Editor's Letter: Text as Data
Hossein Kazemi
Beyond Diversification: A Geographical Focus on Farmland and Real Estate
Alice Breheny, Sky Macpherson, Brian Nick

Diversification is a key element to any investing plan, but many fail to consider their depth of diversification within asset classes. In this article, the authors discuss the importance of diversification within one's real estate and farmland exposure, with a focus on specific geographies and leveraging local, specialized expertise. Returns for real estate and farmland vary widely depending on location, as both have unique demographics, technologies and drivers. The article takes a deeper dive into specific geographies and the forward returns one can expect for real estate and farmland in each region.

The Wrapper Matters: Comparing Liquid Alternatives and Hedge Funds
Chris Tidmore, Daniel B. Berkowitz

Liquid alternatives and hedge funds are public and private vehicles that investors use to access a variety of alternative investment strategies. To compare and contrast them, the authors map major hedge fund categories to liquid alternative categories, noting important differences between their structures. Comparisons include absolute and risk-adjusted performance, portfolio and factor exposures, and portfolio construction considerations.

Transforming the Forestry Asset Class
David Brand

Forestry is an often underutilized asset class in allocator portfolios, yet it offers many diversification benefits including low correlation to major asset classes, positive correlation to inflation, attractive risk-adjusted returns, and positive contributions to the sustainability of the planet. In this article, Brand highlights five key trends transforming the forestry sector: the rise of Asian demand; the shift to plantation-based wood supply; changing timber, wood fiber, and biomass markets; sustainability performance and opportunity; and the rising role of investment.

What is Happening to the U.S. Shale Production?
Leigh R. Goehring, Adam A. Rozencwajg

In this update on natural resource markets, the authors offer their view on energy commodities, such as oil and natural gas, gold markets, and current crop conditions in the United States. First, the authors establish their views on shale production and the current value proposition of the oil markets. Next, the authors assert the belief that the next gold bull market will be supported by western investors. Finally, the authors discuss the current state of crop investments, which were impacted by demand and supply dynamics in 2019. Note: the views expressed in this article were as of Q3 2019.

Tactical Investment Algorithms
Marcos López de Prado

Finance has two major limitations that prevent it from becoming a science, unlike physics, chemistry or biology. These two limitations, Popper’s falsifiability criterion and complexity in the changing financial system, force researchers to rely on backtesting when creating investment algorithms. There are three types of backtests, which includes the walk-forward method, the resampling method, and the Monte Carlo (MC) method. In this paper, Lopez de Prado argues the MC method as the most useful of the three types of backtests. The MC method is further discussed with a practical example, a discussion of its advantages and criticisms, and finally a deeper dive into a key part of MC analysis referred to as the data-generating process (DGP).

Capturing Alpha from Internal Digital Content
Peter Hafez

As the world evolves and technology expands, so too should the investment analyst’s methods of seeking outperformance relative to competitors. This paper discusses the benefits of using proprietary AI platforms and NLP engines to help generate differentiated investment insights and trading signals from digital content, such as emails, attachments and instant messages. The authors observe the following: there is alpha to be captured within the use of internal digital content, each firm’s interpretation of that data can be unique and, as the world becomes further digitized, this method of investment analysis will likely grow.

Gender Lens Investing
Julia Enyart

Diversity is no doubt being encouraged within the business world, and for good reason, as evidence suggests that greater diversity and gender balance is associated with higher average returns and lower levels of risk. The author finds that colleges and universities are uniquely positioned to use gender lens investing within their endowment portfolios. This is because gender lens investing meets risk and return requirements, acts as a standard of fiduciary care for institutional investors, and coincides well with the mission-aligned investing that public and private colleges and universities wish to attain.

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