AllAboutAlpha

• European Private Equity Deals a Mixed Bag in Second Quarter
  The second quarter in the private equity space in Europe this year was less lethargic than the first, with a 12.2% increase on a quarter-to-quarter basis. Pitchbook, in partnership with ACG, has issued its quarterly European PE Breakdown offering eve…
  - 3 days ago, 12 Sep 19, 8:00pm -
• The Newest New Thing? Initial Exchange Offerings
  Initial Exchange Offerings, that is, offerings administered by a crypto exchange, on behalf of a startup—where the startup is trying to raise funds with newly issued tokens—has developed as an alternative to an older model, the Initial Coin Offer…
  - 4 days ago, 11 Sep 19, 8:00pm -
• Negative Interest Rates: A Reason to Invest in Hedge Funds?
  Negative interest rate policy—that is, central bank arrangements that seek to inspire spending by punishing savings, not merely in real but in nominal terms—have spread in recent years among the developed economies, and are now in use in Japan, S…
  - 6 days ago, 9 Sep 19, 8:00pm -
• Zebras Are Reactionaries
  Someone told me that it’s all happening At the Zoo. In this case, it was Paul Simon in his 1967 title song where he anthropomorphizes the animals he sees in the Central Park Zoo. Some are deemed to be honest, some kindly but dumb, and some insincer…
  - 6 days ago, 9 Sep 19, 8:46am -
• PORTFOLIO PROTECTION VIA MANAGED FUTURES LIQUID ALTS?
  By Nicolas Rabener of FactorResearch (@FactorResearch) INTRODUCTION The mafia and the hedge fund industry share some characteristics. Both are powerful, non-transparent, and create little value for society. Naturally the mafia is a criminal organizat…
  - 7 days ago, 8 Sep 19, 8:00pm -
• Back to the Near Future: 2019 Mergers & Acquisitions
  Intralinks has put out its predictions for mergers and acquisitions activity through the remainder of this year. The Intralinks Deal Flow Predictor tracks early-stage deal activity to predict how many deals have reached public-announcement stage six…
  - 10 days ago, 5 Sep 19, 8:00pm -
• New Study Shows Hedge Fund Investors are Quick Learners
  A recent study by two scholars at the University of California Irvine asks how quickly investors learn about the skills of their asset managers, including their hedge fund managers. Christopher Schwarz and Zheng Sun, both associate professors of fina…
  - 12 days ago, 3 Sep 19, 8:00pm -
• Corporate Restructuring: United States vs. United Kingdom
  David Stevenson, a US District Court Judge for the Northern District of Texas, has presented his analysis of the  differences between the law in the United Kingdom and the United States concerning “a debtor’s ability to approve a restructuring a…
  - 13 days ago, 2 Sep 19, 8:00pm -
• Options: When Skewness is Not on the To Do List
  Which options do hedge funds employ in their portfolios? A recent paper concludes that hedge funds as a trader/investor class prefer liquid high-embedded leverage options without lottery-like skewness. The paper also finds that they are good at what…
  - 17 days ago, 29 Aug 19, 8:00pm -
• Is it Time for the Gold Bug to Bite?
  Diane Merritt, of the Closed-End Fund Association (CEF) spoke recently with Axel Merk, of Merk Investments, about precious metals as part of a portfolio, and specifically the role these metals can play late in the business cycle: which, according to…
  - 19 days ago, 27 Aug 19, 8:00pm -

Alpha Global Investors

Calculated Risk

• newFOMC Preview

  

  The consensus is the FOMC will cut the Fed Funds rate 25 bps to a range of 1.75% to 2.0% at the meeting this week.  A 50 bps cut is not impossible, but seems unlikely at this meeting.A key will be if the FOMC signals another rate cut in October.  T…
  - 2 hours ago, 15 Sep 19, 9:55am -
• Schedule for Week of September 15, 2019

  

  The key economic reports this week are August Housing Starts and Existing Home Sales.For manufacturing, August Industrial Production, and the September New York and Philly Fed surveys, will be released this week.The FOMC is expected to cut the Fed Fu…
  - 1 day ago, 14 Sep 19, 8:11am -
• "Mortgage Rates' Week Goes From Bad to Worse"

  

  From Matthew Graham at MortgageNewsDaily: Mortgage Rates' Week Goes From Bad to WorseMortgage rates were already having their worst week since 2016 as of yesterday afternoon. Rather than help to heal some of the damage, today's bond market momentum…
  - 2 days ago, 13 Sep 19, 5:21pm -
• Q3 GDP Forecasts: Around 1.5% to 2.0%

  

  From Merrill Lynch: 3Q and 2Q GDP tracking remain at 2.0% qoq saar. [Sept 13 estimate]emphasis addedFrom Goldman Sachs: Following this morning’s data, we boosted our Q3 GDP tracking estimate by one tenth to +2.0% (qoq ar). [Sept 13 estimate]From th…
  - 2 days ago, 13 Sep 19, 1:01pm -
• Sacramento Housing in August: Sales Down 6.5% YoY, Active Inventory DOWN 22% YoY

  

  From SacRealtor.org: Median sale price, sales volume decrease for AugustAugust ended with 1,567 sales, a 7.4% decrease from the 1,693 sales last month. Compared to the same month last year (1,676), the current figure is down 6.5%. ...The Active Listi…
  - 2 days ago, 13 Sep 19, 11:15am -
• Retail Sales increased 0.4% in August

  

  On a monthly basis, retail sales increased 0.4 percent from July to August (seasonally adjusted), and sales were up 4.1 percent from August 2018.From the Census Bureau report:Advance estimates of U.S. retail and food services sales for August 2019, a…
  - 2 days ago, 13 Sep 19, 8:40am -
• Friday: Retail Sales

  

  Friday:• At 8:30 AM ET, Retail sales for August will be released.  The consensus is for a 0.3% increase in retail sales.• At 10:00 AM, University of Michigan's Consumer sentiment index (Preliminary for September).
  - 3 days ago, 12 Sep 19, 10:31pm -
• LA area Port Traffic Down Year-over-year in August

  

  Special note: The expansion to the Panama Canal was completed in 2016 (As I noted a few years ago), and some of the traffic that used the ports of Los Angeles and Long Beach is probably going through the canal. This might be impacting TEUs on the Wes…
  - 3 days ago, 12 Sep 19, 4:38pm -
• Early Look at 2020 Cost-Of-Living Adjustments and Maximum Contribution Base

  

  The BLS reported this morning:The Consumer Price Index for Urban Wage Earners and Clerical Workers (CPI-W) increased 1.5 percent over the last 12 months to an index level of 250.112 (1982-84=100). For the month, the index was unchanged prior to seaso…
  - 3 days ago, 12 Sep 19, 2:00pm -
• Cleveland Fed: Key Measures Show Inflation Above 2% YoY in August, Core PCE below 2%

  

  The Cleveland Fed released the median CPI and the trimmed-mean CPI this morning:According to the Federal Reserve Bank of Cleveland, the median Consumer Price Index rose 0.2% (2.6% annualized rate) in August. The 16% trimmed-mean Consumer Price Index…
  - 3 days ago, 12 Sep 19, 11:08am -

Finanical Times Alphaville

• Thought for the weekend
  “It is only the naïveté of Jay Powell”
  - 2 days ago, 13 Sep 19, 1:00pm -
• There’s a German word for negative rates
  Two of them, in fact. 
  - 2 days ago, 13 Sep 19, 9:45am -
• Libra is imperialism by stealth
  Stablecoins are dollarisation by proxy. 
  - 2 days ago, 13 Sep 19, 9:31am -
• Will artificial intelligence destroy poker?
  An application of AI that isn’t primarily about marketing.
  - 2 days ago, 13 Sep 19, 7:20am -
• My week at the end-of-the-world summit
  Dizzyingly tiny numbers, late-night parties, cold-war secrets: Jemima Kelly attends the International Seminars on Planetary Emergencies
  - 2 days ago, 13 Sep 19, 6:49am -
• No deal Brexit is not a hedge fund conspiracy
  Not this again.
  - 3 days ago, 12 Sep 19, 8:13am -
• Europe’s digital infrastructure issue
  Sometimes, monopolies are good.
  - 3 days ago, 12 Sep 19, 5:36am -
• Further reading
  Ghostwriting instagram; luck; myths of genius; IPOs; and much more.
  - 3 days ago, 12 Sep 19, 2:30am -
• Cloud software is nuts, and it’s crashing
  “What were you thinking?”
  - 4 days ago, 11 Sep 19, 7:54am -
• Educational exports: the story so far
  The rise in international students drives to the heart of the global economy.
  - 4 days ago, 11 Sep 19, 6:00am -

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

• Benchmark reform, LCH-Eurex basis and FX algo fears
  The week on Risk.net, September 9-13, 2019
  - 1 day ago, 14 Sep 19, 12:30am -
• Retained earnings power capital growth at top eurozone banks
  Retained earnings increased €29.7 billion as part of CET1 at sixteen large eurozone banks in two years to end-2018
  - 2 days ago, 13 Sep 19, 4:20pm -
• Over three years, credit risk has built up at Swiss banks
  Credit Suisse has also reduced the portion of its credit RWAs calculated using internal models
  - 2 days ago, 13 Sep 19, 12:20pm -
• Can shorting leveraged exchange-traded fund pairs be a profitable trade?
  In this paper, the authors examine if investors can profit from the underperformance of leveraged exchange-traded funds (ETFs) in long holding periods.
  - 2 days ago, 13 Sep 19, 7:32am -
• Buy side seeks more clarity on FX trade rejects
  Schroders and BoE criticise code mish-mash, as Investment Association presses for standardisation
  - 2 days ago, 13 Sep 19, 6:35am -
• Post-Woodford, State Street has an idea on liquidity risk
  You’ve heard of the liquidity coverage ratio. Try the ‘redemption coverage ratio’ for funds
  - 2 days ago, 13 Sep 19, 6:25am -
• CDS fix seeks support for January lift-off
  Manufactured defaults protocol opens on September 13, forcing users to consider valuation impact
  - 2 days ago, 13 Sep 19, 4:43am -
• UK bank LCRs drifted lower in Q2
  HSBC saw group-level LCR decline as it reorganised its capital stack
  - 3 days ago, 12 Sep 19, 4:15pm -
• Over €1trn of EU insurer assets subject to climate risks
  Housing exposures make up bulk of those vulnerable to climate change
  - 3 days ago, 12 Sep 19, 1:06pm -
• LCH sets €STR swap clearing launch date
  Clearing house to offer the swaps from October 21, discounted at Eonia
  - 3 days ago, 12 Sep 19, 11:10am -

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 -