Morgan Stanley Wealth Management Due Diligence Meeting
|
|
- Gabriel Newton
- 5 years ago
- Views:
Transcription
1 Morgan Stanley Wealth Management Due Diligence Meeting Commodities: Taking Advantage of Supply and Demand Fiona English, Client Portfolio Manager April 2013, Milan Page 1 I For broker/dealer use only and not be distributed to the public.
2 Commodity Markets Similar to other risk assets entering a period of normalisation? Commodity markets have been through an unusual period of: Higher volatility Higher correlation to other asset classes Distortion of risk/return due to QE and other interventions Page 2 I For broker/dealer use only and not be distributed to the public.
3 Support for Commodities Remains Consumption? Political Change & Uncertainty? Climate Change? Page 3 I For broker/dealer use only and not be distributed to the public.
4 Climate Change El Nino a small change with strong consequences Source: 17 October Page 4 I For broker/dealer use only and not be distributed to the public.
5 Why Now? May Provide An Inflation Hedge Re-Risking by clients Doesn t Just Mean Equities! Diversification Benefits? Page 5 I For broker/dealer use only and not be distributed to the public.
6 Widely Expected that Higher Inflation is on the Way Use commodity exposure to protect against inflation risks? <=> Page 6 I For broker/dealer use only and not be distributed to the public.
7 Consumer Price Index YoY Change Using Commodity Exposure to Protect Against Inflation Risk Strong link between commodity prices and inflation 120% 80% US Inflation 6% 4% 40% 0% 2% 0% Oil Price YoY Change -40% Oil Price -2% -80% 29/12/ /12/ /12/ /12/ /12/ /12/2010-4% Oil Price CPI YOY Index Source: Bloomberg (as at ). Oil price refer to West Texas Intermediate. Page 7 I For broker/dealer use only and not be distributed to the public.
8 The Return of Diversification? US asset class correlation matrix, Page 8 I For broker/dealer use only and not be distributed to the public.
9 Correlation The Return of Diversification? US Equity v Commodities 'US_Equity-Commodity' Source: Pioneer Investments & Bloomberg 19 April 2013 Page 9 I For broker/dealer use only and not be distributed to the public.
10 Average Risk Premium (% p.a.) Significant Divergence In Risk/Return Profile of Individual Commodities Annualized Futures Risk Premiums and Standard Deviation by Commodity 1990/ /12 25% 20% Propane 15% 10% 5% 0% -5% -10% EW Index Platinum Feed. Cattle Live Cattle Gold Aluminium Wheat Corn Copper Soybean Meal Tin Silver Zinc Lead Oats Soybeans Lean Hogs Soybean Oil Crude Oil Sugar Cocoa Gasoline RBOB Heating Oil Cotton Nickel Lumber Orange Juice Rough Rice Pork Bellies Coffee Natural Gas 0% 10% 20% 30% 40% 50% 60% Sample Standard Deviation (% p. a.) Based on Facts and Fantasies about Commodity Futures by Gary Gorton, The Wharton School, University of Pennsylvania and Geert Rouwenhorst, School of Management, Yale University, 2007 See: Returns in USD. Page 10 I For broker/dealer use only and not be distributed to the public.
11 Return Commodities May Enhance the Risk/Return Profile of Portfolios 100% Pioneer Funds - Commodity Alpha Balanced Portfolio 50%US Equities/50% US Bonds Risk Source: DJ-UBSCI SM and Pioneer Investments. Backtesting from 12/1992 to 03/2008. Back test return figures have been adjusted to take into account trading costs, management fees, slippage (difference between real and prices used in back test). In total back test return figures have been adjusted by 300 basis points. Simulated past performance is not a reliable indicator of future performance. Performance of Pioneer Funds Commodity Alpha, Class A EUR ND net of fees from 03/2008 to 12/2012. Returns have been converted to USD. For Equities, index is S&P 500 and US Broad Market Aggregate Bond Index Please note that not all unit classes are available in all jurisdictions. Please refer to prospectus for available unit classes. Page 11 I For broker/dealer use only and not be distributed to the public.
12 Economic Forecast What we expect for 2013 ENERGY PRECIOUS METALS BASE METALS AGRICULTURE Source: Pioneer Investments, 4 October Page 12 I For broker/dealer use only and not be distributed to the public.
13 Optimising Commodity Exposure in Client Portfolios Passive Active Page 13 I For broker/dealer use only and not be distributed to the public.
14 Inventory Dynamics May Predict Higher Expected Returns Commodities with low inventories DJ-UBSCI TR High Inventories TR Low Inventories TR Commodities with high inventories Low Inventories Higher Expected Return Source: Gorton, Gary B., Fumio Hayashi, and K. Geert Rouwenhorst (2007) *A normal inventory level for each commodity is calculated using a Hodrick-Prescott filter on historical inventory data. The Hodrick-Prescott filter is an algorithm, used widely in economics, for extracting a smooth, but possibly non-linear, trend from an economic time series. High inventory is defined as when inventories are above normal, while low inventory is defined as the opposite case. High inventory commodities are selected on a monthly basis and included in the High Inventory index, while low inventory commodities are included in the Low Inventory index. Inventories reflect any revisions which may have been released after initial publication. Source: Inventory data compiled by UBS-FP based on public and private sources. Page 14 I For broker/dealer use only and not be distributed to the public.
15 Our Approach The futures curve and price performance reflects inventory levels Price high inventories low inventories Stock Shape of the future curve contains information about inventory levels Historical returns also contains information about inventory levels Example: Copper Two sources of Information about inventories Low Inventories Higher Expected Return Page 15 I For broker/dealer use only and not be distributed to the public.
16 Four strategies, taking their bearings from the Dow Jones-UBS Commodity Index Pioneer Funds Commodity Alpha Active weighting of up to five different strategies Strategy 1: Basis (Long only) Strategy 2: Relative Strength (Long only) Strategy 3: Basis (Long/Short) Strategy 4; Relative Strength (Long/Short) Strategy 5: Small Commodities (index-independent) Page 16 I For broker/dealer use only and not be distributed to the public.
17 Current Portfolio Positioning April % 32% 31% DJ-UBS CI Com. Alpha 30% 28% 25% 22% 25% 20% 20% 19% 17% 15% 15% 10% 8% 7% 9% 5% 4% 3% 3% 5% 0% Note: The commodity percentages shown for the sub-fund represent the sub-fund s exposure to commodity prices through commodity futures and do not refer to direct investments in single commodities. Page 17 I For broker/dealer use only and not be distributed to the public.
18 Feb. 08 Apr. 08 Jun. 08 Aug. 08 Okt. 08 Dez. 08 Feb. 09 Apr. 09 Jun. 09 Aug. 09 Okt. 09 Dez. 09 Feb. 10 Apr. 10 Jun. 10 Aug. 10 Okt. 10 Dez. 10 Feb. 11 Apr. 11 Jun. 11 Aug. 11 Okt. 11 Dez. 11 Feb. 12 Apr. 12 Jun. 12 Aug. 12 Okt. 12 Dez. 12 Feb. 13 Returns rebased to 100 Excess Returns in % Portfolio / Performance Performance in USD: Pioneer Funds Commodity Alpha Cumulated Monthly Return Excess returns PF-Commodity Alpha DJ-UBSCI TR index % 35% 30% 25% 20% 15% 10% 5% 45 0% Source: Pioneer Investments, DJ-UBSCI SM, Bloomberg - as at 04/03/13. Performance data provided refers to Class A ND, USD units only. Returns of DJ UBS and DJ UBS TR Index on basis of USD. The benchmark performance is adjusted to the previous day for the fund pricing adjustment. Before the fund inception date of class A in USD on April 3rd 2008, the performance of Pioneer Funds Commodity Alpha, Class A EUR ND net of fees have been converted to US dollar. Simulated past performance is not a reliable indicator of future performance. Please note that not all unit classes are available in all jurisdictions. Please refer to prospectus for available unit classes Page 18 I For broker/dealer use only and not be distributed to the public.
19 In Conclusion Pioneer Funds Commodity Alpha may be a stable component of a diversified* portfolio which aims to offer: Protection against inflation Diversification Benefits* Aiming to Add Value Versus Benchmark This sub-fund does not invest directly in commodities. Any references in this presentation to positions in or investing in commodities should be read as achieving exposure through the entering into of derivative transactions linked to the performance of commodity future indices and sub-indices. The benchmark for Pioneer Funds - Commodity Alpha is the Dow Jones-UBS Commodity Total Return Index *Diversification does not guarantee a profit or loss. Page 19 I For broker/dealer use only and not be distributed to the public.
20 Fiona English Client Portfolio Manager Page 20 I For broker/dealer use only and not be distributed to the public.
21 Unless otherwise stated all information contained in this document is from Pioneer Investments and is as at 31/12/2009. The Dow Jones-UBS Commodity IndexesSM are a joint product of Dow Jones Indexes, a licensed trademark of CME Group Index Services LLC ( CME Indexes ), and UBS Securities LLC ( UBS Securities ), and have been licensed for use. Dow Jones, DJ, Dow Jones Indexes, UBS and Dow Jones-UBS Commodity IndexSM (e.g., DJ- UBSCISM) are service marks of Dow Jones Trademark Holdings, LLC ( Dow Jones ) and UBS AG ( UBS AG ), as the case may be, have been licensed to CME Indexes and sublicensed for use for certain purposes by Pioneer Asset Management S.A and/or controlled affiliate of the licensee or a parent company. Dow Jones, CME Indexes, UBS Securities and their respective affiliates do not sponsor, endorse, market or promote Pioneer Asset Management s Pioneer Funds Commodity Alpha based on the DJ-UBSCI, and Dow Jones, CME Indexes, UBS Securities and their respective affiliates make no representation regarding the advisability of trading in such fund. The Dow Jones-UBS Commodity Index was first published in December All estimated daily historical closing prices prior to that date are based on back-testing (i.e., calculations of how the index might have performed in the past if it had existed). Backtested performance information is purely hypothetical and is solely for informational purposes. Backtested performance does not represent actual performance, and should not be interpreted as an indication of actual performance. Past performance is not indicative of future results. Index performance is not the same as fund performance as it does not reflect management and other fees. Page 21 I For broker/dealer use only and not be distributed to the public.
22 Important Information Unless otherwise stated all information contained in this document is from Pioneer Investments and is as at 16 April 2013 Pioneer Funds Commodity Alpha is a sub-fund (the Sub-Fund ) of Pioneer Funds (the Fund ), a fonds commun de placement with several separate sub-funds established under the laws of the Grand Duchy of Luxembourg. This sub-fund does not invest directly in commodities. Any references in this document to positions in or investing in commodities should be read as achieving exposure through the entering into of derivative transactions linked to the performance of commodity future indices and sub-indices. Past performance does not guarantee and is not indicative of future results. Unless otherwise stated, all views expressed are those of Pioneer Investments. These views are subject to change at any time based on market and other conditions and there can be no assurances that countries, markets or sectors will perform as expected. Investments involve certain risks, including political and currency risks. Investment return and principal value may go down as well as up and could result in the loss of all capital invested. More recent returns may be different than those shown. Please contact your local sales representative for more current performance results. This material is not a prospectus and does not constitute an offer to buy or a solicitation to sell any units of the Fund or any services, by or to anyone in any jurisdiction in which such offer or solicitation would be unlawful or in which the person making such offer or solicitation is not qualified to do so or to anyone to whom it is unlawful to make such offer or solicitation. For additional information on the Fund, a free prospectus should be requested from Pioneer Global Investments Limited ( PGIL ), 1 George s Quay Plaza, George s Quay, Dublin 2, Ireland. Call Fax This information is not for distribution and does not constitute an offer to sell or the solicitation of any offer to buy any securities or services in the United States or in any of its territories or possessions subject to its jurisdiction to or for the benefit of any United States person (being residents and citizens of the United States or partnerships or corporations organized under United States laws). The Fund has not been registered in the United States under the Investment Company Act of 1940 and units of the Fund are not registered in the United States under the Securities Act of This document is not intended for and no reliance can be placed on this document by retail clients, to whom the document should not be provided. The content of this document is approved by PGIL. In the UK, it is directed at professional clients and not at retail clients and it is approved for distribution by Pioneer Global Investments Limited (London Branch), Portland House 8th Floor, Bressenden Place, London, SW1E 5BH, authorised by the Central Bank of Ireland and regulated by the Financial Services Authority for the conduct of UK business. The Fund is an unregulated collective investment scheme under the UK Financial Services and Markets Act 2000 and therefore does not carry the protection provided by the UK regulatory system. Pioneer Funds Distributor, Inc., 60 State Street, Boston, MA ( PFD ), a U.S.-registered broker-dealer, provides marketing services in connection with the distribution of Pioneer Investments products. PFD markets these products to financial intermediaries, both within and outside of the U.S. (in jurisdictions where permitted to do so) for sale to clients who are not United States persons. For Broker/Dealer Use Only and Not to be Distributed to the Public. Pioneer Investments is a trading name of the Pioneer Global Asset Management S.p.A. group of companies. Date of First Use 24/04/2013 Page 22 I For broker/dealer use only and not be distributed to the public.
Commodities How to Leverage Opportunity
Commodities How to Leverage Opportunity Investment Conference, Boston, March 2010 Peter Königbauer Senior Portfolio Manager For Broker/Dealer Use Only and Not to be Distributed to the Public Agenda Commodity
More informationMerrill Lynch Due Diligence Meeting October 2012, Boston. Commodities: Taking Advantage of Supply and Demand
Merrill Lynch Due Diligence Meeting 22-24 October 2012, Boston Commodities: Taking Advantage of Supply and Demand Peter Königbauer, Head of Aggressive Balanced and Real Assets, Senior Portfolio Manager
More information5 Reasons to Invest in Absolute Return Multi-Strategy Growth. EONIA + 500bps p.a. Jan 10. Jan 09. Jul 09. Jul 10. Apr 09. Oct 09. Apr 10.
5 Reasons to Invest in Absolute Return Multi-Strategy Growth FOCUS 5Reasons 1. Targeting equity-like returns over the medium term 2. Seeks lower volatility than global equities 3. Pursues alternative sources
More informationPioneer Funds Top European Players
EQUITIES FOCUS Concentrating on Quality The Portfolio employs a high-conviction approach to investing in European companies. This concentration allows us to focus on what we consider to be the strongest
More information5 Reasons to Invest! » Pioneer Funds Multi-Strategy Growth. Pioneer Funds Absolute Return Multi-Strategy
1 5 Reasons to Invest! Pioneer Funds Absolute Return Multi-Strategy» Pioneer Funds Multi-Strategy Growth 2 5 Reasons to Invest» Pioneer Funds Absolute Return Multi-Strategy» Pioneer Funds Multi-Strategy
More informationFund Performance - EUR March
Fund Performance - EUR March 31 2010 SCORECARD European Equity Pioneer Funds - Core European Equity A 18 Dec 2000 LU0119364239 3.44 6.22 11.86 50.48-7.70 1.91-2.66 Pioneer Funds - Core European Equity
More informationMorgan Stanley Wealth Management Due Diligence Meeting
Morgan Stanley Wealth Management Due Diligence Meeting Industry Trends in Product & Asset Management Hugh Prendergast, Head of Strategic Product and Marketing, Western Europe and International 24 26 April
More informationNew Ideas in the Migration to Risk. Hugh Prendergast, Head of Strategic Product and Marketing, Western Europe and International June 2013
New Ideas in the Migration to Risk Hugh Prendergast, Head of Strategic Product and Marketing, Western Europe and International June 2013 Expected Real Returns % Income From Where? Real Annualized 10-Year
More informationETF.com Presents INSIDE COMMODITIES WEEK
ETF.com Presents INSIDE COMMODITIES WEEK A Practical Guide to Commodity Investing: 5 Things Every Investor Needs to Know November 17, 2014 swaps John T. Hyland, CFA Chief Investment Office United States
More informationWeekly Flows by Sector (US$mn) Top 5 Inflows/Outflows (US$mn) Top 5 / Bottom 5 Performers TOTAL. Diversified Energy Industrial Precious
Weekly Flows by Sector (US$mn) TOTAL Diversified Energy Industrial Precious Agriculture Livestock Equities FX -5-4 9 1 7 12 48 69-5 5 1 Top 5 Inflows/Outflows (US$mn) Industrial metals Energy Copper USD
More informationFINAL DISCLOSURE SUPPLEMENT Dated February 24, 2011 To the Disclosure Statement dated January 24, 2011
FINAL DISCLOSURE SUPPLEMENT Dated February 24, 2011 To the Disclosure Statement dated January 24, 2011 Union Bank, N.A. Market-Linked Certificates of Deposit, due August 28, 2013 (MLCD No. 109) Quarterly
More informationMerrill Lynch Due Diligence Meeting October 2012, Boston. Delivering Solutions that Meet Client Needs
Merrill Lynch Due Diligence Meeting 22-24 October 2012, Boston Delivering Solutions that Meet Client Needs Sandro Pierri, Chief Executive Officer, Pioneer Investments For 2012 Merrill Lynch Due Diligence
More informationOur Edge in Emerging Markets Fixed Income
RECOGNISING EXCELLENCE Our Edge in Emerging Markets Fixed Income Experience + Research + Performance The Global Investor Investment Excellence Awards 2015 has named Pioneer Investments Fixed Income Manager
More informationPioneer Funds U.S. Research & Pioneer Funds U.S. Research Growth
Pioneer Funds U.S. Research & Pioneer Funds U.S. Research Growth Investment Conference, Boston, March 2010 John Peckham CFA, Head of Global Fundamental Research Ashesh Savla Associate Portfolio Manager
More information/ CRB Index May 2005
May 2005 / CRB Index Overview: Past, Present and Future Founded in 1957, the Reuters CRB Index has a long history as the most widely followed Index of commodities futures. Since 1961, there have been 9
More informationUSCF Dynamic Commodity Insight Monthly Insight September 2018
Key Takeaways The US Commodity Index Fund (USCI) and the USCF SummerHaven Dynamic Commodity Strategy No K-1 Fund (SDCI) gained 1.94% and 1.84%, respectively, last month as September was the best month
More informationWeekly Flows by Sector (US$mn) Top 5 Inflows/Outflows (US$mn) Top 5 / Bottom 5 Performers. Diversified Energy Industrial
Weekly Flows by Sector (US$mn) TOTAL -153 Diversified Energy Industrial Precious -195 Agriculture Livestock Equities FX -2-3 -1 3 2 26-3 -2-1 1 Top 5 Inflows/Outflows (US$mn) EUR JPY Cotton Agriculture
More informationWeekly Flows by Sector (US$mn) Top 5 Inflows/Outflows (US$mn) Top 5 / Bottom 5 Performers. TOTAL Diversified Energy Industrial
Weekly Flows by Sector (US$mn) TOTAL Diversified Energy Industrial Precious -81 Agriculture Livestock Equities FX -3-38 -1 2 8 5 75-1 -5 5 1 Top 5 Inflows/Outflows (US$mn) Agriculture Copper USD Coffee
More informationAgenda. 1. Framework of Portfolio Construction 2. Applying What We Know to Equities
Agenda 1. Framework of Portfolio Construction 2. Applying What We Know to Equities Page 2 I For Dublin 2013 Investment Conference Attendees Only and Framework Successful portfolio construction should rely
More informationWeekly Flows by Sector (US$mn) Top 5 Inflows/Outflows (US$mn) Top 5 / Bottom 5 Performers. Diversified Energy Industrial
Weekly Flows by Sector (US$mn) TOTAL -22 Diversified Energy Industrial Precious -165 Agriculture Livestock Equities FX -4-2 -39-1 8 1-3 -2-1 1 Top 5 Inflows/Outflows (US$mn) Coffee Soybeans Cotton USD
More informationMerrill Lynch Due Diligence Meeting October 2012, Boston
Merrill Lynch Due Diligence Meeting 22-24 October 2012, Boston The Power of Collective Expertise Paul F. Cloonan, CFA Co-Head of Equity Research, US Senior Vice President For 2012 Merrill Lynch Due Diligence
More informationWorkshop: U.S. Pioneer Fund
Workshop: U.S. Pioneer Fund John Carey, CFA, Portfolio Manager, Executive Vice President For Investment Conference 2012 Attendees Only. Not be Distributed to the Public. What Differentiates U.S. Pioneer
More informationUBS Bloomberg CMCI. a b. A new perspective on commodity investments.
a b Structured investment products for investors in Switzerland and Liechtenstein. For marketing purposes only. UBS Bloomberg CMCI A new perspective on commodity investments. UBS Bloomberg CMCI Index Universe
More informationThe Crude Oil Comeback
March, 2016 The Crude Oil Comeback Energy Analysis and the Year Ahead 141 West Jackson Blvd. Suite 1320A Chicago IL 60604 +1 888.430.0043 2014 Price Asset Management Disclaimer An investment in commodities
More informationAgenda. 1. Framework of Portfolio Construction 2. Applying What We Know to Equities
Agenda 1. Framework of Portfolio Construction 2. Applying What We Know to Equities Page 2 I Dublin, June 2013 Pioneer Investment Conference Framework Successful portfolio construction should rely on 4
More informationFerreting out the Naïve One: Positive Feedback Trading and Commodity Equilibrium Prices. Jaap W. B. Bos Paulo Rodrigues Háng Sūn
Ferreting out the Naïve One: Positive Feedback Trading and Commodity Equilibrium Prices Jaap W. B. Bos Paulo Rodrigues Háng Sūn Extra large volatilities of commodity prices. Coincidence with Commodity
More informationDR Funds Secondary Market Transaction
DR Funds Secondary Market Transaction May 2012 Alternative The funds in scope of this transaction are as follows: DR AllWeather Fund, DR2 AllWeather Fund, DR AllWeather Strategies II Fund, DR2 AllWeather
More informationIndex Description MS HDX RADAR 2 MSDY Index
Dated as of August 3, 2017 Index Description MS HDX RADAR 2 MSDY Index This document (the Index Description ) sets out the current methodology and rules used to construct, calculate and maintain the MS
More informationMorgan Stanley Wealth Management Due Diligence Meeting
Morgan Stanley Wealth Management Due Diligence Meeting European Equity: Capturing Long-Term Trends & Short -Term Movements Fabio Di Giansante Senior Portfolio Manager, Senior Vice President 24 26 April
More informationPioneer Funds North American Basic Value
Pioneer Funds North American Basic Value Investment Conference, Boston, March 2010 James P. Cullen President & Lead Portfolio Manager, Schafer Cullen Capital Management, Inc. For Broker/Dealer Use Only
More informationPioneer Funds Euroland Equity
Pioneer Funds Euroland Equity Investment Conference, Boston, March 2010 Fabio Di Giansante Lead Portfolio Manager For Broker/Dealer Use Only and Not to be Distributed to the Public Understanding a Concentrated
More informationFrom Manufacturing to Energy: How to Capture Sustainable Growth in US Equity
From Manufacturing to Energy: How to Capture Sustainable Growth in US Equity Andrew Acheson, Portfolio Manager John Peckham, CFA, Portfolio Manager, Co-Head of Equity Research, US June 2013 Page 1 I For
More information4 Reasons to Invest in Pioneer Funds Real Assets Target Income. ~40% of Total Income: Premium 1 from Call and Put Options
4 Reasons to Invest in Pioneer Funds Real Assets Target Income A High Yielding Response to Rising Inflation FOCUS 4Reasons 1. Seeks to protect purchasing power by offering real returns, which may rise
More informationPAI Fund of Hedge Funds Restructuring
PAI Fund of Hedge Funds Restructuring October 2011 Alternative Relevant Fund of Hedge Funds: The AllWeather Fund Series II, AllWeather Strategy II EUR Fund, AllWeather Strategy II USD Fund (collectively
More informationComovement and the. London School of Economics Grantham Research Institute. Commodity Markets and their Financialization IPAM May 6, 2015
London School of Economics Grantham Research Institute Commodity Markets and ir Financialization IPAM May 6, 2015 1 / 35 generated uncorrelated returns Commodity markets were partly segmented from outside
More informationWorkshop: Pioneer Funds U.S. Research
Workshop: Pioneer Funds U.S. Research Paul Cloonan, Co-Head of Equity Research, U.S., Senior Vice President For US Investment Conference 2012 Attendees Only. Not to be Distributed to the Public. What Differentiates
More informationPioneer Funds Emerging Markets Bond
Employing a Differentiated Approach in an Evolving Market Pioneer Funds Emerging Markets Bond EM DESK VIEW Aiming to Generate Performance in an Evolving Asset Class Requires a Flexible Strategy We believe
More informationDiapason Rogers Commodity Index Fund
Diapason Rogers Commodity Index Fund THE FUND : Diapason Rogers Commodity Index Fund Limited (the "Fund") is an exempted company organized in January, 2004 under the laws of the Cayman Islands, the objective
More informationQ & A PAI Fund of Hedge Funds Restructuring
Q & A PAI Fund of Hedge Funds Restructuring October 2011 General What is the date of the restructuring? Fund name Relevant effective date The AllWeather Fund Series II 23rd December 2011 AllWeather Strategy
More informationGoldman Sachs Commodity Index
600 450 300 29 Jul 1992 188.3 150 0 Goldman Sachs Commodity Index 31 Oct 2007 598 06 Feb 2002 170.25 Average yearly return = 23.8% Jul-94 Jul-95 Jul-96 Jul-97 Jul-98 Jul-99 Jul-00 Jul-01 Jul-02 Jul-03
More informationNASDAQ Commodity Index Family
Index Overview NASDAQ Commodity Index Family The NASDAQ Commodity Index Family provides a broad way to track U.S. dollar denominated commodities traded on U.S. and U.K. exchanges. NASDAQ s transparent
More informationFNCE4040 Derivatives Chapter 2
FNCE4040 Derivatives Chapter 2 Mechanics of Futures Markets Futures Contracts Available on a wide range of assets Exchange traded Specifications need to be defined: What can be delivered, Where it can
More informationIndex Description MSCY Dynamic Diversified Indices with Sub Component Overweight ( MSCY DISCO Dynamic Commodity Indices )
Index Description MSCY Dynamic Diversified Indices with Sub Component Overweight ( MSCY DISCO Dynamic Commodity Indices ) This document (the Index Description ) sets out the current methodology and rules
More informationCommodities. Sandra Ebner,, CFA Senior Portfolio Manager Deka Investment GmbH. May, 2010
Commodities Sandra Ebner,, CFA Senior Portfolio Manager Deka Investment GmbH May, 2010 Long-term structural changes cause higher trendgrowth in commodity demand, but 7 5 Emerging markets are growing faster
More informationOver the last several years, the rapid rise
Going Long on Index investing has long been popular in the securities markets. Now it is coming into fashion in the futures world, and bringing a new source of liquidity to commodity futures contracts.
More information26th International Copper Conference Madrid. Christoph Eibl Chief Executive March 2013
26th International Copper Conference Madrid Christoph Eibl Chief Executive March 2013 Preferences Copper form a Fund Manager s point of view As a strategic investor (i.e. long only) fundamentals rule Deficit
More informationETF Securities Weekly Flows Analysis Gold ETPs outflows after hawkish September FOMC minutes.
Morgane Delledonne Associate Director Fixed Income Strategist research@etfsecurities.com 17 October 216 ETF Securities Weekly Flows Analysis Gold ETPs outflows after hawkish September FOMC minutes. Gold
More informationOVERVIEW OF THE BACHE COMMODITY INDEX SM
OVERVIEW OF THE BACHE COMMODITY INDEX SM March 2010 PFDS Holdings, LLC One New York Plaza, 13th Fl NY, NY 10292-2013 212-778-4000 Disclaimer Copyright 2010 PFDS Holdings, LLC. All rights reserved. The
More informationFirst Trust Global Tactical Commodity Strategy Fund (FTGC) Consolidated Portfolio of Investments March 31, 2018 (Unaudited) Stated.
Consolidated Portfolio of Investments Principal Description Stated Coupon Stated Maturity TREASURY BILLS 80.1% $ 48,000,000 U.S. Treasury Bill (a)... (b) 04/12/18 $ 47,978,254 10,000,000 U.S. Treasury
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 informationSkewness Strategies in Commodity Futures Markets
Skewness Strategies in Commodity Futures Markets Adrian Fernandez-Perez, Auckland University of Technology Bart Frijns, Auckland University of Technology Ana-Maria Fuertes, Cass Business School Joëlle
More informationCommitments of Traders: Commodities
Commitments of Traders: Commodities Leveraged funds positioning covering the week ending March 6, 218 Ole S. Hansen Head of Commodity Strategy 6-Mar-18 Change Change Change Change Pct 1 yr high 1 yr low
More informationETF Securities Weekly Flows Analysis Largest weekly inflows into Robotics since inception
James Butterfill Head of Research & Investment Strategy research@etfsecurities.com 23 October 217 ETF Securities Weekly Flows Analysis Largest weekly inflows into Robotics since inception Minor gold outflows
More informationPioneer Funds Absolute Return European Equities
Pioneer Funds Absolute Return European Equities Fiona English, Client Portfolio Manager September 2016 Page 1 I For Attendees of the NGF Conference Only and Not to be Distributed to the Public Pure Alpha
More informationMerrill Lynch Due Diligence Meeting October 2012, Boston
Merrill Lynch Due Diligence Meeting 22-24 October 2012, Boston Emerging Markets: Corporate Bonds Stealing the Show Greg Saichin, Head of Emerging Markets & High Yield Fixed Income Portfolio Management,
More informationCommitments of Traders: Commodities
Commitments of Traders: Commodities Leveraged funds positioning covering the week ending June 19, 218 Ole S. Hansen Head of Commodity Strategy 19-Jun-18 Change Change Change Change Pct 1 yr high 1 yr low
More informationCommitments of Traders: Commodities
Commitments of Traders: Commodities Leveraged funds positioning covering the week ending June 26, 218 Ole S. Hansen Head of Commodity Strategy 26-Jun-18 Change Change Change Change Pct 1 yr high 1 yr low
More informationKEY CONCEPTS. Understanding Commodities
KEY CONCEPTS Understanding Commodities TABLE OF CONTENTS WHAT ARE COMMODITIES?... 3 HOW COMMODITIES ARE TRADED... 3 THE BENEFITS OF COMMODITY TRADING...5 WHO TRADES COMMODITIES?...6 TERMINOLOGY... 7 UNDERSTANDING
More informationRisk Management A Perspective on the Financial Crisis
Risk Management A Perspective on the Financial Crisis Ruairi O Healai June 2009 For Broker/Dealer Use Only at the European Capabilities Forum 24-26 June 2009 and Not to be Distributed to the Public Agenda
More informationMacquarie Diversified Commodity Capped Building Block Indices. Index Manual May 2016
Macquarie Diversified Commodity Capped Building Block Indices Manual May 2016 NOTICES AND DISCLAIMERS BASIS OF PROVISION This Manual sets out the rules for the Macquarie Building Block Indices (each, an
More informationPioneer Investments European Equity Capabilities
Pioneer Investments European Equity Capabilities Investment Philosophy and Process Page 1 I For broker/dealer use only and not be distributed to the public. European Equity The Integrated Team Group CIO
More information6,479,864 (Cost $6,480,320) (c) Net Other Assets and Liabilities 26.1%... 2,286,259 Net Assets 100.0%... $ 8,766,123
Consolidated Portfolio of Investments Principal TREASURY BILLS 73.9% Description Stated Coupon Stated Maturity $ 1,000,000 U.S. Treasury Bill (a) (b) 4/12/18 $ 999,547 1,500,000 U.S. Treasury Bill (a)
More informationETF Securities Weekly Flows Analysis Profit taking in precious metals continues
James Butterfill Head of Research and Investment Strategy research@etfsecurities.com 2 May 217 ETF Securities Weekly Flows Analysis Profit taking in precious metals continues Profit taking in precious
More informationHandelsbanken Index Update Log. Version as of 1 June 2016
Handelsbanken Index Update Log Version as of 1 June 2016 Handelsbanken Nordic Low Volatility 40 Index (SEK) Announcement Date 2016-06-01 Implementation Date 2016-06-01 Changed Definition(s) Corporate Action
More informationPricing Supplement Dated November 16, 2012
Pricing Supplement Dated November 16, 2012 To the Product Prospectus Supplement ERN-COMM-1 Dated February 24, 2011, Prospectus Supplement Dated January 28, 2011, and Prospectus Dated January 28, 2011 $4,834,000
More informationCommitments of Traders: Commodities
Commitments of Traders: Commodities Leveraged funds positioning covering the week ending May 8, 218 Ole S. Hansen Head of Commodity Strategy 8-May-18 Change Change Change Change Pct 1 yr high 1 yr low
More informationPrinciples of Portfolio Construction
Principles of Portfolio Construction Salient Quantitative Research, February 2013 Today s Topics 1. Viewing portfolios in terms of risk 1. The language of risk 2. Calculating an allocation s risk profile
More informationMorgan Stanley Wealth Management Due Diligence Meeting
Morgan Stanley Wealth Management Due Diligence Meeting Emerging Market Debt: The New Investment Grade Alejandro Arevalo, High Yield EM Portfolio Manager 24 26 April 2013, Milan Page 1 I For broker/dealer
More informationCommitments of Traders: Commodities
Commitments of Traders: Commodities Leveraged funds positioning covering the week ending July 3, 218 Ole S. Hansen Head of Commodity Strategy 3-Jul-18 Change Change Change Change Pct 1 yr high 1 yr low
More informationCommitments of Traders: Commodities
Commitments of Traders: Commodities Leveraged funds positioning covering the week ending July 1, 218 Ole S. Hansen Head of Commodity Strategy 1-Jul-18 Change Change Change Change Pct 1 yr high 1 yr low
More informationETF Securities Weekly Flows Analysis ETP investors bargain-hunt as commodities capitulate
Nitesh Shah Director - Commodity Strategist research@etfsecurities.com 8 May 217 ETF Securities Weekly Flows Analysis ETP investors bargain-hunt as commodities capitulate Oil ETPs continue to see inflows
More informationETF Securities Weekly Flows Analysis Largest monthly inflows into Robotics ETPs since creation
Morgane Delledonne Fixed Income Strategist research@etfsecurities.com 13 January 217 ETF Securities Weekly Flows Analysis Largest monthly inflows into Robotics ETPs since creation Robotics ETP saw US$52m
More informationETF Securities Weekly Flows Analysis Safe havens gain traction as trade war escalates
Nitesh Shah Director, Research research@etfsecurities.com 9 April 218 ETF Securities Weekly Flows Analysis Safe havens gain traction as trade war escalates Safe haven demand drives US$23.9mn into long
More informationSpectrum Asset Management LLC
141 W Jackson Blvd. Suite 1692 Chicago, IL 60604 312-341-7018 NEW DEVELOPMENTS IN NATURAL RESOURCES INVESTING Biography Michael E. Songer (President & Founder) Prior to Spectrum, Mr. Songer was a trader
More informationCAX Commodity Arbitrage Index. Objectives and Guidelines. Copyright 2009 Alternative-Index Ltd 1
CAX Commodity Arbitrage Index Objectives and Guidelines Copyright 2009 Alternative-Index Ltd www.alternative-index.com 1 Index Objectives Provide an investable benchmark with daily liquidity that covers
More informationFINAL DISCLOSURE SUPPLEMENT Dated June 25, 2015 To the Disclosure Statement dated March 30, 2015
FINAL DISCLOSURE SUPPLEMENT Dated June 25, 2015 To the Disclosure Statement dated March 30, 2015 MUFG Union Bank, N.A. Average Return Market-Linked Certificates of Deposit, due June 30, 2021 (MLCD No.
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 informationBLOOMBERG COMMODITY INDEX 2018 TARGET WEIGHTS
BLOOMBERG COMMODITY INDEX 2018 TARGET WEIGHTS 2018 SUMMARY 26 commodity contracts tested for inclusion No constituent changes (22 commodities constituents / 20 commodities) Energy reaches lowest weight
More informationAsset Allocation: How Big a Role Should Commodities Play in a Portfolio?
Asset Allocation: How Big a Role Should Commodities Play in a Portfolio? Dave Nadig, Moderator Director of Research, IndexUniverse John Catizone, Panelist Managing Director, Head of Institutional Sales,
More informationETF Securities Weekly Flows Analysis Precious metal ETP flows strengthen as trade tensions continue
Aneeka Gupta Associate Director, Equity & Commodity Research research@etfsecurities.com 23 April 218 ETF Securities Weekly Flows Analysis Precious metal ETP flows strengthen as trade tensions continue
More information26th International Aluminium Conference Moscow. Christoph Eibl Chief Executive September 2012
26th International Aluminium Conference Moscow Christoph Eibl Chief Executive September 2012 Preferences Aluminium form a Fund Manager s point of view As a strategic investor (i.e. long only) fundamentals
More informationBache Commodity Index SM. Q Review
SM Bache Commodity Index SM Q3 2009 Review The Bache Commodity Index SM Built for Commodity Investors The Bache Commodity Index SM (BCI SM ) is a transparent, fully investable commodity index. Its unique
More informationp r e s e n t i n g r e s e a r c h o n c o n t e m p o r a r y a n d e m e r g i n g p o r t f o l i o c o n s t r u c t i o n i s s u e s
p r e s e n t i n g r e s e a r c h o n c o n t e m p o r a r y a n d e m e r g i n g p o r t f o l i o c o n s t r u c t i o n i s s u e s VOLUME THREE ISSUE TWO SUMMER 2006/07 5th ANNUAL PORTFOLIOCONSTRUCTION
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 informationR E D E F I N I N G T H E C O M M O D I T I E S M A R K E T P L A C E. Exchange Traded Commodities
R E D E F I N I N G T H E C O M M O D I T I E S M A R K E T P L A C E Exchange Traded Commodities Contents Introduction 1 What are ETCs? 2 Benefits and features 4 Who are they for? 5 How do they work?
More informationFirst Trust Global Tactical Commodity Strategy Fund (FTGC) Consolidated Portfolio of Investments September 30, 2017 (Unaudited) Stated.
Consolidated Portfolio of Investments Principal Description Stated Coupon Stated Maturity TREASURY BILLS 61.0% $ 30,000,000 U.S. Treasury Bill (a)... (b) 10/19/17 $ 29,987,055 15,000,000 U.S. Treasury
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 informationETF Securities Weekly Flows Analysis Precious metal flows bifurcated by gold and silver
Aneeka Gupta Associate Director Equities & Commodities research@etfsecurities.com 11 December 217 ETF Securities Weekly Flows Analysis Precious metal flows bifurcated by gold and silver Industrial metal
More informationFutures Perfect? Pension Investment in Futures Markets
Futures Perfect? Pension Investment in Futures Markets Mark Greenwood F.I.A. 28 September 2017 FUTURES PERFECT? applications to pensions futures vs OTC derivatives tour of futures markets 1 The futures
More informationEquinox Campbell Strategy Fund Portfolio Holdings as of October 31, 2017 (Based on Net Assets)
Equinox Campbell Strategy Fund Portfolio Holdings as of October 31, 2017 (Based on Net Assets) Description Market Value () Percentage Equinox Campbell Ltd Controlled Foreign Corporation $96,112,731 25.07%
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 informationQuarterly Commentary. Strategic Commodity Fund DBCMX/DLCMX
Quarterly Commentary Strategic Commodity Fund DBCMX/DLCMX June 30, 2017 333 S. Grand Ave., 18th Floor Los Angeles, CA 90071 (213) 633-8200 Quarterly Commentary Overview A few main themes dominated headlines
More informationRethinking Commodity Indexes. Live Webinar May 6, :00 3:00 pm EDT
Rethinking Commodity Indexes Live Webinar May 6, 2010 2:00 3:00 pm EDT Welcome Background on Commodities Indexing Dave Nadig Director of Research IndexUniverse.com Fundamental Problems Solutions & Alternatives
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 informationETF Securities Weekly Flows Analysis Investors appear to shrug off trade-war risk for now
Nitesh Shah Director, Commodities Research research@etfsecurities.com 12 March 218 ETF Securities Weekly Flows Analysis Investors appear to shrug off trade-war risk for now Inflows into industrial metal
More informationFUTURES PRICES. Grain and Oilseed Futures. Thursday, December 21, 2006
Grain and Oilseed Futures 23 LIFETIME OPEN OPEN HIGH LOW SETTLE CHG HIGH LOW INT Corn (CBT)-5,000 bu.; cents per bu. Mar 373.00 378.50 372.75 377.75 +5.00 393.50 245.25 590,136 May 381.00 386.25 381.00
More informationMarket Outlook Considerations Week Beginning May 14, 2018
Market Outlook Considerations Week Beginning May 14, 2018 DISCLAIMER-FOR-EDUCATIONAL-PURPOSES-ONLY Bobby Coats, Ph.D. Professor Economics Department of Agricultural Economics and Agribusiness University
More informationKey Commodity Themes. Maxwell Gold Director of Investment Strategy. Gradient Investments Elite Advisor Forum October 5 th, 2017
Key Commodity Themes Maxwell Gold Director of Investment Strategy Gradient Investments Elite Advisor Forum October 5 th, 2017 2001 2002 2002 2003 2004 2005 2006 2007 2007 2008 2009 2010 2011 2012 2012
More informationgo about choosing a commodity investment product especially when we have recently seen a proliferation of these products?
white paper 2010 THE NEXT GENERATION OF COMMODITY INVESTING STRATEGIES Executive summary Spurred by global demand trends and concerns about inflation, more and more investors are turning to commodities
More informationAnnuity Linked TVI Index. Explained
Annuity Linked TVI Index Explained 1 Key Features of the Annuity Linked TVI Index The Index aims to deliver positive returns while moderating volatility regardless of market direction. The Index goal is
More information