CAIA Viewpoints offer a summary-level look at industry trends and models that continue to shape alternative investment strategies. Each Viewpoint links to the full text of the paper as it appeared in CAIA journals.

February 26, 2018
Private Debt Graduates

Sanjay Mistry and Tobias Ripka of Mercer Private Markets highlight the importance and growth of private debt in “Private Debt in an Institutional Portfolio.” The authors assert that, as an asset class, private debt is attractive on a risk-adjusted basis and can play different roles in the portfolio context, and directly plays into the financing void which has arisen post the global financial crisis.

January 24, 2018
Yields Go Low, We Go...

In this paper by AQR titled “Asset Allocation in a Low Yield Environment”, the authors question the premises behind the preference for strategic risk diversification in light of the low yield environment, and find that it continues to be sound.

December 04, 2017
Not All Protection Is Created Equal

Valuations have presented investors with few choices to earn returns while mitigating risk. In response to this dilemma, Michael Ning and Michael Depalma’s paper “Investing in an Overvalued Market and Tail-Risk Hedging”, suggests incorporating a tail-risk hedging strategy into the portfolio. By incorporating a tail hedge strategy, investors can increase their allocation to risky assets to add returns while protecting against the “black swan” events that result in large losses.

October 10, 2017
CAT Caught by The Tail

The paper “Catastrophe Bonds: An Important New Financial Instrument” by Dr. Michael Edesess explores the very basics of the CAT bond market. Catastrophe bonds (CAT bonds) are a major category in the class of securities known as insurance-linked securities or ILS. Their purpose is to crowd-source reinsurance coverage, to reduce reinsurers’, insurers’, and self-insurers’ reserve requirements and reduce their cost of coverage.

August 07, 2017
Risk Parity: Is It a Strategy for a Sprint or a Marathon?

In the paper titled “Risk Parity for the Long Run: Building Portfolios Designed to Perform Across Economic Environments,” Lee Partridge and Roberto Croce follow up on their earlier research which juxtaposed ex ante risk parity allocations with the ex post optimal portfolio. The research implied that risk parity may offer a proxy for the long-run optimal portfolio and serve as the basis for an implementable version of Modern Portfolio Theory (MPT).

August 07, 2017
Below the Black: A Review of Risk Reduction Strategies

Mike Sebastian and Zoltan Karascony's paper titled “Tales from the Downside: Risk Reduction Strategies” discusses several potential strategies for limiting risk, including low volatility equity strategies, tail risk products, managed futures and global macro hedge fund strategies.

August 07, 2017
Can We All Participate in The Next Unicorn?

In the paper "Can Non-Accredited Investors Find and Invest in the Next Unicorn?", Auburn University professors Marlin R.H. Jensen, Beverly B. Marshall, and John S. Jahera, Jr. examine the performance of the 144 unicorns listed in The Wall Street Journal (WSJ), and show why non-accredited investors will be interested in investing in startup firms. In addition, they examine what might be the best strategies for non-accredited investors to use equity crowdfunding, and how it may be tweaked to create a better investing environment.

June 28, 2017
A Better Approach to Valuing Stocks

In the paper titled “Equity Markets Valuation Using CAPE,” Rémy Estran and Olivier Jéséquel attempt to answer an old and ongoing question among financial participants: “Are stocks undervalued or overvalued?”

June 16, 2017
New Evidence on Whether Gold Mining Stocks Are More Like Gold or Like Stocks

Mark A. Johnson and Douglas J. Lamdin examine the returns of gold mining stocks, gold, and a diversified portfolio of U.S. stocks over a period from 2006 to 2015. They find that the return on gold mining stocks is explained more by the return on gold than by the return on stock, and suggest that gold mining stocks may be viewed as a substitute for gold in a diversified portfolio.

June 16, 2017
Better Benchmarks for your Private Equity Portfolio

In the paper titled “Synthetic Peer Benchmarking for Diversified Private Equity Programs,” Jeroen Cornel of BlackRock wants to help institutional investors who hold diversified portfolios of private equity funds to have a better understanding of their portfolios’ relative performance.