A new paper by Giuseppe Risalvato, a Ph.D. candidate at Università Carlo Cattaneo, Italy, contends that there is no âethical sacrificeâ in investing. That is, there is no discount that investors who want to be socially responsible will have to pay for that choice. Risalvato makes two chief theoretical argumentsRead More
Performance of SRIs: Funds and Indexes
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The State of Alternative Investments in Australia and New ZealandÂ
A new Preqin paper presents the state of the alternatives investment industry in Australia and New Zealand. Mark OâHare, the CEO of Preqin, says in a Foreword that Preqinâs databases track 481 fund managers active in one or the other of those two countries, and 443 âsignificant institutional investorsâ TheRead More
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Alpha Generation and Real-Time Data
In a recent paper, Michael W. Brandt and two colleagues look into whether hedge funds âadjust the conditional market exposure in response to real-time changes in macroeconomic conditions, and whether doing so improves their performance.â The paper is a short one but it may punch above its weight in severalRead More
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EDHEC, New Research, and Hyper-illiquid Assets
The EDHEC Infrastructure Institute â Singapore has published a new paper describing what it calls the âvery first results of an ambitious project to create investment benchmarks for long-term investors in infrastructure.â The Institute is host to a dedicated team, who for years now have been collecting and aggregating primaryRead More
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Private Credit Industry: Supply and Demand
The Alternative Credit Council, an affiliate of the Alternative Investment Management Association, has put out a paper on the present state of the private credit industry, considering both the demand (from borrowers) for its services and the supply (from investors) of capital to lend. In preparing this paper, the ACCRead More
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TALK FOR SHOW, BLOG FOR DOUGH
By Diane Harrison Despite being overused in finance, the golfing analogy âDrive for show, putt for doughâ bears relevance in alternative investments. While the bigger, flashier managers in alternatives often garner the most media and investor attention, smaller managers have a real chance to exhibit their investment acumen through theRead More
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International Debt Enforcement: Nautical Twists and Turns
Since sovereign debts and collection issues we shall always have with us, it is not amiss to look back four years to a decision by the Supreme Court of Ghana issued in June 2013, on NML Capitalâs effort to enforce its judgment against the Republic of Argentina through the seizureRead More
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Outsourced assets under management up 18% year-over-year
By Charles Skorina With 76 firms heard from, we’re now reporting $1.62 trillion in full-discretion assets under management by outsourced chief investment officer firms. That’s a year-over-year jump of $292 billion – or 18 percent – since September, 2016. The number of reported RFPs is also rising as institutions seek better returnsRead More
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EIU on Institutions and Time Horizons
With the sponsorship of Franklin Templeton, The Economist Intelligence Unit (EIU)  has surveyed 143 investing institutions in North America (part of the global sample of 571) in order to study recent shifts in their portfolio allocation, especially with an eye to the risks that concern them and the length ofRead More
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AIMAâs New Due Diligence Template
It has been 20 years since the Alternative Investment Management Association published its first due diligence questionnaire, a template designed to standardize the diligence process by which investors decide if a particular management is right for them. Now it has published a new questionnaire/template, covering a broader range of entities/strategies.Read More
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DTCC: How to Think About Fintech
The Depository Trust and Clearing Corporation (DTCC), a provider of clearance, settlement, and a wide range of other services to the financial markets, has issued a new white paper on technological innovations and the disruptions fintech may generate. The report begins with a quotation from a speech given by LaelRead More
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EC and US CFTC Reach Agreement on Venues
The European Commission and the U.S. Commodity Futures Trading Commission have agreed on a âcommon approach on certain derivatives trading venues.â The idea is that parties in the U.S. should be able to do business with counter-parties in Europe in such a way that the latter comply with Article 28Read More
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China and a Reduced Form Bayesian VAR
What the heck does the forbidding phrase âreduced form Bayesian VARâ mean? Letâs break this down. The VAR in question isnât VaR (Value at Risk). Itâs Vector Autoregression. This is a stochastic process model employed to understand the linear dependences among multiple time series. Each variable in a VAR hasRead More
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Are Clearinghouses Systemically Risky? Gary Cohn is Heard From
Economists sometimes cite a âlaw of unintended consequences.â This is what it sounds like, the principle that actions of people, inclusive of and perhaps (depending on who is writing) especially the actions of a government, have unanticipated and (as far as third party observers can judge intentions) unintended consequences. InRead More
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FACTOR RETURNS: SMALL VS. LARGE CAPS
By Nicolas Rabener, FactorResearch Are Factor Returns Limited to Small Caps? Summary: A frequent criticism of factor investing is that factor returns are stronger in small caps; Our research highlights that this is not uniformly true across factors; and Value and Size benefit most from including small caps. INTRODUCTION FactorRead More
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Federal Reserve on Counterparties to the next Lehman Brothers
The Federal Reserve has issued a final rule relating to the qualified financial contracts (QFCs) of global systemically important U.S. banking institutions (GSIBs). Derivatives & Repo Report, a blog maintained by the international law firm Perkins Coie, has done a thorough write-up on the subject, to which the material belowRead More
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Lazard Research on Smart Beta
Jason Williams, senior vice president at Lazard Asset Management, has written a white paper on the âsix sins of smart beta.â First: what is smart beta? Academic studies indicate anomalies in the markets that somehow donât get arbitraged away. Â These become identified as âfactorsâ and indexes can be designed soRead More
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Endowment costs: The secret history
By Charles Skorina In early 2016 certain Congressional committees sent letters to 65 major private universities asking for information about their endowments. Â They supposedly had an urgent need for this data and gave the schools just 30 days to respond. It was worded as a polite request, but it cameRead More
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Due Diligence Requires Deep Dives into Data
The data and analysis provider eVestment has issued a new white paper on âenhancing private equity manager selection with deeper data.â PE funds below the top quartile have not materially outperformed the public markets as a matter of history. So for an institutional investor, earning alpha is in large measureRead More
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Algorithmic Traders: Proprietary, Agency, Liquidity
Two scholars affiliated with the Indian Institute of Management, in Calcutta, have posted a paper about the effects of algorithmic trading on liquidity. This paper, by Samarpan Nawn and Ashok Banerjee, based on the first chapter of Nawnâs Ph.D. dissertation, distinguishes sharply between proprietary algorithmic traders and agency algorithmic traders,Read More
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