Links - Alt Risk

QUOTE OF THE DAY

When markets trend you are going to make money, when they don’t you won’t.  -Jerry Parker

CHART OF THE DAY

ALTERNATIVE RISK

Alpha's Measurement Problem, NewFound.  " Without an understanding of what risk factors were utilized in the model, the degree of certainty we have in our alpha measure, and the variance that exists in our error terms, the applicability of any alpha figure converges towards zero."  

ChesapeakeCapital: The evolution of managed futures from the eyes of a turtle, FuturesMag.com.  " Managed futures have always been marketed as an alternative to traditional portfolios but now it is one you can take home to mother. "  

Is the Foundation of Managed Futures Shifting? RCM "When markets trend you are going to make money, when they don’t you won’t." 

Long-Only Style Investing, AQR.  " Our results suggest that long-only smart beta investors should consider integrating styles in portfolio construction." 

Creating An Alternative Investment Strategy With Value AndMomentum, AlphaArchitect.com

Chicken bulls, conviction and factor timing, AbnornalReturns.com.  

The Case for Momentum in Expensive Markets, http://econompicdata.blogspot.com/  

Alpha or Assets, investorfieldguide.com  "The far more powerful way to apply factors is to use them first to avoid large chunks of the market and then build more differentiated portfolios of stocks with only the best overall factor profiles."  

Why Alternative Investments?  RCM  

What’s The Risk of Single-Factor ETFs? Lagging for a Long, Long Time, Barrons.  

Funds of Hedge Funds Shrink by 11% as Losses SpurRedemptions, Bloomberg.  “Although the industry is certainly far from lost, we have yet to hit the floor on support levels for funds of hedge funds." 

Middle Out Compression, theReformedBroker.com.  "the future of the biz probably does not involve layering a 1-and-10 platform fee onto a portfolio of funds charging 2-and-20. And this without even adding in a brokerage firm fee charged by the wealth managers at the big investment banks."  

Value & Momentum A Powerful Combo, ETF.com  "Two of the most powerful explanatory factors in finance are value and momentum. Research on both has been published for more than 20 years. However, it was not until recently that the two have been studied in combination and across markets."  

Death of the Risk-Free Rate, ResearchAffiliates.  "If and when [central banks] take the next step of direct money creation, as is increasingly being discussed, long-run risk of inflation will rise. Investors should consider repositioning their portfolios now to avoid the zero to negative returns of cash and government bonds and to protect against long-term inflation. Investors should diversify away from government bonds and U.S. equities into higher-yielding inflation-sensitive asset classes such as commodities, bank loans, high-yield bonds, REITs, and emerging market equities."  

Risk Parity vs. Brexit: The Rebuttal,  CIO.  “Are there environments in which risk parity is a demonstrably inferior way to do asset allocation?” Knight said. “We’ve seen these environments show up in flashes, for example when everything draws down at the same time, like the taper tantrum.”