Lessons from CAIS 2020
John Bowman, CFA, Senior Managing Director at CAIA Association âYouâre a kite dancing in a hurricane, Mr. Bond.â (Mr. White to 007, Spectre) Despite the crystal blue island water, softly rolling...
View ArticleThe Perils of Late-Cycle Investing
It is widely believed that much of the world is now experiencing the late stages of a bull market. There will be a downturn because no tree grows to the sky. Forecasting the nature and severity of the...
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 youâre a social media junkie, you have probably seen â#goalsâ in your...
View ArticleBig Data is a Big Deal
By Keith Black, PhD, CFA, CAIA, FDP, Managing Director of Content Strategy, CAIA Association CAIAâs second webinar starring the authors of papers that are required readings for the FDP exam featured...
View ArticleThe Future of Hedge Fund Fees
We can, in a speculative mood, ask ourselves, âWill hedge fund fees continue to drop or have they reached an equilibrium after the decline of recent years?â But it would be better to ask instead...
View ArticleAlpha Comes in Waves
The brief history of replication funds may already be divided into three waves, the third of which is still in formation. The first wave was about democratization: putting hedge fund strategies in the...
View ArticleIf You Don’t Want ‘Bragging Rights’ You Can Get Alpha Done
The quarterly investor report of VCapital Management Company looks at the opportunities for attractive returns for investors regardless of the cloudy economic conditions of 2020. It argues that alpha...
View ArticleAvoiding Silver Bullets
By Aaron Filbeck, CFA, CAIA, CIPM â Associate Director, Content Development at CAIA Association Whether itâs that some retail versions of alternative investments have not lived up to their private...
View ArticleWall Street Tackles Sustainable Development Goals
In 2015 the United Nations defined 17 Sustainable Development Goals [no poverty, no hunger, health & well-being, etc.] along with 169 targets that were devised to allow for quantitative measurement...
View ArticleIn the room where it happens: An investigation of the potential of regulatory...
Keith Black, PhD, CFA, CAIA, FDP, Managing Director of Content Strategy at CAIA Association Do you want to be in the room where it happens, when âThe Smartest Guys in the Roomâ* are plotting their...
View ArticleReal Assets ‘Inception:’ Diversification within Diversification
By Aaron Filbeck, CFA, CAIA, CIPM, Associate Director, Content Development at CAIA Association Excerpted from the Alternative Investment Analyst Review, Volume 8, Issue 1 The Alternative Investment...
View ArticleESG vs Low-Carbon Investing
By Nicolas Rabener of FactorResearch @FactorResearch INTRODUCTION Investors seeking exposure to global equities with a low carbon footprint could consider the iShares MSCI ACWI Low Carbon ETF (CRBN) or...
View ArticleTech M&A Market: Demanding Sellers, Fewer Buyers
Corum Group, a merger and acquisitions advisor, which works with privately held technology companies, has put out its annual report, which tells us a good deal about where the action is in the tech...
View ArticleA Walk Through the Forest with Joe Simonian
What Does Machine Learning Have to do with Fama and French? By Keith Black, PhD, CFA, CAIA, FDP, Managing Director, CAIA Association âI went to the woods because I wished to live deliberately, to...
View ArticleAre the Robots Really Taking Over?
By Aaron Filbeck, CFA, CAIA, CIPM, Associate Director, Content Development at CAIA Association Excerpted from the Alternative Investment Analyst Review, Volume 8, Issue 3 The Alternative Investment...
View Article3 Threats to Hedge Funds
A recent paper by a scholar at Tilburg University and a market participant at Robeco outlines the difficulties that the hedge fund industry has faced over the last decade. These problems arose, at...
View Article(SH)Elijah
By Bill Kelly, CEO, CAIA Association You donât really need to be a Talmud scholar to know about the mission and purpose of the prophet Elijah. A fixture of the Passover Seder, he is always accorded...
View ArticleEpstein-Zin Utility Maximization on Random Horizons. (arXiv:1903.08782v2...
This paper solves the consumption-investment problem under Epstein-Zin preferences on a random horizon. In an incomplete market, we take the random horizon to be a stopping time adapted to the market...
View ArticleReligion and Terrorism: Evidence from Ramadan Fasting. (arXiv:1810.09869v3...
We study the effect of religion and intense religious experiences on terrorism by focusing on one of the five pillars of Islam: Ramadan fasting. For identification, we exploit two facts: First, daily...
View ArticlePredicting Stock Returns with Batched AROW. (arXiv:2003.03076v1 [q-fin.CP])
We extend the AROW regression algorithm developed by Vaits and Crammer in [VC11] to handle synchronous mini-batch updates and apply it to stock return prediction. By design, the model should be more...
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