Burr XII, Extreme Value, and a Fantasy
The eight authors of a new study seek to add to “the existing literature of Bayesian VaR methods by … considering the … general class of Burr XII extreme value distributions “ and by estimating error...
View ArticleThe Ups & Downs of Alternative Investing.
It's that time of year when investment advisers are talking about asset allocation. Guest columnist Diane Harrison explains why you should never give up on your alternative investments.Read More
View ArticleAllocating to Risk-Managed Strategies: Reasons to Consider Hedged Equities
By Calamos Investments Team Introduction In this segment of our series on Allocating to Risk-Managed Strategies we explain the benefits of hedging equities in a portfolio or investment strategy. You’ll...
View ArticleFactor-Based Asset Allocation
A paper by Xiaowei Kang and Daniel Ung, published in June 2014, remains timely because risk parity and related approaches remain the center of controversy and some confusion. The Kang & Ung paper...
View ArticleNew Paper Tackles Basic Questions About Alternative Investments
RCM Alternatives, a Chicago-based asset manager specializing in managed futures products, has published a new white paper asking the naive-seeming question, “Why Alternatives?” The paper begins with...
View ArticleHedge Fund Performance: A Multi-Factor Model
Dimitrios Stafylas, of Aston University, Aston Business School, in Birmingham, England, has proposed a “holistic” model of hedge fund performance attribution with three key features: Irrespective of...
View ArticleSovereign Wealth Funds: Partners and Capability
Sometimes it pays to read footnotes and end matter, because that turns out to be where the story is. Bocconi University’s Sovereign Investment Lab has published its latest annual report on sovereign...
View ArticleState Street Forecasts on Smart Beta
State Street Global Advisors has a new paper out that seeks to help State Street clients “refine their own strategic asset allocation” especially insofar as their portfolios include smart beta...
View ArticlePensions and Real Estate: CEM Benchmarking
A new paper by Alexander D. Beath and Chris Flynn examines the significance of real estate investing within the portfolios of large European institutional investors from 2005 to 2016. Beath is a senior...
View ArticleA Brief History of Asset Allocation
Glassbridge has put out an ambitious white paper about the “evolution of asset allocation across the investment management industry,” one that begins with the basics of the Capital Asset Pricing Model...
View ArticleQuantifying High Performance Dispersion Risk in Alternatives
By Amit Soni, Portfolio Manager, Strategic Asset Allocation, New York Life Investments Lofty valuations in traditional assets have encouraged investors to explore alternatives. Unfortunately, the lack...
View ArticlePanayiotis Lambropoulos: The View from a Public Pension Manager’s Office
On Nov. 13, the 24th Annual National Pension and Institutional Investment Summit convenes in Dallas Texas. CAIA is a sponsor of this event. Panayiotis Lambropoulos, portfolio manager of hedge funds at...
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 1,000...
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 “grey tsunami” alarmism in recent years, sound reassuring. The study, based...
View ArticleA Harvard Education
By Bill Kelly, CEO, CAIA Association While Harvard the institution is legendary, much less is known about its founding other than by some who have taken those tedious Cambridge tours or the gifted alum...
View ArticleDemocratization Without Education
By Bill Kelly, CAIA Association CEO The American history buffs out there will know that we are just a few short weeks away from the 246th anniversary of the Boston Tea Party. Back in 1773, the British...
View ArticleHope May Not Be a Strategy…But Neither is a 60/40
By Guest Contributor Aaron Filbeck, CFA, CAIA, CIPM, Associate Director, Content Development The death of the 60/40 may be a welcome change for multi-asset investors who understand that exposure to...
View ArticleMaking 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...
View ArticleBurr XII, Extreme Value, and a Fantasy
The eight authors of a new study seek to add to “the existing literature of Bayesian VaR methods by … considering the … general class of Burr XII extreme value distributions “ and by estimating error...
View ArticleThe Ups & Downs of Alternative Investing.
It's that time of year when investment advisers are talking about asset allocation. Guest columnist Diane Harrison explains why you should never give up on your alternative investments.Read More
View Article
