Predicting Patent Citations to measure Economic Impact of Scholarly Research....
A crucial goal of funding research and development has always been to advance economic development. On this basis, a consider-able body of research undertaken with the purpose of determining what...
View ArticleMulti-Likelihood Methods for Developing Stock Relationship Networks Using...
Development of stock networks is an important approach to explore the relationship between different stocks in the era of big-data. Although a number of methods have been designed to construct the...
View ArticleSignatures of crypto-currency market decoupling from the Forex....
Based on the high-frequency recordings from Kraken, a cryptocurrency exchange and professional trading platform that aims to bring Bitcoin and other cryptocurrencies into the mainstream, the multiscale...
View ArticleEvaluating the Performance of Machine Learning Algorithms in Financial Market...
With increasing competition and pace in the financial markets, robust forecasting methods are becoming more and more valuable to investors. While machine learning algorithms offer a proven way of...
View ArticleHedge Funds in Venture Capitalist Clothing
A new study of hedge funds that are engaged in the venture capital space, written by George O. Aragon, Emma Li, and Laura Lindsey, contends that some hedge funds quite successfully exploit their...
View ArticleRisks & Rewards: The Future of Finance in Blockchain
A new article by Dave Dowsett and Heather Wied, both of Invesco, looks at blockchains and the way this new technology, precisely as it divorces itself from its original significance as a feature of the...
View ArticleAnek�ntav�da
By Bill Kelly, CEO, CAIA Association âYou can look it upâ was a quote often attributed to the late baseball great Casey Stengel. That was likely the early 1900s precursor to âyou can...
View ArticleMergers, Acquisitions and Unscrambling an Omelette
Those who pursue alpha through the highways and byways of mergers are surely paying close attention to the AT&T/Time Warner litigation, which may end by considerably reducing the regulatory risk...
View Article‘Great Moderation?’ Forget about it, says new Fed working paper
A new working paper from the Federal Reserve Bank of Chicago looks at the real risk-free interest rate over the last 30 years, where it has been trending, and why that trend hasnât had the...
View ArticleHow Bayesians Solve the Markowitz Problem
Understanding of the âMarkowitz problemâ has changed in the 60+ years since Harry Markowitzâ publication of an article in the Journal of Finance that outlined the basics of modern portfolio...
View ArticleDo the Capital Markets Reward Low-Carbon Business Models?
A new study by two scholars, an American and an Italian, presents evidence that financial markets are pricing the risk of reliance upon carbon, penalizing carbon-intensive assets and rewarding...
View ArticleDark Pools and the Value of Information
Activist hedge funds can always be expected to trade both in lit exchanges and in dark pools, in the course of accumulating the equity stake that in turn will give them sway at an annual meeting or...
View ArticleCORPORATE DEBT IN THE CHINESE STOCK MARKET
By Nicolas Rabener, CAIA, Factor Research Summary: China exhibits the world’s highest corporate debt as % of GDP However, Chinese stocks are not significantly more levered than U.S. stocks Asset and...
View ArticleThe Affluent Family Pro: A conversation with Stuart Lucas: wealth...
By Charles Skorina Stuart Lucas has double-barreled credentials as a wealth manager. He’s a Harvard MBA who worked for years with top-shelf financial firms including Wellington Management Company and...
View ArticleNick Pollard: The View from Mumbai
On Jan. 11,  the CFA Society India hosted the 9th Annual India Investment Conference in Mumbai. CAIA was a platinum sponsor of this event. The theme of this yearâs IIC was âinvesting insights...
View ArticleA Jack for Our Trade?
By Bill Kelly, CEO, CAIA Association According to the Bibleâs Book of Genesis 2:2, on the seventh day God rested after having created all the heavens and earth. Jack Bogle was on the eve of...
View ArticleEurekahedge: The Grinch Stole December’s Returns
The Eurekahedge Hedge Fund Index was down for the month of December 1.31%, and that this brought the total decline of 2018 down to 3.85%, according to the January 2019 report. Part of the reason for...
View ArticleAn Emerging Market Nation Defaults: A Case Study
A new book by Hassan Malik may serve as a caution for alternative investors operating in the emerging markets, in the form of a case study about the politics of default. Malik is an emerging markets...
View ArticleAssessing Risk Measurement for a Portfolio of Hedge Funds
Two scholars, Shubeur Rahman and Ranjan Bhaduri, have in a new paper taken a fresh look at a long-standing dilemma in the alternative investments industry. The question is: how should investors in...
View ArticleNext Stop, The Opportunity Zone
By Bill Kelly, CEO, CAIA Association Witness if you will⦠This was often the opening line of Rod Serling, the creator and narrator of The Twilight Zone series. Launched on CBS television 60...
View ArticleWhat Aren’t They Saying—Unspoken Investor Feedback
By Diane Harrison Pitching to investors can be an unnerving process even for sales professionals. No one wants to be in the position of needing someone to buy in, literally, to what they are selling in...
View ArticleModeling the Volatility of Crypto Exchange Rates
GARCH (Generalized Autoregressive Conditional Heteroskedasticity) models are very useful for estimating the volatility for a lot of more traditional assets (stocks and bonds) and their indices, which...
View ArticleHow Public Pension Funds are Subsidizing Infrastructure
Public pension funds in the United States invest in infrastructure. Unfortunately, they arenât very good at it. A recent working paper of the NBER concludes, indeed, that public pensions are so bad...
View ArticleWho Cares What Employees Think? Hedge Funds, That’s Who
The bosses of a publicly listed company had better care what their employees think about their company, because âMr. Marketâ cares. That is one natural inference from a new paper by Jinfei Sheng,...
View ArticleSmart Beta and Tail Events
A sound âportfolio optimization strategyâ is one that takes into consideration how its assets are behaving in the bad times, those that represent the left-side tail of the bell curve. This is not...
View ArticleFinance Lessons from the Aftermath of Sherman’s March
In the closing months of 1864, General William Tecumseh Sherman and his army marched notoriously âto the sea,â from Atlanta to Savannah. In the opening weeks of 1865, Sherman followed this up with...
View ArticleWomen in Alternative Investments: ‘Leveraging Diverse Perspectives’
âWith change happening at an unprecedented pace, it is fitting that alternative investment firms are strategically focused on leveraging diverse perspectives in these disruptive times,â says KPMG...
View ArticleThe Survey Says…
By Bill Kelly, CEO, CAIA Association Earlier this year, we surveyed the CAIA Association Membership to ascertain their views on investment-related topics as we step into 2019. We had well over...
View ArticleCan LIBOR Be Replaced?
Given a long wave of scandals that lasted from 2008 until 2012, most of the derivatives industry, and most of its regulators, have agreed that the London Interbank Offered rate [Libor] ought to be...
View ArticleA Proposed Model for VIX Derivatives Pricing
The VIX may be about to get some competition. VIX is the âfear gauge,â the very visible measure of expected price fluctuations in the S&P 500 index options. On the foundation of its popularity,...
View ArticleM&A Deal-Flow Faltering & Brexit is One Culprit
The latest Intralinks Deal Flow Predictor says that the current M&A upcycle, which this report describes as having begun in 2014, is about to peak. There will still be some short-term upward...
View ArticleSteps to Attain Sustainable Development Goals
Amber Fairbanks, a portfolio manager at Mirova, a division of Natixis, recently talked to Clarice Avery, a Natixis investment strategist on Asset TV about potential long-term investment opportunity in...
View ArticleAlpha: The Rise of the Middle Class in Emerging Markets
A new paper from State Street Global Advisors takes a sociological approach to the search for alpha in emerging market nations. It contends that the âmajor theme for growthâ in the emerging markets...
View ArticleGreen Bonds: The Future of Infrastructure Investing
Two scholars affiliated with the Centre for International Governance Innovation, Waterloo, Canada, have taken a look at the future of green bonds, that is, bonds whose proceeds are employed to fund...
View ArticleWaiting for Godot
By Bill Kelly, CEO, CAIA Association Waiting for Godot is a tragic comedy play by Samuel Beckett which first premiered on stage in Paris in 1953. There is only one scene and two primary characters who...
View ArticleTransaction Fees: Market Structure Goes to Court
The NYSE, on Thursday, Feb. 14, Nasdaq, and Cboe Global Markets (the following day) have united to bring lawsuits against the Securities and Exchange Commission to stop its transaction fee pilot. These...
View Article1000 Words Can Be Worth More Than A Picture
By Diane Harrison A picture is worth more than 1000 words⦠this phrase has been translated in dozens of ways, but all represent the sentiment that a simple image can represent a complex message with...
View ArticleDefined Contribution Schemes in Britain: Encouraging a Broader Portfolio
Britainâs All-Party Parliamentary Group on Alternative Investment Management has published a paper on the countryâs pensions. Itâs focus is defined contribution schemes especially and the...
View ArticleHedge Funds Stronger in January, Thanks to The Fed
Risk-on sentiment returned in January, with good news on trade talks and with the Federal Reserve in the United States putting some distance between itself and its 2018 hard-money stance (the Fed...
View ArticlePension 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 âgrey tsunamiâ alarmism in recent years, sound reassuring. The study,...
View ArticleWas 2014 a Turning Point for ESG Investing?
Amundi, the French asset management firm that, less than a year ago, launched the worldâs largest green bond and emerging markets-focused investment, has just posted a scholarly discussion, âHow...
View ArticleWorld 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...
View ArticleDry, 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,...
View ArticlePrivate 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...
View ArticleHedge 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...
View ArticleAlgorithms 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...
View ArticleBayesian 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 âhierarchical ensemble...
View ArticleAre Data Scientists the ‘New’ Rockstars?
Daniel Hill, a research analyst for the global equity team at William Blair, has written an insightful piece about the hot competition for data scientists underway in the alpha-seeking world today.Â...
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