AllAboutAlpha

• The Future of Hedge Fund Fees
  We can, in a speculative mood, ask ourselves, “Will hedge fund fees continue to drop or have they reached an equilibrium after the decline of recent years?” But it would be better to ask instead “whose fees?” For talk of the “average” fee…
  - 1 day ago, 18 Feb 20, 7:00pm -
• Big Data is a Big Deal
  By Keith Black, PhD, CFA, CAIA, FDP, Managing Director of Content Strategy, CAIA Association CAIA’s second webinar starring the authors of papers that are required readings for the FDP exam featured Gene Getman, CAIA, a client portfolio manager and…
  - 2 days ago, 17 Feb 20, 7:00pm -
• Making Your Portfolio About #Goals
  By Aaron Filbeck, CFA, CAIA, CIPM, Associate Director, Content Development at CAIA Association Central Issue of the Paper If you’re a social media junkie, you have probably seen “#goals” in your timeline. In most cases, the hashtag is referring…
  - 6 days ago, 13 Feb 20, 7:00pm -
• The Perils of Late-Cycle Investing
  It is widely believed that much of the world is now experiencing the late stages of a bull market. There will be a downturn because no tree grows to the sky. Forecasting the nature and severity of the coming downturn is tricky, but perhaps that is no…
  - 8 days ago, 11 Feb 20, 7:00pm -
• Lessons from CAIS 2020
  John Bowman, CFA, Senior Managing Director at CAIA Association “You’re a kite dancing in a hurricane, Mr. Bond.” (Mr. White to 007, Spectre) Despite the crystal blue island water, softly rolling Caribbean tide, and perfect skies outside the hot…
  - 9 days ago, 11 Feb 20, 2:19pm -
• Climate: The ‘OUR’ Between Dog and Wolf
  By Bill Kelly, CEO, CAIA Association While this week’s post may harken to a certain book written by John Coates, there is a different play on the metaphor at work here, with our wheezing planet spinning in the center. Consider the wolf: powerful, a…
  - 10 days ago, 10 Feb 20, 12:07pm -
• Biofuels and Deforestation: A CSR/ESG Cautionary Tale
  The Republic of France, in March 2019, decided that it would no longer consider fuel made from palm oil to be a “biofuel,” effective as of January 2020. So that  redefinition is now in effect. Meanwhile, the EU recently set tariffs on palm oil c…
  - 10 days ago, 9 Feb 20, 7:00pm -
• Beyond the Meat; Beyond the Traditional
  
  - 13 days ago, 6 Feb 20, 7:00pm -
• The Case for ESG as a Performance Additive
  Sustainability-sensitive investing has a net positive impact on performance, according to a paper released by Robeco. According to the paper written by Chris Berkouwer, a Robeco equity analyst, ESG was responsible for 20% of the outperformance of a R…
  - 15 days ago, 4 Feb 20, 7:00pm -
• Alternative Data: A Road to Alpha
  Investment management firms are increasingly hard-pressed to hedge away risks, increase alpha, and lower costs: a daunting agenda. One way of going about that is by knowing what is going on in the underlying markets more quickly than the competitors…
  - 17 days ago, 2 Feb 20, 7:00pm -

Alpha Global Investors

Calculated Risk

• newThursday: Unemployment Claims, Philly Fed Mfg Survey

  

  Thursday:• At 8:30 AM ET, The initial weekly unemployment claims report will be released. The consensus is for 210 thousand initial claims, up from 205 thousand the previous week.• Also at 8:30 AM, The Philly Fed manufacturing survey for Februar…
  - 11 hours ago, 19 Feb 20, 7:06pm -
• newCAR on California January Housing: Sales up 10.3% YoY, Inventory down 26.9%

  

  The CAR reported: California home sales maintain last year’s momentum in January, C.A.R. reportsClosed escrow sales of existing, single-family detached homes in California totaled a seasonally adjusted annualized rate of 395,550 units in January, a…
  - 13 hours ago, 19 Feb 20, 4:45pm -
• newFOMC Minutes: Policy on Hold

  

  From the Fed: Minutes of the Federal Open Market Committee, January 28-29, 2020. A few excerpts: Participants generally saw the distribution of risks to the outlook for economic activity as somewhat more favorable than at the previous meeting, al­t…
  - 16 hours ago, 19 Feb 20, 2:08pm -
• newAIA: "Architecture billings continue growth into 2020"

  

  Note: This index is a leading indicator primarily for new Commercial Real Estate (CRE) investment. From the AIA: Architecture billings continue growth into 2020Starting the year on a strong note, architecture firm billings strengthened slightly in Ja…
  - 17 hours ago, 19 Feb 20, 12:31pm -
• newLawler: Early Read on Existing Home Sales in January

  

  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…
  - 19 hours ago, 19 Feb 20, 11:00am -
• newComments on January Housing Starts

  

  Earlier: Housing Starts decreased to 1.567 Million Annual Rate in JanuaryTotal housing starts in January were well above expectations and revisions to prior months were positive. The housing starts report showed starts were down 3.6% in January compa…
  - 21 hours ago, 19 Feb 20, 9:14am -
• newHousing Starts decreased to 1.567 Million Annual Rate in January

  

  From the Census Bureau: Permits, Starts and CompletionsHousing Starts:Privately‐owned housing starts in January were at a seasonally adjusted annual rate of 1,567,000. This is 3.6 percent below the revised December estimate of 1,626,000, but is 21…
  - 21 hours ago, 19 Feb 20, 8:37am -
• newMBA: Mortgage Applications Decreased in Latest Weekly Survey

  

  From the MBA: Mortgage Applications Decrease in Latest MBA Weekly SurveyMortgage applications decreased 6.4 percent from one week earlier, according to data from the Mortgage Bankers Association’s (MBA) Weekly Mortgage Applications Survey for the w…
  - 23 hours ago, 19 Feb 20, 7:00am -
• Wednesday: Housing Starts, PPI, FOMC Minutes

  

  Wednesday:• At 7:00 AM ET, The Mortgage Bankers Association (MBA) will release the results for the mortgage purchase applications index.• At 8:30 AM, Housing Starts for January. The consensus is for 1.415 million SAAR, down from 1.608 million SAA…
  - 1 day ago, 18 Feb 20, 6:49pm -
• Mortgage Rates and Ten Year Yield

  

  With the ten year yield at 1.55%, and based on an historical relationship, 30-year rates should currently be around 3.5%. Mortgage News Daily reports that the most prevalent 30 year fixed rate is now at 3.46% for top tier scenarios.The graph shows t…
  - 2 days ago, 18 Feb 20, 2:11pm -

Finanical Times Alphaville

• newWhen “commission-free trading” isn’t (really) free
  Come on, take a punt! What's the worst that could happen?
  - 2 hours ago, 20 Feb 20, 3:57am -
• newClimate activists would be better off buying BP
  Divestment isn’t going to save the planet, nor is getting rid of oil traders. Real activism means shareholder activism. Buy fossil fuel companies. Don’t dump them.  
  - 4 hours ago, 20 Feb 20, 1:30am -
• newFurther reading
  Mini Mike; imperilled vinyl; imperilled IPOs; Christian entrepreneurs; and more.
  - 5 hours ago, 20 Feb 20, 1:00am -
• newMichael Milken: financial innovator
  A very brief history.
  - 21 hours ago, 19 Feb 20, 8:55am -
• newWorld Bank publishes controversial paper
  Research on aid and graft appears on website on Tuesday afternoon.
  - 21 hours ago, 19 Feb 20, 8:30am -
• newMarkets not live, Wednesday 19th February 2020
  Featuring Sirius Minerals, NMC Health, Royal Mail, Centrica, Man Group, Intu Properties, Berkeley, RPS and DPL.
  - 23 hours ago, 19 Feb 20, 7:11am -
• European football: Disrupters need not apply
  If UEFA policed the tech industry, Silicon Valley would be dead.
  - 1 day ago, 19 Feb 20, 1:30am -
• Further reading 
  Mr Crisis; Mr Bloomberg; Mr Bezos; Mr Blockchain; and more. 
  - 1 day ago, 19 Feb 20, 1:00am -
• Virgin Galactic is rocketing, when’s it returning to earth?
  More madness from Mr Market.
  - 2 days ago, 18 Feb 20, 8:39am -
• Markets not live, Tuesday 18th February 2020
  Featuring Apple, HSBC, Weir Group, InterContinental Hotels, Amigo, Coca-Cola HBC, Pennon and a disused car park in the Midlands.
  - 2 days ago, 18 Feb 20, 8:02am -

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

• newFuzzy data stalls ESG alpha hunt
  Quants searching for ESG signals have reached very different conclusions. Mostly they blame the data
  - 6 hours ago, 19 Feb 20, 11:30pm -
• newFalse start for foreign banks under Fed’s tailoring rule
  Delayed reporting form means requirements for Barclays and Credit Suisse could change twice in 2020
  - 6 hours ago, 19 Feb 20, 11:30pm -
• new€5trn of Eonia swaps mature after benchmark’s death
  Almost 20% of derivatives notionals linked to retiring rate will expire post-2022
  - 14 hours ago, 19 Feb 20, 4:22pm -
• new‘Fallen angels’ pose little threat to EU funds
  Passive fund outflows in a credit crisis would put pressure on high-yield bond prices
  - 17 hours ago, 19 Feb 20, 12:48pm -
• New Mifid equivalence rules leave UK firms in limbo
  Revised market access rules won’t kick in until six months after UK leaves single market
  - 1 day ago, 18 Feb 20, 11:30pm -
• CECL models may leave banks ill-prepared for next downturn
  Mortgage backtest study shows some loan-loss models miss the mark
  - 1 day ago, 18 Feb 20, 11:30pm -
• Crédit Agricole leads French banks on return on RWAs
  BNP Paribas only bank to improve RoRWA year-on-year
  - 2 days ago, 18 Feb 20, 5:55pm -
• HSBC to reallocate $100bn of RWAs in shake-up
  Global banking and markets division to take brunt of cuts
  - 2 days ago, 18 Feb 20, 12:33pm -
• How diversifying too far weakened alt risk premia’s rebound
  Strategies that hurt ARP funds in 2018 did better but some cancelled out last year, write Luc Dumontier and Guillaume Garchery
  - 2 days ago, 18 Feb 20, 5:31am -
• EU banks rue SA-CCR mismatch with US
  European clearers are stuck with CEM until 2021, but some US banks are reluctant to switch early
  - 2 days ago, 17 Feb 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 -