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Dear Alpha Mail Subscriber:
It sometimes seems as if alpha-yielding market inefficiencies can now only be viewed under a microscope or using a telescope. While high velocity traders exploit tiny pricing anomalies, several industry experts I've met recently have told me "we're all macro managers now."
From BRICs to PIIGs to sovereign debt as the next subprime, hedge fund managers seem to acknowledge that, for the time being at least, the macro trumps the micro. In keeping with this global perspective, last month's top 10 AllAboutAlpha.com posts include two on global commodities (timber, agri-futures), and two on tail risk management (i.e the kind of risk management you'll wish you had if the PIIGs get fried and all you have left is bacon Greece.)
Other top 10 posts focused on the effects of global financial and economic upheavel on the asset management sector - from the newly rediscovered benefits of short selling in mutual funds to the alpha delivered by hedge funds during the recent financial crisis.
Someday, when the VIX falls back to Earth and we make it through a year without a global calamity (man-made or otherwise), the pendulum may swing back to "the micro". But for now, the experts may have a point: few corners of the asset management industry can now ignore global macroeconomic developments. |
| Last Month's Most Popular Posts |
- Tail-Risk Management: What investors can learn from hedge funds
A new white paper provides a good introduction to this increasingly important topic for pensions, endowments and sovereign wealth funds.
- Bye-bye beta-driven opportunities, hello diversity for hedge fund investors
Hedge funds are on a tear, but the money is flowing to more diverse and (hopefully) alpha-driven investment opportunities, according to Credit Suisse Tremont's most recent Hedge Fund Index Report.
- The A's, B's, C's and D's of hedge funds
A 2010 update of a 2006 study on hedge fund alpha shows some interesting changes resulting from the financial crisis.
- Being short apparently has its benefits
A new research paper suggests mutual funds that adopt hedge fund-like strategies were aided by their short positions - especially during the financial crisis.
- A "new era" for funds of hedge funds: Sunrise or sunset?
A new research report suggests it's a "new era" for funds of hedge funds, but the jury is still out on what that new era will entail when it comes to re-gaining the trust - and assets - of institutional investors.
- How much wood would a woodchuck allocate if a woodchuck would allocate part of his portfolio to wood?
As alternative investors know, money does grow on trees after all. The trick is: how to harvest it.
- When is alpha not really "alpha"? When it's "beta-alpha."
A paper by a pair of institutional investment consultants challenges the notion of a "stock-picker's market" and finds that "beta-alpha" is the real source of returns - at least for US large cap managers.
- Six questions for Barbara Novick, Vice Chairman of BlackRock
An asset management firm that is ubiquitous in the fixed income and pension fund world, BlackRock is a world-leading alternative asset management franchise.
- A risk management wake-up call for institutional investors
A recent report from McKinsey & Co. is critical of the risk management processes used by many institutional investors. The firm's response amounts to a call-to-arms for risk management professionals.
- Yum! International agri-commodities futures looking pretty appetizing. (Really)
A study published this month in the Journal of Alternative Investments finds that agricultural commodities futures in various markets are actually served with dollops of diversifiable risk.
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Speaking of the new dominance of macroeconomics, several of the world's largest hedge funds and institutional investors gathered in London last month at an event featuring a major CAIA presence, "Global ARC". Highlights included a truly candid conversation between former UK Prime Minister, Sir John Major and former Canadian Prime Minister Paul Martin on European deficit reduction, a presentation from author and professor Paul Collier on the next BRIC - sub-Saraharan Africa, and eerily apropos presentations from several former European monetary leaders and economists.
CAIA was represented by several speakers, moderators and your humble scribe, a co-chairman of the gathering. It was great to catch up with members of the CAIA London Chapter at a member reception attended by Nobel Laureate Joseph Stiglitz and other conference attendees.
This month, I'll be helping to launch CAIA's first formal academic partnership in Montreal, speaking at a Boston Security Analysts Society gathing in Beantown and chairing an institutional investing symposium near Niagara Falls featuring authors Rick Bookstaber ("A Demon of Our Own Design" - see related AAA post), Scott Patterson ("The Quants: How a New Breed of math Whizzes Conquered Wall Street and Nearly Destroyed It"), and Angelo Calvello ("Environmental Alpha: Institutional Investors and Climate Change" - see related AAA post).
So if you can think of any tough questions for these thought-leaders, please send them in.
Until next month...
Happy Alpha Hunting,
Christopher Holt, Managing Editor
AllAboutAlpha.com
editor@allaboutalpha.com
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June 9, 2010 |  | |
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