Publications
Book
Active Equity Management provides a comprehensive understanding of technical, fundamental, and economic signals used in equities trading. It explores in detail how such signals may be created, rigorously tested and successfully implemented. Filled with practitioner insights derived from years of experience in the hedge fund industry, and supported with academic theory, Active Equity Management provides an in-depth review of basic financial concepts, examines data sources useful for equities trading, and delves into popular seasonal effects and market indicators. It also highlights best practices in model development, portfolio construction, risk management, and execution. In combining topical thinking with the latest trends, research, and quantitative frameworks, Active Equity Management will help both the novice and the veteran practitioner understand the exciting world of equities trading.
- Covers extensive data sources to build investing information, insight and conviction edges
- Examines seasonal effects, explores economic & market indicators to make better trading decisions
- Addresses technical and fundamental signal construction and testing
- Explains dynamic factor timing strategies, portfolio construction and management
- Reviews standard approaches for trade-level and portfolio-level performance measurement
- Discusses implementation, trading cost analysis and turnover management
Chapter Contributions

Alternative Investments in SWF and Central Bank Portfolios - Jain, Sameer and Acuna, Kenneth

Mezzanine Capital - Jain, Sameer and Myburgh, Phillip
Published Papers
Optimal Number of Active Managers
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
Active Risk in Asset Allocation
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
Considerations in Allocating to Alternative Investments
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
Investor Liquidity in Hedge Funds -- Empirical Analysis of Costs and Benefits
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
Due Diligence Framework for Direct Investing
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
UBS Compendium Alternative Investments Education Series
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
The Case for a Durable Income
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
Alpha Characteristics of Hedge Funds
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
Investing in Distressed Debt
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
Private Equity Strategies
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
What are Hedge Funds?
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
Private Equity Performance Measurement
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
Important Hedge Fund Strategies
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
What is Private Equity?
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
Integrating Hedge Fund Strategies in Sovereign Wealth Portfolios
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
Inside the Black Box
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
Asset Characteristics of Hedge Funds
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
Investing in Private Equity
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
Investing in Developed Country Private Infrastructure Funds
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
Implementing a Hedge Fund Portfolio Part 5
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
Key Contractual Considerations in Private Equity Fund Placements
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
An Introduction to Alternative Investments
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
Alternative Investments Building Blocks: Illiquid Assets
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
Infrastructure Sector Market Review & 2010 Outlook
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
Real Estate Investments: The Case for Asia
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
Investing in Credit Series: Mezzanine Debt
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
Investing in Non-Traded REITs
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
Investing in Private Equity – Capital Commitment Considerations
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
AR Capital Real Estate Outlook – 2013
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
Alternative Investments – Energy
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
Disclaimer
Acknowledgements and Disclaimer: The frameworks, methodologies and concepts outlined here have been developed, based on the practitioner and academic literature, including by the author in the past. They are in all such cases the intellectual property of such sources.
ActiveAllocator is pleased to provide you with information about alternative investments. There are a few points we would like to raise with you at the outset. Many of these articles are available in the public domain and are for educational and informational purposes only. They do not constitute investment advice. Among other things, it does not take into account your personal financial situation, or your investment goals or strategies. You should not construe any information provided here to be an investment recommendation for you to follow. You should contact your Financial Advisor for information or recommendations that may be useful specifically to you. Although all information and opinions expressed in these documents were obtained from sources believed to be reliable and in good faith, no representation or warranty, express or implied, is made as to its accuracy or completeness, and it may not be relied upon as such. Any opinions expressed or information provided in this document is subject to change without notice. Many documents reproduced here are copyright protected.