Practical applications of institutional investor journals最新文献_第2页

Practical Applications of What Information Variables Predict Bitcoin Returns? A Dimension-Reduction Approach 哪些信息变量预测比特币收益的实际应用?一种降维方法

Practical applications of institutional investor journals Pub Date : 2023-07-28 DOI: 10.3905/pa.2023.jaipa074

Sang Baum Kang, Yao Xie, Jialin Zhao

{"title":"Practical Applications of What Information Variables Predict Bitcoin Returns? A Dimension-Reduction Approach","authors":"Sang Baum Kang, Yao Xie, Jialin Zhao","doi":"10.3905/pa.2023.jaipa074","DOIUrl":"https://doi.org/10.3905/pa.2023.jaipa074","url":null,"abstract":"In <ext-link><bold><italic>What Information Variables Predict Bitcoin Returns? A Dimension-Reduction Approach</italic></bold></ext-link> from the Spring 2023 issue of <bold><italic>The Journal of Alternative Investments</italic></bold>, Sang Baum Kang of the <bold>Illinois Institute of Technology</bold>, <bold>Yao Xie</bold> of <bold>Morningstar</bold>, and <bold>Jialin Zhao</bold> of <bold>St. Mary’s University</bold> found that blockchain technology, stress level, and investor sentiment play important roles in predicting bitcoin returns. The authors use 25 theoretically motivated explanatory variables falling within these three categories and two others, including macroeconomic variables and other assets, such as gold, to predict bitcoin returns with several dimension-reduction techniques. These techniques are used to eliminate variables with redundant information and avoid problems associated with multicollinearity and noise. Given the recent growth in data availability, dimension reduction is an increasingly relevant issue. The importance of variables within the five categories varied over time. Interestingly, macroeconomic variables and variables in the “other assets” category were unimportant, except for during the Covid-19 period. Simulating dynamic trading strategies based on predictions, the authors show that the “three-pass regression filter” performed best relative to their other dimension-reduction approaches.","PeriodicalId":500434,"journal":{"name":"Practical applications of institutional investor journals","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-07-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135601846","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Practical Applications of Information Content of Hedge Fund Equity Option Holdings 对冲基金股票期权持有信息含量的实际应用

Practical applications of institutional investor journals Pub Date : 2023-06-26 DOI: 10.3905/pa.2023.jaipa070

Juha Joenväärä, Mikko Kauppila, Pekka Tolonen

引用次数: 0

Practical Applications of The Term Structure and World Economic Growth: A Retrospective and 30 Years of Out-of-Sample Evidence 期限结构与世界经济增长的实际应用:30年样本外证据的回顾

Practical applications of institutional investor journals Pub Date : 2023-06-07 DOI: 10.3905/pa.2023.pa552

Campbell Harvey

引用次数: 0

Practical Applications of The Tax Benefits of Direct Indexing: Not a One-Size-Fits-All Formula 直接指数化税收优惠的实际应用:不是放之四海而皆准的公式

Practical applications of institutional investor journals Pub Date : 2023-05-03 DOI: 10.3905/pa.2023.pa561

Nathan Sosner, Michael Gromis, Stanley Krasner

{"title":"Practical Applications of The Tax Benefits of Direct Indexing: Not a One-Size-Fits-All Formula","authors":"Nathan Sosner, Michael Gromis, Stanley Krasner","doi":"10.3905/pa.2023.pa561","DOIUrl":"https://doi.org/10.3905/pa.2023.pa561","url":null,"abstract":"In <ext-link><bold><italic>The Tax Benefits of Direct Indexing: Not a One-Size-Fits-All Formula</italic></bold></ext-link>, from the Summer 2022 issue of <bold><italic>The Journal of Beta Investment Strategies</italic></bold>, <bold>Nathan Sosner</bold> and <bold>Stanley Krasner</bold> (both at <bold>AQR Capital Management</bold>), and <bold>Michael Gromis</bold> (a student at <bold>Harvard Law School</bold>), explore the magnitude and sources of the tax benefit of a direct-indexing tax-loss-harvesting strategy. The authors note that capital losses realized by loss-harvesting strategies are most valuable when investors use them to offset short-term capital gains from other investments and that investors most likely to experience regular short-term capital gains are high-net-worth investors with allocations to hedge funds and derivatives. In fact, they show that only this subset of investors is situated to enjoy a long-run tax benefit from direct indexing that comes from the difference in short-term capital gains and long-term capital gains tax rates—what the authors call a <italic>character benefit</italic>. More typical investors, with mostly long-term capital gains from other investments, can only enjoy a deferral component of the tax benefit, which declines to zero as the strategy portfolio appreciates. However, the authors show that the deferral benefit is still available in the long run to those investors who make systematic contributions to their portfolios. Furthermore, the future tax liability that results from gain deferral can be reduced by combining the direct-indexing strategy with a charitable-giving program. Absent regular short-term losses or systematic contributions to the portfolio, the tax benefits of direct indexing decay and disappear after five years, on average. Given these nuances, it is important that advisors deepen their understanding of the tax-loss-harvesting strategies as platforms for implementing the strategies become more popular and widespread.","PeriodicalId":500434,"journal":{"name":"Practical applications of institutional investor journals","volume":"12 4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-05-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134923637","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Practical Applications of Alternative Data in Investment Management: Usage, Challenges, and Valuation 另类数据在投资管理中的实际应用:使用、挑战和估值

Practical applications of institutional investor journals Pub Date : 2023-04-26 DOI: 10.3905/pa.2023.pa547

Gene Ekster, Petter Kolm

{"title":"Practical Applications of Alternative Data in Investment Management: Usage, Challenges, and Valuation","authors":"Gene Ekster, Petter Kolm","doi":"10.3905/pa.2023.pa547","DOIUrl":"https://doi.org/10.3905/pa.2023.pa547","url":null,"abstract":"In <ext-link><bold><italic>Alternative Data in Investment Management: Usage, Challenges, and Valuation</italic></bold></ext-link>, from the Fall 2021 issue of <bold><italic>The Journal of Financial Data Science</italic></bold>, <bold>Gene Ekster</bold> and <bold>Petter Kolm</bold>, both at <bold>New York University’s Courant Institute of Mathematical Sciences</bold>, provide insight into how to get the most out of this relatively new resource. Unlike traditional financial data used to analyze and manage investments, alternative data has unique technical challenges, an evolving industry of providers, and valuation challenges. Ekster and Kolm offer methods of dealing with these matters. They point out that it is crucial to understand the structure of the industry, particularly the difference between data originators and intermediaries. The authors also discuss entity mapping, tagging, and other ways of addressing technical issues with alternative data. Importantly, they provide investment professionals with methods of determining the likely value of an alternative dataset with a short history. They include a case study on predicting revenues of publicly traded companies, thus illustrating the design considerations for data processing pipelines and downstream analytics.","PeriodicalId":500434,"journal":{"name":"Practical applications of institutional investor journals","volume":"222 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-04-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136320123","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Practical Applications of The Modern Endowment Story: A Ubiquitous US Equity Factor 现代捐赠故事的实际应用:一个无处不在的美国股票因素

Practical applications of institutional investor journals Pub Date : 2023-04-05 DOI: 10.3905/pa.2023.pa543

Richard M. Ennis

{"title":"Practical Applications of The Modern Endowment Story: A Ubiquitous US Equity Factor","authors":"Richard M. Ennis","doi":"10.3905/pa.2023.pa543","DOIUrl":"https://doi.org/10.3905/pa.2023.pa543","url":null,"abstract":"In <ext-link><bold><italic>The Modern Endowment Story: A Ubiquitous US Equity Factor</italic></bold></ext-link>, from the November 2022 issue of <bold><italic>The Journal of Portfolio Management</italic></bold>, author <bold>Richard Ennis</bold> (retired chairman and cofounder of <bold>EnnisKnupp</bold>) concludes that the endowment model is broken and makes three recommendations for repairing it: 1) dramatically reduce costs, 2) reevaluate risk tolerance and consider reallocating assets to investment-grade bonds, and 3) consider diversifying into global stock markets to reduce exposure to the US stock market. The traditional endowment model of diversified investing is designed to fund a nonprofit institution’s expenses while protecting principal against depletion. However, the largest endowments generally underperform the market, except when alternative investments like hedge funds are producing extraordinary returns. Ennis finds that, in the years since the 2008 global financial crisis (GFC), the performance of large endowments has become almost exactly correlated with that of the US stock market, alternative investments have provided no diversification benefits, and portfolio management costs have been the main cause of endowment underperformance. Endowments have also increased their exposure to the US equity factor in recent years, even as overall endowment performance gets worse.","PeriodicalId":500434,"journal":{"name":"Practical applications of institutional investor journals","volume":"59 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-04-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135955550","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Practical Applications of Private Markets—From Alternative to Mainstream: Evolution during the Past 30 Years and Key Trends and Challenges for the Decades to Come 私人市场的实际应用——从另类到主流:过去30年的演变以及未来几十年的主要趋势和挑战

Practical applications of institutional investor journals Pub Date : 2023-03-22 DOI: 10.3905/pa.2023.pa541

Erik Knutzen

{"title":"Practical Applications of Private Markets—From Alternative to Mainstream: Evolution during the Past 30 Years and Key Trends and Challenges for the Decades to Come","authors":"Erik Knutzen","doi":"10.3905/pa.2023.pa541","DOIUrl":"https://doi.org/10.3905/pa.2023.pa541","url":null,"abstract":"In <ext-link><bold><italic>Private Markets—From Alternative to Mainstream: Evolution during the Past 30 Years and Key Trends and Challenges for the Decades to Come</italic></bold></ext-link>, from the June 2022 special 30th anniversary issue of <bold><italic>The Journal of Investing</italic></bold>, Erik Knutzen (of <bold>Neuberger Berman</bold>) explains the dramatic growth and evolution of private markets since the 1980s. Back then, private equity (PE) was a small and exotic sector for only the most sophisticated investors. In the decades since, however, PE has grown into a multitrillion-dollar global industry that owns thousands of companies, while the number of publicly listed companies has dropped to about half of what it was in the 1990s. The author explains the key drivers of these events: regulatory changes, the evolution of credit markets, broader acceptance of PE among institutional investors, PE’s relatively high returns, growth and innovation in the PE sector, PE’s diversification and return-smoothing benefits, PE’s better alignment for long-term investors, and the fact that private markets are becoming more liquid. Private markets likely will continue to grow due to PE’s higher expected returns, institutional investors’ need to close the “return gap” between expected and target returns, and the fact that PE is increasingly grouped with traditional assets in asset allocation frameworks.","PeriodicalId":500434,"journal":{"name":"Practical applications of institutional investor journals","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-03-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136196685","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Practical Applications of Catholic Values and Direct Indexing: No Performance Penance Needed 天主教价值观的实际应用和直接索引:不需要表现忏悔

Practical applications of institutional investor journals Pub Date : 2023-03-15 DOI: 10.3905/pa.2023.pa539

Rafika Shibly, Andrew Subkoviak, Paul Bouchey

{"title":"Practical Applications of Catholic Values and Direct Indexing: No Performance Penance Needed","authors":"Rafika Shibly, Andrew Subkoviak, Paul Bouchey","doi":"10.3905/pa.2023.pa539","DOIUrl":"https://doi.org/10.3905/pa.2023.pa539","url":null,"abstract":"In Catholic Values and Direct Indexing: No Performance Penance Needed, from the Summer 2022 issue of The Journal of Beta Investment Strategies, authors Rafika Shibly (of Citi Private Bank) and Andrew Subkoviak and Paul Bouchey (both of Parametric Portfolio Associates) demonstrate that Catholic investors can own market-like portfolios that align with their values without sacrificing returns. Catholic values–based investing uses guidance from the Catholic Church to help invest in companies that promote human dignity and the common good, while divesting from companies that cause harm. Catholics can invest in existing Catholic values–based index funds or use direct indexing to create their own portfolios while deciding for themselves which companies to exclude. The authors demonstrate that two existing Catholic-values indexes have outperformed broad-market indexes like the S&P 500 and have posted higher risk-adjusted returns. However, they exhibit significant tracking error relative to their benchmark indexes, meaning their returns deviate from the benchmarks year to year. The authors demonstrate that investors can improve their portfolios’ consistency with benchmarks by creating separately managed accounts (SMAs), then using direct indexing to create portfolios that mostly match benchmark indexes while screening out some companies, and then using portfolio optimization to reweight investments in ways that reduce tracking error.","PeriodicalId":500434,"journal":{"name":"Practical applications of institutional investor journals","volume":"95 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-03-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135648056","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Practical Applications of Questioning the Wisdom of Crowds to Design Portfolio Diversification Strategies 质疑群体智慧在投资组合多元化策略设计中的实际应用

Practical applications of institutional investor journals Pub Date : 2023-03-10 DOI: 10.3905/pa.2023.jaipa068

Vadim Zlotnikov, Mikhail Stukalo, Igor Halperin, Lisa Huang, Cathy Pena

{"title":"Practical Applications of Questioning the Wisdom of Crowds to Design Portfolio Diversification Strategies","authors":"Vadim Zlotnikov, Mikhail Stukalo, Igor Halperin, Lisa Huang, Cathy Pena","doi":"10.3905/pa.2023.jaipa068","DOIUrl":"https://doi.org/10.3905/pa.2023.jaipa068","url":null,"abstract":"In <ext-link><bold><italic>Questioning the Wisdom of Crowds to Design Portfolio Diversification Strategies</italic></bold></ext-link>, from the Winter 2023 issue of <bold><italic>The Journal of Alternative Investments</italic></bold>, <bold>Vadim Zlotnikov</bold>, <bold>Igor Halperin</bold>, <bold>Lisa Huang</bold>, <bold>Cathy Pena</bold> (all of <bold>Fidelity</bold>), and <bold>Mikhail Stukalo</bold> (of <bold>Gainy</bold>, a fintech startup), develop a diversification strategy based on measures of crowdedness. They design a portfolio with the positive characteristics of uncrowded stocks that also harvests the skill of active managers. They create a measure of crowdedness using holdings data on active managers. Stocks can become crowded based on conviction, reflecting manager skill. But they also can become crowded due to a consensus view, which leads to problematic characteristics; crowded stocks can exhibit negatively skewed returns with high forward-looking volatility. The authors also construct a long–short portfolio based on two different measures of crowdedness. The portfolio is beta-neutral and can be used to improve the Sharpe ratio of a 60/40 portfolio by dampening volatility. Maintaining smart money investors’ insights, the equity component does not sacrifice returns, as other defensive strategies do.","PeriodicalId":500434,"journal":{"name":"Practical applications of institutional investor journals","volume":"1115 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-03-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136130211","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Practical Applications of Cash for Calls: A Quantitative Approach to Managing Liquidity for Capital Calls 现金赎回的实际应用:管理资本赎回流动性的定量方法

Practical applications of institutional investor journals Pub Date : 2023-03-10 DOI: 10.3905/pa.2023.jaipa066

Jerome Schneider, Sean Klein, Wade Sias, Simon Fan

{"title":"Practical Applications of Cash for Calls: A Quantitative Approach to Managing Liquidity for Capital Calls","authors":"Jerome Schneider, Sean Klein, Wade Sias, Simon Fan","doi":"10.3905/pa.2023.jaipa066","DOIUrl":"https://doi.org/10.3905/pa.2023.jaipa066","url":null,"abstract":"In <ext-link><bold><italic>Cash for Calls: A Quantitative Approach to Managing Liquidity for Capital Calls</italic></bold></ext-link>, from the Fall 2022 issue of <bold><italic>The Journal of Alternative Investments</italic></bold>, <bold>Jerome Schneider</bold>, <bold>Sean Klein</bold>, <bold>Wade Sias</bold>, and <bold>Simon Fan</bold>, all of <bold>PIMCO</bold>, provide an approach to address the difficult task of minimizing cash drag while ensuring that limited partners can meet capital calls for private investments. By analyzing cash flow data for private equity, private debt, and private real estate funds, the authors quantify the extent of cash drag experienced when committed, but uninvested, capital is held in cash. They also illustrate the danger of holding the capital in public market equivalents (PMEs). Using historical call rates, the authors then simulate a tiering approach to holding committed capital in assets that have a range of risk and return characteristics and dynamically adjust the allocation. They show this strategy performs similarly to constant proportion portfolio insurance. The portfolio grows when the market outperforms, due to commitments that are partially allocated to PMEs, while an allocation to safe tiers protects the portfolio in market downturns.","PeriodicalId":500434,"journal":{"name":"Practical applications of institutional investor journals","volume":"71 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-03-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136130890","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0