CS/Tremont Hedge Fund Index Performance Review
|
|
- Rosalyn Atkins
- 5 years ago
- Views:
Transcription
1 In fact, the S&P500 volatility 1 on average was 2.58x that of the HFI s. Using over fifteen years of data, we found that S&P500 s volatility to be on average 2.5x that of the HFI s. II. ANALYSIS The Beryl Consulting Group LLC October 9, 2009 By: Rich Wenzel Abstract In this paper, we analyze hedge fund and equity index performance from 1994 until August We determine that the HFI volatility is significantly lower than equity index volatility. This is the second in a series of papers that analyzes the value of investing in hedge funds from return/risk and diversification benefits. Data & Return Calculations We used monthly return data to calculate two-year returns and volatility. The data starts from January 1994 and ends with August 2009 for one-hundredeighty-eight months of returns. Since we are using twenty-four months for each return and volatility calculation, we have one-hundred-sixty-five data points. The HFI has thirteen strategy sub indices. We have included some data on these indices and our abbreviations for our tables are as follows: Strategy Type Abbreviation I. INTRODUCTION Overview One of the basic tenets of finance is when investing the more risk taken, the more return required. This paper will look at the returns of the CS/Tremont Hedge Fund Index and compare them to the returns of the S&P500. This paper is a follow up to a previous paper that can be found here: Convertible Arbitrage Dedicated Short Bias Emerging Markets Equity Market Neutral Event Driven Event Driven Distressed Event Driven Multi-Strategy Event Driven Risk Arbitrage Fixed Income Arbitrage Global Macro CA DSB EM EMN ED EDD EDMS EDRA FIA GM In the previous paper, we concluded that from 2002 to mid 2009 hedge funds had outperformed three equity indices in terms of return/risk ratios. The return/risk differential stemmed primarily from significantly lower volatility. Long/Shorty Equity Managed Futures Multi-Strategy LSE MF MS 1 In this case volatility is defined as the standard deviation of twenty-four one month returns annualized by multiplying by the square root of twelve. BerylConsulting.com Page 1
2 Aug-96 Apr-97 Dec-97 Aug-98 Apr-99 Dec-99 Apr-01 Dec-01 Aug-02 Apr-03 Dec-03 Aug-04 Dec-05 Aug-06 Apr-07 Dec-07 Aug-08 Apr-09 Volatility Volatility Performance Review HFI volatility ever higher than the S&P 500 volatility. What we can see in Figure 1 is that HFI s highest observed twenty-four period volatility is lower than the average S&P500 volatility. In addition, all the individual strategies also had lower volatility than the S&P500 with the exception of the Dedicated Short Bias strategy. The average S&P500 volatility was almost exactly 2x that of the HFI s.. As seen in Figure 2, only in 1995 and 1996 was the Figure 1 Average 13.84% 6.87% 4.90% 16.88% 13.51% 4.11% 5.18% 5.65% Median 15.16% 7.97% 4.15% 15.78% 12.98% 2.13% 4.04% 4.79% Std Dev 4.85% 3.17% 3.04% 3.88% 6.16% 6.44% 2.53% 2.64% Max 23.07% 12.40% 16.47% 24.85% 26.32% 29.44% 10.72% 11.22% Min 6.43% 2.40% 1.31% 9.88% 5.85% 1.38% 2.58% 2.48% Average 5.69% 3.95% 3.89% 8.86% 9.03% 12.08% 4.11% Median 4.70% 3.74% 2.68% 9.27% 7.37% 11.96% 3.68% Std Dev 2.62% 1.48% 3.01% 5.22% 4.32% 1.59% 1.82% Max 11.57% 7.25% 13.93% 17.98% 19.12% 15.49% 10.28% Min 2.40% 2.18% 0.91% 2.80% 3.49% 7.29% 2.19% Figure 2 25% 20% S&P 500 and HFI Volatility 15% 10% 5% 0% S&P500 HFI BerylConsulting.com Page 2
3 Jul-96 Feb-97 Sep-97 Apr-98 Nov-98 Jun-99 Jan-00 Mar-01 Oct-01 May-02 Dec-02 Jul-03 Feb-04 Sep-04 Nov-05 Jun-06 Jan-07 Aug-07 Mar-08 Oct-08 May-09 Basis Points Return Performance Review Figure 3 lists the two-year-return statistics. On average the HFI had a higher return than the S&P500, however it is not statistically significant. bubble. Post the bubble, the HFI fairly consistently had higher returns. In Figure 4, we see that the S&P500 had higher returns than the HFI mostly prior to the internet Figure 3 Average 17.29% 23.46% 17.88% -2.61% 21.37% 18.87% 23.92% 26.75% Median 19.85% 22.25% 17.46% -3.87% 27.48% 19.34% 24.67% 26.31% Std Dev 32.81% 15.93% 16.82% 15.96% 26.56% 16.01% 13.53% 16.28% Max 75.12% 65.14% 49.36% 44.86% 77.87% 38.68% 49.80% 61.48% Min % % % % % % % % Average 22.80% 15.89% 11.29% 32.50% 26.66% 14.32% 19.25% Median 24.03% 15.84% 12.99% 30.75% 27.17% 13.79% 20.79% Std Dev 13.29% 8.67% 12.18% 22.31% 20.52% 11.66% 11.13% Max 50.01% 38.26% 34.14% 95.80% 84.17% 51.50% 38.87% Min -7.17% -3.02% % % % % % Figure 4 6,000 4,000 S&P500 2 Year Return - HFI 2 Year Return 2, ,000-4,000-6,000 HFI - S&P500 BerylConsulting.com Page 3
4 Jul-96 Feb-97 Sep-97 Apr-98 Nov-98 Jun-99 Jan-00 Mar-01 Oct-01 May-02 Dec-02 Jul-03 Feb-04 Sep-04 Nov-05 Jun-06 Jan-07 Aug-07 Mar-08 Oct-08 May-09 X Return/Risk Performance Review 2 Return/risk type of metrics are extremely important, as they afford a view of the value of an investment. At Beryl we consider evaluating these statistics as an integral part of the investing decision. As shown in Figure 5, the HFI has an average return/risk ratio of 1.88 versus that of 0.79 for the S&P500. Post the internet bubble, the HFI has performed much better. Figure 5 Average Median Std Dev Max Min Average Median Std Dev Max Min Figure Return/Risk Ratio S&P500 HFI 2 Calculated as ((1 + 2-yr return) 1/2-1)/((monthly ) x 12 1/2 ) BerylConsulting.com Page 4
5 Volatility Comparison Probably the most important metric is a direct volatility comparison. We found in our previous paper that on average the S&P500 volatility was 2.58x the HFI s. This is very important because it says for the S&P500 to have the same return/risk performance as the HFI, the S&P500 has to have 2.58x the return. a moderately long period of time, for a long-term investor that hedge funds provide very good return/risk charateristics. In future research, we will show that hedge funds typically have low correlation with other asset classes and, thus, have good diversification benefits for portfolios. While there are some caveats to hedge fund investing, hedge funds provied excellent benefits for a sophisticated portfolio. Including data from 1994 to 1999 includes some of the equity markets best years and while it affected the statistics, we can still conclude that the HFI has much lower volatility. We also included a spread analysis; the S&P500 volatility minus the HFI volatility. On average, the S&P500 had almost 700 basis points more volatility than the HFI. As we can see in figure 7, the probability of the S&P500 volatility/hfi volatility or the HFI volatility minus the SP500 volatility is statstically signficant. Figure 7 Volatility Analysis S&P500/HFI HFI - S&P500 Average % Median % Std Dev % Std Error of Est t-stat Prob Not II. PARTING THOUGHTS As part of our series on the benefits of hedge fund investing, one of the first questions we wanted to answer was how do hedge funds perform as a stand alone asset class. Our research has shown that over 3 For these purposes, the t-stat is defined as the average divided by the standard error of the estimate. BerylConsulting.com Page 5
Alternative Investments: Risks & Returns
Alternative Investments: Risks & Returns THE FAMILY ALTERNATIVE INVESTMENT CONFERENCE February 2007, Monaco Hossein Kazemi, PhD, CFA Managing Partner, AIA Professor of Finance, Univ of Massachusetts kazemi@alternativeanalytics.com
More informationLooking at a Variety of Municipal Valuation Metrics
Looking at a Variety of Municipal Valuation Metrics Muni vs. Treasuries, Corporates YEAR MUNI - TREASURY RATIO YEAR MUNI - CORPORATE RATIO 200% 80% 175% 150% 75% 70% 65% 125% Average Ratio 0% 75% 50% 60%
More informationSYSTEMATIC GLOBAL MACRO ( CTAs ):
G R A H M C A P I T A L M A N G E M N T G R A H A M C A P I T A L M A N A G E M E N T GC SYSTEMATIC GLOBAL MACRO ( CTAs ): PERFORMANCE, RISK, AND CORRELATION CHARACTERISTICS ROBERT E. MURRAY, CHIEF OPERATING
More informationManager Comparison Report June 28, Report Created on: July 25, 2013
Manager Comparison Report June 28, 213 Report Created on: July 25, 213 Page 1 of 14 Performance Evaluation Manager Performance Growth of $1 Cumulative Performance & Monthly s 3748 3578 348 3238 368 2898
More informationFinancial Markets 11-1
Financial Markets Laurent Calvet calvet@hec.fr John Lewis john.lewis04@imperial.ac.uk Topic 11: Measuring Financial Risk HEC MBA Financial Markets 11-1 Risk There are many types of risk in financial transactions
More informationRisk Spillovers of Financial Institutions
Risk Spillovers of Financial Institutions Tobias Adrian and Markus K. Brunnermeier Federal Reserve Bank of New York and Princeton University Risk Transfer Mechanisms and Financial Stability Basel, 29-30
More informationExecutive Summary. July 17, 2015
Executive Summary July 17, 2015 The Revenue Estimating Conference adopted interest rates for use in the state budgeting process. The adopted interest rates take into consideration current benchmark rates
More informationSample Report PERFORMANCE REPORT I YOUR FUND
Produced on //28 Data as of 6/3/28 PERFORMANCE REPORT I 5 East 57 th Street, Floor, New York, NY 22 Tel (22) 248-532 Fax (646) 45-884 7 Seventh Avenue, Suite 2, Seattle, WA 98 Tel (26) 47-254 Fax (26)
More informationXML Publisher Balance Sheet Vision Operations (USA) Feb-02
Page:1 Apr-01 May-01 Jun-01 Jul-01 ASSETS Current Assets Cash and Short Term Investments 15,862,304 51,998,607 9,198,226 Accounts Receivable - Net of Allowance 2,560,786
More informationA Note on the Steepening Curve and Mortgage Durations
Robert Young (212) 816-8332 robert.a.young@ssmb.com The current-coupon effective duration has reached a multi-year high of 4.6. A Note on the Steepening Curve and Mortgage Durations While effective durations
More informationThe Reliability of Voluntary Disclosures: Evidence from Hedge Funds Internet Appendix
The Reliability of Voluntary Disclosures: Evidence from Hedge Funds Internet Appendix Appendix A The Consolidated Hedge Fund Database...2 Appendix B Strategy Mappings...3 Table A.1 Listing of Vintage Dates...4
More informationHedging Potential for MGEX Soft Red Winter Wheat Index (SRWI) Futures
Hedging Potential for MGEX Soft Red Winter Wheat Index (SRWI) Futures Introduction In December 2003, MGEX launched futures and options that will settle financially to the Soft Red Winter Wheat Index (SRWI),
More informationSecurity Analysis: Performance
Security Analysis: Performance Independent Variable: 1 Yr. Mean ROR: 8.72% STD: 16.76% Time Horizon: 2/1993-6/2003 Holding Period: 12 months Risk-free ROR: 1.53% Ticker Name Beta Alpha Correlation Sharpe
More informationHigh Dividend Stocks In Rising Interest Rate Environments
High Dividend Stocks In Rising Interest Rate Environments July 2016 Disclosure: This research is provided for educational purposes only and is not intended to provide investment or tax advice. All numbers
More informationBeginning Date: January 2016 End Date: June Managers in Zephyr: Benchmark: Morningstar Short-Term Bond
Beginning Date: January 2016 End Date: June 2018 Managers in Zephyr: Benchmark: Manager Performance January 2016 - June 2018 (Single Computation) 11200 11000 10800 10600 10400 10200 10000 9800 Dec 2015
More informationFEDERAL RESERVE BANK OF MINNEAPOLIS BANKING AND POLICY STUDIES
FEDERAL RESERVE BANK OF MINNEAPOLIS BANKING AND POLICY STUDIES Minneapolis Options Report Feb 1 th Median inflation expectations decreased over the two week period for both inflation tenors. The probability
More informationReview of Membership Developments
RIPE Network Coordination Centre Review of Membership Developments 7 October 2009/ GM / Lisbon http://www.ripe.net 1 Applications development RIPE Network Coordination Centre 140 120 100 80 60 2007 2008
More informationBeginning Date: January 2016 End Date: September Managers in Zephyr: Benchmark: Morningstar Short-Term Bond
Beginning Date: January 2016 End Date: September 2018 Managers in Zephyr: Benchmark: Manager Performance January 2016 - September 2018 (Single Computation) 11400 - Yorktown Funds 11200 11000 10800 10600
More informationSpheria Australian Smaller Companies Fund
29-Jun-18 $ 2.7686 $ 2.7603 $ 2.7520 28-Jun-18 $ 2.7764 $ 2.7681 $ 2.7598 27-Jun-18 $ 2.7804 $ 2.7721 $ 2.7638 26-Jun-18 $ 2.7857 $ 2.7774 $ 2.7690 25-Jun-18 $ 2.7931 $ 2.7848 $ 2.7764 22-Jun-18 $ 2.7771
More informationSELF-FUNDED PPO HEALTH PLAN RATE REQUIREMENTS RETIREES JANUARY 1, 2018 DECEMBER 31, 2018 COUNTY OF ORANGE JUNE 2017
SELF-FUNDED PPO HEALTH PLAN RATE REQUIREMENTS RETIREES JANUARY 1, 2018 DECEMBER 31, 2018 COUNTY OF ORANGE JUNE 2017 Page 1 of 12 COUNTY OF ORANGE CONTENTS 1. Introduction...3 2. Rate Adjustment...4 3.
More informationPerformance Report October 2018
Structured Investments Indicative Report October 2018 This report illustrates the indicative performance of all Structured Investment Strategies from inception to 31 October 2018 Matured Investment Strategies
More informationVoya Indexed Universal Life-Protector
calculation examples Values as of 07/28/2018 Voya ed Universal Life-Protector Issued by Security Life of Denver Insurance Company Required training! VFA Registered Representatives must review the Required
More informationSearching for a Hedge Fund Bubble
Searching for a Hedge Fund Bubble Keith Black, CFA, CAIA Illinois Institute of Technology Author Managing a Hedge Fund Gerald Laurain, CFA ABN Amro Asset Management Director of Alternative Investments
More informationFDD FIRM STORAGE SERVICE NORTHERN NATURAL GAS COMPANY
FDD FIRM STORAGE SERVICE NORTHERN NATURAL GAS COMPANY FIRM STORAGE SERVICE OPTIONS Northern s firm storage service is provided pursuant to the FDD Rate Schedule located in Northern s FERC Gas Tariff. The
More informationCommon stock prices 1. New York Stock Exchange indexes (Dec. 31,1965=50)2. Transportation. Utility 3. Finance
Digitized for FRASER http://fraser.stlouisfed.org/ Federal Reserve Bank of St. Louis 000 97 98 99 I90 9 9 9 9 9 9 97 98 99 970 97 97 ""..".'..'.."... 97 97 97 97 977 978 979 980 98 98 98 98 98 98 987 988
More informationGlobal Journal of Finance and Banking Issues Vol. 5. No Manu Sharma & Rajnish Aggarwal PERFORMANCE ANALYSIS OF HEDGE FUND INDICES
PERFORMANCE ANALYSIS OF HEDGE FUND INDICES Dr. Manu Sharma 1 Panjab University, India E-mail: manumba2000@yahoo.com Rajnish Aggarwal 2 Panjab University, India Email: aggarwalrajnish@gmail.com Abstract
More informationPioneer Alternative Investments Funds of Hedge Funds. Mark Barker. Co-CIO Pioneer Alternative Investments FOHFs May 2008
Pioneer Alternative Investments Funds of Hedge Funds Mark Barker. Co-CIO Pioneer Alternative Investments FOHFs May 2008 Evolving World of Investment Choices Traditional Investments Traditional Alternatives
More informationLeading Economic Indicator Nebraska
Nebraska Monthly Economic Indicators: December 20, 2017 Prepared by the UNL College of Business Administration, Bureau of Business Research Author: Dr. Eric Thompson Leading Economic Indicator...1 Coincident
More informationFigure 1: Change in LEI-N August 2018
Nebraska Monthly Economic Indicators: September 26, 2018 Prepared by the UNL College of Business, Bureau of Business Research Author: Dr. Eric Thompson Leading Economic Indicator...1 Coincident Economic
More informationMortgage Trends Update
Mortgage Trends Update UK Finance: Mortgage Trends Update December 218 of first-time reaches 12-year high in 218 Key data highlights: There were 37, new first-time buyer mortgages completed in 218, some
More informationHedge Fund Replication and Synthetic Funds
Hedge Fund Replication and Synthetic Funds Harry M. Kat, PhD Alternative Investment Research Centre Sir John Cass Business School, City University, London E-mail: Harry@AIRC.info 1 Synthetic Funds Would
More informationCost Estimation of a Manufacturing Company
Cost Estimation of a Manufacturing Company Name: Business: Date: Economics of One Unit: Manufacturing Company (Only complete if you are making a product, such as a bracelet or beauty product) Economics
More informationReview of Registered Charites Compliance Rates with Annual Reporting Requirements 2016
Review of Registered Charites Compliance Rates with Annual Reporting Requirements 2016 October 2017 The Charities Regulator, in accordance with the provisions of section 14 of the Charities Act 2009, carried
More informationFEDERAL RESERVE BANK OF MINNEAPOLIS BANKING AND POLICY STUDIES
FEDERAL RESERVE BANK OF MINNEAPOLIS BANKING AND POLICY STUDIES Minneapolis Options Report October 3 rd Risk neutral expectations for inflation continue to fall. Bank and Insurance company share prices
More informationFoundations of Investing
www.edwardjones.com Member SIPC Foundations of Investing 1 5 HOW CAN I STAY ON TRACK? 4 HOW DO I GET THERE? 1 WHERE AM I TODAY? MY FINANCIAL NEEDS 3 CAN I GET THERE? 2 WHERE WOULD I LIKE TO BE? 2 Develop
More informationFactor Leave Accruals. Accruing Vacation and Sick Leave
Factor Leave Accruals Accruing Vacation and Sick Leave Factor Leave Accruals As part of the transition of non-exempt employees to biweekly pay, the UC Office of the President also requires standardization
More informationYear Jan Feb Mar Apr May June July Aug Sept Oct Nov Dec YTD % -1.53%
METOLIUS DIVERSIFIED US FEEDER FUND JANUARY 2017 UPDATE Year Jan Feb Mar Apr May June July Aug Sept Oct Nov Dec YTD 2017-1.53% -1.53% 2016 3.09% 1.30% -2.52% -0.32% -2.42% 2.15% 0.99% -1.53% -2.07% -0.44%
More informationOperating Reserves Educational Session Part B
Operating Reserves Educational Session Part B Energy Market Uplift Senior Task Force September 17, 2013 Joseph Bowring Joel Romero Luna Operating Reserves Operating reserves can be grouped into five categories:
More informationInvesting for now and the future. Co-opTrust Investment Services Presentation by Lydia Muchiri 26 June 2010
Investing for now and the future Co-opTrust Investment Services Presentation by Lydia Muchiri 26 June 2010 Outline Saving vs Investing Key Considerations before starting Stages of life and investing Set
More informationDivision of Bond Finance Interest Rate Calculations. Revenue Estimating Conference Interest Rates Used for Appropriations, including PECO Bond Rates
Division of Bond Finance Interest Rate Calculations Revenue Estimating Conference Interest Rates Used for Appropriations, including PECO Bond Rates November 16, 2018 Division of Bond Finance Calculation
More informationGlobal Tactical Asset Allocation
Global Tactical Asset Allocation This material is solely for informational purposes to be viewed in conjunction with this presentation. The information presented should not be construed as representative
More informationGrant Park Multi Alternative Strategies Fund. Why Invest? Profile Since Inception. Consider your alternatives. Invest smarter.
Consider your alternatives. Invest smarter. Grant Park Multi Alternative Strategies Fund GPAIX Executive Summary November 206 Why Invest? 30 years of applied experience managing funds during multiple market
More informationHUD NSP-1 Reporting Apr 2010 Grantee Report - New Mexico State Program
HUD NSP-1 Reporting Apr 2010 Grantee Report - State Program State Program NSP-1 Grant Amount is $19,600,000 $9,355,381 (47.7%) has been committed $4,010,874 (20.5%) has been expended Grant Number HUD Region
More informationBeginning Date: January 2016 End Date: February Managers in Zephyr: Benchmark: Morningstar Short-Term Bond
Beginning Date: January 2016 End Date: February 2018 Managers in Zephyr: Benchmark: Manager Performance January 2016 - February 2018 (Single Computation) 11200 11000 10800 10600 10400 10200 10000 9800
More informationFinancial & Business Highlights For the Year Ended June 30, 2017
Financial & Business Highlights For the Year Ended June, 17 17 16 15 14 13 12 Profit and Loss Account Operating Revenue 858 590 648 415 172 174 Investment gains net 5 162 909 825 322 516 Other 262 146
More informationSELF-FUNDED PPO HEALTH PLAN RATE REQUIREMENTS RETIREES JANUARY 1, 2017 DECEMBER 31, 2017 COUNTY OF ORANGE JUNE 2016
SELF-FUNDED PPO HEALTH PLAN RATE REQUIREMENTS RETIREES JANUARY 1, 2017 DECEMBER 31, 2017 COUNTY OF ORANGE JUNE 2016 Page 1 of 12 CONTENTS 1. Introduction...1 2. Rate Adjustment...2 3. Reserve Fund...4
More informationRussell 2000 Index Options
Interactive Brokers Webcast Russell 2000 Index Options April 20, 2016 Presented by Russell Rhoads, Senior Instructor Disclosure Options involve risks and are not suitable for all investors. Prior to buying
More informationCertificate in Treasury and Cash Management. Contents are subject to change. For the latest updates visit
Certificate in Treasury and Cash Page 1 of 12 Why Attend It is essential for every organization to effectively utilize its funds and manage its exposure to key risks arising from fluctuations in interest
More informationFEDERAL RESERVE BANK OF MINNEAPOLIS BANKING AND POLICY STUDIES
FEDERAL RESERVE BANK OF MINNEAPOLIS BANKING AND POLICY STUDIES Minneapolis Options Report December 13 th Commodity Markets Option trading rose relative to two weeks ago to a more average level last week
More informationGlobal Macro & Managed Futures Strategies: Flexibility & Profitability in times of turmoil.
Global Macro & Managed Futures Strategies: Flexibility & Profitability in times of turmoil. Robert Puccio Global Head of Macro, Quantitative, Fixed Income and Multi-Strategy Research For attendees at the
More informationTable I Descriptive Statistics This table shows the breakdown of the eligible funds as at May 2011. AUM refers to assets under management. Panel A: Fund Breakdown Fund Count Vintage count Avg AUM US$ MM
More information2015 SURVEY OF ISRAEL HEDGE FUNDS
2015 SURVEY OF ISRAEL HEDGE FUNDS JUNE 2015 INTRODUCTION We are pleased to release the third annual comprehensive survey of the Israeli hedge fund industry. The survey highlights many encouraging trends
More informationBig Walnut Local School District
Big Walnut Local School District Monthly Financial Report for the month ended September 30, 2013 Prepared By: Felicia Drummey Treasurer BIG WALNUT LOCAL SCHOOL DISTRICT SUMMARY OF YEAR TO DATE FINANCIAL
More informationFixed Income Investing in a Low Yield World: High Yield Bonds Still Part of the Solution. Fall 2012
Fixed Income Investing in a Low Yield World: High Yield Bonds Still Part of the Solution Fall 2012 U.S. 10-Year Treasury Yields October 5, 2012 16 14 12 10 8 6 4 2 1.74% 0 Jan-82 Feb-86 Mar-90 May-94 Jun-98
More informationTHE B E A CH TO WN S O F P ALM B EA CH
THE B E A CH TO WN S O F P ALM B EA CH C OU N T Y F LO R I D A August www.luxuryhomemarketing.com PALM BEACH TOWNS SINGLE-FAMILY HOMES LUXURY INVENTORY VS. SALES JULY Sales Luxury Benchmark Price : 7,
More informationCurrent State of the Leveraged Loan Market
Current State of the Leveraged Loan Market Ted Basta, LSTA William Lemberg, Alcentra Michael Schechter, CITI Gil Tollinchi, Crescent Capital Brian Yorke, Halcyon May 3, 2016 Presentation Overview 1. Macro
More informationWESTWOOD LUTHERAN CHURCH Summary Financial Statement YEAR TO DATE - February 28, Over(Under) Budget WECC Fund Actual Budget
WESTWOOD LUTHERAN CHURCH Summary Financial Statement YEAR TO DATE - February 28, 2018 General Fund Actual A B C D E F WECC Fund Actual Revenue Revenue - Faith Giving 1 $ 213 $ 234 $ (22) - Tuition $ 226
More informationINDEX PERFORMANCE HISTORY MARKET CYCLE ANALYSIS*
OVERVIEW Index Name: Helios Alpha Index Ticker: Inception Date: September 30, 2003 S&P Launch Date: March 3, 2017 Benchmark: MSCI ACWI Index INDEX PERFORMANCE HISTORY As of: October 31, 2018 DESCRIPTION
More informationWhat are the Essential Features of a Good Economic Scenario Generator? AFIR Munich September 11, 2009
What are the Essential Features of a Good Economic Scenario Generator? Hal Pedersen (University of Manitoba) with Joe Fairchild (University of Kansas), Chris K. Madsen (AEGON N.V.), Richard Urbach (DFA
More informationSmallBizU WORKSHEET 1: REQUIRED START-UP FUNDS. Online elearning Classroom. Item Required Amount ($) Fixed Assets. 1 -Buildings $ 2 -Land $
WORKSHEET 1: REQUIRED START-UP FUNDS Item Required Amount () Fixed Assets 1 -Buildings 2 -Land 3 -Initial Inventory 4 -Equipment 5 -Furniture and Fixtures 6 -Vehicles 7 Total Fixed Assets Working Capital
More informationDepartment of Public Welfare (DPW)
Department of Public Welfare (DPW) Office of Income Maintenance Electronic Benefits Transfer Card Risk Management Report Out-of-State Residency Review FISCAL YEAR 2014-2015 September 2014 (June, July and
More informationTERMS OF REFERENCE FOR THE INVESTMENT COMMITTEE
I. PURPOSE The purpose of the Investment Committee (the Committee ) is to recommend to the Board the investment policy, including the asset mix policy and the appropriate benchmark for both ICBC and any
More informationInternet Appendix for: Change You Can Believe In? Hedge Fund Data Revisions
Internet Appendix for: Change You Can Believe In? Hedge Fund Data Revisions Andrew J. Patton, Tarun Ramadorai, Michael P. Streatfield 22 March 2013 Appendix A The Consolidated Hedge Fund Database... 2
More informationLeading Economic Indicator Nebraska
Nebraska Monthly Economic Indicators: September 20, 2017 Prepared by the UNL College of Business Administration, Bureau of Business Research Author: Dr. Eric Thompson Leading Economic Indicator...1 Coincident
More informationFOR RELEASE: MONDAY, MARCH 21 AT 4 PM
Interviews with 1,012 adult Americans conducted by telephone by Opinion Research Corporation on March 18-20, 2011. The margin of sampling error for results based on the total sample is plus or minus 3
More information(Internet version) Financial & Statistical Report November 2018
(Internet version) Financial & Statistical Report November 2018 12/17/2018 Statement of Operations For the Period Ended November 30, 2018 (in millions) Current Month Year-to-Date Operating Revenue $ 31.4
More informationINDEX PERFORMANCE HISTORY MARKET CYCLE ANALYSIS*
OVERVIEW Index Name: Helios Diversified Index Ticker: Inception Date: September 30, 2003 S&P Launch Date: March 3, 2017 : 45% MSCI ACWI / 25% BBgBarc Agg Bond / 30% Morningstar Div Alts Morningstar SecID:
More informationAugust 2007 Quant Equity Turbulence:
Presentation to Columbia University Industrial Engineering and Operations Research Seminar August 2007 Quant Equity Turbulence: An Unknown Unknown Becomes a Known Unknown September 15, 2008 Quant Equity
More informationStock Performance of Socially Responsible Companies
10.1515/nybj-2017-0001 Stock Performance of Socially Responsible Companies Tzu-Man Huang 1 California State University, Stanislaus, U.S.A. Sijing Zong 2 California State University, Stanislaus, U.S.A.
More informationUpdate on UC s s Absolute Return Program. 603 Committee on Investments / Investment Advisory Committee February 14, 2006
Update on UC s s Absolute Return Program 603 Committee on Investments / Investment Advisory Committee February 14, 2006 AGENDA Page I. Understanding of Absolute Return as an Asset Class 3 II. Review of
More informationLeading Economic Indicator Nebraska
Nebraska Monthly Economic Indicators: June 21, 2017 Prepared by the UNL College of Business Administration, Bureau of Business Research Author: Dr. Eric Thompson Leading Economic Indicator...1 Coincident
More informationRisk Has Trended Down... So Should I Be Nervous?
Risk Has Trended Down... So Should I Be Nervous? Presentation to QWAFAFEW Melissa R. Brown, CFA Senior Director of Applied Research, Axioma January 8, 2013 Agenda Risk fell dramatically throughout 2012,
More informationUse of the Risk Driver Method in Monte Carlo Simulation of a Project Schedule
Use of the Risk Driver Method in Monte Carlo Simulation of a Project Schedule Presented to the 2013 ICEAA Professional Development & Training Workshop June 18-21, 2013 David T. Hulett, Ph.D. Hulett & Associates,
More informationU.S. Natural Gas Storage Charts
U.S. Natural Gas Storage Charts BMO Capital Markets Commodity Products Group November 26, 214 Total U.S. Natural Gas in Storage 5, Total Stocks This Week 3432 4, 3, 2, 1, Reported On: November 26, 214
More informationIsle Of Wight half year business confidence report
half year business confidence report half year report contents new company registrations closed companies (dissolved) net company growth uk company share director age director gender naming trends sic
More informationDevelopment of Economy and Financial Markets of Kazakhstan
Development of Economy and Financial Markets of Kazakhstan National Bank of Kazakhstan Macroeconomic development GDP, real growth, % 116 112 18 14 1 113,5 11,7 216,7223,8226,5 19,8 19,8 19,3 19,619,7 199,
More informationRelease date: 14 August 2018
Release date: 14 August 218 UK Finance: Mortgage Trends Update June 218 House purchase activity slows in June but remortgaging activity remains high Key data highlights: There were 34,9 new first-time
More informationAnalyze the Market for a Seasonal Bias. It is recommended never to buck the seasonal nature of a market. What is a Seasonal Trend?
The seasonal trend in a market is our way of taking the fundamental price action of a market...and then chart it year-by-year. Analyze the Market for a Seasonal Bias STEP 5 Using Track n Trade Pro charting
More informationRegression Analysis and Quantitative Trading Strategies. χtrading Butterfly Spread Strategy
Regression Analysis and Quantitative Trading Strategies χtrading Butterfly Spread Strategy Michael Beven June 3, 2016 University of Chicago Financial Mathematics 1 / 25 Overview 1 Strategy 2 Construction
More informationLeading Economic Indicator Nebraska
Nebraska Monthly Economic Indicators: July 24, 2015 Prepared by the UNL College of Business Administration, Department of Economics Authors: Dr. Eric Thompson, Dr. William Walstad Leading Economic Indicator...1
More informationAn introduction to Invesco s Equity Long/Short Strategies
An introduction to Invesco s Equity Long/Short Strategies This marketing document is exclusively for use by Professional Clients and Financial Advisers in Germany. This document is not for consumer use,
More informationThe Swan Defined Risk Strategy - A Full Market Solution
The Swan Defined Risk Strategy - A Full Market Solution Absolute, Relative, and Risk-Adjusted Performance Metrics for Swan DRS and the Index (Summary) June 30, 2018 Manager Performance July 1997 - June
More information(Internet version) Financial & Statistical Report September 2017
(Internet version) Financial & Statistical Report September 2017 10/23/2017 Statement of Operations For the Period Ended September 30, 2017 (in millions) Current Month Year-to-Date Operating Revenue &
More informationLeading Economic Indicator Nebraska
Nebraska Monthly Economic Indicators: October 24, 2018 Prepared by the UNL College of Business, Bureau of Business Research Author: Dr. Eric Thompson Leading Economic Indicator...1 Coincident Economic
More information(Internet version) Financial & Statistical Report December 2017
(Internet version) Financial & Statistical Report December 2017 01/22/2018 Statement of Operations For the Period Ended December 31, 2017 (in millions) Current Month Year-to-Date Operating Revenue & Patronage
More information(Internet version) Financial & Statistical Report December 2016
(Internet version) Financial & Statistical Report December 2016 1/23/2017 Statement of Operations For the Period Ended December 31, 2016 (in millions) Current Month Year-to-Date Operating Revenue & Patronage
More informationLeading Economic Indicator Nebraska
Nebraska Monthly Economic Indicators: July 29, 2016 Prepared by the UNL College of Business Administration, Department of Economics Authors: Dr. Eric Thompson, Dr. William Walstad Leading Economic Indicator...1
More information2009 Reassessment As Impacted by Senate Bill 711
Saint Louis County 2009 Reassessment As Impacted by Senate Bill 711 Impacts of SB711 on the 2009 Reassessment Plan The County must notify property owners of changes in the projected tax liability resulting
More informationLOAN MARKET DATA AND ANALYTICS BY THOMSON REUTERS LPC
LOAN MARKET DATA AND ANALYTICS BY THOMSON REUTERS LPC GLOBAL LOAN MARKET DATA AND ANALYTICS BY THOMSON REUTERS LPC Secondary Market Bid Levels: Europe Slide 2 European CLO New Issue Volume Monthly Slide
More informationSystinvest. Track Record. ploutos. wikifolios
Systinvest Track Record ploutos wikifolios Content wikifolio Trader ploutos page 2 General information on wikifolio and the trader ploutos Marketcycles page 3 Category 1, Crash Risk Control-strategy applied
More informationTD Securities 2011 Calgary Unconventional Energy Conference July 7, Dawn Farrell Chief Operating Officer
TD Securities 2011 Calgary Unconventional Energy Conference July 7, 2011 Dawn Farrell Chief Operating Officer 1 Forward looking statements This presentation may contain forward looking statements, including
More informationLeading Economic Indicator Nebraska
Nebraska Monthly Economic Indicators: June 17, 2016 Prepared by the UNL College of Business Administration, Department of Economics Authors: Dr. Eric Thompson, Dr. William Walstad Leading Economic Indicator...1
More informationForecast Position. Detailed financial statements are included in the Appendix attached to this report.
MEMO To: Board Members From: Eric Sinclair, GM Finance & Performance Date: 21 February 2018 Subject: Financial Report for January 2018 Status This report contains: For decision Update Regular report For
More informationA Novel Business Cycle Multi-Asset Allocation Strategy
BUSINESS CYCLE ASSET ALLOCATION A Novel Business Cycle Multi-Asset Allocation Strategy June, 2017 Proforma Performance Comparison AASE Strategy v. S&P500 v. Stock/Bond Portfolio Proforma Performance Comparison
More informationA Novel Business Cycle Multi-Asset Allocation Strategy
BUSINESS CYCLE ASSET ALLOCATION A Novel Business Cycle Multi-Asset Allocation Strategy May, 2017 Proforma Performance Comparison AASE Strategy v. S&P500 v. Stock/Bond Portfolio Proforma Performance Comparison
More informationPlease scroll to find the 2018 and 2019 global fund holiday calendars.
Please scroll to find the 2018 and 2019 global fund holiday calendars. 2018 Exchange-Traded fund holiday Vanguard Ireland-domiciled ETFs Jan Feb Mar Apr May Jun 1 2 5 12 15 25 9 12 14 15 16 19 28 20 29
More information- Victor Haghani, Founder Elm. Watch the full talk here
"After more than 20 years in finance, from the LSE to Salomon Brothers to LTCM, you d have thought that I d have figured out how to invest my family s savings. Well, it was 2002, I just turned 40, and
More informationInvestment OVERVIEW: 4 TH QUARTER 2017 DANA FIXED INCOME STRATEGIES.
Investment DANA Advisors OVERVIEW: 4 TH QUARTER 2017 DANA FIXED INCOME THE WISE CHOICE HERITAGE A strong family culture Since our founding in 1980, Dana has remained independent and Employee-owned. Our
More informationCapturing equity gains whilst protecting portfolios
Capturing equity gains whilst protecting portfolios Edward Park Q2 2018 MSCI North America Total Return in USD (2017 Discrete Calendar Months) 4.00% 3.50% 3.00% 2.50% 2.00% 1.50% 1.00% 0% 0.00% Jan-17
More informationPHOENIX ENERGY MARKETING CONSULTANTS INC. HISTORICAL NATURAL GAS & CRUDE OIL PRICES UPDATED TO July, 2018
Jan-01 $12.9112 $10.4754 $9.7870 $1.5032 $29.2595 $275.39 $43.78 $159.32 $25.33 Feb-01 $10.4670 $7.8378 $6.9397 $1.5218 $29.6447 $279.78 $44.48 $165.68 $26.34 Mar-01 $7.6303 $7.3271 $5.0903 $1.5585 $27.2714
More information