DOCSLIB.ORG

The Many Shapes & Colours of Equity Hedge Fund Strategies

Total Page：16

File Type：pdf, Size：1020Kb

Download full-text PDF Read full-text

Load more

December 2017 PROMOTION. FOR INVESTMENT PROFESSIONALS ONLY. NOT FOR PUBLIC DISTRIBUTION Equity Indices at all time highs - Volatility at lows Where to hide in a turning tide? The Big Short Question Challenges, Opportunities and Ethics of Shorting Stocks Hedge Fund 2.0 A daring Glimpse at the Future of the Hedge Fund Space The Many Shapes & Colours of Equity Hedge Fund Strategies www.hedgenordic.com - December 2017 www.hedgenordic.com - December 2017 PROMOTION. FOR INVESTMENT PROFESSIONALS ONLY. NOT FOR PUBLIC DISTRIBUTION Contents INTRODUCTION HedgeNordic is the leading media covering the Nordic alternati ve DECARBONISATION: A NOVEL APPROACH CONVICTION, GUTS AND HOME-BIASED AND MARKET NEUTRAL investment and hedge fund universe. STAMINA HOW SWEDISH ALLOCATORS EYE EQUITY HEDGE FUNDS The website brings daily news, research, analysis and background that is relevant to Nordic hedge fund professionals from the sell and buy side from all ti ers. HedgeNordic publishes monthly, quarterly and annual reports on recent developments in her core market as well as special, indepth reports on “hot topics”. HedgeNordic also calculates and publishes the Nordic Hedge Index (NHX) and is host to the Nordic Hedge Award and organizes round tables and seminars. 23 20 33 CAPTURING THE GLOBAL ETHICS OF SHORTING ROOTED IN ALLIANZ OPTION STRATEGIES MIFID II & LIQUIDITY: PERFECT EMERGING MARKET EQUITIES - MACRO FACTOR PREMIA CAPITALISM AND DEMOCRACY HARVESTING VOLATILITY IN A STORM OR STORM IN A TEACUP? KEEPING IT IN THE FAMILY CALM SEA. HedgeNordic Project Team: Aline Reichenberg Gustafsson, CFA, Glenn Leaper, Pirkko Juntunen, Jonathan Furelid, Magnus Kovacec, CFA, Kamran Ghalitschi, Jonas Wäingelin, Hamlin Lovell 63 37 13 48 30 Publisher: Nordic Business Media AB BOX 7285 FROM RESOLUTE ASIA PACIFIC ALTERNATIVE RISK The Editor – The green, big short MiFID II & Liquidity: Perfect SE-103 89 Stockholm, Sweden Decarbonisati on:A novel approach STOCK-PICKERS: “DÉJÀ VU IN Y2K!” PREMIA: A HEDGE FUND 04 Future of Hedge Funds 23 48 Storm or Storm in a Teacup? Corporate Number: 556838-6170 ALTERNATIVE? VAT Number: SE-556838617001 Hard Earned Fika for Low-Carbon Indices 101 Seeking alpha in a changing World 05 Nordic Equity Funds 27 51 Direct: +46 (0) 8 5333 8688 Mobile: +46 (0) 706566688 Change and Conti nuity: Emerging Market Equiti es - Alternati ve risk premia: email: [email protected] How Nordic Pension Funds 30 Keeping it in the Family 55 a hedge fund alternati ve? www.hedgenordic.com 10 Invest in Equity Home-biased and market neutral Decoding AI’s Role in 17 Allianz Opti on Strategies How Swedish allocators Financial Services Picture Index: Ase---shutt erstock.com, Francesco 33 59 Scatena---shutt erstock.com, Jirsak---shutt erstock. 13 Harvesti ng Volati lity in a Calm Sea. eye equity hedge funds com, Semisatch---shutt erstock.com, vangelis Capturing theGlobal Macro SEEKING ALPHA IN A aragiannis---shutt erstock.com, aaltair---shutt erstock. A True Long/Short Ethics of Shorti ng 63 Factor Premia CHANGING WORLD com, Giordano Aita---shutt erstock.com, Guryanov- Equity in Healthcare Rooted in Capitalism and Democracy Andrey---shutt erstock.com, Inked Pixels---shutt erstock. 15 37 com, Jirsak---shutt erstock.com, ©-fl yfi sher---Fotolia. com, LALS-STOCK---shutt erstock.com, Paolo-Bona- From Resolute Asia Pacifi c Why Underperforming Stock Pickers --shutt erstock.com, CatchaSnap---shutt erstock. Stock-Pickers: “Déjà vu in Y2K!” are Betti ng on De-Correlati on com, Olga_i---shutt erstock.com, PsychoShadow- 17 41 --shutt erstock.com, Fotolia_13078181, isak55— shutt erstock.com, Creati va---shutt erstock.com, Convicti on, Guts and Stamina What happened to the Whizz kids Lightspring---shutt erstock.com, nvelichko--- A Short Manager’s Journey aft er the global fi nancial crisis shutt erstock.com, Piotr Krzeslak---shutt erstock.com, 20 45 Michal Durinik---shutt erstock.com, Tashatuvango- PAGE 55 51 --shutt erstock.com, Tom Wang---shutt erstock. PAGE com, Zastolskiy-Victor---shutt erstock.com, Durch 1 Alansti x64---shutt erstock.com 2 www.hedgenordic.com - December 2017 The Editor on... The green, big short Future of Hedge Funds Like a stubborn, powerful locomotive, equity markets as natural a concept as going long. If you can go upstairs, are climbing from high to higher highs, barely stopping you should also be able to go downstairs. After all the for a brief moment. While there is some dispersion saying “buy low, sell high”, does not necessarily dictate coming in, volatility on an index level is hovering at an order in which these actions should take place. For historic lows. Beating Beta, and the chase for alpha outsiders, this is one of the hardest concepts to grasp. pockets, and managers positioned to be able to extract those opportunities of excess returns are becoming The end of the year also marks a point to sit down and more sought after. In the last special report of the look back at the past months and events, and also attempt Seasons Greetings ... year, HedgeNordic is putting a focus on those trading to look ahead. In this addition of our special report we strategies predominantly navigation equity markets. want to take this a step further, and discussed with some market participants of where and Happy Trading in 2018! Equity strategies, be it trading they thought the hedge fund stocks, equity indices or industry was heading. There are derivatives are by far the “Buy low, sell high”, still big regulatory waves that most wide spread segment of does not nesseraily are influencing the space, buzz Facts & Figures on NHX Equity SUB INDEX the hedge fund space. The words like big data, artificial strategies managers apply to dictate an order in intelligence, machine learning are find and extract alpha from the commonly heard when in talks markets are manifold, the clean which these actions with managers, some fintech cuts being a long only (or long players are moving and shaking biased) and a dedicated short should take place.” the space. 23.2% / (-14.6%) bias approach. on the other end of the spectrum. From A third focus point which will be Best (Worst) Calendar Year for NHX Equity equity arbitrage, market neutral, systematic traders or playing a far stronger part in our editorial coverage and discretionary stock pickers, activist managers, those trading research over the coming years lies on Socially Responsible large caps, or only micro caps and the enormous spread in Investments (SRI) and ESG. These aspects of the financial the middle. Managers could focus on certain geographies industry will not go away and in contrast, thankfully, play -17% / 18 Months or industries, be event driven, looking at a vast number of an ever increasing role also in alternative investments. Do Depth and length of largest NHX Equity Sub different types of events...I could go on here and would visit our sister site, NordSIP.com on this topic, too! still be doing little more than scratching the surface of the Index Draw Down (07/07 - 11/09) many shapes and colours equity funds appear in. Thank you for having HedgeNordic and her publications on your screens, minds and agendas. Whishing you very Next to the general broad theme, there are two special happy holidays, Hohoho! topics we took a closer look at, the first being the 55 challenges, opportunities and ethics of shorting stock, the CONSTITUENTS TO NHX Equity SUB-INDEX other, more daring, a look into the future of the hedge fund industry. Kamran G. Ghalitschi CEO / Publisher HedgeNordic For those of us who work with hedge funds, going short is PAGE 4 www.hedgenordic.com - December 2017 www.hedgenordic.com - December 2017 The NHX Equities Index, an equally-weighted sub-index short sales of stock, stock indices, related derivatives, or of the NHX Composite, tracks the performance of Nordic- other financial instruments related to equity markets - has based hedge funds that predominantly invest in equities delivered a cumulative return of 24.3%, which equates to HARD EARNED and equity-related derivative securities. The NHX an annualized return of merely 2.5%. Additionally, Nordic- Equities includes funds that employ both quantitative based equity funds delivered higher returns at lower and fundamental techniques; their strategies can be volatility levels. For instance, the annualized standard broadly diversified or narrowly focused on certain deviation of the monthly returns delivered by the NHX FIKA FOR NORDIC sectors or geographies, and can range significantly in Equities equals 4.8%, whereas the annualized standard terms of net exposure, leverage, holding periods, as well deviation for the HFRX index totals 6.2%. as concentrations of market capitalizations. Nordic-based equity hedge funds outstripped their Equity-focused funds account for slightly more than international peers each year since 2009, save for 2010. EQUITY FUNDS one-third of the overall NHX universe, with 37 of the 55 However, Nordic equity fund managers are on course to Nordic equity funds being based Sweden. The NHX family suffer the worst annual result since 2011 and are lagging also comprises 13 Norwegian equity funds, four Finnish, international fund managers this year, predominantly as well as one Danish equity hedge fund. reflecting a recovery on the part of international players. Nordic equity hedge funds have outperformed international When comparing Nordic managers against international peers by a wide margin since the beginning of 2009. For peers, one can easily notice the good downside protection by Eugeniu Guzun – HedgeNordic instance, the NHX Equities Index has generated a cumulative offered by Nordic-based equity strategies. For instance, return of 90.4% since December 2008 through the end of the NHX Equities Index lost 5.6% in 2011, whereas the October of this year, corresponding to an annualized return HFRX Equity Hedge Index dropped by an alarming 19.1%. of 7.6%. Meanwhile, the HFRX Equity Hedge Index - an The outperformance may be explained by differences in index that tracks the performance of various equity hedge the compositions of the two indices.
Recommended publications
  • Non-Independent Investment Research Disclaimer

    Non-Independent Investment Research Disclaimer

    CONTENT 03 2020 theme – Engines of Disruption 04 Chips go cold in AI winter 05 Stagflation rewards value over growth 06 ECB folds and hikes rates 07 In energy, green is not the new black 08 South Africa gets electrocuted by ESKOM debt 09 Trump announces America First Tax 10 Sweden breaks bad 11 Dems win clean sweep in 2020 election 12 Hungary leaves the EU 13 Asia launches digital reserve currency 2020 rent at twice the price of owning and maybe even slightly normalise viewed as plain fun, the principles Outrageous Predictions 2020 – a tax on the poor if ever there rates, while governments step into behind the Outrageous Predictions was one, and a driver of inequality. the breach with infrastructure and resonate very strongly with our This risks leaving an entire climate policy-linked spending. clients and the Saxo Group. Not - Engines of Disruption generation without the savings just in terms of what could happen STEEN JAKOBSEN, CHIEF INVESTMENT OFFICER needed to own their own house, The list of Outrageous Predictions to the portfolios and wealth typically the only major asset that this year all play to the theme of allocation, but also as an input to many medium- and lower-income disruption, because our current our respective areas of business, households will ever obtain. Thus paradigm is simply at the end of careers and life in general. Looking into the future is something of a fool’s game, but it remains a Already, there are a number of we are denying the very economic the road. Not because we want it to This is the spirit of Outrageous useful exercise — helping prepare for what lies ahead by considering cracks in the system that show mechanism that made the older end, but simply because extending Predictions: to create the very the full possible range of economic and political outcomes.
  • Final Exam Review History of Science 150

    Final Exam Review History of Science 150

    Final Exam Review History of Science 150 1. Format of the Exam 90 minutes, on canvas 12:25pm December 18. You are welcome to bring notes to the exam, so you could start by filling out this sheet with notes from lectures and the readings! Like the mid-term, the final exam will have two kinds of questions. 1) Multiple choice questions examining your knowledge of key concepts, terms, historical developments, and contexts 2) Short answer questions in which ask you to draw on things you’ve learned in the course (from lecture, readings, videos) to craft a short argument in a brief essay expressing your informed issue on a historical question 2. Sample Questions Multiple Choice: Mina Rees was involved in (and wrote about) which of the following computing projects? A) Silicon Valley start-ups in the dot-com period B) Charles Babbage’s Difference Engine C) Works Projects Administration Tables Project D) Federal funding for computing research after WWII Short Answer: (Your answers should be between 100-200 words, and keep to specifics (events, machines, developments, people) that demonstrate your knowledge of materials covered from the course) A) What are two historical factors important to the development of Silicon Valley’s technology industry after World War II? B) In what ways did the field of programming change (in terms of its status and workers) between World War II and the late 1960s? 3. Topics to Review: Below, is a list of ideas to review for the final exam, which covers material through the entire course. You should review in particular, lecture notes, O’Mara’s The Code and other course readings provided on Canvas.
  • Volcker Rule Compliance, I Strongly Oppose the Agencies’ Proposal Because It Streamlines the Wrong Priorities of §619 of the Dodd-Frank Volcker Rule (The Rule)

    Volcker Rule Compliance, I Strongly Oppose the Agencies’ Proposal Because It Streamlines the Wrong Priorities of §619 of the Dodd-Frank Volcker Rule (The Rule)

    BIG DATA | BIG PICTURE | BIG OPPORTUNITIES We see big to continuously boil down the essential improvements until you achieve sustainable growth! 617.237.6111 [email protected] databoiler.com October 16, 2018 Attention to: Ms. Ann E. Misback, Secretary, Board of Governors of the Federal Reserve System (FED) Mr. Brent J. Fields, Secretary, Securities and Exchange Commission (SEC) Mr. Christopher Kirkpatrick, Secretary, Commodity Futures Trading Commission (CFTC) Mr. Robert E. Feldman, Executive Secretary, Federal Deposit Insurance Corporation (FDIC) Legislative and Regulatory Activities Division, Office of the Comptroller of the Currency (OCC) Email: [email protected]; [email protected]; [email protected]; [email protected] Subject: Restrictions on Proprietary Trading and Certain Interests in, and Relationships with, Hedge Funds and Private Equity Funds Agency Docket No./ File No. RIN DEPARTMENT OF TREASURY - OCC OCC-2018-0010 1557-AE27 FED R-1608 7100-AF 06 FDIC 3064-AE67 SEC S7-14-18 3235-AM10 CFTC 3038-AE72 On behalf of Data Boiler Technologies, I am pleased to provide the FED, SEC, CFTC, FDIC, and OCC (collectively, the “Agencies”) with comments regarding the proposal to revise section 13 of the Bank Holding Company Act (a.k.a. Volcker Revision).1 As a former banker and currently an entrepreneurial inventor of a suite of patent pending solutions for Volcker Rule compliance, I strongly oppose the Agencies’ proposal because it streamlines the wrong priorities of §619 of the Dodd-Frank Volcker Rule (the
  • Understanding Private Equity in the Healthcare Market June 2019 Table of Contents

    Understanding Private Equity in the Healthcare Market June 2019 Table of Contents

    UNDERSTANDING PRIVATE EQUITY IN THE HEALTHCARE MARKET JUNE 2019 TABLE OF CONTENTS SECTION PAGE I. BCA Introduction 1 II. Healthcare Market Dynamics 8 III. What is Private Equity? 13 IV. What is a Recapitalization? 17 V. Appendix 20 I. BCA INTRODUCTION BCA IS ONE OF THE LARGEST HEALTHCARE BOUTIQUE INVESTMENT BANKS KEY FACTS 19 $6.4 billion 1 PARTNER-OWNED Total Investment Bankers Total Transaction Value 90% 10.9x 2 RELATIONSHIP-DRIVEN Closure Rate Avg. EBITDA Mult. For Healthcare Services Deals Closed in 2018 3 HEALTHCARE-FOCUSED 100 $85 million Total Transactions Closed Average Transaction Size 4 RESULTS-ORIENTED RELEVANT HEALTHCARE SERVICES TRANSACTIONS Recapitalization Sell-Side Recapitalization Recapitalization Recapitalization RecapitalizationSell-Side Recapitalization Recapitalization Recapitalization Recapitalization Recapitalization Recapitalization Recapitalization Recapitalization Led By Led By Led By Sell-Side Advisory Recapitalization Recapitalization Sell-Side Advisory Led by Led by Led by Led By to Led by Led By to UnitrancheRecapitalization Debt RecapitalizationGrowth Equity RecapitalizationSell-Side Buy Side Recapitalization Sell-Side Recapitalization Recapitalization Recapitalization Recapitalization Acquired Recapitalization Debt-Private placement Equity Investment Sell-Side Advisory Recapitalization Led By Led By Led By Sell-Side Advisory Led by Led by Led By to Led by to $113,000,000 1 OUR HEALTHCARE INVESTMENT BANKING TEAM EXTENSIVE INDUSTRY KNOWLEDGE & EXPERIENCED INVESTMENT BANKERS 2 3 DEEP BENCH 1 TRANSACTION EXPERIENCE
  • Capital Markets

    Capital Markets

    U.S. DEPARTMENT OF THE TREASURY A Financial System That Creates Economic Opportunities Capital Markets OCTOBER 2017 U.S. DEPARTMENT OF THE TREASURY A Financial System That Creates Economic Opportunities Capital Markets Report to President Donald J. Trump Executive Order 13772 on Core Principles for Regulating the United States Financial System Steven T. Mnuchin Secretary Craig S. Phillips Counselor to the Secretary Staff Acknowledgments Secretary Mnuchin and Counselor Phillips would like to thank Treasury staff members for their contributions to this report. The staff’s work on the report was led by Brian Smith and Amyn Moolji, and included contributions from Chloe Cabot, John Dolan, Rebekah Goshorn, Alexander Jackson, W. Moses Kim, John McGrail, Mark Nelson, Peter Nickoloff, Bill Pelton, Fred Pietrangeli, Frank Ragusa, Jessica Renier, Lori Santamorena, Christopher Siderys, James Sonne, Nicholas Steele, Mark Uyeda, and Darren Vieira. iii A Financial System That Creates Economic Opportunities • Capital Markets Table of Contents Executive Summary 1 Introduction 3 Scope of This Report 3 Review of the Process for This Report 4 The U.S. Capital Markets 4 Summary of Issues and Recommendations 6 Capital Markets Overview 11 Introduction 13 Key Asset Classes 13 Key Regulators 18 Access to Capital 19 Overview and Regulatory Landscape 21 Issues and Recommendations 25 Equity Market Structure 47 Overview and Regulatory Landscape 49 Issues and Recommendations 59 The Treasury Market 69 Overview and Regulatory Landscape 71 Issues and Recommendations 79
  • A Current Guide to Direct Listings

    A Current Guide to Direct Listings

    January 8, 2021 A CURRENT GUIDE TO DIRECT LISTINGS To Our Clients and Friends: Over the course of December 2019, Gibson Dunn published its “Current Guide to Direct Listings” and “An Interim Update on Direct Listing Rules” discussing, among other things, the direct listing as an evolving pathway to the public capital markets and the U.S. Securities and Exchange Commission’s (SEC) rejection of a proposal by the New York Stock Exchange (NYSE) to permit a privately held company to conduct a direct listing in connection with a primary offering, respectively. The NYSE continued to revise its proposal in consultation with the SEC and, on August 26, 2020, the SEC approved an amendment to the NYSE’s proposal that will permit primary offerings in connection with direct listings. The August 26 order, which would have become effective 30 days after being published in the Federal Register, was stayed by the SEC on September 1, 2020 in response to a notice from the Council of Institutional Investors (CII) that it intended to file a petition for the SEC to review the SEC’s approval. On December 22, 2020, the SEC issued its final approval of the NYSE’s proposed rules. Consequently, Gibson Dunn has updated and republished its Current Guide to Direct Listings to reflect today’s landscape, including an overview of certain issues to monitor as direct listing practice evolves included as Appendix I hereto. Direct Listings: An evolving pathway to the public capital markets. Direct listings have increasingly been gaining attention as a means for a private company to go public.
  • The Capital Markets Industry the Times They Are A-Changin’

    The Capital Markets Industry the Times They Are A-Changin’

    THE CAPITAL MARKETS INDUSTRY THE TIMES THEY ARE A-CHANGIN’ EXECUTIVE SUMMARY The past five years have seen unprecedented The success of market participants will depend change in global capital markets. Buy-side on how well they position themselves to and sell-side participants, custodians, market respond to these challenges. They will need infrastructure and financial technology to retain the flexibility to deal with ongoing providers have all had to reassess their uncertainty but also identify their role in strategies, business models and risk the medium-term. In this paper, we pose frameworks. Today we find ourselves at a three questions. critical juncture. A new structure for the capital markets industry is emerging, however a great Addressing these questions will be critical for deal of uncertainty remains. all capital markets participants. 1. Where will opportunities be created Regulation continues to drive much of and lost? the change. The move towards greater transparency, less leverage and improved 2. What risks are emerging? governance is broadly welcomed across the 3. Who is positioned to meet the industry’s industry. However, while some regulations wide-ranging needs in 2020 and beyond? have been chewed and digested, in many places policy and regulatory requirements are still moving targets. Where will opportunities be created and lost? On top of regulation, shifting investor demands, rapid evolution in and increased Market and regulatory forces are reshaping dependence on technology, emergence of new the industry. Economic pressure, constrained risks and ever more interconnectedness are financial resources, greater scrutiny of all substantially affecting the capital markets conduct and conflicts, evolving client needs, value chain.
  • Futures Market Opening Up

    Futures Market Opening Up

    CHINA DAILY HONG KONG EDITION Friday, July 6, 2018 Markets | BUSINESS 21 Futures market opening up UK’s Winton Group to develop onshore ry environment improves, the firm’s Chinese business investment products within 2 months will have the biggest upside globally. By CAI XIAO in dominance, while some We are going to Man Group launched its and ZHOU LANXU other markets, such as egg, first onshore fund called AHL are unique. launch a futures China CTA in December, London-based hedge fund Yang said Winton Group focusing initially on listed manager Winton Group Ltd has a strong, long-term com- fund product in futures, including agricultur- said it will launch a futures mitment to the Chinese mar- al commodities, industrial fund in China within two ket and will seize the China within one commodities, bonds, metals, months, reflecting its opti- opportunity brought about or two months ...” and energy and stock indices. mism about the nation’s asset by the further opening-up of The company registered its management market. the country’s financial sec- Yang Min, CEO of Winton China second onshore fund in May, Winton has just successful- tor. focusing on the Chinese ly registered as a private secu- The onshore fund will use a A-share market. rities investment fund diversified trading strategy bear our international and Deng Haiqing, visiting manager with the Asset Man- based on data collection and local experience for the bene- finance professor at Renmin agement Association of Chi- analysis. The target clients fit of our Chinese clients.” University of China, said with Visitors check out services of Liepin, an online job search company listed in Hong Kong, at the compa- na, which will enable it to include Chinese banks, third- A Deloitte report showed more foreign asset manage- ny’s booth during a high-tech exhibition in Beijing.
  • L-G-0004000262-0009040441.Pdf

    L-G-0004000262-0009040441.Pdf

    XVA: Credit, Funding and Capital Valuation Adjustments For other titles in the Wiley Finance series please see www.wiley.com/finance XVA: Credit, Funding and Capital Valuation Adjustments ANDREW GREEN This edition first published 2016 © 2016 John Wiley & Sons Ltd Registered office John Wiley & Sons Ltd, The Atrium, Southern Gate, Chichester, West Sussex, PO19 8SQ, United Kingdom For details of our global editorial offices, for customer services and for information about how to apply for permission to reuse the copyright material in this book please see our website at www.wiley.com. All rights reserved. No part of this publication may be reproduced, stored in a retrieval system, or transmitted, in any form or by any means, electronic, mechanical, photocopying, recording or otherwise, except as permitted by the UK Copyright, Designs and Patents Act 1988, without the prior permission of the publisher. Wiley publishes in a variety of print and electronic formats and by print-on-demand. Some material included with standard print versions of this book may not be included in e-books or in print-on-demand. If this book refers to media such as a CD or DVD that is not included in the version you purchased, you may download this material at http://booksupport.wiley.com. For more information about Wiley products, visit www.wiley.com. Designations used by companies to distinguish their products are often claimed as trademarks. All brand names and product names used in this book are trade names, service marks, trademarks or registered trademarks of their respective owners. The publisher is not associated with any product or vendor mentioned in this book.
  • Global-Bibliography.Pdf

    Global-Bibliography.Pdf

    Bibliography The following abbreviations are used for frequently cited conferences and journals: AAAI Proceedings of the AAAI Conference on Artificial Intelligence AAMAS Proceedings of the International Conference on Autonomous Agents and Multi-agent Systems ACL Proceedings of the Annual Meeting of the Association for Computational Linguistics AIJ Artificial Intelligence (Journal) AIMag AI Magazine AIPS Proceedings of the International Conference on AI Planning Systems AISTATS Proceedings of the International Conference on Artificial Intelligence and Statistics BBS Behavioral and Brain Sciences CACM Communications of the Association for Computing Machinery COGSCI Proceedings of the Annual Conference of the Cognitive Science Society COLING Proceedings of the International Conference on Computational Linguistics COLT Proceedings of the Annual ACM Workshop on Computational Learning Theory CP Proceedings of the International Conference on Principles and Practice of Constraint Programming CVPR Proceedings of the IEEE Conference on Computer Vision and Pattern Recognition EC Proceedings of the ACM Conference on Electronic Commerce ECAI Proceedings of the European Conference on Artificial Intelligence ECCV Proceedings of the European Conference on Computer Vision ECML Proceedings of the The European Conference on Machine Learning ECP Proceedings of the European Conference on Planning EMNLP Proceedings of the Conference on Empirical Methods in Natural Language Processing FGCS Proceedings of the International Conference on Fifth Generation Computer
  • Consistent XVA Metrics Part I: Single-Currency

    Consistent XVA Metrics Part I: Single-Currency

    Consistent XVA Metrics Part I: Single-currency May 10, 2017 Quantitative Analytics Bloomberg L.P. Abstract We present a consistent framework for computing shareholder and firm values of derivative portfo- lios in the presence of collateral, counterparty risk and funding costs in a single currency economy with stochastic interest rates and spot assets with local volatility. The follow-up paper Kjaer [12] extends this setup to a multi-currency economy and the resulting valuation adjustments have been implemented in the forthcoming Bloomberg MARS XVA product. Keywords. Shareholder and firm values, Valuation adjustments, counterparty risk, collateral, CSA discounting, Bloomberg MARS XVA. DISCLAIMER Notwithstanding anything in this document entitled \Consistent XVA Metrics Part I: Single-currency" (\Documentation") to the contrary, the information included in this Documentation is for informational and evaluation purposes only and is made available \as is". Bloomberg Finance L.P. and/or its affiliates (as applicable, \Bloomberg") makes no guarantee as to the adequacy, correctness or completeness of, or make any representation or warranty (whether express or implied) with respect to this Documentation. No representation is made as to the reasonableness of the assumptions made within or the accuracy or completeness of any modelling or backtesting. It is your responsibility to determine and ensure compliance with your regulatory requirements and obligations. To the maximum extent permitted by law, Bloomberg shall not be responsible for or have any liability for any injuries or damages arising out of or in connection with this Documentation. The BLOOMBERG TERMINAL service and Bloomberg data products (the \Services") are owned and distributed by Bloomberg Finance L.P.
  • FT PARTNERS RESEARCH 2 Fintech Meets Alternative Investments

    FT PARTNERS RESEARCH 2 Fintech Meets Alternative Investments

    FT PARTNERS FINTECH INDUSTRY RESEARCH Alternative Investments FinTech Meets Alternative Investments Innovation in a Burgeoning Asset Class March 2020 DRAFT ©2020 FinTech Meets Alternative Investments Alternative Investments FT Partners | Focused Exclusively on FinTech FT Partners’ Advisory Capabilities FT Partners’ FinTech Industry Research Private Capital Debt & Raising Equity Sell-Side / In-Depth Industry Capital Buy-Side Markets M&A Research Reports Advisory Capital Strategic Structuring / Consortium Efficiency Proprietary FinTech Building Advisory FT Services FINTECH Infographics Partners RESEARCH & Board of INSIGHTS Anti-Raid Advisory Directors / Advisory / Monthly FinTech Special Shareholder Committee Rights Plans Market Analysis Advisory Sell-Side Valuations / LBO Fairness FinTech M&A / Financing Advisory Opinion for M&A Restructuring Transaction Profiles and Divestitures Named Silicon Valley’s #1 FinTech Banker Ranked #1 Most Influential Person in all of Numerous Awards for Transaction (2016) and ranked #2 Overall by The FinTech in Institutional Investors “FinTech Excellence including Information Finance 40” “Deal of the Decade” • Financial Technology Partners ("FT Partners") was founded in 2001 and is the only investment banking firm focused exclusively on FinTech • FT Partners regularly publishes research highlighting the most important transactions, trends and insights impacting the global Financial Technology landscape. Our unique insight into FinTech is a direct result of executing hundreds of transactions in the sector combined with over 18 years of exclusive focus on Financial Technology FT PARTNERS RESEARCH 2 FinTech Meets Alternative Investments I. Executive Summary 5 II. Industry Overview and The Rise of Alternative Investments 8 i. An Introduction to Alternative Investments 9 ii. Trends Within the Alternative Investment Industry 23 III. Executive Interviews 53 IV.