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Our popular course Introduction to QuantLib Development will be taking place June 18-20th, 2018.


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Central Europe as seen by private equity managers

March 20, 2018 Comments (0)

Deloitte has recently posted the results of its survey of how private equity managers see central Europe. A very concise summary of the findings of the survey is this: the PE industry expects that it will be buying CE assets in the coming months, and that it will be borrowingRead More

Trust But Clarify

March 19, 2018 Comments (0)

By Bill Kelly, CAIA Association CEO What’s going on here? Wasn’t it just a few short weeks ago that the SEC came out with a self-reporting initiative aimed at advisors who essentially fail to disclose lower fee share classes to their client? This amnesty program was put into place toRead More

The Quants, the Algorithms, and the Performance

March 18, 2018 Comments (0)

A new paper by J.B. Heaton, forthcoming in the Journal of Financial Transformation, offers a skeptical view of the algorithmic trading of securities, its actuality and its potential. Heaton is a lawyer (admitted to the bars of both Illinois and New York) and has a Ph.D. in finance, University ofRead More

Reducing Dependence on (L)IBOR

March 15, 2018 Comments (0)

A creation of the mid-1980s, the London Interbank Offered rate (LIBOR) became immensely influential over the three decades that followed. It became a reference rate for both finance and commerce for the rate of nearly risk-free interest, and in the process it spawned other IBORs, including EURIBOR and Japan’s TIBOR.Read More

SCOTUS Decision Regarding Distressed Assets, Safe Harbors & Clawbacks

March 13, 2018 Comments (0)

The U.S. Supreme Court decision in Merit Management v. FTI Consulting may prove important to distressed asset managers, who need to know when defendants can assert the protection of the “safe harbor” provision of federal bankruptcy law, thus avoiding clawbacks. Section 546(e) of the statute says that a debtor mayRead More

Does Strong Economic Growth Equate to High Factor Returns?

March 12, 2018 Comments (0)

By Nicolas Rabener, CAIA, Factor Research EQUITY FACTORS & REAL GDP GROWTH Summary: Economic cycles have a clear impact on factor performance Some factors show pro-cyclical while others highlight anti-cyclical characteristics Given that real GDP is not published in real-time, it is unlikely effective for factor selection INTRODUCTION Financial commentators frequentlyRead More

Irrational Dissonance

March 12, 2018 Comments (0)

By Bill Kelly, CEO, CAIA Association Friday was March 9 and not a lot of discussion was had about the infamy of this date going all the way back to 2009. For the few in the market who have maintained some level of perspective, analysis and a concept of whatRead More

The Tipping Point for Alternative Data

March 11, 2018 Comments (0)

The Deloitte Center for Financial Services has put out a white paper on “Alternative data for investment decisions.” The term “alternative data” as Deloitte uses it refers to any set or sets of data that may be useful for investors but that is outside their traditional/conventional frame of reference.  InRead More

Preqin on the PE Outlook

March 8, 2018 Comments (0)

Preqin has issued a report on the near term outlook for private equity based on a recent (November 2017) survey of more than 350 PE firms around the globe. Asked what is the biggest challenge facing them in the coming months, the most common response was: high company valuations. TheRead More

Robeco Researcher on Factor Premiums and ETFs

March 6, 2018 Comments (0)

David Blitz has recently discussed the concern in some quarters that factor premiums may disappear as they are arbitraged away by exchange-traded funds. Blitz, the head of quantitative equity research at Robeco Asset Management, says that such a concern is not justified, because “the exposures of ETFs that may beRead More