Risk Parity and Volatility Targeting Strategies: Recent Performance
Hossein Kazemi
The Essential Guide to Third-Party Valuations for Hedge Fund Investors
Erin Faccone

Huge losses suffered by investors in alternative assets during the financial crisis have pushed to the forefront a previously opaque part of the investment universe: the valuation of complex and illiquid assets held by hedge funds. This paper explores the challenges of pricing less-liquid or illiquid assets, which typically carry the most valuation risk.

Artificial Intelligence - Chances and Challenges in Quantitative Asset Management
Urs Schubiger, Egon Ruetsche, and Fabian Dori

Artificial intelligence has recently experienced a remarkable increase in attention, following staggering achievements in applications such as image, text and speech recognition, self-driving cars or chess and Go tournaments. This paper explores a general overview of machine learning, then elaborates on specific applications in quantitative asset management, highlighting the limitations, challenges and possible remedies before reaching their conclusions.

Infrastructure and the Economy
Declan O'Brien

This series explores some of the key portfolio considerations of investing into infrastructure. This paper, the second in their series, takes a closer look at how infrastructure returns might perform under various economic scenarios, and in particular in a rising interest rate environment. They use public and private infrastructure indices from 2004-2017 to help inform the analysis.

The Evolution of Target Date Funds: Using Alternatives to Improve Retirement Plan Outcomes
Angela M. Antonelli, David O'Meara, and Jason Shapiro

Defined contribution (DC) plans are increasingly becoming the primary retirement vehicles for many workers. The migration from Defined Benefit (DB) to DC plans shifts the investment risk and reward from the sponsor to the participant. With this changing responsibility, it is important to port the best practices from DB plans over to the DC marketplace. This paper explores the growing use of Target Date Funds (TDFs) in DC plans, as well as how the use of alternative investments such as private equity, real estate and hedge funds can provide value to TDF solutions. Moreover, it explains how TDFs can manage the liquidity, rebalancing and cash flows to accommodate these kinds of investments, as well as how allocations to these different asset classes affect projected outcomes when compared with a traditional TDF asset allocation.

Narrowing the Return Gap: 10 Steps in the Right Direction
Adam Berger

Many institutional investors, from public and private pensions to endowments and foundations, are stuck between a rock and a hard place. Their return targets remain relatively high, while capital market return expectations for the near to intermediate term are still stubbornly low. In this paper, they consider several different approaches to this challenge and propose 10 “stepping stones” — incremental investment ideas that may help put an institution’s portfolio on a path forward.

Tailoring Multi-asset Multi-factor Strategies
Joo Hee Lee, Harald Lohre, Jay Raol, and Carsten Rother

To sharpen the top-down allocation perspective of their investments, investors are keen to identify and manage the most salient drivers of risk and return. For many years, the focus was on traditional market risks, such as equity, duration or credit risk. This framework can be considerably advanced when examining a given investment through the factor investing lens, which accounts for style factors, such as carry, value, momentum and quality. This paper puts forward a variety of approaches, ranging from the traditional multi-asset allocation to factor-based tail hedging,factor completion and a fully diversified multi-asset multi-factor proposition.

A Panel Discussion on Hedge Funds
H. Kent Backer

This panel discussion during the annual meeting of the 2017 Southern Finance Association provides a current look into the complex and rapidly changing world of hedge funds. It begins by providing background information about hedge funds, their advantages and disadvantages to investors, and the impact of the financial crisis of 2007-2008. Next, the discussion turns to hedge fund strategies followed by a look at the hedge fund industry including its current state, challenges, and the role of institutional investors. The next topics examined are fee structure, hedge fund activism, scandals and taxes, and the role of technology. The final topic deals with future trends in the hedge fund industry including regulatory changes, fee structure, and big data among others.

The CAIA Endowment Investable Index
Hossein Kazemi, Kathryn Wilkens
The List: Alternative Indices
The CAIA Association