Publications

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Jain, Sameer and Shahi, Manoj
Active Allocator

Abstract:
In this paper we discuss the rationale for manager diversification within portfolios.

Number of Pages in PDF File: 8

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Jain, Sameer and Shahi, Manoj
Active Allocator

Abstract:
Active risk behaves differently from passive risk. Often investors add active managers to their portfolios on an ad-hoc basis. In this paper we define active risk and highlight challenges and benefits of doing so in a structured manner.

Number of Pages in PDF File: 8

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Jain, Sameer and Shahi, Manoj
Active Allocator

Abstract:
When it comes to allocating to traditional asset classes mean-variance optimization approach is usually satisfactory. However, naively extending this approach does not work when constructing strategic portfolios using alternative asset classes; traditional equity and fixed income blended with hedge funds, managed futures, structured credit strategies, private equity, and real estate.

Number of Pages in PDF File: 8

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Jain, Sameer and Shahi, Manoj
Active Allocator

Abstract:
We examine two closely related questions regarding hedge fund liquidity: (i) Is there a cost associated with enhanced liquidity provisions? (ii) If so, what is the main driver of this cost? To answer these questions, we conducted a series of statistical analyses upon a broad sample of hedge fund returns taken from popular hedge fund databases. The results of our analyses suggest that more liquid funds impose real costs on investors.

Number of Pages in PDF File: 13

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Jain, Sameer
Active Allocator

Abstract:
The capital allocator is in the business of entering into partnerships with fund sponsors to potentially generate significant returns, mainly through long-term capital appreciation, by making, holding and disposing of privately negotiated equity and related investments. A methodical approach to selecting sponsors—which combines scientific rigor with seasoned subjective judgment— may contribute to creating strong results in a variety of economic environments. This paper presents a ‘best practices’ framework for selecting financial sponsors.

Number of Pages in PDF File: 25

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Jain, Sameer
UBS Alternative Investments

Abstract:
This publication is a compendium of Alternative Investment reports authored by Sameer Jain, with a focus on alternative investments, hedge funds and private equity.

Number of Pages in PDF File: 153

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Jain, Sameer
AR Capital

Abstract:
This publication discusses Durable Income from an alternative investments perspective. Traditional fixed income returns are very low and outperforming efficient markets is difficult. It is increasingly hard to ignore emerging fixed income investing risks from unexpected inflation, interest rate and credit spread widening.

Number of Pages in PDF File: 14

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Jain, Sameer and Yongvanich, Andrew and Zhou, Xinfeng
UBS Alternative Investments

Abstract:
Hedge Fund (HF) managers are expected to create excess investment returns (Alpha) through two primary skills based sources: (i) Security selection: buying undervalued securities and selling overvalued securities. (ii) Market timing: entering markets in advance of, or when they are rising and exiting, or shorting them when they are declining. In this paper we employ a Kalman Filtering approach to measure the skills based component of HF returns. We separately quantify value generated through market timing and security selection decisions over various market regimes and detail the characteristics of HF Alpha.

Number of Pages in PDF File: 16

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Jain, Sameer
UBS Alternative Investments

Abstract:
This paper provides a broad framework to understand credit investing, from an alternative investments perspective. It brings a practitioner's perspective, interesting nuanced insights, dispenses with artificial distinctions in integrating private equity and hedge fund formats, touches upon investment considerations such as risk and return drivers, and explains market dynamics. The paper straddles control, non control and trading approaches in an elegant framework and provides good perspective on 'what goes on behind the scenes' in such approaches to investing.

Number of Pages in PDF File: 20

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Jain, Sameer
UBS Alternative Investments

Abstract:
Private equity is an extremely heterogeneous asset class with many sub-sectors. These sub-sectors (e.g. distressed investing, different stages of buyouts and venture capital, mezzanine finance, special situations funds etc.) have very different asset characteristics. This means that each subsector has different performance drivers, which investors need to understand to make informed decisions. This installment of the private equity series highlights the most common private equity sub-sectors and describes their salient characteristics.

Number of Pages in PDF File: 6

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Jain, Sameer
UBS Alternative Investments

Abstract:
This primer is designed to assist investors in furthering their understanding of the hedge fund space. It explains the basics of hedge funds, introduces concepts of credit and market risk arbitrage, explains popular trading strategies and provides examples of arbitrage trades in an easy to understand form. The primer series also explains hedge funds' asset characteristics and provides insights into the manner in which they may be included in investor portfolios. It is intended to serve as an investor's quick guide to hedge fund investing.

Number of Pages in PDF File: 12

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Jain, Sameer
UBS Alternative Investments

Abstract:
While the first three parts of this series provided an overview of the nature, benefits, risks and strategies of private equity investing, this fourth and last installment turns to implementation topics. In particular, we cover various aspects of private equity portfolio construction, as well as performance measurement issues, highlighting how these processes differ from investments in traditional assets.

Number of Pages in PDF File: 7

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Jain, Sameer
UBS Alternative Investments

Abstract:
Hedge fund investment strategies tend to be quite different from the strategies followed by traditional money managers. Moreover, in principle every hedge fund follows its own proprietary strategy. This means that hedge funds are a very heterogeneous group. There are, however, a number of “ideal” types that can be distinguished, comprising broad categories. This paper describes them from first principles.

Number of Pages in PDF File: 11

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Jain, Sameer
UBS Alternative Investments

Abstract:
This primer in 4 parts is designed to assist investors in furthering their understanding of private equity fund investing. It explains the basics of private equity as an asset class, the pros and cons of making such investments, highlights popular sub-sectors and points out salient considerations in portfolio construction and performance measurement. It is intended to serve as a practitioner's quick guide to private equity fund investing.

Number of Pages in PDF File: 5

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Jain, Sameer
Citi Capital Advisors

Abstract:
Sovereign Wealth Funds (SWFs) differ in many ways from other institutional investors in their investment activities. They have different objectives, investment processes, time horizons, risk profiles, utility preferences as well as eligible instruments. One of the more recent debates within these funds revolves around considerations involving investing in hedge funds. Integrating hedge funds into portfolios has been difficult to do in a rigorous manner because the asset allocation technology that is available to many investors is ill equipped to handle the complexities that this asset class presents. Traditional approaches to asset allocation, portfolio construction, risk management and investor governance are quite inadequate for this task. This paper highlights issues that are specific to hedge fund investing and suggests new approaches to portfolio management.

Number of Pages in PDF File: 50

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Jain, Sameer
UBS Alternative Investments

Abstract:
In order to confidently invest in hedge funds, it is useful to open the hedge fund black box and gain an understanding of investment and trading approaches employed by hedge funds managers. This issue lays out the building blocks of hedge fund performance generation. It examines the types of risk that hedge funds seek exposure in search for returns. It also highlights various hedge fund trading techniques.

Number of Pages in PDF File: 12

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Jain, Sameer
UBS Alternative Investments

Abstract:
Hedge funds are considered an alternative asset class, in contrast with traditional investments such as stock and bonds. One of the reasons to view hedge funds in a somewhat different light than “bread and butter” asset classes is the differing asset characteristics that hedge funds exhibit. This installment of the hedge fund series focuses on these performance characteristics, providing insights into returns and correlations, but also drilling into additional distributional aspects such as skewness and kurtosis (fat tails).

Number of Pages in PDF File: 14

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Jain, Sameer
UBS Alternative Investments

Abstract:
The fundamental reason for investing in private equity is to improve the risk and reward characteristics of an investment portfolio. Studies have shown that private equity returns do not correlate closely with returns from other asset classes, such as bonds and in certain cases public equities. Having an allocation to private equity therefore may help smooth out the returns of a balanced portfolio as well as provide additional sources of returns.

Number of Pages in PDF File: 5

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Jain, Sameer
Citi Alternative Investments

Abstract:
Infrastructure investment encompasses multiple sectors, geographies, stages, and investment instruments/ products each with their own risk/return attributes. This broad range makes it a versatile asset permitting its consideration in diverse tailored portfolios. Infrastructure has traditionally been under the purview of governmental bodies. Its importance from a public interest perspective cannot be overstated. For several reasons, there has been globally widespread historical under-investment, resulting in degradation of existing assets with simultaneous failure to add new capacity. As this issue is unlikely to reverse course any time soon, forward thinking countries and government entities have sought to encourage convergence of public and private sector activity. Their aim is to help the creation of economically viable new infrastructure assets and upgrade, properly maintain, manage and operate existing ones. Formal contracting structures through active PPPs supported by recent government initiatives have made progress in encouraging private capital investment in infrastructure. A lot still remains to be done. Despite where they stand in the different stages of the privatization process, the collective market opportunity in developed countries remains substantial. These opportunities are in civil aviation, bridges, roads, mass transit, railways, greenfield and brownfield projects, dams, water, waste management and energy. From an alternative investment perspective, infrastructure assets exhibit different risk and return profiles from other private investments; they can be a source of both alpha as well as a valuable diversification tool in portfolio construction. They provide exposure through both illiquid long-term private vehicles as well as liquid publicly traded funds. This versatility makes them extremely attractive for different investor segments.

Number of Pages in PDF File: 32

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Jain, Sameer
UBS Alternative Investments

Abstract:
Selection of a hedge fund (HF) strategy, or strategies, is highly relevant in determining how a HF portfolio will fare under various financial market environments. Equally important, one can easily argue, is the task of implementing the selected strategy mix by choosing among HF managers in each of the selected strategies and skillfully combining them into robust portfolios. This installment sketches a framework for due diligence for selecting from among competing HFs and touches on aspects of portfolio construction. While financial professionals have specific regulatory diligence requirements, the issues discussed in this paper will also be useful to anyone considering an investment in HFs.

Number of Pages in PDF File: 7

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Jain, Sameer
Citi Alternative Investments

Abstract:
This paper examines the economic intuition that underpins key legal terms commonly found in private equity fund partnership agreements. As a primer, it attempts to encapsulate, in non-legal language, the rationale behind economic points of negotiation, investigate the scope for trade-offs and offer practitioner insights.

Number of Pages in PDF File: 12

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Jain, Sameer
AR Capital

Abstract:
The alternative investments universe generally consists of investments outside of publicly traded real estate, equity and debt. It includes investments ranging from private commercial real estate, hedge funds and managed futures, liquid alternatives to illiquid private equity funds, and real asset and natural resource partnerships. Moreover, the alternative investments industry is rapidly evolving – expanding and increasing its ability to provide durable investment strategies, and therefore is attracting interest from a growing number of individual investors. This paper provides an overview of several examples of alternative investments.

Number of Pages in PDF File: 13

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Jain, Sameer
AR Capital

Abstract:
Alternative asset classes have varying degrees of tradability and structural liquidity. This article outlines illiquidity considerations as well as the pros and cons of investing in illiquid instruments and long dated trading strategies. Investing opportunity sets in inefficient market cycles tend to vary. Often, given market anomalies they come to reside for extended periods of time in less liquid instruments such as in distressed debt, private equity, certain types of loans, or in the securities of firms experiencing turnaround situations. These securities, because they are difficult to price, due to limited market participants, infrequent transactions, complex structures or highly uncertain future performance offer potential for excess returns over the risk free rate. Investors who have the ability to buy and hold these securities may thus stand to profit.

Number of Pages in PDF File: 7

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Jain, Sameer and Stathonikos, Spyro
Citi Capital Advisors

Abstract:
This report provides an update on developments in the economic infrastructure sector during 2009 as well as provides nuanced geographic and sector perspective. The focus is primarily on OECD countries, with ancillary attention to emerging markets. We analyzed 634 transactions that achieved financial closure in 2009 and contrasted them with around 895 transactions in 2008. These 1529 transactions, which collectively constitute around 90% of total market activity over the past two years, gave us 146,784 data points , which we examined on a variety of dimensions including, (i) Geographic focus. We investigated OECD (North America, Western Europe, Australia) transactions and contrasted them with emerging markets (Middle East, Asia Pacific-ex Japan, Eastern Europe, Latin America and the Indian Subcontinent) deals. We segmented the data both at the aggregate and country level and the findings are presented at the global, developed country, emerging markets and, where significant, the country level. (ii) Sector focus. We excluded social infrastructure transactions and concentrated only on economic infrastructure – on Mining & Metals, Oil & Gas, Power, Renewable Energy, Telecom, Transport, Water & Sewage sectors. (iii) Financial focus. We analyzed different transaction types by size, sector, geography and the type of financing employed to unearth trends in debt and equity usage. When appropriate, we also examined the effect of the economic crisis and various stimulus programs on the asset class and include our perspective by way of commentary.

Number of Pages in PDF File: 36

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Jain, Sameer and Thomas, Craig
Citi Alternative Investments

Abstract:
This article makes a case for private equity investing in Asian real estate - India and China. In so doing, it focuses on the drivers of commercial real estate demand as well as the risks associated with such investments.

Number of Pages in PDF File: 13

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Jain, Sameer
UBS Alternative Investments

Abstract:
In this paper we analyze mezzanine capital's investment characteristics; make the distinction between mezzanine capital and high yield debt; explore supply and demand factors that drive pricing; point out similarities and differences in its usage in the U.S. and Europe as well as highlight important investing considerations.

Number of Pages in PDF File: 15

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Jain, Sameer
AR Capital

Abstract:
NTRs typically invest in sector specific real estate programs, targeting stable, fully occupied properties subject to long-term leases to strong credit tenants. They are thus able to generate immediate, durable, rent-driven cash flows from the inception of the investment as capital is deployed without a cash drag. Much like traditional private equity core real estate investing, they aggregate property through acquisitions and build diversified portfolios by tenant, geography, industry and lease duration. They return value from these aggregated portfolios via asset sales, public listings or mergers, usually over a five- to seven-year timeframe.

Number of Pages in PDF File: 5

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Jain, Sameer
UBS Alternative Investments

Abstract:
This paper explores capital commitment and cash-flow management issues in private equity fund investing. It provides a theoretical framework to structure private equity capital commitment issues in a formal manner, and defines variables, inter-relationships, and boundaries in such a way that the problem can be worked upon. The paper’s findings suggest that achieving a targeted level of allocation to private equity is a function of the pace of capital deployment as well as dependent upon the desired amount of targeted exposure. It is also dependent on the spread of realized returns in private equity versus other asset classes, as well as on timing and realization periods for capital already invested.

Number of Pages in PDF File: 7

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Jain, Sameer
AR Capital

Abstract:
The economic stimulus provided by abundant liquidity, low or negative real interest rates, and, in many markets, the rapid and dramatic appreciation of multi -family housing sets the economic backdrop for real estate markets. Against this backdrop, commercial real estate investment markets have fared well, albeit with wide variances by location and property sector type. This paper provides a view on investing opportunities in real estate.

Number of Pages in PDF File: 20

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Jain, Sameer
AR Capital

Abstract:
Investments in energy, particularly oil and gas investments, can serve as a component of a durable income strategy, and thus may warrant an allocation within a diversified investment portfolio.

Number of Pages in PDF File: 4