A conversation with CAIA CEO Bill Kelly and Keith Black, PhD, CFA, CAIA, FDP, Managing Director, Program Director, FDP Institute

Just a few years ago, the Financial Data Professional Institute was just an idea. Now, after five exam cycles, there are FDP Charterholders in 41 countries, and the global footprint is growing. CAIA CEO Bill Kelly and Keith Black, PhD, CFA, CAIA, FDP, Managing Director, Program Director, FDP Institute, discuss the curriculum, and why the FDP Institute’s highly specialized body of knowledge resonates with investment professionals.

Conducting Private Portfolio Attribution Analysis - APAC

There are many methods for conducting performance attribution with portfolios containing only liquid assets. A lack of periodic asset return data and a clear definition of what constitutes an appropriate market benchmark thwarts efforts to perform similar types of attribution analyses for portfolios of private equity funds (and other illiquid investments). This presentation covered a proposed methodology for decomposing private fund portfolio performance in an article, “Private Portfolio Attribution Analysis,” published in the Fall 2021 edition of The Journal of Alternative Investments.

Valuation Models for Cryptocurrencies and Digital Assets

There are currently over 11,000 cryptocurrencies and digital assets. With many experiencing price volatility of over 100% per year, or five times the volatility of stocks, there is substantial disagreement on how to value these assets. Some valuation models used for traditional equity valuation can be used to price these assets. Investors may also find it useful to understand business models, emerging industries, and oligopolistic models.

Conducting Private Portfolio Attribution Analysis

There are many methods for conducting performance attribution with portfolios containing only liquid assets. A lack of periodic asset return data and a clear definition of what constitutes an appropriate market benchmark thwarts efforts to perform similar types of attribution analyses for portfolios of private equity funds (and other illiquid investments). This presentation covered a proposed methodology for decomposing private fund portfolio performance in an article, “Private Portfolio Attribution Analysis,” published in the Fall 2021 edition of The Journal of Alternative Investments.

Using Alternative Data in Financial Markets

Description: Quantitative investors have long used traditional data sources, such as income statements and balance sheets of public firms, to drive stock selection models. With the explosion in the amount and diversity of data in the last five years, alternative data sources are quickly revolutionizing quantitative investing. Alternative data sources can include natural language processing of news and social media content, review of credit card transactions and consumer emails, and geolocation data using cell phone signals and satellite images.

Alex Botte, CFA, CAIA

I studied for the level 2 CAIA exam in mid-2016. At the time, I was an associate on the business development team at AQR Capital Management, a quantitative asset manager that offers alternative funds in liquid vehicles, among other products. As a member of the business development team, I was traveling to the offices of financial advisors talking about how adding liquid alternatives to a traditional stock/bond portfolio could lower risk and enhance both risk-adjusted and absolute returns.

Thomas Garrett, CFA, FRM, CAIA, Chapter Executive

Mr. Garrett is primarily responsible for supporting the firm’s capital markets research efforts, including the creation and oversight of materials for annual market reviews and outlooks, thought leadership on capital market forecasts and models, and the development of top-down portfolio views. Mr. Garrett also assists with the creation and delivery of research materials to the firm’s consulting staff for topics related to capital market opportunities, strategic asset allocation, and active management. He is a shareholder of the firm.

Chronicles: January 2022

Jan 2021 Chronicles FI

It’s everyone’s favorite time of year – forecasting season. Record low interest rates, record high inflation (in recent history), and unprecedented monetary and fiscal policy have made the job of the capital allocator very difficult. Oh, and the global pandemic has moved into its third calendar year in case you had forgotten.

Matt Trimble, CAIA, Chapter Head

Matt is a Senior Vice President at Aristotle, responsible for RIA, Family Office, and Bank coverage throughout the Mid-Atlantic region.  He has over 15 years of experience working for asset managers covering Equity, Fixed Income, and Alternative Investments, on both the public and private side.  He has held several business development roles at OppenheimerFunds and Hartford Funds covering RIA, Family Office, Consultant, Bank Trust, Wirehouse and Independent channels over that time. 

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