Thinking. Alternative. Third Quarter The Role of Alternative Beta Premia
|
|
- Curtis Evan Harrison
- 5 years ago
- Views:
Transcription
1 Alternative Thinking The Role of Alternative Beta Premia While risk parity strategies are our highest-capacity answer for investing in long-only, core asset classes, alternative beta premia dynamic long-short strategies, are another highly effective way to further seek diversified sources of return. Alternative beta premiums can be classified in many ways by asset class, liquidity, long/short volatility, convergent/divergent, etc. To us, the most useful classifications are hedge fund strategy premia and style premia two complementary perspectives. Third Quarter 2012 AQR Capital Management, LLC Two Greenwich Plaza Greenwich, CT p: f: w: aqr.com
2
3 Alternative Thinking The Role of Alternative Beta Premia 1 The Role of Alternative Beta Premia Executive Summary Alternative Beta Premia are long-short sources of returns that are economically-intuitive, systematic and persistent due to behavioral biases, structural inefficiencies or compensation for bearing risk. We believe the two most useful classifications of Alternative Beta Premia are 1) hedge fund strategy premia and 2) style premia. We believe liquid portfolios should contain a combination of alternative beta premia with market risk premia, which we believe offer investors a more reliable way to reach CPI+5% targets. Two Complementary Perspectives While our risk parity strategies are our highestcapacity answer for investing in long-only, core asset classes, alternative beta premia are another highly effective way to further seek diversified sources of return. Importantly, risk parity and alternative beta premia are best viewed as complements in well-constructed portfolios. they require some use of derivatives, leverage and/or short-selling. Alternative beta premia can be classified in many ways by asset class, liquidity, long/short volatility, convergent/divergent, etc. To us, the most useful classifications are hedge fund strategy premia and style premia two complementary perspectives. Hedge Fund Premia Hedge fund strategy premia are returns of longshort strategies traditionally employed by hedge funds. AQR s takes a bottom-up approach in building a collection of these premia, built from dozens of strategies and thousands of positions, aggregated to nine categories based on the Credit Suisse Hedge Fund Index. Hedge fund premia are useful for many hedge fund investors as they easily fit a box. In contrast to many hedge funds, we believe Hedge Fund Premia should be: More liquid, systematic, and transparent Better diversified across strategies (riskbalanced across volatility-targeted strategies) Alternative beta premia are alternative because they are captured through dynamic long-short strategies rather than long-only asset class exposures; they are not alternative in the sense of investing in less-liquid alternative asset classes such as private equity or infrastructure. They are called beta premia because, like any form of beta, the return sources are economically-intuitive, systematic and persistent due to behavioral biases, structural inefficiencies or compensation for bearing risk. 1 Less market-directional than hedge fund indices and hedge fund replicators (unbundle alternative beta premia from the market premia) More cost-effective (lower fees; emphasis on efficient portfolio construction and execution) Primarily relative value (more focus on crosssectional opportunities than tactical timing decisions) and mainly rules-based (with some discretion in tactical tilts and model design) Alternative beta premia can offer attractive riskadjusted returns and effective diversification, but 1 They are also called alternative risk premia but they may reflect either rational risk premia or persistent market inefficiencies. Other names include hedge fund premia, hedge fund betas, smart betas, dynamic betas, and exotic betas. Exhibit 1 shows the simulated performance of nine hedge fund premia and their equal volatilityweighted combination. Given space constraints, we focus on risk-adjusted returns (Sharpe ratios) and diversification ability (correlation of each premium with global equities). In contrast to the correlation
4 2 Alternative Thinking The Role of Alternative Beta Premia creep seen across the hedge fund industry in aggregate, hedge fund premia can be built to deliver diversifying returns. 2 Style Premia researchers have studied. 3 The purity of style premia is a conceptual advantage and reduces datamining concerns; and the pervasiveness of evidence gives cross-validation to results in other asset classes. A complementary way to classify alternative beta premia is by style, which includes value (long cheap assets based on valuation ratios, short expensive), momentum/trend (long recent outperformers, short laggards), carry (long high-yielding assets, short lowyielders), and defensive (long low-risk / high-quality assets, short high-risk / low-quality). These style premia have historically delivered positive long-run profits in virtually every asset class we and other However, it can be debated which styles should be included and which indicators within each style. Another disadvantage is the exclusion of classic hedge fund strategies such as event driven (e.g., merger arbitrage) and convertible arbitrage, which do not fit well into the above four styles. 4 Exhibit 2 provides evidence of style premia, again highlighting the positive risk-adjusted returns and Exhibit 1 Hypothetical Hedge Fund Premia, Convert Arb Eq Mkt Neutral L/S Equity Ded. Short Event Driven Mgd. Futures Emg. Mkts. Fixed-Inc Rel. Val. Global Macro Hypothetical Composite Annual Excess Return 10.7% 4.6% 5.9% 1.7% 8.6% 6.9% 4.2% 8.9% 11.2% 14.3% Annual Volatility 10% 10% 10% 10% 10% 10% 10% 10% 10% 10% Sharpe Ratio Correl to MSCI World Source: AQR.. Hedge fund premia backtests are designed to target 10% volatility for the full sample. Excess returns (excl. cash income) are shown gross of fees but net of estimated trading costs and with some discounting of backtest returns (larger in distant returns), including a directionality hedge overlay. Hypothetical data has inherent limitations, some of which are disclosed at the end Exhibit 2 Hypothetical Style Premia, Across Stocks Across Asset Classes Value Momentum Carry Defensive Value Momentum Carry Defensive Annual Excess Return 4.6% 3.8% 2.8% 9.9% 4.9% 7.7% 13.0% 4.9% Annual Volatility 10% 10% 10% 10% 10% 10% 10% 10% Sharpe Ratio Correl to MSCI World Source: AQR. Across Stocks include four major regions, within industries. Across Asset Classes are across equity indices, bond indices, interest rate futures, G-10 currencies, emerging currencies, commodities. Style premia bactktests are designed to target 10% volatility for the full sample. Excess returns (excl. cash income) are shown gross of fees but net of estimated trading costs, with no discounting of backtest returns or directionality hedges. Hypothetical data has inherent limitations, some of which are disclosed at the end. 2 Each hedge fund premium portfolio has benefited from broad diversification and volatility weighting among constituent strategies. See Berger-Israel-McLennan (2011): Building a Better Alternatives Portfolio: The AQR Multi-Strategy Approach for further information on these hedge fund premia. 3 For examples of AQR s research on style premia, see Asness (1997): The Interaction Between Value and Momentum Strategies (Financial Analysts Journal), Asness, Liew and Stevens (1997): Parallels Between the Cross-sectional Predictability of Stock and Country Returns (Journal of Portfolio Management), Asness, Moskowitz and Pedersen (2008): Value and Momentum Everywhere, Frazzini and Pedersen (2010): Betting Against Beta, Koijen, Moskowitz, Pedersen and Vrugt (2012): Carry, as well as an overview in Ilmanen (2011): Expected Returns. 4 These strategies may also be excluded because they are more liquidity and capacity challenged than other hedge fund strategies. Style premia may stress good liquidity, high capacity, and low costs even more than hedge fund premia.
5 Alternative Thinking The Role of Alternative Beta Premia 3 low correlations to equities. Similar to hedge fund premia, these style premia are broadly-diversified and volatility-targeted. For example, across asset classes the value style premium is risk-balanced across six asset classes. Alternative Beta Premia and the 5 Percent Solution Compared to many illiquid alternative sources of returns, we believe that hedge fund premia and style premia are highly effective tools to improve riskadjusted returns. We believe liquid portfolios should contain a combination of alternative beta premia with market risk premia, which we believe offer investors a more reliable way to reach CPI+5% targets. 5 5 See Asness and Ilmanen (2012): The 5 Percent Solution (Institutional Investor) for more on achieving CPI+5% over the long term.
6 4 Alternative Thinking The Role of Alternative Beta Premia Important Disclosures The information set forth herein has been obtained or derived from sources believed by the author and AQR Capital Management, LLC ( AQR ) to be reliable. However, the author and AQR do not make any representation or warranty, express or implied, as to the information s accuracy or completeness, nor does AQR recommend that the attached information serve as the basis of any investment decision. This document has been provided to you for information purposes and does not constitute an offer or solicitation of an offer, or any advice or recommendation, to purchase any securities or other financial instruments, and may not be construed as such. This document is intended exclusively for the use of the person to whom it has been delivered by AQR and it is not to be reproduced or redistributed to any other person. AQR hereby disclaims any duty to provide any updates or changes to the analyses contained in this document. This document has been prepared solely for informational purposes. The information contained herein is only as current as of the date indicated, and may be superseded by subsequent market events or for other reasons. Charts and graphs provided herein are for illustrative purposes only. Nothing contained herein constitutes investment, legal, tax or other advice nor is it to be relied on in making an investment or other decision. There can be no assurance that an investment strategy will be successful. Historic market trends are not reliable indicators of actual future market behavior or future performance of any particular investment which may differ materially, and should not be relied upon as such. Target allocations contained herein are subject to change. The information in this document may contain projections or other forward looking statements regarding future events, targets, forecasts or expectations regarding the strategies described herein, and is only current as of the date indicated. There is no assurance that such events or targets will be achieved, and may be significantly different from that shown here. The information in this presentation, including statements concerning financial market trends, is based on current market conditions, which will fluctuate and may be superseded by subsequent market events or for other reasons. Performance of all cited indices is calculated on a total return basis with dividends reinvested. The indices do not include any expenses, fees or charges and are unmanaged and should not be considered investments. The investment strategy and themes discussed herein may be unsuitable for investors depending on their specific investment objectives and financial situation. Please note that changes in the rate of exchange of a currency may affect the value, price or income of an investment adversely. Neither AQR nor the authors assumes any duty to, nor undertakes to update forward looking statements. No representation or warranty, express or implied, is made or given by or on behalf of AQR, the authors or any other person as to the accuracy and completeness or fairness of the information contained in this presentation, and no responsibility or liability is accepted for any such information. By accepting this document in its entirety, the recipient acknowledges its understanding and acceptance of the foregoing statement. Diversification does not eliminate the risk of experiencing investment losses. PAST PERFORMANCE IS NOT AN INDICATION OF FUTURE PERFORMANCE. Hypothetical performance results (e.g., quantitative backtests) have many inherent limitations, some of which, but not all, are described herein. No representation is being made that any fund or account will or is likely to achieve profits or losses similar to those shown herein. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently realized by any particular trading program. One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or adhere to a particular trading program in spite of trading losses are material points which can adversely affect actual trading results. The hypothetical performance results contained herein represent the application of the quantitative models as currently in effect on the date first written above and there can be no assurance that the models will remain the same in the future or that an application of the current models in the future will produce similar results because the relevant market and economic conditions that prevailed during the hypothetical performance period will not necessarily recur. There are numerous other factors related to the markets in general or to the implementation of any specific trading program which cannot be fully accounted for in the preparation of hypothetical performance results, all of which can adversely affect actual trading results. Discounting factors may be applied to reduce suspected anomalies. This backtest s return, for this period, may vary depending on the date it is run. Hypothetical performance results are presented for illustrative purposes only. Gross performance results do not reflect the deduction of investment advisory fees, which would reduce an investor s actual return. For example, assume that $1 million is invested in an account with the Firm, and this account achieves a 10% compounded annualized return, gross of fees, for five years. At the end of five years that account would grow to $1,610,510 before the deduction of management fees. Assuming management fees of 1.00% per year are deducted monthly from the account, the value of the account at the end of five years would be $1,532,886 and the annualized rate of return would be 8.92%. For a 10-year period, the ending dollar values before and after fees would be $2,593,742 and $2,349,739, respectively. AQR s asset based fees may range up to 2.85% of assets under management, and are generally billed monthly or quarterly at the commencement of the calendar month or quarter during which AQR will perform the services to which the fees relate. Where applicable, performance fees are generally equal
7 Alternative Thinking The Role of Alternative Beta Premia 5 to 20% of net realized and unrealized profits each year, after restoration of any losses carried forward from prior years. In addition, AQR funds incur expenses (including start-up, legal, accounting, audit, administrative and regulatory expenses) and may have redemption or withdrawal charges up to 2% based on gross redemption or withdrawal proceeds. Please refer to AQR s ADV Part 2A for more information on fees. Consultants supplied with gross results are to use this data in accordance with SEC, CFTC, NFA or the applicable jurisdiction s guidelines. There is a risk of substantial loss associated with trading commodities, futures, options, derivatives and other financial instruments. Before trading, investors should carefully consider their financial position and risk tolerance to determine if the proposed trading style is appropriate. Investors should realize that when trading futures, commodities, options, derivatives and other financial instruments one could lose the full balance of their account. It is also possible to lose more than the initial deposit when trading derivatives or using leverage. All funds committed to such a trading strategy should be purely risk capital. AQR backtests of Value, Momentum, Carry and Defensive theoretical long/short style components are based on monthly returns, undiscounted, gross of fees and transaction costs, excess of a cash rate proxied by the Merrill Lynch 3-Month T-Bill Index, and scaled to 12% annualized volatility. Each strategy is designed to take long positions in the assets with the strongest style attributes and short positions in the assets with the weakest style attributes, while seeking to ensure the portfolio is market-neutral. Please see below for a description of the Universe selection. Stock and Industry Selection: approximately 1,500 stocks across Europe, Japan, U.K. and U.S. Country Equity Indices: Developed Markets: Australia, Canada, Eurozone, Hong Kong, Japan, Sweden, Switzerland, U.K., U.S. Within Europe: Italy, France, Germany, Netherlands, Spain. Emerging Markets: Brazil, China, India, Russia, South Africa, South Korea, Taiwan. Bond Futures: Australia, Canada, Germany, Japan, U.K., U.S. Interest Rate Futures: Australia, Canada, Europe (Euribor), U.K. and U.S. Currencies: Developed Markets: Australia, Canada, Euro, Japan, New Zealand, Norway, Sweden, Switzerland, U.K., U.S. Emerging Markets: Brazil, India, Mexico, Poland, Russia, Singapore, South Korea, Taiwan, Turkey. Commodity Selection: Silver, Copper, Gold, Crude, Brent Oil, Natural Gas, Corn, Soybeans. The white papers discussed herein can be provided upon request.
8 AQR Capital Management, LLC Two Greenwich Plaza, Greenwich, CT p: I f: I w: aqr.com
Correlation and Asset Management
Correlation and Asset Management Michael Mendelson Principal Ernst Schaumburg Vice President May 2017 AQR Capital Management, LLC Two Greenwich Plaza Greenwich, CT 06830 p: +1.203.742.3600 w: aqr.com 1
More informationAdvisor Briefing Why Alternatives?
Advisor Briefing Why Alternatives? Key Ideas Alternative strategies generally seek to provide positive returns with low correlation to traditional assets, such as stocks and bonds By incorporating alternative
More informationThinking. Alternative. Alternative Thinking Q4 2016: Superstar Investors. U.K. Supplement. Supplement released November 2017
Alternative Thinking Supplement released November 2017 Alternative Thinking Q4 2016: Superstar Investors U.K. Supplement This document accompanies AQR s 2016 article Superstar Investors, which analyzed
More informationThinking. Alternative. Third Quarter Style Premia / Bond Returns
Alternative Thinking Style Premia / Bond Returns Our first section focuses on style premia, which are (we believe rightly) receiving increased attention from institutional investors. We address several
More informationPortfolio Construction Matters
November 2017 Portfolio Construction Matters A Simple Example Using Value and Momentum Themes Shaun Fitzgibbons Vice President Peter Hecht, Ph.D. Managing Director Nicholas McQuinn Analyst Laura Serban,
More informationUnderstanding Alternative Risk Premia
March 2018 Understanding Alternative Risk Premia Ing-Chea Ang Vice President Sarah Jiang Managing Director Thomas Maloney Managing Director Scott Metchick Managing Director 02 Understanding Alternative
More informationHedge Funds, Hedge Fund Beta, and the Future for Both. Clifford Asness. Managing and Founding Principal AQR Capital Management, LLC
Hedge Funds, Hedge Fund Beta, and the Future for Both Clifford Asness Managing and Founding Principal AQR Capital Management, LLC An Alternative Future Seven years ago, I wrote a paper about hedge funds
More informationDFA Global Equity Portfolio (Class F) Quarterly Performance Report Q2 2014
DFA Global Equity Portfolio (Class F) Quarterly Performance Report Q2 2014 This presentation has been prepared by Dimensional Fund Advisors Canada ULC ( DFA Canada ), manager of the Dimensional Funds.
More informationDFA Global Equity Portfolio (Class F) Performance Report Q2 2017
DFA Global Equity Portfolio (Class F) Performance Report Q2 2017 This presentation has been prepared by Dimensional Fund Advisors Canada ULC ( DFA Canada ), manager of the Dimensional Funds. This presentation
More informationDFA Global Equity Portfolio (Class F) Performance Report Q3 2018
DFA Global Equity Portfolio (Class F) Performance Report Q3 2018 This presentation has been prepared by Dimensional Fund Advisors Canada ULC ( DFA Canada ), manager of the Dimensional Funds. This presentation
More informationDFA Global Equity Portfolio (Class F) Performance Report Q4 2017
DFA Global Equity Portfolio (Class F) Performance Report Q4 2017 This presentation has been prepared by Dimensional Fund Advisors Canada ULC ( DFA Canada ), manager of the Dimensional Funds. This presentation
More informationDFA Global Equity Portfolio (Class F) Performance Report Q3 2015
DFA Global Equity Portfolio (Class F) Performance Report Q3 2015 This presentation has been prepared by Dimensional Fund Advisors Canada ULC ( DFA Canada ), manager of the Dimensional Funds. This presentation
More informationUnderstanding the Volatility Risk Premium
May 2018 Understanding the Volatility Risk Premium Executive Summary The volatility risk premium (VRP) reflects the compensation investors earn for providing insurance against market losses. The financial
More informationThinking. Alternative. Second Quarter Long-Term Expected Returns
Alternative Thinking Long-Term Expected Returns Expected returns are among the most important inputs to investment decision-making but are difficult to assess, as any estimate comes with significant uncertainty.
More informationDeactivating Active Share
Deactivating Active Share Andrea Frazzini Jacques Friedman Lukasz Pomorski April 21, 2016 AQR Capital Management, LLC Two Greenwich Plaza Greenwich, CT 06830 p: +1.203.742.3600 w: aqr.com Active Share
More informationGlobal Select International Select International Select Hedged Emerging Market Select
International Exchange Traded Fund (ETF) Managed Strategies ETFs provide investors a liquid, transparent, and low-cost avenue to equities around the world. Our research has shown that individual country
More informationTactical Tilts and Forgone Diversification
Tactical Tilts and Forgone Diversification April 2014 Tactical timing of markets or strategies is notoriously difficult. We demonstrate that even an investor with some positive tactical timing skill may
More informationMulti-asset capability Connecting a global network of expertise
Multi-asset capability Connecting a global network of expertise For Professional Clients only Solutions aligned with investors' needs We have over 25 years of experience designing multi-asset solutions
More informationDIVERSIFICATION BY DESIGN
Legg Mason US Diversified Core ETF (Ticker: UDBI) Legg Mason Developed Ex-US Diversified Core ETF (Ticker: DDBI) Legg Mason Emerging Markets Diversified Core ETF (Ticker: EDBI) DIVERSIFICATION BY DESIGN
More informationBuilding a Better Equity Market Neutral Strategy
Building a Better Equity Market Neutral Strategy Gabriel Feghali, CFA April 2015 Global Stock Selection Equity Dan Villalon, CFA established strategy designed to deliver positive Portfolio Solutions Group
More informationQuarterly Market Review. First Quarter 2015
Q1 Quarterly Market Review First Quarter 2015 Quarterly Market Review First Quarter 2015 This report features world capital market performance and a timeline of events for the past quarter. It begins with
More informationPlease read important disclosures at the end of this paper.
AQR C A P I T A L M A N A G E M E N T Gabriel Feghali, CFA July 2013 Associate AQR Capital Management Jacques Friedman Principal AQR Capital Management Dan Villalon Vice President AQR Capital Management
More informationSmarter Saving and Investing in a Lower Expected Return World
Smarter Saving and Investing in a Lower Expected Return World Antti Ilmanen, Ph.D. Principal Prepared for the PRC conference Philadelphia, May 4-5, 2017 AQR Capital Management, LLC Two Greenwich Plaza
More informationTHEORY & PRACTICE FOR FUND MANAGERS
T H E J O U R N A L O F THEORY & PRACTICE FOR FUND MANAGERS WINTER 2014 Volume 23 Number 4 The Voices of Influence iijournals.com Understanding Style Premia Ronen Israel and Thomas Maloney Ronen Israel
More informationAll-Country Equity Allocator July 2018
Leila Heckman, Ph.D. lheckman@dcmadvisors.com 917-386-6261 John Mullin, Ph.D. jmullin@dcmadvisors.com 917-386-6262 Allison Hay ahay@dcmadvisors.com 917-386-6264 All-Country Equity Allocator July 2018 A
More informationContrarian Factor Timing Is Deceptively Difficult
Volume 5 3 Winter 2018 pa.iijournals.com Contrarian Factor Timing Is Deceptively Difficult Clifford Asness, Swati Chandra, Antti Ilmanen, and Ronen Israel Practical Applications of Contrarian Factor Timing
More informationPIMCO Research Affiliates Equity (RAE) Fundamental
PIMCO Research Affiliates Equity (RAE) Fundamental Seek to get more from your equity allocation with a systematic strategy that captures the key benefits of a passive equity approach, with the potential
More informationAll-Country Equity Allocator February 2018
Leila Heckman, Ph.D. lheckman@dcmadvisors.com 917-386-6261 John Mullin, Ph.D. jmullin@dcmadvisors.com 917-386-6262 Charles Waters cwaters@dcmadvisors.com 917-386-6264 All-Country Equity Allocator February
More informationBlackstone Alternative Alpha Fund (BAAF)
Blackstone Alternative Alpha Fund (BAAF) Blackstone For Accredited Investors Only As of February 29th, 2016 Investment approach Blackstone Alternative Alpha Fund ( BAAF or the Fund ) is a closed end registered
More informationWells Fargo Target Date Funds
All information is as of 9-30-17 unless otherwise indicated. Overview General fund information Portfolio managers: Kandarp Acharya, CFA, FRM; Christian Chan, CFA; and Petros Bocray, CFA, FRM Subadvisor:
More informationArbitrage: A Brief Introduction
Daniel Schwartz daniel.schwartz@aqr.com FALL 2009 Arbitrage: A Brief Introduction Arbitrage strategies use relative value trades to generate excess returns with attractive risk profiles. Their low betas
More informationInnealta Capital Tactical ETF Portfolios
Sector and Country Rotation Portfolios Actively managed and designed to adjust to market conditions Provide exposure to domestic and international equities using ETFs Strategies based on a quantitatively-driven
More informationThe Next Wave of Hedge Fund Investing. Today s Discussion
The Next Wave of Hedge Fund Investing Adam L. Berger, CFA Vice President and Head of Portfolio Solutions AQR Capital Management, LLC December 6, 2007 Today s Discussion Hedge Funds Today Bifurcation of
More informationQ2 Quarterly Market Review Second Quarter 2015
Q2 Quarterly Market Review Second Quarter 2015 Quarterly Market Review Second Quarter 2015 This report features world capital market performance and a timeline of events for the past quarter. It begins
More informationWhat Institutional Investors are Looking for from Hedge Funds. CTA-EXPO Chicago September 2015
What Institutional Investors are Looking for from Hedge Funds CTA-EXPO Chicago September 2015 let s look briefly at: The role hedge funds are playing in institutional portfolios Why are Institutions adding
More information2018 AQR Funds Supplemental Tax Information
2018 AQR Funds Supplemental Tax Information February 2019 Dear Shareholder: This document contains important supplemental tax information about AQR Funds intended to help you file your 2018 tax returns.
More informationWORKING TOGETHER Design Build Protect
WORKING TOGETHER Design Build Protect 2018 LWI Financial Inc. All rights reserved. LWI Financial Inc. ( Loring Ward ) is an investment adviser registered with the Securities and Exchange Commission. Securities
More informationQuarterly Investment Update
Quarterly Investment Update Third Quarter 2017 Dimensional Fund Advisors Canada ULC ( DFA Canada ) is not affiliated with The CM Group DFA Canada is a separate and distinct company Market Update: A Quarter
More informationInternational Thematic (ETFs) Select UMA Managed Advisory Portfolios Solutions
Managed Advisory Portfolios Solutions 2000 Westchester Avenue Purchase, New York 10577 Style: Sub-Style: Firm AUM: Firm Strategy AUM: International Equities $912.3 million $36.3 million Year Founded: GIMA
More informationCalamos Phineus Long/Short Fund
Calamos Phineus Long/Short Fund Performance Update SEPTEMBER 18 FOR INVESTMENT PROFESSIONAL USE ONLY Why Calamos Phineus Long/Short Equity-Like Returns with Superior Risk Profile Over Full Market Cycle
More informationRISK PARITY AND ALTERNATIVE RISK PREMIA: A HAPPY MARRIAGE
AJAY JAIN Head of Multi-Asset Class Portfolio Management WAI LEE Global Head of Quantitative Investments VANESSA ROSENTHAL Portfolio Specialist, Quantitative and Multi-Asset Class Investment Team OCTOBER
More informationFactor Investing & Smart Beta
Factor Investing & Smart Beta Raina Oberoi VP, Index Applied Research MSCI 1 Outline What is Factor Investing? Minimum Volatility Index Methodology Historical Performance and Index Characteristics Risk
More informationSan Francisco Retiree Health Care Trust Fund Education Materials on Public Equity
M E K E T A I N V E S T M E N T G R O U P 5796 ARMADA DRIVE SUITE 110 CARLSBAD CA 92008 760 795 3450 fax 760 795 3445 www.meketagroup.com The Global Equity Opportunity Set MSCI All Country World 1 Index
More informationGlobal Thematic (ETFs) Select UMA Managed Advisory Portfolios Solutions
Managed Advisory Portfolios Solutions 2000 Westchester Avenue Purchase, New York 10577 Style: Sub-Style: Firm AUM: Firm Strategy AUM: Global Equities $912.3 million $53.9 million Year Founded: GIMA Status:
More informationWells Fargo Target Date CITs E3
All information is as of 12-31-17 unless otherwise indicated. Overview General fund information Fund sponsor and manager: Wells Fargo Bank, N.A. Fund advisor: Wells Capital Management Inc. Portfolio manager:
More informationIT ONLY TAKES ONE INDEX TO CAPTURE THE WORLD THE MODERN INDEX STRATEGY. msci.com
IT ONLY TAKES ONE INDEX TO CAPTURE THE WORLD THE MODERN INDEX STRATEGY msci.com MSCI DELIVERS THE MODERN INDEX STRATEGY The MSCI ACWI Index, MSCI s flagship global equity benchmark, is designed to represent
More informationHOW TO BE MORE OPPORTUNISTIC
HOW TO BE MORE OPPORTUNISTIC HOW TO BE MORE OPPORTUNISTIC Page 2 Over the last decade, institutional investors across much of the developed world have gradually reduced their exposure to equity markets.
More informationWORKING TOGETHER Design Build Protect
WORKING TOGETHER Design Build Protect Presenter Presenter Title, Loring Ward 2016 LWI Financial Inc. All rights reserved. LWI Financial Inc. ( Loring Ward ) is an investment adviser registered with the
More informationDoes Economic Growth in Emerging Markets Drive Equity Returns?
Does Economic Growth in Emerging Markets Drive Equity Returns? Conrad Saldanha, CFA Portfolio Manager Emerging Market Equities August 00 Conventional wisdom suggests that a country s economic growth should
More informationValue and Profitability Premiums Across Sectors
Professional Use RESEARCH MATTERS Namiko Saito, PhD Senior Researcher Dimensional Fund Advisors September 2018 Value and Profitability Premiums Across Sectors Investors can use information contained in
More informationDIVERSIFICATION. Diversification
Diversification Helps you capture what global markets offer Reduces risks that have no expected return May prevent you from missing opportunity Smooths out some of the bumps Helps take the guesswork out
More informationINFORMATIONAL PACKET SEPTEMBER 30, Vident International Equity Fund VIDI
INFORMATIONAL PACKET SEPTEMBER 30, 2017 Vident International Equity Fund VIDI INVESTMENT FRAMEWORK Apply time-tested principles to investment research Identify sources of wealth creation Utilize time-tested
More informationCountry Size Premiums and Global Equity Portfolio Structure
RESEARCH Country Size Premiums and Global Equity Portfolio Structure This paper examines the relation between aggregate country equity market capitalizations and country-level market index returns. Our
More informationPortfolio Strategist Update from BlackRock Active Opportunity ETF Portfolios
Portfolio Strategist Update from BlackRock Active Opportunity ETF Portfolios As of Sept. 30, 2017 Ameriprise Financial Services, Inc., ("Ameriprise Financial") is the investment manager for Active Opportunity
More informationSummit Strategies Group
As of December 3, 203 US Equity: All Cap Russell 3000 Index 2.64 0.0 33.55 33.55 6.24 8.7 6.50 7.88 7.09 Dow Jones US Total Stock Market Index 2.63 0. 33.47 33.47 6.23 8.86 6.68 8.0 6.90 US Equity: Large
More informationPremium (Institutional Share Class) Simple. Performance.TM. Wellesley Hills Naples
Premium (Institutional Share Class) Simple. Performance.TM Wellesley Hills Naples Our investors seek relative outperformance in bull markets and absolute performance in bear markets. The BCM strategies
More informationFirst Quarter 2018 (as of December 31, 2017) The Factor Report. What s driving factor performance?
First Quarter 2018 (as of December 31, 2017) The Factor Report What s driving factor performance? Table of Contents Page Q4 Summary..................................................................................
More informationAlternative. Thinking. Second Quarter Exploring Rates Sensitivity
Alternative Thinking Exploring Rates Sensitivity Many investors are currently interested in risks related to monetary policy, rising yields and inflation. In this article we interpret rates broadly encompassing
More informationSummit Strategies Group
US Equity: All Cap Russell 000 Index -.69 2.40.9 6.22 0.59 4.7 2.79 9.78 Dow Jones US Total Stock Market Index -.70 2.4.4 6.2 0.55 4.2 2.76 9.8 US Equity: Large Cap Russell 000 Index -.67 2.75.62 6.70
More informationSummit Strategies Group
US Equity: All Cap Russell 000 Index.72 7.7 5.67 26.29 9.92.85.87 7.64 Dow Jones US Total Stock Market Index - - - - - - - - US Equity: Large Cap Russell 000 Index.87 7.95 5.96 25.5 0.9.94.9 7.69 Russell
More informationSummit Strategies Group
October, 208 US Equity: All Cap Russell 000 Index -7.6 -.95 2.4 6.60.27 0.8.8.5 Dow Jones US Total Stock Market Index -7.4-4.04 2.9 6.56.24 0.76.75.6 US Equity: Large Cap Russell 000 Index -7.08 -.5 2.67
More informationFocus on preservation of investor capital in down markets. Designed to put investor capital to work during sustained bull markets
A diversified portfolio including domestic equity, international, alternative, and fixed income components. ETF universe is ranked using a quantitative system based on market price anomalies and the direction
More informationTed Stover, Managing Director, Research and Analytics December FactOR Fiction?
Ted Stover, Managing Director, Research and Analytics December 2014 FactOR Fiction? Important Legal Information FTSE is not an investment firm and this presentation is not advice about any investment activity.
More informationSummit Strategies Group
April 0, 205 US Equity: All Cap Russell 000 Index 0.45 5.9 2.26 2.74 6.86 4. 8.68 8.66 Dow Jones US Total Stock Market Index 0.46 5.9 2.27 2.67 6.78 4.7 8.78 8.8 US Equity: Large Cap Russell 000 Index
More informationFreedom Quarterly Market Commentary // 2Q 2018
ASSET MANAGEMENT SERVICES Freedom Quarterly Market Commentary // 2Q 2018 SECOND QUARTER HIGHLIGHTS U.S. economic growth and earnings lead the world The value of the dollar rises, affecting currency exchange
More informationHedge Fund Index Replication. September 2013
Hedge Fund Index Replication September 2013 Introduction Hedge Fund Investing What products enable hedge fund investing? Build and manage your own portfolio of HFs Select and allocate to Funds of HFs (FoFs)
More informationVantage Investment Partners. Quarterly Market Review
Vantage Investment Partners Quarterly Market Review First Quarter 2016 Quarterly Market Review First Quarter 2016 This report features world capital market performance and a timeline of events for the
More informationBetting Against Correlation:
Betting Against Correlation: Testing Making Theories Leverage for Aversion the Low-Risk Great Again Effect (#MLAGA) Clifford S. Asness Managing and Founding Principal For Institutional Investor Use Only
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 informationMOMENTUM INVESTING: SIMPLE, BUT NOT EASY
MOMENTUM INVESTING: SIMPLE, BUT NOT EASY As Of Date: 9/5/2018 Wesley R. Gray, PhD T: +1.215.882.9983 F: +1.216.245.3686 ir@alphaarchitect.com 213 Foxcroft Road Broomall, PA 19008 Empower Investors Through
More informationBlackstone Alternative Alpha Fund (BAAF)
Blackstone Alternative Alpha Fund (BAAF) Blackstone For Purchase by Accredited Investors Only As of March 31, 2017 Investment approach Fund net performance 1, 2, 3 Blackstone Alternative Alpha Fund ( BAAF
More informationFACTOR INVESTING: Targeting your investment needs. Seek to enhance returns Manage risk Focused outcomes
FACTOR INVESTING: Targeting your investment needs Seek to enhance returns Manage risk Focused outcomes 1 Table of Contents Introduction What is factor investing? How to use factors in a portfolio Fidelity
More informationCharts for the beach. Richard Bernstein. Global Growth in Money Supply *vs. Inflation Rate. Emerging market problems are secular, not short-term.
CPI Y/Y % Charts for the beach Richard Bernstein August 9, 2013 Our basic positions are now famous (or infamous). We continue to favor US assets and to shield our portfolios from the on-going and broad
More informationJPMorgan Europe Strategic Dividend Fund
AVAILABLE FOR PUBLIC CIRCULATION NEW JPMorgan Europe Strategic Dividend Fund Asset Management Company of the Year, Asia + Important information 1. The Fund invests at least 70% in equity securities of
More informationTailwinds Tactical Portfolio Suite
Tailwinds Tactical Portfolio Suite Newfound Case ID: 4176917 1 December 2015 The Newfound Mission Defensive Simple Consistent Thoughtful In August 2008, Newfound Research was founded based on a simple,
More informationQuarterly Investment Update
Quarterly Investment Update Second Quarter 2017 Dimensional Fund Advisors Canada ULC ( DFA Canada ) is not affiliated with The CM Group DFA Canada is a separate and distinct company Market Update: A Quarter
More informationINFORMATION CIRCULAR: DBX ETF TRUST
INFORMATION CIRCULAR: DBX ETF TRUST TO: FROM: Head Traders, Technical Contacts, Compliance Officers, Heads of ETF Trading, Structured Products Traders NASDAQ / BX / PHLX Listing Qualifications Department
More informationInnovative solutions to add alpha & manage risk
Client Education Summit 2012 Multi-asset: Innovative solutions to add alpha & manage risk Multi Asset Management October 10, 2012 Agenda The case for multi-asset An "all-weather" approach Flexibility is
More informationSummit Strategies Group
May, 208 US Equity: All Cap Russell 000 Index 2.82.4 2.55 5.06 0.72 2.85 2.6 9.2 Dow Jones US Total Stock Market Index 2.8.5 2.57 5.09 0.68 2.78 2.58 9.27 US Equity: Large Cap Russell 000 Index 2.55 0.57
More informationSummit Strategies Group
June 0, 208 US Equity: All Cap Russell 000 Index 0.65.89.22 4.78.58.29.0 0.2 Dow Jones US Total Stock Market Index 0.66.87.25 4.79.56.22 2.98 0.28 US Equity: Large Cap Russell 000 Index 0.65.57 2.85 4.54.64.7.2
More informationSummit Strategies Group
August, 208 US Equity: All Cap Russell 000 Index.5 7.65 0.9 20.25 5.86 4.25 5.50 0.89 Dow Jones US Total Stock Market Index.48 7.64 0.4 20.26 5.82 4.2 5.45 0.94 US Equity: Large Cap Russell 000 Index.45
More informationSummit Strategies Group
October, 208 US Equity: All Cap Russell 000 Index -7.6 -.95 2.4 6.60.27 0.8.8.5 Dow Jones US Total Stock Market Index -7.4-4.04 2.9 6.56.24 0.76.75.6 US Equity: Large Cap Russell 000 Index -7.08 -.5 2.67
More informationVALUE AND MOMENTUM EVERYWHERE
AQR Capital Management, LLC Two Greenwich Plaza, Third Floor Greenwich, CT 06830 T: 203.742.3600 F: 203.742.3100 www.aqr.com VALUE AND MOMENTUM EVERYWHERE Clifford S. Asness AQR Capital Management, LLC
More informationInternational Statistical Release
International Statistical Release This release and additional tables of international statistics are available on efama s website (www.efama.org) Worldwide Investment Fund Assets and Flows Trends in the
More informationQuarterly Investment Update First Quarter 2017
Quarterly Investment Update First Quarter 2017 Market Update: A Quarter in Review March 31, 2017 CANADIAN STOCKS INTERNATIONAL STOCKS Large Cap Small Cap Growth Value Large Cap Small Cap Growth Value Emerging
More informationBrent Leadbetter, CFA, and John West, CFA
There s Diversity in Value Brent Leadbetter, CFA, and John West, CFA John West, CFA Market inefficiencies have existed as long as there have been markets. KEY POINTS 1. The excess returns captured by a
More informationRBS Environmental Strategy Index
Equity Structured Business Retail area RBS Environmental Strategy Index What is an index? An index is a tool for measuring the performance of a collection of financial assets. It may, for example, be composed
More informationA Framework for Understanding Defensive Equity Investing
A Framework for Understanding Defensive Equity Investing Nick Alonso, CFA and Mark Barnes, Ph.D. December 2017 At a basketball game, you always hear the home crowd chanting 'DEFENSE! DEFENSE!' when the
More informationFocus on preservation of investor capital in down markets. Designed to put investor capital to work during sustained bull markets
Portfolio A diversified 403(b) portfolio including domestic equity, international, alternative, and fixed income components. ETF universe is ranked using a quantitative system based on market price anomalies
More informationA Classic Barometer. Insights April Richard Bernstein, Chief Executive and Chief Investment Officer. A classic barometer says US ok; EM not.
, Chief Executive and Chief Investment Officer Advisors Independent investment advisor with a unique top-down, macro approach to investing with quantitative security selection. A Classic Barometer $2.9B
More informationHow Much Should DC Savers Worry about Expected Returns?
Volume 5 1 2 www.practicalapplications.com How Much Should DC Savers Worry about Expected Returns? ANTTI ILMANEN, MATTHEW RAUSEO, and LIZA TRUAX The Voices of Influence iijournals.com Practical Applications
More informationHOW DO YOU DEFINE YOUR BORDERS? THE MODERN INDEX STRATEGY. msci.com
HOW DO YOU DEFINE YOUR BORDERS? THE MODERN INDEX STRATEGY msci.com MSCI DELIVERS THE MODERN INDEX STRATEGY The MSCI EAFE Index is designed to represent the performance of large- and mid-cap securities
More informationMarket Briefing: Global Markets
Market Briefing: Global Markets July 6, 218 Dr. Edward Yardeni 516-972-7683 eyardeni@ Mali Quintana 48-664-1333 aquintana@ Please visit our sites at blog. thinking outside the box Table Of Contents Table
More informationDimensions of Equity Returns in Europe
RESEARCH Dimensions of Equity Returns in Europe November 2015 Stanley Black, PhD Vice President Research Philipp Meyer-Brauns, PhD Research Size, value, and profitability premiums are well documented in
More informationFEES SCHEDULE (COPPER / GOLD)
FEES SCHEDULE (COPPER / GOLD) Applicable from April 208 excluding discretionary management agreement and investment advisory agreement CBP Quilvest LU EN Fees Schedule Excluding Management April 208 /5
More informationAspiriant Risk-Managed Equity Allocation Fund RMEAX Q4 2018
Aspiriant Risk-Managed Equity Allocation Fund Q4 2018 Investment Objective Description The Aspiriant Risk-Managed Equity Allocation Fund ( or the Fund ) seeks to achieve long-term capital appreciation
More informationChart Collection for Morning Briefing
Chart Collection for Morning Briefing February 12, 219 Dr. Edward Yardeni 516-972-7683 eyardeni@ Mali Quintana 48-664-1333 aquintana@ Please visit our sites at blog. thinking outside the box 25 Figure
More informationWHY VALUE INVESTING IS SIMPLE, BUT NOT EASY
WHY VALUE INVESTING IS SIMPLE, BUT NOT EASY Prepared: 3/10/2015 Wesley R. Gray, PhD T: +1.215.882.9983 F: +1.216.245.3686 ir@alphaarchitect.com 213 Foxcroft Road Broomall, PA 19008 Affordable Active Management
More informationDiversified Growth Fund
Diversified Growth Fund A Sophisticated Approach to Multi-Asset Investing Introduction The Trustee of the NOW: Pensions Scheme has appointed NOW: Pensions Investment A/S Fondsmæglerselskab A/S as Investment
More informationThe Current and Long- Term Case for Overseas Investing
The Current and Long- Term Case for Overseas Investing Q1 2017 TP666 Bank of America Corporation ( Bank of America ) is a financial holding company that, through its subsidiaries and affiliated companies,
More information