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Private Equity Indices Based on Secondary Market Transactions

November 12, 2018 Bilal 0

Private Equity Indices Based on Secondary Market Transactions https://ift.tt/2qvstRO Private Equity Indices Based on Secondary Market Transactions NBER Working Paper No. 25207 Issued in November 2018 NBER Program(s):Asset Pricing, Corporate Finance Measuring the performance of private equity investments (buyout and venture) has historically only been possible over long horizons because the IRR on a fund is only observable following the fund’s final distribution. We propose a new approach to evaluating performance using actual prices paid for limited partner shares of funds in secondary markets. We construct indices of buyout and venture capital performance using a proprietary database of secondary market […]

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Chasing Mutual Fund Performance: Follow the Momentum?

September 3, 2018 Bilal 0

Chasing Mutual Fund Performance: Follow the Momentum? https://ift.tt/2wEQdph Chasing Mutual Fund Performance: Follow the Momentum? Chasing mutual fund performance suffers from a bad reputation these days. Of course, perspectives change all the time in finance. What was once considered poor form often becomes best practice and vice versa. Leveraged buyouts and activist investors, for instance, were once looked downs on by much of the sector, but today their milder incarnations are staples of pension fund portfolios and are perceived as forces of good, not evil. So maybe investing in the best-performing mutual funds isn’t a bad strategy. It is certainly […]

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An Asset Allocation Primer: Connecting Markowitz, Kelly and Risk Parity

September 2, 2018 Bilal 0

https://www.pimco.co.uk/en-gb/insights/viewpoints/quantitative-research-and-analytics/an-asset-allocation-primer-connecting-markowitz-kelly-and-risk-parity   As curious as it may sound, few asset allocation primers describe portfolio models while connecting them to each other. This article does so by describing and contrasting the mechanics of standard asset allocation models, including the utility-based, Markowitz, Kelly, risk parity and fixed allocation approaches. It seeks to accomplish four objectives: First, it develops the mathematics of the models; second, it identifies the precise conditions under which the models are equivalent; third, it discusses the specifics – risk/return characteristics – of each approach; and last, it provides numerical examples that compare allocations to asset classes and return and […]

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The Half-Life of Investment Strategies

September 2, 2018 Bilal 0

The Half-Life of Investment Strategies https://ift.tt/2MPpvRL “The facts of the present won’t sit still for a portrait. They are constantly vibrating, full of clutter and confusion.” – William Macneile Dixon When I was growing up dinosaurs were described as slow, cold-blooded, reptilian, and not very colorful. New research has determined that many dinosaurs were in fact fast and could have been covered in feathers, with the colors of a peacock. It’s also possible that they were warm-blooded based on their growth rates. If you were in science class during the 1970s, you would have learned about the 106 elements in […]

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Valuation vs. Momentum Investing

September 2, 2018 Bilal 0

Valuation vs. Momentum Investing https://ift.tt/2C2DXoH Bill Spitz (who is known to the readers of this blog for his prescient calls in the past, As Risk Increases, Spreads Widen) has written another gem documenting the "manias" leading up to the current market.  Students will learn something about about two strategies for investing:  Valuation (long run) vs. Momentum (short run).  Here is the bottom line advice: There are widely accepted and time tested methods of forecasting returns on various asset classes.  While we work very hard at refining the inputs to the process, you should understand that they vary considerably over time rendering […]

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Building better portfolios – Institutional | BlackRock

September 2, 2018 Bilal 0

Building better portfolios – Institutional | BlackRock https://ift.tt/2N3d7Bh General Disclosure: This material is prepared by BlackRock and is not intended to be relied upon as a forecast, research or investment advice, and is not a recommendation, offer or solicitation to buy or sell any securities or to adopt any investment strategy. The opinions expressed are as of July 2018 and may change as subsequent conditions vary. The information and opinions contained in this material are derived from proprietary and nonproprietary sources deemed by BlackRock to be reliable, are not necessarily all inclusive and are not guaranteed as to accuracy. As […]

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Portfolio Structuring and the Value of Forecasting

September 2, 2018 Bilal 0

Portfolio Structuring and the Value of Forecasting https://ift.tt/2NGlY8K This brief offers analysis of factor investing reviews types of factors and risk premiums as well as the value of forecasting, including issues with accuracy and improving efficiency. Abstract On 8 October 2015, CFA Montréal hosted its annual Asset Allocation Forum under the theme “Portfolio Structuring and the Value of Forecasting.” Two asset management approaches were compared: the factor investing approach, and the traditional approach. The most important aspects discussed by top speakers from the event are included in this brief. Foreword On 8 October 2015, CFA Montréal hosted its annual Asset […]

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Overcoming the Notion of a Single Reference Currency: A Currency Basket Approach

September 2, 2018 Bilal 0

Overcoming the Notion of a Single Reference Currency: A Currency Basket Approach https://ift.tt/2C73RaI Giuseppe Ballocchi most recently served as the head of financial engineering and risk analytics at Pictet & Cie in Geneva, Switzerland. He also lectures at the University of Lausanne, where he is a member of the Steering Committee of the Master in Finance. He also serves as a foreign exchange advisor to a microfinance fund. Previously, he was chief investment officer at Olsen Ltd, a fixed-income manager at the Asian Development Bank in Manila and a high-energy physicist at CERN. Mr. Ballocchi served two terms as chair […]

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Stocks, Bonds and Causality

September 2, 2018 Bilal 0

Stocks, Bonds and Causality https://ift.tt/2LPBUE7 Past performance is not a guarantee or a reliable indicator of future results.  All investments contain risk and may lose value.  Investing in the bond market is subject to risks, including market, interest rate, issuer, credit, inflation risk, and liquidity risk. The value of most bonds and bond strategies are impacted by changes in interest rates. Bonds and bond strategies with longer durations tend to be more sensitive and volatile than those with shorter durations; bond prices generally fall as interest rates rise, and the current low interest rate environment increases this risk. Current reductions […]

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When Alpha Meets Beta: Managing Unintended Risk in Active Fixed Income

September 2, 2018 Bilal 0

When Alpha Meets Beta: Managing Unintended Risk in Active Fixed Income https://ift.tt/2wwDN3G Past performance is not a guarantee or a reliable indicator of future results.  All investments contain risk and may lose value.  Investing in the bond market is subject to risks, including market, interest rate, issuer, credit, inflation risk, and liquidity risk. The value of most bonds and bond strategies are impacted by changes in interest rates. Bonds and bond strategies with longer durations tend to be more sensitive and volatile than those with shorter durations; bond prices generally fall as interest rates rise, and the current low interest […]