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AllAboutAlpha

  • newBayesian Probability Theory and a Hierarchical Learning Portfolio
    Two scholars working with Bayesian probability theory recently published a fascinating discussion of market timing and portfolio efficiency. They have proposed what they call a “hierarchical ensemble learning portfolio.” Yes, that sounds rather h…
    - 9 hours ago, 19 Mar 19, 8:00pm -
  • Algorithms Moving into the Bond Markets
    Algorithmic trading may fairly be said to have conquered the public equities world, although there are still pockets of resistance and related controversies. The robots have now turned their attention to the bond markets. Bond markets are different f…
    - 2 days ago, 17 Mar 19, 8:00pm -
  • Hedge Funds: Observing the Unobserved Performance
    Two different strands of scholarly research into hedge fund performance produce markedly different conclusions. There is the returns-based approach, which finds that the average hedge fund manager does better than the market portfolio, net of fees. B…
    - 5 days ago, 14 Mar 19, 8:00pm -
  • Private Equity: The Power of Buy-and-Build
    Bain & Co., the Boston-based consultancy, has put out its annual report on the global private equity industry. This report begins with the observation that over the last five years PE returns “have slowly declined toward public market averages.”…
    - 7 days ago, 12 Mar 19, 8:00pm -
  • Dry, Drier, Driest 
    By Bill Kelly, CEO, CAIA Association When it comes to dryness there are degrees of gradation, especially when it comes to the most discriminating tastes amongst us. Whether we are talking martinis, snow, or our skin, dry doesn’t always mean dry. We…
    - 9 days ago, 11 Mar 19, 7:27am -
  • World Currency: Who Needs a Numeraire?
    One startling fact about the new book, How Global Currencies Work: Past Present and Future, is to be found in the index. One would normally expect, from a title and subtitle like that, that there would be a lot of pages enumerated at the index headin…
    - 9 days ago, 10 Mar 19, 8:00pm -
  • Was 2014 a Turning Point for ESG Investing?
    Amundi, the French asset management firm that, less than a year ago, launched the world’s largest green bond and emerging markets-focused investment, has just posted a scholarly discussion, “How ESG Investing Has Impacted the Asset Pricing in th…
    - 12 days ago, 7 Mar 19, 7:00pm -
  • Pension Funds Not Quite Swamped by ‘Grey Tsunami’
    A recent study of public employee retirement systems in the United States reaches conclusions, that, after a fair amount of “grey tsunami” alarmism in recent years, sound reassuring. The study, based on a recent survey of system managements condu…
    - 14 days ago, 5 Mar 19, 7:00pm -
  • Hedge Funds Stronger in January, Thanks to The Fed

    - 16 days ago, 3 Mar 19, 7:00pm -
  • Defined Contribution Schemes in Britain: Encouraging a Broader Portfolio
    Britain’s All-Party Parliamentary Group on Alternative Investment Management has published a paper on the country’s pensions. It’s focus is defined contribution schemes especially and the demographic strain they face, and the prospect of their…
    - 19 days ago, 28 Feb 19, 7:00pm -

Alpha Global Investors

    Calculated Risk

    • newWednesday: FOMC Announcement

      Wednesday: FOMC Announcement

      Wednesday:• At 7:00 AM ET, The Mortgage Bankers Association (MBA) will release the results for the mortgage purchase applications index.• During the day, The AIA's Architecture Billings Index for February (a leading indicator for commercial real…
      - 9 hours ago, 19 Mar 19, 8:37pm -
    • newLawler: Early Read on Existing Home Sales in February

      Lawler: Early Read on Existing Home Sales in February

      From housing economist Tom Lawler: Early Read on Existing Home Sales in FebruaryBased on publicly-available local realtor/MLS reports released across the country through today, I project that existing home sales as estimated by the National Associati…
      - 14 hours ago, 19 Mar 19, 3:33pm -
    • newCAR: "California home sales rebound in February"

      CAR: "California home sales rebound in February"

      The CAR reported: California home sales rebound in February; median price dips, C.A.R. reportsCalifornia home sales bounced back in February after hitting the lowest sales level in more than 10 years the previous month, the CALIFORNIA ASSOCIATION OF…
      - 16 hours ago, 19 Mar 19, 1:25pm -
    • newHousing Inventory Tracking

      Housing Inventory Tracking

      Update: Watching existing home "for sale" inventory is very helpful. As an example, the increase in inventory in late 2005 helped me call the top for housing.And the decrease in inventory eventually helped me correctly call the bottom for house pric…
      - 19 hours ago, 19 Mar 19, 10:42am -
    • newHotels: Occupancy Rate Decreased Year-over-year

      Hotels: Occupancy Rate Decreased Year-over-year

      From HotelNewsNow.com: STR: US hotel results for week ending 9 March The U.S. hotel industry reported mixed year-over-year results in the three key performance metrics during the week of 3-9 March 2019, according to data from STR.In comparison with t…
      - 20 hours ago, 19 Mar 19, 9:22am -
    • "Mortgage Rates Hold 14-Month Lows"

      "Mortgage Rates Hold 14-Month Lows"

      From Matthew Graham at MortgageNewsDaily: Mortgage Rates Hold 14-Month LowsMortgage rates didn't budge today--a logical result with no signs of life in underlying bond markets. In the current case, this is just fine with us considering the bond mark…
      - 2 days ago, 18 Mar 19, 5:20pm -
    • Goldman: FOMC Preview

      Goldman: FOMC Preview

      Note: Over the weekend I wrote some thoughts on the FOMC meeting this week.A few excerpts from a note by Goldman Sachs economists David Mericle and Jan Hatzius: March FOMC Preview: Are We There Yet?• The main question for the March meeting is just…
      - 2 days ago, 18 Mar 19, 2:53pm -
    • Sacramento Housing in February: Sales Down 10% YoY, Active Inventory up 16% YoY

      Sacramento Housing in February: Sales Down 10% YoY, Active Inventory up 16% YoY

      From SacRealtor.org: February sees increase in sales volume, sales priceThe month closed with 1,015 total sales, a 13.5% increase from the 894 sales of January. Compared to the same month last year (1,131), the current figure is down 10.3%. ...The Ac…
      - 2 days ago, 18 Mar 19, 11:24am -
    • NAHB: Builder Confidence "Steady" in March

      NAHB: Builder Confidence "Steady" in March

      The National Association of Home Builders (NAHB) reported the housing market index (HMI) was at 62 in March, unchanged from 62 in February. Any number above 50 indicates that more builders view sales conditions as good than poor.From NAHB: Builder…
      - 2 days ago, 18 Mar 19, 10:04am -
    • Sunday Night Futures

      Sunday Night Futures

      Weekend:• Schedule for Week of March 17, 2019• FOMC PreviewMonday:• 10:00 AM, The March NAHB homebuilder survey. The consensus is for a reading of  63, up from 62.  Any number above 50 indicates that more builders view sales conditions as goo…
      - 2 days ago, 17 Mar 19, 8:34pm -

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    A curated aggregation of musings from across the land and of different subject matters for the scanoholics.