease of 4,750 fro…
  - 3 days ago, 23 May 19, 8:32am -

Finanical Times Alphaville

• Thoughts for the weekend
  “What is your understanding of what 'death recorded' means?”
  - 1 day ago, 24 May 19, 3:00pm -
• Robert Kaplan on jobs, oil and credit
  Brendan Greeley sits down with the president of the Federal Reserve Bank of Dallas.
  - 1 day ago, 24 May 19, 11:42am -
• Who's paying for the US-China trade war?
  US consumers are feeling the pain.
  - 2 days ago, 24 May 19, 4:00am -
• Further reading
  Julian Assange's new criminal charges; predatory lending to taxi drivers; and no robo-apocalypse; plus much more...
  - 2 days ago, 24 May 19, 3:28am -
• What the bond market thinks about the prospect of a university crisis
  A Cardiff University bond.
  - 3 days ago, 23 May 19, 10:51am -
• The best of Morgan Stanley's Adam Jonas
  A paean to the Tesla bull turning bearish.
  - 3 days ago, 23 May 19, 6:30am -
• Revisiting Alphaville's Casino/ Rallye archive
  Robert Smith at his finest.
  - 3 days ago, 23 May 19, 5:09am -
• Why China doesn't want to breach its renminbi red line
  It will create a lot of volatility.
  - 3 days ago, 23 May 19, 3:30am -
• Craig Wright has in no way been officially “recognised” as Satoshi Nakamoto
  US copyright registration ≠ government endorsement.
  - 3 days ago, 23 May 19, 3:10am -
• Gaming the sharing economy
  Earnings opaqueness only exacerbates concerns over low pay.
  - 3 days ago, 23 May 19, 12:00am -

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

• newFRTB, volatility scaling and swaps under SOFR
  The week on Risk.net, May 18–24, 2019
  - 23 hours ago, 25 May 19, 12:30am -
• JP Morgan cleared swaps balloon $8trn in Q1
  Total G-Sib cleared notionals climb 23% in three months to end-March
  - 1 day ago, 24 May 19, 2:23pm -
• G-Sibs add on $34trn of OTC notionals in Q1
  State Street expands swaps book by 57% in first quarter
  - 1 day ago, 24 May 19, 2:21pm -
• LCH veteran Davie set to depart
  Clearer looking to fill new role in head of SwapClear and listed rates
  - 2 days ago, 24 May 19, 9:42am -
• Danske Bank hires Alexandre Antonov
  Risk’s 2016 quant of the year to join Danish firm from Standard Chartered
  - 2 days ago, 24 May 19, 6:09am -
• Application of the Heath–Platen estimator in the Fong–Vasicek short rate model
  In this paper, the authors construct a Heath-Platen-type Monte Carlo estimator that performs extraordinarily well compared with the crude Monte Carlo estimation.
  - 2 days ago, 24 May 19, 6:00am -
• Technology advisory of the year: Accenture
  Energy Risk Awards 2019: Consultancy harnesses technology to improve decision-making at the heart of its clients’ businesses
  - 2 days ago, 23 May 19, 11:30pm -
• Evolution or extinction: Ice swap rate’s post-Libor quandary
  Thin liquidity in SOFR swaps imperils reference rate for $40 trillion swaptions market
  - 2 days ago, 23 May 19, 11:30pm -
• US banks demand high rates for overnight loans
  Most banks demand 25bp-plus spread over IOER to lend unsecured
  - 2 days ago, 23 May 19, 6:04pm -
• Systemic risk scores surge at six US G-Sibs
  JP Morgan and Goldman Sachs bump up against higher-risk surcharge thresholds
  - 2 days ago, 23 May 19, 12:42pm -

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 -