What Institutional Investors are Looking for from Hedge Funds. CTA-EXPO Chicago September 2015
|
|
- Paul Griffith
- 6 years ago
- Views:
Transcription
1 What Institutional Investors are Looking for from Hedge Funds CTA-EXPO Chicago September 2015
2 let s look briefly at: The role hedge funds are playing in institutional portfolios Why are Institutions adding to hedge funds when equities have been strong Who is Investing in Hedge Funds What are some Key statistical criteria that institutional investors are looking at 1
3 The Role Alternatives Can Play in Asset Allocation Risk Reduction for a Portfolio s Equity Exposure (partially replacing Fixed Income) Downside Risk Mitigation Diversification of Sources of Return Attractive Risk Adjusted Returns Defense Against Selected Tail Risks 2
4 Hedge Fund Performance vs. Stocks & Bonds hedge funds perform favorably over the long term periods ending 31 Dec 2013 Source: AIMA, Research Paper, Apples and Apples: How to better understand hedge fund performance, 2013, page 3. For further detail on the Indices referred to in this and subsequent exhibits, please see the footnotes in the Disclosure page at the end of this document. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. 3
5 Hedge Fund Risk vs. Stocks & Bonds hedge funds have bond-like volatility; half that of stocks annualized volatility: periods ending 31 Dec 2013 Source: AIMA, Research Paper, Apples and Apples: How to better understand hedge fund performance, 2013, page 4 PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. 4
6 Periods When Hedge Funds Outperform Equities hedge funds outperform equities consistently except in major equity uptrends periods from 1990 to 2013 Source: Barclays Bank, Waiting to Exhale: 2014 Global Hedge Fund Investor Trends and Allocation Outlook, August 2013, page 16 PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. 5
7 Hedge Funds Can Mitigate Tail Risks Not viewed as a separate asset class Source: Commonfund, Alternatives Reality: What to Expect from Future Allocations, December 2013, page 4 6
8 Have Hedge Funds Met Institutional Expectations? institutions evaluate alternatives very positively Source: Prequin, Prequin Investor Outlook: Alternative Assets H1 2014, July 2014, page 3 7
9 Investor Intentions for Hedge Funds Longer Term institutions intend to increase allocations Source: Prequin, Prequin Investor Outlook: Alternative Assets H1 2014, July 2014, page 4 8
10 How Much is Allocated to Alternatives? endowments in particular have moved aggressively into alternatives NACUBO-Commonfund study of endowments Source: Commonfund, Alternatives Reality: What to Expect from Future Allocations, December 2013, page 2 9
11 How Much is Allocated to Hedge Funds? the answer for Endowments and Foundations % allocated to HFs: 2013 vs Source: Barclays Bank, Waiting to Exhale: 2014 Global l Hedge Fund Investor Trends and Allocation Outlook, August 2013, page 7 10
12 How Much is Allocated to Hedge Funds? the answer for Family Offices % allocated to HFs: 2013 vs Source: Barclays Bank, Waiting to Exhale: 2014 Global l Hedge Fund Investor Trends and Allocation Outlook, August 2013, page 7 11
13 How Much is Allocated to Hedge Funds? the answer for Private Banks % allocated to HFs: 2013 vs Source: Barclays Bank, Waiting to Exhale: 2014 Global l Hedge Fund Investor Trends and Allocation Outlook, August 2013, page 7 12
14 Much is Allocated to Hedge Funds? the answer for Public Pensions % allocated to HFs: 2013 vs Source: Barclays Bank, Waiting to Exhale: 2014 Global l Hedge Fund Investor Trends and Allocation Outlook, August 2013, page 7 13
15 How Much is Allocated to Hedge Funds? the answer varies considerably depending on the investor % allocated to HFs: 2013 vs Source: Barclays Bank, Waiting to Exhale: 2014 Global l Hedge Fund Investor Trends and Allocation Outlook, August 2013, page 7 14
16 Performance Analysis Report HFRI Macro Systematic Diversified Index (Jan1990 Aug 2015) Source: Silvercrest Asset Management PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. 15
17 Some Key Statistical Criteria for Evaluating Managers Risk/Return comparisons HFRI Macro: Systematic diversified Index over period Jan 1990 Aug 2015) Source: Silvercrest Asset Management PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. 16
18 Some Key Statistical Criteria for Evaluating Managers Alpha and Beta relative to Equities HFRI Macro: Systematic diversified Index (over period Jan 1990 Aug 2015) Source: Silvercrest Asset Management PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. 17
19 Some Key Statistical Criteria for Evaluating Managers Alpha and Beta relative to Equities: Considerable Variation HFRI Macro: Systematic diversified Index (over period Jan 1990 Aug 2015) Source: Silvercrest Asset Management PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. 18
20 Some Key Statistical Criteria for Evaluating Managers Down Capture relative to Equities HFRI Macro: Systematic diversified Index over period Jan 1990 Aug 2015) 1. See definitions of the Capture Ratios in Notes at end of the document. Source: Silvercrest Asset Management PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. 19
21 Some Key Statistical Criteria for Evaluating Managers Down Capture relative to Bonds and Hedge Funds HFRI Macro: Systematic diversified Index over period Jan 1990 Aug 2015) Source: Silvercrest Asset Management PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. 20
22 Some Key Statistical Criteria for Evaluating Managers Comparisons against worst months for key benchmarks HFRI Macro: Systematic diversified Index over period Jan 1990 Aug 2015) Source: Silvercrest Asset Management PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. 21
23 Some Key Statistical Criteria for Evaluating Managers Convexity graph versus equities HFRI Macro: Systematic diversified Index over period Jan 1990 Aug 2015) Source: Silvercrest Asset Management 22
24 Why Smaller Hedge Funds? Smaller hedge funds have consistently outperformed larger ones Smaller hedge funds have consistently outperformed the larger hedge funds January 2001 March 2011 Source: Arden Asset Management, Size and Age Matter: An Empirical Analysis of Size and Age on Hedge Fund Returns May 2011, page 5 PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. 23
25 Cumulative Returns by Hedge Fund Size the power of compounding makes a big difference over time Source: Arden Asset Management, Size and Age Matter: An Empirical Analysis of Size and Age on Hedge Fund Returns May 2011, page 5 24
26 Size Matters Even More in the Macro Space Smaller hedge funds have significantly outperformed the larger funds Period: Jan 2001 Mar 2011 Source: Arden Asset Management, Size and Age Matter: An Empirical i Analysis of Size and Age on Hedge Fund Returns May 2011, page 6 PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. 25
27 Younger Hedge Funds Outperform younger hedge funds have consistently outperformed more mature ones Period: Jan 2001 Mar 2011 Source: Arden Asset Management, Size and Age Matter: An Empirical i Analysis of Size and Age on Hedge Fund Returns May 2011, page 8 PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. 26
28 Momentum and its Implications for Managed Futures the rise of smart beta in the form of simple momentum 12-month Trend-following Sharpe ratios for individual assets and asset classes January 1880 September 2014 Source: Hurst, B., Ooi, Y.H., and J.H Pederson, Demystifying Managed Futures, Journal of Investment Management, (2013) and updated by AQR PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. 27
29 But Manager Selection Makes a Big Difference wide variation in returns Range of annual performance for equity long/short hedge funds: large versus small January 2003 December 2012 Source: Beachhead Capital Management, Performance of Emerging Equity Long/Short Hedge Fund Managers , February 2013, page 6 Source: Beachhead Capital Management, Performance of Emerging glong/short Hedge Fund Managers , February 2013,,page 6 PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. 28
30 Periodic Table of Hedge Fund and Index Returns a reminder of the challenge and opportunity in asset allocation 29
31 Michael Dubin Silvercrest Asset Management Group LLC 1330 Avenue of the Americas, 38 th floor New York, NY Tel: Notes: Capture Ratio Definitions 30
32 Important Disclosures PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. For the exhibits in this document, the S&P 500 Index is a capitalization-weighted, unmanaged index that measures 500 widely held US common stocks of leading companies in leading industries, representative of the broad US equity market. The MSCI World Index is a free float-adjusted capitalization-weighted, unmanaged index that measures widely held global common stocks of leading companies in leading industries in developed markets, representative of the broad global equity market in developed countries. The Barclays Aggregate Bond Index is a broad-based benchmark that measures the investment grade, U.S. dollardenominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, MBS (agency fixed-rate and hybrid ARM passthroughs), ABS, and CMBS. The S&P GSCI is an index of principal physical commodities calculated primarily on a world production-weighted basis, comprised of principal physical commodities that are subject of active, liquid futures markets. The HFRI Hedge Fund-of-Funds Index (HFRI FOF) is an equal weighted performance index based on a set of the hedge fund-of-funds in the Hedge Fund Research (HFR) data base. Hedge funds are speculative and involve a number of risks including those associated with the use of leverage, options, derivative instruments, futures, illiquid investments and short sales. In addition, alternative investment funds with an emphasis on specific industry sector and/or public and private companies present certain risks that may not exist in a more diversified portfolio. Multi-manager funds are dependant not only on the investment performance of individual managers but also on the ability of the investment manager to effectively allocate the fund s assets. Investors may not receive the full amount invested upon redemption or withdrawal. Exchange rate fluctuations may affect fund returns. When investing in hedge funds or in multi-manager alternative investments, an investor should carefully evaluate the risks involved when investing, including, but not limited to the following: 1. Transparency with respect to the holdings of investments held in portfolio funds may be limited; 2. There is no secondary market for an investor s interests in hedge funds, liquidity may be limited and restrictions may be imposed on transferring interests in the Fund; 3. Incentive fees/allocations could encourage parties to make investments that are riskier or more speculative, and 4. many hedge funds are not subject to any comprehensive regulatory scheme. Silvercrest LLC believes that the information contained herein is accurate as of the date of the materials. No entity of Silvercrest makes any warranties of accuracy of the information, and they shall not be liable for any losses or damages relating to it. This document represents the personal views of the author, which are not necessarily the views of Silvercrest Asset Management Group LLC. The document is issued by Silvercrest Asset Management Group LLC ( Silvercrest LLC ), which is authorized and regulated by the Commodity Futures Trading Commission ( CFTC ) and the National Futures Association ( NFA ). Recipients of these materials may not share them with any other person or party without the prior written approval of Silvercrest LLC. All recipients of these materials understand that they are confidential/proprietary to Silvercrest LLC and such recipients agree to treat them as such. The information and opinions contained in this document are for background purposes only and do not purport to be full or complete; it may be subject to revision. This document is not intended to be construed as an offer or solicitation of securities or any investment product. Nor does this document constitute investment advice. It may not be reproduced, further distributed or published by any recipient without prior permission from Silvercrest LLC. No representation, warranty, or undertaking, express or limited is given as to the accuracy or completeness of the information or opinions contained in this document by any of Silvercrest LLC, its partners or employees and no liability is accepted by such persons for the accuracy or completeness of any information or opinions. The value of investments and any income generated may go down as well as up and may be affected by fluctuations in exchange rates. Silvercrest Asset Management Group LLC is registered in the United States (NFA # ) Business Address: 1330 Avenue of the Americas, New York, New York
Advisor 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 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 informationManaged Futures as a Crisis Risk Offset Strategy
Managed Futures as a Crisis Risk Offset Strategy SOLUTIONS & MULTI-ASSET MANAGED FUTURES INVESTMENT INSIGHT SEPTEMBER 2017 While equity markets and other asset prices have generally retraced their declines
More informationHow to Think About Correlation Numbers: Long-Term Trends versus Short-Term Noise
How to Think About Correlation Numbers: Long-Term Trends versus Short-Term Noise SOLUTIONS & MULTI-ASSET MANAGED FUTURES INVESTMENT INSIGHT 2018 A Discussion on Correlation AUTHORS The primary goal for
More informationCorrelation 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 informationFortigent Alternative Investment Strategies Model Wealth Portfolios Fortigent, LLC.
Fortigent Alternative Investment Strategies Model Wealth Portfolios Important Disclaimers The information provided is for educational purposes only and is not intended to be, and should not be construed
More informationAlternative 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 informationAlphaCentric Hedged Market Opportunity Fund
AlphaCentric Hedged Market Opportunity Fund HMXAX HMXCX HMXIX Q1 2018 Presentation Seeks to achieve capital appreciation with lower overall volatility than the equity market For Registered Investment Professional
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 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 informationQ Performance Report
Q1 2018 Performance Report Generated by: NASDAQ: TIPRX (A Shares) Investing in the Fund involves risks, including the risk that you may receive little or no return on your investment or that you may lose
More informationWhite Paper Alternative Investments: Incorporating a Turnkey Solution
White Paper Alternative Investments: Incorporating a Turnkey Solution July 2017 Executive Summary Alternative investments have been gaining wide acceptance in many investors portfolios as a way to provide
More informationThe Evolution of Alternative Beta: Using Index-Based Investment Strategies
Filed pursuant to Rule 433 Registration Statement No. 333-180300-03 Investor Solutions The Evolution of Alternative Beta: Using Index-Based Investment Strategies This presentation may not be altered except
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 informationCombining Commodities Alpha and Beta. Jon Stein AlphaMetrix Investment Advisors QWAFAFEW Presentation May 31, 2006
Combining Commodities Alpha and Beta Jon Stein AlphaMetrix Investment Advisors QWAFAFEW Presentation May 31, 2006 2 Important Information The information contained in this document is not meant to be exhaustive.
More informationAlphaSolutions Multi-Sector Fixed Income Model
AlphaSolutions Multi-Sector Fixed Income Model A fixed income model based on trending and momentum strategies Portfolio Goals Primary: Seeks to invest in highranked sectors within the fixed income market
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 informationWhy and How to Pick Tactical for Your Portfolio
Why and How to Pick Tactical for Your Portfolio A TACTICAL PRIMER Markets and economies have exhibited characteristics over the past two decades dissimilar to the years which came before. We have experienced
More informationHedge Fund Overview. Concordia University, Nebraska
Hedge Fund Overview Concordia University, Nebraska AUGUST 2016 Important Information Please remember that all investments carry some level of risk, including the potential loss of principal invested. They
More informationFactual Studies on Managed Futures Interaction with Stocks
Factual Studies on Managed Futures Interaction with Stocks Trading futures and options involves substantial risk of loss and is not suitable for all investors. The use of the phrase Managed Futures refers
More informationAlternatives 101. Tools for Enhancing Asset Allocation ALTERNATIVES 101: TOOLS FOR ENHANCING ASSET ALLOCATION 1
Alternatives 101 Tools for Enhancing Asset Allocation ALTERNATIVES 101: TOOLS FOR ENHANCING ASSET ALLOCATION 1 Your financial advisor may recommend an alternative investment to enhance your portfolio s
More informationThinking. Alternative. Third Quarter The Role of Alternative Beta Premia
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
More informationhedge fund indexing September 2007
hedge fund indexing With a focus on delivering absolute returns, hedge fund strategies continue to attract significant and growing assets from institutions and high-net-worth investors. The potential costs,
More informationThe Future of Alternatives and Their Role within Asset Allocations
NORTHERN TRUST 2009 INSTITUTIONAL CLIENT CONFERENCE GLOBAL REACH, LOCAL EXPERTISE The Future of Alternatives and Their Role within Asset Allocations John Krieg, CFA, CAIA Director of Global Investment
More informationMyths & misconceptions
ALTERNATIVE INVESTMENTS Myths & misconceptions Many investors mistakenly think of alternative investments as being only for ultra-high-net-worth individuals and institutions. However, due to a number of
More informationAlternative Investments: Incorporating a Turnkey Solution
Alternative Investments: Incorporating a Turnkey Solution December 12, 2016 by Brad Alford of Value Line Funds Executive Summary Alternative investments have been gaining wide acceptance in many investors
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 informationMANAGED FUTURES INDEX
MANAGED FUTURES INDEX COMMENTARY + STRATEGY FACTS JUNE 2018 CUMULATIVE PERFORMANCE ( SINCE JANUARY 2007* ) 120.00% 100.00% 80.00% 60.00% 40.00% 20.00% 0.00% AMFERI BARCLAY BTOP50 CTA INDEX S&P 500 S&P
More informationWhy Managed Futures? Vittorio Faillace
Why Managed Futures? Vittorio Faillace +41 (0) 43 455 75 75 vittorio.faillace@gapzurich.ch The Case for Managed Futures In today s investment arena, with an ever-increasing need for diversification, transparency,
More informationMANAGED FUTURES INDEX
MANAGED FUTURES INDEX COMMENTARY + STRATEGY FACTS JANUARY 2018 CUMULATIVE PERFORMANCE ( SINCE JANUARY 2007* ) 120.00% 100.00% 80.00% 60.00% 40.00% 20.00% 0.00% AMFERI BARCLAY BTOP50 CTA INDEX S&P 500 S&P
More informationFUND OF HEDGE FUNDS DO THEY REALLY ADD VALUE?
FUND OF HEDGE FUNDS DO THEY REALLY ADD VALUE? Florian Albrecht, Jean-Francois Bacmann, Pierre Jeanneret & Stefan Scholz, RMF Investment Management Man Investments Hedge funds have attracted significant
More informationGROWTH FIXED INCOME APRIL 2013
GROWTH FIXED INCOME APRIL 2013 BACKGROUND Most investors view fixed income investments as providing a liability-matching or defensive aspect to their total portfolio. The types of investments considered
More informationThe Benefits of Recent Changes to Trustees Investment Powers. June 2006
The Benefits of Recent Changes to Trustees Investment Powers June 2006 Financial Markets and Rollercoasters Spot the Difference? Performance from 1 Jan 1998 to 31 Mar 2006 80 % 60 % 40 % 20 % 0 % -20 %
More informationBROAD COMMODITY INDEX
BROAD COMMODITY INDEX COMMENTARY + STRATEGY FACTS APRIL 2017 80.00% CUMULATIVE PERFORMANCE ( SINCE JANUARY 2007* ) 60.00% 40.00% 20.00% 0.00% -20.00% -40.00% -60.00% -80.00% ABCERI S&P GSCI ER BCOMM ER
More informationLOSS AVERSE INVESTING STRATEGIES UPDATE
PORTFOLIO MANAGERS: Patrick S. Adams, CFA Rick Garcia PHONE: 800-777-0818 EMAIL: information@pvgasset.com WEBSITE: www.pvgassetmanagement.com LOSS AVERSE INVESTING STRATEGIES UPDATE ADDRESS: 6898 S. University
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 informationBuilding Efficient Hedge Fund Portfolios August 2017
Building Efficient Hedge Fund Portfolios August 2017 Investors typically allocate assets to hedge funds to access return, risk and diversification characteristics they can t get from other investments.
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 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 informationAlphaSolutions Sector Rotation Model
AlphaSolutions Sector Rotation Model An investment model based on trending and momentum strategies Portfolio Goals Primary: Seeks long term growth of capital by investing in highranked U.S. Equity Sectors
More informationMANAGED FUTURES INDEX
MANAGED FUTURES INDEX COMMENTARY + STRATEGY FACTS JULY 2018 CUMULATIVE PERFORMANCE ( SINCE JANUARY 2007* ) 120.00% 100.00% 80.00% 60.00% 40.00% 20.00% 0.00% AMFERI BARCLAY BTOP50 CTA INDEX S&P 500 S&P
More informationAI: Weighted Sector Strategy DEC
KEN STERN & ASSOCIATES DEC 31 2016 1 Tactical Rebalanced AI: Strategy DEC 31 2016 Ken Stern & Associates Strategy seeks to track the investment results of the Morgan Stanley Capital International USA Investable
More informationMANAGED FUTURES INDEX
MANAGED FUTURES INDEX COMMENTARY + STRATEGY FACTS JANUARY 2019 CUMULATIVE PERFORMANCE ( SINCE JANUARY 2007* ) 140.00% 120.00% 100.00% 80.00% 60.00% 40.00% 20.00% 0.00% AMFERI BARCLAY BTOP50 CTA INDEX S&P
More informationTOTAL RETURN MARCH Newfound Case ID:
TOTAL RETURN MARCH 2015 Newfound Case ID: 3377049 1 THE NEWFOUND MISSION Newfound Research s product suite has been designed to balance the desire to pursue growth with the need to avoid large drawdowns.
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 informationBALANCED FUND. 25 Years of Dynamic Asset Allocation. 4Q17 Asset Allocation. Overall Morningstar Rating TM
4Q17 Asset Allocation BALANCED FUND 25 Years of Dynamic Asset Allocation A: JDBAX C: JABCX I: JBALX N: JABNX R: JDBRX S: JABRX T: JABAX Overall Morningstar Rating TM Based on risk adjusted returns as of
More informationBlackstone Alternative Alpha Fund (BAAF)
Blackstone Alternative Alpha Fund (BAAF) Blackstone For Accredited Investors Only As of July 31, 2017 Investment Approach Fund Performance 1, 2, 3 Blackstone Alternative Alpha Fund ( BAAF or the Fund )
More informationGlobal Investment Strategy Report
Global Investment Strategy Global Investment Strategy Report June 19, 2017 Justin Lenarcic Global Alternative Investment Strategist Weekly market insights from the Global Investment Strategy team» The
More informationINVESTING 4 STEPS TO AN EFFECTIVE PORTFOLIO
INVESTING 4 STEPS TO AN EFFECTIVE PORTFOLIO Invested in Your Goals 4 Steps to an Effective Portfolio Investing makes it possible for many of us to achieve important lifetime goals, such as retirement.
More informationMANAGED FUTURES INDEX
MANAGED FUTURES INDEX COMMENTARY + STRATEGY FACTS SEPTEMBER 2018 CUMULATIVE PERFORMANCE ( SINCE JANUARY 2007* ) 140.00% 120.00% 100.00% 80.00% 60.00% 40.00% 20.00% 0.00% AMFERI BARCLAY BTOP50 CTA INDEX
More informationGuided Equity Allocation
September 2017 Guided Equity Allocation VanEck Vectors NDR CMG Long/Flat Allocation ETF Disclosures This material does not constitute an offer to sell or solicitation to buy any security, including shares
More informationMANAGED FUTURES INDEX
MANAGED FUTURES INDEX COMMENTARY + STRATEGY FACTS JULY 2017 CUMULATIVE PERFORMANCE ( SINCE JANUARY 2007* ) 120.00% 100.00% 80.00% 60.00% 40.00% 20.00% 0.00% AMFERI BARCLAY BTOP50 CTA INDEX S&P 500 S&P
More informationBuilding Hedge Fund Portfolios Capable of Generating Absolute Return within Stressful Market Environments
Building Hedge Fund Portfolios Capable of Generating Absolute Return within Stressful Market Environments Presented to: October 20, 2011 Paul Lucek SSARIS Advisors, LLC SSARIS Advisors, LLC Wilton Corporate
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 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 informationLazard Insights. Distilling the Risks of Smart Beta. Summary. What Is Smart Beta? Paul Moghtader, CFA, Managing Director, Portfolio Manager/Analyst
Lazard Insights Distilling the Risks of Smart Beta Paul Moghtader, CFA, Managing Director, Portfolio Manager/Analyst Summary Smart beta strategies have become increasingly popular over the past several
More informationBROAD COMMODITY INDEX
BROAD COMMODITY INDEX COMMENTARY + STRATEGY FACTS JUNE 2017 80.00% CUMULATIVE PERFORMANCE ( SINCE JANUARY 2007* ) 60.00% 40.00% 20.00% 0.00% -20.00% -40.00% -60.00% -80.00% ABCERI S&P GSCI ER BCOMM ER
More informationHypothetical Growth of $100,000 August 1, 2013 June 30, 2016
June 30, 2016 Steben Select Multi-Strategy Fund I Shares Dear Investor: Steben Select Multi-Strategy Fund I Shares (Steben Select) gained 1.10% in the second quarter of 2016, bringing year-to-date performance
More informationHo Ho Quantitative Portfolio Manager, CalPERS
Portfolio Construction and Risk Management under Non-Normality Fiduciary Investors Symposium, Beijing - China October 23 rd 26 th, 2011 Ho Ho Quantitative Portfolio Manager, CalPERS The views expressed
More informationManaged Futures managers look for intermediate involving the trading of futures contracts,
Managed Futures A thoughtful approach to portfolio diversification Capability A properly diversified portfolio will include a variety of investments. This piece highlights one of those investment categories
More informationCrabel Capital Management, LLC
Commodity Trading Advisors (CTAs) provide advice and services related to trading and investment strategies utilizing futures contracts and options on futures contracts on a wide variety of physical goods
More informationAlternative Investments in a Changing World
NORTHERN TRUST 2010 PROGRAM SOLUTIONS CONFERENCE Investment Solutions in an Uncertain World: WHAT S NEXT? Alternative Investments in a Changing World Andrew C Smith, CFA, Chief Investment Officer, NTGA
More informationThe Difficulty with Portable Alpha: Finding the Alpha
The Difficulty with Portable Alpha: Finding the Alpha Dave Tsujimoto Director, Alternative Investments Russell Investment Group Important Information Copyright 2006 Russell Investment Group. All rights
More informationEvolving Equity Investing: Delivering Long-Term Returns in Short-Tempered Markets
March 2012 Evolving Equity Investing: Delivering Long-Term Returns in Short-Tempered Markets Kent Hargis Portfolio Manager Low Volatility Equities Director of Quantitative Research Equities This information
More informationStatement of Investment Objectives Exhibit A: Michigan State University s Common Investment Fund
Statement of Investment Objectives Exhibit A: Michigan State University s Common Investment Fund INTRODUCTION This statement defines the investment objectives of Michigan State University s Common Investment
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 informationI-4 UC Absolute Return (AR) Program
I-4 Committee on Investments/ Investment Advisory Group November 2, 2010 Hedge Fund Industry Update FY 2009/2010 Consistent growth has returned to the hedge fund industry following the market turmoil of
More informationManaged Futures: A Real Alternative
Managed Futures: A Real Alternative By Gildo Lungarella Harcourt AG Managed Futures investments performed well during the global liquidity crisis of August 1998. In contrast to other alternative investment
More informationRISK DISCLOSURE STATEMENT
RISK DISCLOSURE STATEMENT TRADING FUTURES AND OPTIONS INVOLVES SUBSTANTIAL RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS. THERE ARE NO GUARANTEES OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY. PAST
More informationThird Quarter 2015 FUND COMMENTARY FOR PURCHASE BY ACCREDITED INVESTORS ONLY
Third Quarter 2015 FUND COMMENTARY FOR PURCHASE BY ACCREDITED INVESTORS ONLY Third Quarter 2015 Performance Review: Blackstone Alternative Alpha Fund (BAAF) i The Blackstone Alternative Alpha Fund (BAAF)
More informationBROAD COMMODITY INDEX
BROAD COMMODITY INDEX COMMENTARY + STRATEGY FACTS JULY 2018 100.00% 80.00% 60.00% 40.00% 20.00% 0.00% -20.00% -40.00% -60.00% CUMULATIVE PERFORMANCE ( SINCE JANUARY 2007* ) -80.00% ABCERI S&P GSCI ER BCOMM
More informationLow Correlation Strategy Investment update to 31 March 2018
The Low Correlation Strategy (LCS), managed by MLC s Alternative Strategies team, is made up of a range of diversifying alternative strategies, including hedge funds. A distinctive alternative strategy,
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 informationDefined Benefit Plans and Hedge Funds: Enhancing Returns and Managing Volatility. By introducing a hedge
By introducing a hedge fund allocation to their portfolios, DB plans may be able to reduce volatility and increase downside protection. Alessandra Tocco Global Head of Capital Introduction Defined Benefit
More informationBROAD COMMODITY INDEX
BROAD COMMODITY INDEX COMMENTARY + STRATEGY FACTS AUGUST 2018 120.00% 100.00% 80.00% 60.00% 40.00% 20.00% 0.00% -20.00% -40.00% -60.00% CUMULATIVE PERFORMANCE ( SINCE JANUARY 2007* ) -80.00% ABCERI S&P
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 informationTactical Income ETF. Investor Presentation N ORTHC OAST I NVESTMENT A DVISORY T EAM NORTHCOASTAM. COM
Tactical Income ETF Investor Presentation N ORTHC OAST I NVESTMENT A DVISORY T EAM 203.532.7000 INFO@ NORTHCOASTAM. COM NORTHCOAST ASSET MANAGEMENT An established leader in the field of tactical investment
More informationFocus On... CapitalMarkets. Senior Loans Understanding the Asset Class. What are senior loans?
CapitalMarkets Focus On... Senior Loans Understanding the Asset Class As investments based on senior loans become more popular, it is important that investors fully understand what they are and how they
More informationAdvance with Alternative Investments. Diversification when you need it
Advance with Alternative Investments Diversification when you need it All charts are for illustrative purposes and not intended to be representative of any specific investment vehicle. Please refer to
More informationAspiriant Defensive Allocation Fund RMDFX Q3 2018
Aspiriant Defensive Allocation Fund RMDFX Q3 2018 Investment Objective Description The Aspiriant Defensive Allocation Fund ( RMDFX or the Fund ) seeks to achieve long-term investment returns with lower
More informationBROAD COMMODITY INDEX
BROAD COMMODITY INDEX COMMENTARY + STRATEGY FACTS JANUARY 2018 100.00% 80.00% 60.00% 40.00% 20.00% 0.00% -20.00% -40.00% -60.00% CUMULATIVE PERFORMANCE ( SINCE JANUARY 2007* ) -80.00% ABCERI S&P GSCI ER
More informationManaged Futures An Introduction
Managed Futures An Introduction Explore. Discover. Examine. Learn about managed futures and why adding managed futures to a balanced portfolio may decrease portfolio risk while enhancing overall performance.
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 informationTHE ALTERNATIVE WAY TO STABILIZE CORE PORTFOLIOS. Mackenzie Multi-Strategy Absolute Return Fund
THE ALTERNATIVE WAY TO STABILIZE CORE PORTFOLIOS Mackenzie Multi-Strategy Absolute Return Fund You Can Now Access Liquid Alternatives Liquid alternatives funds have unique characteristics: Wider range
More informationSmart Beta Dashboard. Thoughts at a Glance. January By the SPDR Americas Research Team
By the SPDR Americas Research Team Thoughts at a Glance 2017 marked another year of factor performance shifts. s comeback in the US on the heels of the US election and the potential for a Trump-flation
More informationTARGET EXCESS YIELD SUITE
TARGET EXCESS YIELD SUITE MARCH 2015 Newfound Case ID: 3377056 1 THE NEWFOUND MISSION Newfound Research s product suite has been designed to balance the desire to pursue growth with the need to avoid large
More information2015 ANNUAL RETURNS YTD
Stephen Somers, William Somers 1410 Russell Road, Suite 100, Paoli, PA 19301 USA ph. +1-484-576-3371 fax +1-610-688-9261 http://www.somersbrothers.com ANNUAL RETURNS 2011 2012 2013 2014 2015 YTD Advisor
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 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 informationThe State of the Hedge Fund Industry
INSIGHTS The State of the Hedge Fund Industry September 2017 203.621.1700 2017, Rocaton Investment Advisors, LLC EXECUTIVE SUMMARY Hedge fund strategies have faced increased scrutiny post-financial crisis
More informationCMG Tactical Rotation Strategy CMG Capital Management Group, Inc. Financial Professional Use Only
CMG Tactical Rotation Strategy About CMG CMG is a Registered Investment Advisor located in King of Prussia, Pennsylvania founded in 1992 by Stephen Blumenthal. Since the beginning, CMG has embraced Uncommon
More informationIdentifying a defensive strategy
In our previous paper Defensive equity: A defensive strategy to Canadian equity investing, we discussed the merits of employing a defensive mandate within the Canadian equity portfolio for some institutional
More informationIncorporating Alternatives in an LDI Growth Portfolio
INSIGHTS Incorporating Alternatives in an LDI Growth Portfolio June 2015 203.621.1700 2015, Rocaton Investment Advisors, LLC EXECUTIVE SUMMARY * The primary objective of a liability driven investing growth
More informationAmended as of January 1, 2018
THE WALLACE FOUNDATION INVESTMENT POLICY Amended as of January 1, 2018 1. INVESTMENT GOAL The investment goal of The Wallace Foundation (the Foundation) is to earn a total return that will provide a steady
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 informationGlobal Investment Committee Themes
Global Investment Committee Themes The Global Investment Committee (GIC), which meets monthly to review the economic and political environment and asset allocation models for Morgan Stanley Wealth Management
More informationMaycrest Balanced Fund Richard Davis, Maria Davis 1275 Gator Trl, West Palm Beach, FL USA ph fax
Richard Davis, Maria Davis 1275 Gator Trl, West Palm Beach, FL 33409 USA ph. +1-203-722-8824 fax http://www.maycrestcapital.com Primary Category: Equity Long-Bias ANNUAL RETURNS 2014 2015 2016 2017 2018
More informationInvesting in a Time of (Financial) Repression. Cyril Moullé-Berteaux, Head of Global Asset Allocation
Investing in a Time of (Financial) Repression Cyril Moullé-Berteaux, Head of Global Asset Allocation Overview Positioning for the long-term The growing Yield Bubble Europe outperformance may just be starting
More information5 th Annual PAPERS Fall Workshop Hedge Fund Investing
5 th Annual PAPERS Fall Workshop Hedge Fund Investing James H. Grossman, Jr., CPA, CFA Managing Director of External Public Markets, Risk & Compliance What are Hedge Funds? Private investment vehicles
More informationIncome Solutions Beyond Investment Grade Bonds
October 2017 Income Solutions Beyond Investment Grade Bonds Multiple Fixed Income Approaches Direction of interest rates Reduce Duration Limit Duration to Near Zero with: Floating rate notes (FRNs) for
More information