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Investment Think Tanks

Hedge funds: sheep in wolves’ clothing

Hedge funds are sheep in wolves’ clothing, they are claiming their returns to be alpha, but a large part of it is driven by beta, Narayan Naik, professor of finance, London Business School told delegates at an investment think-tank in London last week. The good news, Naik says, is a new era has dawned in […]
Amanda WhiteMarch 6, 2015
Research

Smart beta versus smart alpha

With the advent of smart beta it was only a matter of time before the appropriate use of “smart” was analysed and questioned. A paper to be published in the forthcoming summer 2014 issue of The Journal of Portfolio Management looks at the active choices of smart beta strategies and how and when they can […]
Amanda WhiteMay 14, 2014
Investment Think Tanks

Active management: turning the argument on its head

One of the enduring areas of asset management academic study, and practitioner query, is whether or not managers have skill. In his work, professor of finance at Stanford, Jonathan Berk, shows the answer doesn’t lie in returns but in manager compensation.   Determining whether active skill exists is not the same as looking at whether […]
Amanda WhiteFebruary 5, 2014
Research

Investment beliefs of endowments

Academics from Columbia and Yale Universities examine the expected and actual returns of US university endowment portfolios and the role of alternatives in generating alpha.   To access the paper Investment beliefs of endowments
Amanda WhiteNovember 15, 2013
Uncategorised posts

Breakfast with AQR’s Cliff Asness

Having a breakfast meeting with Cliff Asness is a wake-up call. He will let you know if you’re late – something he holds in very little regard. He admits he has to constantly remind himself that just because he’s 20 minutes early to everything that others are not automatically then 20 minutes late. Asness is […]
Amanda WhiteMarch 1, 2013
Uncategorised posts

ATP reunites alpha and beta after 6 years

Alpha and beta rely to a large extent on exposures to systematic risk factors, so goes the “2013 thinking” of ATP in reversing the decision to separate alpha and beta in its investment portfolio six years ago. ATP has separate hedging and investment portfolios, with the hedging portfolio significantly larger at around DKK 670 billion […]
Amanda WhiteFebruary 6, 2013
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