Practical analysis for investment professionals

alpha


Alpha Wounds: Passive Management Is Not Passive

Passive investing is not actually passive. When looked at this way, it means there are important lessons for active investors. Examples include the hidden story behind market capitalization and the importance of low turnover. This also opens passive investing up to criticism regarding the free passes given to it in terms of risk, cost, and momentum.

Alpha Wounds: Bad Adjunct Methodologies

One of the reasons active investment managers compare poorly to passive ones is bad methodologies on the part of investment industry adjuncts.

Alpha Wounds: Benchmark Tail Wags the Portfolio Management Dog

Active management is under siege from many corners. Yet many of these alpha wounds are self-inflicted. Chief among them is benchmark idolatry.

Women and Alpha: “Money Is on Everybody’s Mind”

Have you ever wondered why women and men make different investment decisions and what effect, if any, this has on alpha?

Beating the Market: Four Mistakes to Avoid

Active management is a tough gig. But knowing what does not work at least gets investors a step closer to finding their own secret sauce. Here are a few suspicious approaches some active managers pursue. Rather than adding alpha, these are more like illustrations of how not to beat the market.

There’s Alpha in Your (Right) Brain

Modern investing is a numbers game, an analysis game, an equations and computers and data game. And so when CNBC reports that alpha is at a three-decade low, it… READ MORE ›

Nobel Laureate Robert Engle on High-Frequency Trading and Portfolio Management

In the second part of our interview with Nobel laureate Robert Engle, he discusses the application of ARCH models in high-frequency trading and how he thinks risk models should be applied in portfolio management.

Emerging Market Debt: An Overlooked Source of Alpha?

After the global financial crisis, emerging market debt was a rising star. Yet, since last fall these markets had steadily lost ground. Now that these markets appear to have stabilized in recent months, are there opportunities for investors? If so, are these opportunities beta or alpha? In other words, can you jump in with both feet or do you have to be selective in what you invest?

What Makes Emerging Market Debt Tick?

Three factors make emerging market debt tick: country risk, mostly driven by fiscal conditions, i.e., internal balances as it is often known; currency risk, driven by balance of payments or external balances and the resulting reserve positions; and corporate credit risk, i.e., company balance sheets.

How to Move ESG from Philosophy to Alpha Generator

Many investors are incorporating environmental, social, and governance (ESG) factors into their equity analysis as a source of alpha.



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