Evolving Equity Investing: Delivering Long-Term Returns in Short-Tempered Markets
|
|
- Christiana Dawson
- 6 years ago
- Views:
Transcription
1 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 is issued by AllianceBernstein Limited, 50 Berkeley Street, London W1J 8HA. Registered number AllianceBernstein Limited is authorised and regulated in the UK by the Financial Services Authority (FSA Reference Number ). This information is directed at Professional Clients only. It is provided for informational purposes only and is not intended to be an offer or solicitation, or the basis for any contract to purchase or sell any security, product or other instrument, or for AllianceBernstein to enter into or arrange any type of transaction as a consequence of any information contained herein. The views and opinions expressed in this document are based on AllianceBernstein's internal forecasts and should not be relied upon as an indication of future market performance. Past performance is no guarantee of future returns. This information is not intended for public use AllianceBernstein
2 Market Conditions Have Presented Many Challenges to Equity Investors Equity returns have been disappointing and volatile Traditional methods of equity diversification have not provided absolute downside protection Traditional active equity strategies have struggled in periods of heightened risk aversion 1
3 Clients Needs Are Changing Defined Benefit Corporate Plan Changes in Regulatory Environment Individual Investor Demographics/ Fear of Volatility Endowment/Foundation Long Time Horizon Reduce funding volatility, while generating returns Manage risk without fleeing to safety Shift to strategies that are insensitive to benchmarks 2
4 Delivering Longer-Term Returns in Short-Tempered Markets Focus on return and risk versus client outcomes, not just relative returns vs. narrowly defined benchmarks Incorporating Stability and Benchmark Insensitive Strategies: Provides exposure to long-term returns from equities, with less volatility and downside protection Outperforms in periods of rising volatility, when traditional strategies have underperformed Complements time-tested traditional strategies with an uncorrelated source of alpha Typically provides higher active share 3
5 Percent Stocks Are Attractively Priced and Look Poised for a Comeback Earnings Yield vs. US Treasury Yield* Frequency of Stocks Beating Treasuries 1946 Present Earnings Yield Greater 65% 76% 71% 89% 75% 98% 99% 87% 0 (2) (4) (6) Treasury Yield Greater One-Year Rolling Three-Year Rolling Five-Year Rolling 10-Year Rolling Typical When Yield Gap > 0** Through December 31, 2011 *Difference between the 10-year average S&P 500 inflation-adjusted earnings yield and the 10-year US Treasury yield **Yield gap is the difference between the 10-year average S&P 500 inflation-adjusted earnings yield and the 10-year US Treasury yield Source: Bloomberg, Ibbotson Associates, Robert Shiller, S&P and AllianceBernstein 4
6 Equity Strategies Are Evolving to the Meet Changing Client Needs Traditional Style Stability Benchmark Insensitive High Returns, Willing to Take Risk Equity Like Returns, Less Risk High Risk- Adjusted Returns Deep Value Low Volatility Long/Short Long-Term Growth Dividend Yield Source: AllianceBernstein 5
7 Benchmark Sensitivity Equity Strategies with Lower Volatility and Higher Active Share High Cap Weighted Index Long-Short Equities Low-Vol Equities Equity Income Traditional Long-Only Active Equity Low Cash Market Neutral Lower Risk Risk-Sensitivity Higher Risk Past performance does not guarantee future results Source: AllianceBernstein 6
8 Seeking Strategies with Greater Downside Protection During Crisis US Dividend Yield Global Low Volatility Stability and Long/Short Equity MSCI World Long/Short Equities Internet Crash Oct 2001 Sep % Global Financial Crisis Jul 2008 Feb 2009 Euro Debt Crisis Jul 2011 Sep 2011 (1)% (5)% (15)% (8)% (26)% (10)% (36)% (33)% (32)% (12)% (19)% (46)% (17)% (10)% Stability Equity is the equally-weighted monthly returns of US dividend yield, global low volatility and equity hedge. US Dividend Yield is based on the monthly median return for managers in the evestment Alliance US Dividend Focus universe. Global Low Volatility is the monthly returns of top quintiles within the MSCI World Index as sorted by two-year trailing volatility. Equity Hedge is the HFR Equity Hedge Index that includes managers maintaining both long and short positions primarily in equity and equity-derivative securities. Not intended to portray the results of any AllianceBernstein product. Periods of more than one year are annualized. The results reflect the deduction of estimated investment-management fees. Source: evestment Alliance, HFR, MSCI and AllianceBernstein; see Important Notes on Simulations. 7
9 Return (Percent) Low Volatility Anomaly Is as Powerful as Other Major Anomalies A Different Source of Alpha As Powerful as Other Major Market Anomalies 20 Traditional Strategies Sharpe Ratio 15 Price Momentum Small- Caps Value Low Volatility 10 MSCI World 0.19 MSCI Global Index Less Volatility (Percent) More Small-Caps Low Volatility Value Price Momentum Alpha is sourced from risk-adjusted return Results represent top quintiles within the MSCI World Index as sorted by low price to book, low capitalization, high price momentum and two-year trailing volatility from January 1973 September 30, 2011; Sharpe ratio includes cash; capitalization-weighted MSCI World Index, gross, in USD unhedged Source: MSCI and AllianceBernstein; see Important Notes on Simulations. 8
10 Low-Volatility Anomaly Is Large, Pervasive and Well Established Low Volatility Effect Is Well Established And Works Across Capital Markets Well Researched** 1972: F. Black, M. Jensen and M. Scholes 1993: E. Fama and K. French 2010: A. Frazzini and L. Pedersen Across Many Asset Classes Government Bonds Short Duration > Long Duration Credit AAA > BBB Also works in currency and commodities Long Standing Academic research shows evidence of success going back to 1920 s In Almost Every Country, Including: US UK Japan Australia Germany Canada Capitalization-weighted MSCI World Index, gross, in USD unhedged *Monthly data sorted for lowest quintile of MSCI World stock universe based on two-year trailing volatility from January 1973 September 30, 2011; Sharpe ratio includes cash. **Details about bibliography available upon request Source: FactSet, MSCI and AllianceBernstein; see Important Notes on Simulations. 9
11 Low Volatility Provides an Uncorrelated Source of Alpha Low Volatility Less Risk Stability Deep Value Value Growth Long-term Growth Maximize Return Correlation with Low Volatility Relative Returns* Value Small-Caps Price Momentum (0.28) (0.20) 0.20 *Correlations of relative returns for top quintile of global stocks based on low price to book, low market capitalization and high price momentum versus relative returns of the lowest quintile by twoyear trailing volatility, from January 1, 1973 September 30, 2011 Correlation of median manager relative returns using evestment Alliance data with 98 Global Core Equity, 43 Global Growth Equity, and 66 Global Value Equity managers reporting 10 years of monthly returns ending September 30, Not intended to portray the results of any AllianceBernstein product. The results reflect the deduction of estimated investment-management fees. Source: evestment Alliance, Thomson I/B/E/S, MSCI and AllianceBernstein 10
12 Return Pattern Is Typically Uncorrelated with Other Active Strategies Global Stock Returns Low Volatility Value Small-Cap Price Momentum MSCI World 1990s Recovery Feb 1991 Apr 1993 Internet Bubble Mar 1997 Mar 2000 Internet Crash Apr 2000 Sep 2002 Global Financial Crisis Jul 2008 Feb 2009 Euro Debt Crisis May 2010 Sep % 102% 11% 11% 39% 80% 29% 25% (8)% (9)% 18% (33)% (4)% (2)% 23% 24% 24% (46)% (30)% (46)% (53)% (45)% (49)% (11)% (6)% Cumulative monthly returns of top quintiles within the MSCI World Index as sorted by low price to book (value), low capitalization (small-caps), high price momentum and two-year trailing volatility; capitalization-weighted MSCI World Index, gross, in USD unhedged Source: MSCI and AllianceBernstein 11
13 Potential Benefits of Stability and Long/Short Equity Strategies Improve Sharpe Ratio of Equity Exposure Reduce volatility without sacrificing return Increase return without increasing volatility by pairing with higher return equity strategies Improve Information Ratio vs. Cap Weighted Benchmark Provide uncorrelated alpha to traditional strategies 12
14 Percent Smarter Way than Cap Weighted Passive to De-Risk Equities Avoids Dangerous Concentration During Bubbles Weight of 20 Largest S&P 500 Stocks Weight of Japanese Stocks in MSCI World % 34% Included: Microsoft Cisco Systems Intel Oracle Alcatel-Lucent Included: Bank of America Citigroup AIG JPMorgan Chase * Monthly data sorted for lowest quintile of MSCI World stock universe based on two-year trailing volatility from January 1973 September 30, 2011 Source: Barclays Capital, Citigroup, FactSet, MSCI and AllianceBernstein; see Important Notes on Simulations. 13
15 Stability and Long/Short Equities Can Reduce Risk or Increase Return of Equity Allocation Equity Allocation Typical Equity Allocation* Adding Stability and Long/Short Equity Reduce Risk** Increase Return A B Traditional Equity 90% 70% 70% Stability and Long/Short Equity -- 20% 15% Emerging Equity 10% 10% 15% Absolute Perspective Return 6.2% 6.5% 7.0% Higher Return Volatility Lower Volatility Sharpe Ratio Higher Sharpe Ratio Returns are based on the weighted average return for each asset class, rebalanced monthly for 10 years ended September 30, 2011.The evestment Alliance manager universes were sorted each year by percentile rank based on P/B for value managers and five-year forward earnings growth for growth managers. The median monthly return was calculated based on the beginning of period valuation percentile rank for each calendar year, using the cheapest half for P/B and the highest half for earnings growth. For the EAFE Large Cap Growth universe from October 1, 2001 December 31, 2005, few managers reported valuation characteristics, so the universe median shown is the median return for the highest-growth half of the universe beginning in January *Typical allocation: 22.5% US large-cap value; 22.5% US large-cap growth, 2.5% US small-cap value, 2.5% small-cap growth, 20% international large-cap value, 20% international large-cap growth and 10% emerging market **Replaces 20% of typical allocation to US and EAFE Large Cap, taken equally from each allocation, with a equally weighted stability equity portfolio Replaced 20% of typical allocation to US and EAFE Large Cap, taken equally from each allocation, with 15% in equally weighted stability equity portfolio and an additional 5% emerging-markets stocks. Not intended to portray the results of any AllianceBernstein product. Periods of more than one year are annualized. The results reflect the deduction of estimated investment-management fees. Source: Barclays Capital, HFR,Citigroup, evestment Alliance, FactSet, MSCI and AllianceBernstein 14
16 And Can Improve Information Ratio by Adding Uncorrelated Alpha Equity Allocation Typical Equity Allocation* Adding Stability and Long/Short Equity Reduce Risk** Increase Return A B Traditional Equity 90% 70% 70% Stability and Long/Short Equity -- 20% 15% Emerging Equity 10% 10% 15% Relative Perspective Return vs. ACWI 1.3% 1.6% 2.1% Higher Relative Return Tracking Error Small Increase in Tracking Error Information Ratio Higher Information Ratio Returns are based on the weighted average return for each asset class, rebalanced monthly for 10 years ended September 30, 2011.The evestment Alliance manager universes were sorted each year by percentile rank based on P/B for value managers and five-year forward earnings growth for growth managers. The median monthly return was calculated based on the beginning of period valuation percentile rank for each calendar year, using the cheapest half for P/B and the highest half for earnings growth. For the EAFE Large Cap Growth universe from October 1, 2001 December 31, 2005, few managers reported valuation characteristics, so the universe median shown is the median return for the highest-growth half of the universe beginning in January *Typical allocation: 22.5% US large-cap value; 22.5% US large-cap growth, 2.5% US small-cap value, 2.5% small-cap growth, 20% international large-cap value, 20% international large-cap growth and 10% emerging market **Replaces 20% of typical allocation to US and EAFE Large Cap, taken equally from each allocation, with a equally weighted stability equity portfolio Replaced 20% of typical allocation to US and EAFE Large Cap, taken equally from each allocation, with 15% in equally weighted stability equity portfolio and an additional 5% emerging-markets stocks. Not intended to portray the results of any AllianceBernstein product. Periods of more than one year are annualized. The results reflect the deduction of estimated investment-management fees. Source: Barclays Capital, HFR,Citigroup, evestment Alliance, FactSet, MSCI and AllianceBernstein 15
17 Best Approach Depends on Client Objectives and Beliefs Which approach to stability and long/short equities is best for each client? Degree of risk reduction/downside protection desired Belief in source of alpha Risks for each strategy Active or passive? Benchmark insensitive or focused on tracking error? 16
18 Low Vol is a Liquid, Low-Cost and Transparent Alternative to Alternatives Low-Vol Sort* Hedge Fund Return Index** Equity Hedge Funds** Return 8.5% 5.8% 4.6% Volatility 12.3% 6.8% 9.2% Sharpe Ratio Correlation Fees ~50 b.p. 2%/20% 2%/20% Lower fees for similar targeted results Long-only, transparent portfolio Liquid, no leverage *Monthly data sorted for lowest quintile of MSCI World stock universe based on two-year trailing volatility from January 2000 September 30, 2011; net of investment fees **Based on the HFRI Fund Weighted Composite Index, a global, equal-weighted index of over 2,000 single-manager funds that report to HFR Database. Constituent funds report monthly net-ofall-fees performance in US dollars and have a minimum of $50 million under management or a 12-month track record of active performance. Does not include funds of hedge funds. Managers maintain both long and short positions primarily in equity and equity-derivative securities, and strategies use a wide variety of investment processes, can be diversified or focused on specific sectors, and can range in net exposure, leverage, holding period, market capitalizations and valuation characteristics. Correlations of relative returns versus the MSCI World Source: Hedge Fund Research, MSCI and AllianceBernstein 17
19 Capturing Upside in Recoveries US Dividend Yield Global Low Volatility Long/Short Equity Stability and MSCI World Long/Short Equities Great Moderation Oct 2002 Oct Recovery Mar 2003 Dec 2004 Global Financial Crisis Recovery Mar 2009 Apr % 44% 35% 36% 20% 15% 22% 28% 30% 25% 17% 13% 28% 22% 28% Stability Equity is the equally-weighted monthly returns of US dividend yield, global low volatility and equity hedge. US Dividend Yield is based on the monthly median return for managers in the evestment Alliance US Dividend Focus universe. Global Low Volatility is the monthly returns of top quintiles within the MSCI World Index as sorted by two-year trailing volatility. Equity Hedge is the HFR Equity Hedge Index that includes managers maintaining both long and short positions primarily in equity and equity-derivative securities. Not intended to portray the results of any AllianceBernstein product. Periods of more than one year are annualized. The results reflect the deduction of estimated investment-management fees. Source: evestment Alliance, HFR, MSCI and AllianceBernstein; see Important Notes on Simulations. 18
20 Delivering Longer-Term Returns in Short-Tempered Markets Focus on return and risk versus client outcomes, not just relative returns vs. narrowly defined benchmarks Stability and long/short equity strategies can be a useful complement to time-tested traditional strategies Best approach to incorporating these strategies depends on client objectives and beliefs 19
21 APPENDIX
22 Investor Biases Help Explain Outperformance of Low-Volatility Stocks Behavioral Effects Agency Effects Lottery Effect I am looking for the big payoff? Overconfidence I am better at identifying it? Performance Chasing I need to be part of this trend? Performance Measurement Focus on Tracking Error and Relative Return? Fee Structures Incentive to lean into the market? Constraints Can t use leverage to tap Low Beta Effect? Investors: Favor High Beta Stocks Hug Benchmark Source: M. Baker, B. Bradley and J. Wurgler, Benchmarks as Limits to Arbitrage: Understanding the Low-Volatility Anomaly, Financial Analysts Journal, 2011; and AllianceBernstein 21
23 Different Approaches Have Benefits/Risks Risk Reduction/ Downside Protection Source of Alpha Risks Low Volatility Moderate downside protection Low volatility anomaly Typically quantitative Most dependent on low volatility anomaly/ quantitative skill Fundamental Quality Least downside protection Manager skill Typically fundamental Dependent on fundamental manager skill Market Neutral Greatest downside protection Manager skill Typically more quantitative than fundamental Leverage, short-selling Typically higher fees, less transparency As of December 2011 Source: AllianceBernstein 22
in-depth Invesco Actively Managed Low Volatility Strategies The Case for
Invesco in-depth The Case for Actively Managed Low Volatility Strategies We believe that active LVPs offer the best opportunity to achieve a higher risk-adjusted return over the long term. Donna C. Wilson
More informationThe Compelling Case for Value
The Compelling Case for Value July 2, 2018 SOLELY FOR THE USE OF INSTITUTIONAL INVESTORS AND PROFESSIONAL ADVISORS 0 Jan-75 Jan-77 Jan-79 Jan-81 Jan-83 Jan-85 Jan-87 Jan-89 Jan-91 Jan-93 Jan-95 Jan-97
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 informationQuantitative Investing Integrating the Human Perspective
Quantitative Investing Integrating the Human Perspective Speaker: Vladimir de Vassal, CFA, Director of Quantitative Research Portfolio Manager, Quantitative Equities Glenmede Investment Management, L.P.
More informationTAKE CONTROL OF YOUR INVESTMENT DESTINY Increasing control over your investments.
TAKE CONTROL OF YOUR INVESTMENT DESTINY Increasing control over your investments. To appreciate the power of Factors, consider this: Humankind is formed from just 23 Chromosome pairs CMINST-13427 2 1 Yet,
More informationTAKE CONTROL OF YOUR INVESTMENT DESTINY Increasing control over your investments.
TAKE CONTROL OF YOUR INVESTMENT DESTINY Increasing control over your investments. Challenge for Investors Case for Factor-based Investing What Next? The Real World Economic and Market Outlooks are Constrained
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 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 informationBATSETA Durban Mark Davids Head of Pre-retirement Investments
BATSETA Durban 2016 Mark Davids Head of Pre-retirement Investments Liberty Corporate VALUE Dividend yield Earning yield Key considerations in utilising PASSIVE and Smart Beta solutions in retirement fund
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 informationMarket Insights. The Benefits of Integrating Fundamental and Quantitative Research to Deliver Outcome-Oriented Equity Solutions.
Market Insights The Benefits of Integrating Fundamental and Quantitative Research to Deliver Outcome-Oriented Equity Solutions Vincent Costa, CFA Head of Global Equities Peg DiOrio, CFA Head of Global
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 informationPublic Pension Funding Forum
Public Pension Funding Forum September 12, 2017 Presented By Biagio Manieri, PhD, CFA PFM Asset Management PFM 1 Historical Plan Performance vs. Index Median Plan Performance Index BSB (1991) 13.4% 13.5%
More informationThe Equity Imperative
The Equity Imperative Factor-based Investment Strategies 2015 Northern Trust Corporation Can You Define, or Better Yet, Decipher? 1 Spectrum of Equity Investing Techniques Alpha Beta Traditional Active
More informationDividend Growth as a Defensive Equity Strategy August 24, 2012
Dividend Growth as a Defensive Equity Strategy August 24, 2012 Introduction: The Case for Defensive Equity Strategies Most institutional investment committees meet three to four times per year to review
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 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 informationU.S. Small-Cap Stocks: Why This Cycle Is Not So Different. Presenters: Hugh Evans, Steph Jackson, Jack Laporte, Greg McCrickard, and David Wagner
U.S. Small-Cap Stocks: Why This Cycle Is Not So Different Presenters: Hugh Evans, Steph Jackson, Jack Laporte, Greg McCrickard, and David Wagner 15% 12% Annualized Asset Class Returns since 1926 1 12.8%
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 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 informationChallenging Conventional Wisdom in Global Equities
Challenging Conventional Wisdom in Global Equities Schroder Educational Series Stephen Kwa Senior Client Portfolio Manager March 2013 For Broker/Dealer Use Only. Not for use with the general public or
More informationThe Low-volatility Equity Opportunity. Investment Focus
Investment Focus The Low-volatility Equity Opportunity Equities and low risk are rarely mentioned in the same sentence. The recent regular and extreme bouts of volatility have increased the questions raised
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 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 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 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 informationQuantitative Investment: From indexing to factor investing. For institutional use only. Not for distribution to retail investors.
Quantitative Investment: From indexing to factor investing For institutional use only. Not for distribution to retail investors. 1 What s the prudent portfolio mix? It depends Objective Investment approach
More informationHedge Fund Strategy Education
September 23, 2015 Hedge Fund Strategy Education Water & Power Employees Retirement Plan Introduction Introduction The Asset/Liability Study highlighted opportunities that may help the Plan achieve its
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 informationU.S. LOW VOLATILITY EQUITY Mandate Search
U.S. LOW VOLATILITY EQUITY Mandate Search Recommended: That State Street Global Advisors (SSgA) be appointed as a manager for a U.S. low volatility equity mandate. SSgA will be managing 10% of the Diversified
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 informationWisdomTree.com Currency Hedged Equities Q2 2018
WisdomTree.com 866.909.9473 Q2 2018 Ratio of MSCI to S&P The Dollar s Impact on Equities: ACWX (Unhedged) Relative to the S&P 500 1.7 1.6 1.5 1.4 1.3 U.S. Dollar Depreciation Cumulative: -25.52% Annualized:
More informationThoughts on Asset Allocation Global China Roundtable (GCR) Beijing CITICS CITADEL Asset Management.
Thoughts on Asset Allocation Global China Roundtable (GCR) Beijing CITICS CITADEL Asset Management www.bschool.nus.edu.sg/camri 1. The difficulty in predictions A real world example 2. Dynamic asset allocation
More information4Q17 Global & International Equity GLOBAL EQUITY. 10+ Years of Providing High Income Through Global Dividends
4Q17 Global & International Equity GLOBAL EQUITY INCOME FUND 10+ Years of Providing High Income Through Global Dividends A: HFQAX C: HFQCX I: HFQIX N: HFQRX S: HFQSX T: HFQTX Overall Morningstar Rating
More informationWHITE PAPER SMART SRI EQUITY INVESTING: COMBINING ESG CRITERIA WITH FACTOR INVESTING. Koen Van de Maele, CFA & Maxime Moro
WHITE PAPER SMART SRI EQUITY INVESTING: COMBINING ESG CRITERIA WITH FACTOR INVESTING Koen Van de Maele, CFA & Maxime Moro TABLE OF CONTENTS. INTRODUCTION. SRI SCREENING 3 3. PORTFOLIO CONSTRUCTION 6 3..
More informationGoing Beyond Style Box Investing
Going Beyond Style Box Investing NCPERS Presented by Erin Doyle Orekhov, Client Portfolio Manager May 22, 2017 For financial professional or qualified institutional investor use only. Not for inspection
More informationBuilding a Resilient Fixed Income Portfolio for all Stages of the Economic Cycle
Building a Resilient Fixed Income Portfolio for all Stages of the Economic Cycle Matthew J. Eagan, CFA, Vice President and Portfolio Manager, Fixed Income, Loomis, Sayles & Company Kevin P. Kearns, Vice
More informationBuilding Efficient Return Seeking Portfolios Reassessing the Equity Allocation
Building Efficient Return Seeking Portfolios Reassessing the Equity Allocation Paul M. Martin, CFA Vice President & Portfolio Manager Phillips, Hager & North Investment Management Sources of Risk in a
More informationAiming to deliver attractive absolute returns with style
For professional investors only Aiming to deliver attractive absolute returns with style BMO Global Equity Market Neutral (SICAV) 2 BMO Global Equity Market Neutral (SICAV) Leveraging our proven capabilities
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 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 informationHEDGE FUNDS AND AUTOMOBILES AN OVERVIEW
HEDGE FUNDS AND AUTOMOBILES AN OVERVIEW PETER MULDOWNEY SENIOR VICE PRESIDENT, INSTITUTIONAL STRATEGY CONNOR, CLARK & LUNN FINANCIAL GROUP CHALLENGING THE BAD RAP HIGHER FEES TRANSPARENCY COMPLEXITY 3
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 informationEquity Markets in a Late-Cycle Environment: Balancing Opportunity and Risk
Equity Markets in a Late-Cycle Environment: Balancing Opportunity and Risk Speaker: Olivia Engel, CFA Senior Managing Director, CIO, Active Quantitative Equity State Street Global Advisors 2 Content What
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 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 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 informationLiquidity Risk Management for Portfolios
Liquidity Risk Management for Portfolios IPARM China Summit 2011 Shanghai, China November 30, 2011 Joseph Cherian Professor of Finance (Practice) Director, Centre for Asset Management Research & Investments
More informationSmart Beta and the Evolution of Factor-Based Investing
Smart Beta and the Evolution of Factor-Based Investing September 2017 Donald J. Hohman Managing Director, Product Management Hitesh C. Patel, Ph.D Managing Director Structured Equity Douglas J. Roman,
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 informationWHY EQUITIES NOW? THINGS TO CONSIDER
October 4, 2017 WHY EQUITIES NOW? THINGS TO CONSIDER Scott Krauthamer, CFA, CAIA Managing Director Equities, AB MJ Zayac Director, Institutional Retirement Specialist, AB There is no guarantee that any
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 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 informationFactor Performance in Emerging Markets
Investment Research Factor Performance in Emerging Markets Taras Ivanenko, CFA, Director, Portfolio Manager/Analyst Alex Lai, CFA, Senior Vice President, Portfolio Manager/Analyst Factors can be defined
More informationPALM TRAN, INC./ATU LOCAL 1577 PENSION FUND INVESTMENT PERFORMANCE PERIOD ENDING MARCH 31, 2011
PALM TRAN, INC./ATU LOCAL 1577 PENSION FUND INVESTMENT PERFORMANCE PERIOD ENDING MARCH 31, 2011 NOTE: For a free copy of Part II (mailed w/i 5 bus. days from request receipt) of Burgess Chambers and Associates,
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 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 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 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 informationAsset Allocation and Fund Performance of U.S. Defined Benefit Pension Plans ( )
Asset Allocation and Fund Performance of U.S. Defined Benefit Pension Plans (1998-2011) Alexander D. Beath, PhD Senior Research Analyst CEM Benchmarking About CEM Benchmarking Client base of over 500 large
More informationTactical Timing of Low Volatility Equity Strategies
Investment Strategies Tactical Timing of Low Volatility Equity Strategies Sanne de Boer James Norman Fall 2015 Many investors we speak to are interested in making a strategic allocation to low volatility
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 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 informationVT Vanguard Total World Stock ETF
Vanguard Total World Stock ETF ETF.com segment: Equity: Global - Total Market Competing ETFs: ACWI, MJ, XMX, ACIM, DRIV Related ETF Channels: Total Market, Broad-based, Vanilla, Global, Equity, Size and
More informationFTSE ActiveBeta Index Series: A New Approach to Equity Investing
FTSE ActiveBeta Index Series: A New Approach to Equity Investing 2010: No 1 March 2010 Khalid Ghayur, CEO, Westpeak Global Advisors Patent Pending Abstract The ActiveBeta Framework asserts that a significant
More informationMTUM ishares Edge MSCI U.S.A. Momentum Factor ETF
ishares Edge MSCI U.S.A. Momentum Factor ETF ETF.com segment: Equity: U.S. - Total Market Competing ETFs: PDP, QMOM, DWTR, DWAQ, MMTM Related ETF Channels: North America, Smart-Beta ETFs, Total Market,
More informationSCHV Schwab U.S. Large-Cap Value ETF
Schwab U.S. Large-Cap Value ETF ETF.com segment: Equity: U.S. - Large Cap Value Competing ETFs: VTV, IWD, MGV, VONV, PWV Related ETF Channels: North America, Smart-Beta ETFs, Large Cap, U.S., Value, Equity,
More informationAMETHYST ARBITRAGE FUND (& TOPAZ MULTI-STRATEGY FUND)
AMETHYST ARBITRAGE FUND (& TOPAZ MULTI-STRATEGY FUND) An alternative source of portfolio stability & added-value OVERVIEW Sept. 2013 This presentation refers to the Amethyst Arbitrage Fund, the vehicle
More informationDisciplined Stock Selection
Disciplined Stock Selection Nicholas Clark March 4 th, 2010 04 March 2010 Designator author 1 4 th March 2010 2 Overview 1. Introduction 2. Using Valuation Dispersion to Determine Expected Stock Returns
More informationSmart Beta. or Smart Alpha?
Smart Beta or Smart Alpha? Kenneth Winther Senior Vice President, kenneth.winther@tryg.dk, Tryg External lecturer, kw.fi@cbs.dk, Copenhagen Business School 1 26. november 2015 Smart beta in a nutshell
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 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 informationSTRATEGY OVERVIEW. Long/Short Equity. Related Funds: 361 Domestic Long/Short Equity Fund (ADMZX) 361 Global Long/Short Equity Fund (AGAZX)
STRATEGY OVERVIEW Long/Short Equity Related Funds: 361 Domestic Long/Short Equity Fund (ADMZX) 361 Global Long/Short Equity Fund (AGAZX) Strategy Thesis The thesis driving 361 s Long/Short Equity strategies
More informationCapital Market Review
Capital Market Review September 3, 215 Percent Percent MARKET/ECONOMIC OVERVIEW Risk Reprices Rapidly 2,2 1,9 1,6 1,3 S&P 5 April 29, 211 to Oct 3, 211 157 Days -19.4% May 21, 215 to Sep 3, 215 132 Days
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 informationURTH ishares MSCI World ETF
ishares MSCI World ETF ETF.com segment: Equity: Developed Markets - Total Market Competing ETFs: BOTZ, SNSR, RFDI, FDRR, JPGE Related ETF Channels: Total Market, Broad-based, Vanilla, Equity, Size and
More informationSmart Beta and the Evolution of Factor-Based Investing
Smart Beta and the Evolution of Factor-Based Investing September 2016 Donald J. Hohman Managing Director, Product Management Hitesh C. Patel, Ph.D Managing Director Structured Equity Douglas J. Roman,
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 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 informationMaximizing Returns, Minimizing Max Draw Down
RISK MANAGEMENT CREATES VALUE Maximizing Returns, Minimizing Max Draw Down For EDHEC Hedge Funds Days 10-Dec.-08 Agenda > Does managing Extreme Risks in Alternative Investment make sense? Will Hedge Funds
More informationNationwide Funds. A Nationwide Financial White Paper. Executive summary
Nationwide Funds A Nationwide Financial White Paper Emerging Markets Executive summary Emerging market economies have experienced faster population and economic growth than developed markets; a trend that
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 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 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 informationPennsylvania Association of Public Employee Retirement Systems
Stability Investment Solutions Diligence Pennsylvania Association of Public Employee Retirement Systems Linda Bakhshian, CPA Federated Investors Federated Equity Management Company of Pennsylvania 12-44136
More informationGlobal Equity Style Premia
For professional investors only Global Equity Style Premia A unique approach to style-based investing Global Equity Style Premia A smarter way to invest in equities; systematically accessing the returns
More informationINTRODUCING MSCI FACTOR INDEXES
INTRODUCING MSCI FACTOR INDEXES msci.com ELEMENTS OF PERFORMANCE TM Factors by MSCI Factors are the building blocks of many portfolios the elements capable of turning data points into actionable insights.
More informationWisdomTree & Currency Hedging FOR FINANCIAL PROFESSIONAL USE ONLY. FOR FINANCIAL PROFESSIONAL USE ONLY.
WisdomTree & Currency Hedging Currency Hedging in Today s World The influence of central bank policy Gauging the impact currency has had on international returns Is it expensive to hedge currency risk?
More informationNavigating the storm Investing in ideas to aid diversification
Navigating the storm Investing in ideas to aid diversification April 2017 Richard Batty Fund Manager, Multi Asset This presentation is for Professional Clients only and is not for consumer use. Please
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 informationRFFC RiverFront Dynamic U.S. Flex-Cap ETF
RiverFront Dynamic U.S. Flex-Cap ETF ETF.com segment: Equity: U.S. - Total Market Competing ETFs: AIEQ, RFDA, HUSE, TTFS, TTAC Related ETF Channels: North America, No Underlying Index, U.S., Broad-based,
More informationFactor Investing. Fundamentals for Investors. Not FDIC Insured May Lose Value No Bank Guarantee
Factor Investing Fundamentals for Investors Not FDIC Insured May Lose Value No Bank Guarantee As an investor, you have likely heard a lot about factors in recent years. But factor investing is not new.
More informationMulti-Strategy Linear Investments Limited
Multi-Strategy Linear Investments Limited June 2017 Linear Investments Limited Regulated by FCA. Registered in England and Wales No. 07330725 Linear Core Services Established in 2010 and authorised and
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 informationGlobal Equities. Q&A roadshow #QAroadshow2016. Gavin Marriott Product Manager
Global Equities Q&A roadshow 216 #QAroadshow216 Gavin Marriott Product Manager June 216 For professional advisers only. This material is not suitable for retail clients Questions What will drive global
More informationA Review of the Historical Return-Volatility Relationship
A Review of the Historical Return-Volatility Relationship By Yuriy Bodjov and Isaac Lemprière May 2015 Introduction Over the past few years, low volatility investment strategies have emerged as an alternative
More informationTower Square Investment Management LLC Strategic Aggressive
Product Type: Multi-Product Portfolio Headquarters: El Segundo, CA Total Staff: 15 Geography Focus: Global Year Founded: 2012 Investment Professionals: 12 Type of Portfolio: Balanced Total AUM: $1,422
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 informationFactor Investing: Smart Beta Pursuing Alpha TM
In the spectrum of investing from passive (index based) to active management there are no shortage of considerations. Passive tends to be cheaper and should deliver returns very close to the index it tracks,
More informationIXG ishares Global Financials ETF
ishares Global Financials ETF ETF.com segment: Equity: Global Financials Competing ETFs: DFNL Related ETF Channels: Broad-based, Vanilla, Global, Equity, Financials, Sectors Find more ETFs with our ETF
More information