The Case for Liquid Alternative Investments JUNE Jon Sundt, President & CEO, Altegris Allen Cheng, Chief Investment Officer, Altegris Advisors
|
|
- Noel Logan
- 6 years ago
- Views:
Transcription
1 The Case for Liquid Alternative Investments JUNE 2012 Jon Sundt, President & CEO, Altegris Allen Cheng, Chief Investment Officer, Altegris Advisors
2 Executive Summary The recent financial crisis spurred investors to focus on liquid, noncorrelated assets in their quest to better manage portfolio risk while still seeking returns. It is no surprise, then, that increasing numbers of financial advisors and their clients have been considering liquid alternative investments to help meet this challenge. 2 > > At Altegris, we define liquid alternative investments as mutual funds that may be suitable for a wide range of investors, and which provide access to best-of-breed alternative investment managers who can go long or short in various markets. While alternative investments have typically been geared toward institutional and high-net-worth investors, liquid alternatives enable a broader range of investors to take advantage of the historic strengths of hedge funds, while also benefiting from the attributes of mutual funds. > > Alternatives have been migrating to a broader investor base for some time, but that trend has gathered speed in the wake of the financial crisis. Investors are seeking out liquid alternatives that offer the potential for uncorrelated returns, lower volatility, and greater transparency and liquidity, while alternative investment managers are increasingly open to offering their strategies via more liquid vehicles, as they represent another potential avenue for asset growth and provide access to a new investor base. > > Some alternative investment strategies are better suited to a mutual fund structure than others. At Altegris, we believe that long/short equity, managed futures and global macro are particularly strong fits within a mutual fund framework. > > In Altegris view, long/short equity, managed futures and global macro should be included in a core alternatives allocation within a portfolio, and together offer the potential for lowering volatility and generating strong, non-correlated returns providing both downside protection and enhanced performance potential in rising markets. > > In contrast to this core, some strategies that are compelling in a hedge fund format do not necessarily translate as well to mutual funds due to a lack of liquidity or because they require levels of gross long and/or short exposure* beyond what is allowable in a mutual fund structure in order to generate appropriate risk-adjusted returns. > > With the universe of alternative investment managers available via mutual funds expanding rapidly, it is becoming more of a challenge to identify premier investment talent. As such, we believe there are clear benefits from partnering with a firm such as Altegris that has built deep relationships with the real deal top-flight, experienced alternative investment managers with the ability on a historical basis to deliver alpha and can package their strategies in a liquid format for a range of advisors and their clients. * See glossary on page 23 for term definitions.
3 > > At Altegris, we believe that this elite level of talent is worth paying for from a mutual fund investor s standpoint, potentially higher fees for select liquid alternatives are appropriate in exchange for access to some of the best investment managers in the world. > > Particularly in light of recent history, we believe that it is critical for investors to maintain investment flexibility and focus on strategies with the ability to perform in a variety of market conditions. Therefore, we suggest that investors build a diversified portfolio and position themselves to take advantage of a range of market opportunities, including allocating to a mix of convergent and divergent strategies available in liquid structures with long/short equity, managed futures and global macro representing prominent examples of these two types of categories. > > By gaining exposure to premier alternative investment managers, in a liquid format, investors can potentially enjoy the best of both worlds the flexibility and convenience of mutual funds and the portfolio effects of alternative investments in the pursuit of their long-term investment goals. Liquid alternatives enable a broader range of investors to take advantage of the historic strengths of hedge funds, while also benefiting from the attributes of mutual funds. Altegris Academy June
4 The Emergence of Liquid Alternative Investments One of the principal legacies of the financial crisis that began in 2008 has been an increased focus on liquid, non-correlated assets, as investors seek to better manage risk in their portfolios without giving up on performance. It is no surprise, then, that increasing numbers of financial advisors and their clients are turning to liquid alternative investments to help meet this challenge. At Altegris, we define liquid alternative investments as mutual funds that may be suitable for a wide range of investors, and which provide access to bestof-breed alternative investment managers who can go long or short in various markets. While alternative investments have historically been the exclusive province of institutional and high-net-worth investors, liquid alternatives enable a broader range of investors to take advantage of their traditional strengths including reduced portfolio volatility and asset-class correlations, as well as strong potential riskadjusted returns. At the same time, these investors benefit from the hallmarks of mutual funds, including a daily liquidity, low investment minimums, more flexible investor pre-qualifications and efficient 1099 tax reporting. Alternatives have been migrating to a broader investor base for some time, but this trend has gathered speed in the wake of the financial crisis. As illustrated in Figure 1, assets in alternative mutual funds have increased 128% since October 2008, to $99B as of March 2012, while the ratio of alternative mutual fund assets to total mutual fund assets has risen 35.7% during that same timeframe, according to Morningstar Direct. Liquid alternatives offer managers another avenue for asset growth at a point when competition has never been fiercer. 4
5 FIGURE 1. ALTERNATIVE MUTUAL FUND ASSETS ($ BILLION) Alternative mutual fund assets have surged on both an absolute level and relative to the broader mutual fund universe Jan-06 Jul-06 Jan-07 Jan-06 Jul-06 Jan-07 Jul-07 Jan-08 Jul-08 Jan-09 Jul-09 Jan-10 Jul-10 Jan-11 Jul-11 Jan-12 RATIO OF ALTERNATIVE MUTUAL FUNDS ASSETS / TOTAL MUTUAL FUND ASSETS 1.40% 1.30% 1.20% 1.10% 1.00% 0.90% 0.80% 0.70% 0.60% 0.50% 0.40% Source: Morningstar Direct Jul-07 Jan-08 Jul-08 Jan-09 Jul-09 Jan-10 Jul-10 Jan-11 Jul-11 Jan-12 5
6 In the wake of the crisis, investors are seeking out liquid alternatives that offer the potential for uncorrelated returns, lower volatility, and increased transparency and liquidity. For example, more than 71% of financial planners ranked correlation among their top five considerations in evaluating alternative investments, followed by risk and liquidity, according to the Financial Planning Association s 2011 Alternative Investments Survey, conducted in May Investors in UCITS (a European investment product similar to US mutual funds) said in a survey published in November 2010 by Strategic Insight and Global Custodian magazine, Alternative and Hedge Fund UCITS in the Next Decade, that liquidity is the most important factor supporting the growth of alternative UCITS. In addition, institutional investors polled in a 2010 KPMG survey, Transformation: The Future of Alternative Investments, cited transparency as the primary challenge facing the alternative investment industry. At a time of rising investor demand, alternative investment managers are also becoming increasingly open to offering their strategies via more liquid vehicles as they seek to expand their businesses. Liquid alternatives offer managers another avenue for asset growth at a point when competition has never been fiercer estimates peg the number of alternative investment managers operating globally at more than 5,000. In addition, mutual fund investors represent a relatively untapped and relatively sticky client base for alternative investment managers, as assets comprising a number of smaller allocations from advisors and individual high-networth investors can be more stable than a large block from a single institutional investor. 6
7 The Best Strategies for Liquid Alts Some alternative investment strategies are better suited to a mutual fund structure than others. At Altegris, we believe that long/short equity, managed futures and global macro are particularly strong fits within a mutual fund framework, and that these strategies should comprise a core allocation for any investor seeking a diversified exposure to alternative investments. Long/short equity typically entails a manager going long equities he or she expects to increase in value, while selling short equities he or she expects to decrease in value. Managed futures, in contrast, comprise a highly technical strategy in which managers generally utilize proprietary, model-based trading systems to identify market trends and react to corresponding price movements in securities. Global macro is a fundamental strategy in which managers use macroeconomic data to predict price movements. Despite the obvious differences in approach, these three strategies share key similarities. All generally focus on deep, actively traded markets primarily via centrally cleared instruments publicly traded equities from around the world, in the case of long/short equity; and global exchange-traded stock indices, bonds, currencies and commodities for both managed futures and macro. All three have the flexibility to go long and short thus providing managers with the ability to generate returns in a variety of market environments. In addition, all can effectively pursue their investment approaches within mutual fund regulatory constraints on leverage. As a result, investors allocating to these strategies via liquid alternatives can enjoy some of the primary potential advantages of mutual funds a high degree of transparency, the ability to quickly invest and redeem (thus aiding in actively rebalancing portfolios), and regulatory and board oversight while also reaping the possible rewards of alternative investment exposure, including strong potential risk-adjusted returns and reduced volatility (See Figure 2). 7
8 FIGURE 2. PERFORMANCE TABLE January 1997 March 2012 Managed futures, global macro and equity long/short are favorable to traditional asset classes on a risk-return basis and are largely uncorrelated as well. Annual Rate of Return Annual Standard Deviation Worst Drawdown Sharpe Ratio Managed Futures 6.72% 10.59% % 0.43 Global Macro 9.02% 6.11% -6.42% 1.04 Long/Short Equity 9.12% 9.89% % 0.68 US Stocks 6.18% 16.53% % 0.30 US Bonds 6.24% 3.55% -3.82% 1.03 CORRELATION TABLE January 1997 March 2012 Managed Futures Global Macro Long/Short Equity US Stocks US Bonds Managed Futures Global Macro Long/Short Equity US Stocks US Bonds Source: Altegris PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. The referenced indices are shown for general market comparisons and are not meant to represent any particular fund. An investor cannot invest directly in an index. Moreover, indices do not reflect commissions or fees that may be charged to an investment product based on an index, which may materially affect the performance data presented. There is no guarantee an investment will achieve its objective, generate profits or avoid losses. Managed Futures: Altegris 40 Index ; Long/Short Equity: HFRI Equity Hedge (Total) Index; Global Macro: Barclay Global Macro Index; US Stocks: S&P 500 TR Index; US Bonds: Barclay US Aggregate Composite Bond Index. Standard deviation is a statistical measure of how consistent returns are over time; a lower standard deviation indicates historically less volatility. Drawdown measures the peak to valley loss relative to the peak for a stated time period. Sharpe Ratio measures return in excess of the risk-free rate, per unit of risk, as measured by standard deviation. Date range based on common period of data availability for shown indices. See pages 24 and 25 for additional index definitions, descriptions, and risks. 8
9 Long/Short Equity, Managed Futures and Global Macro: The Core of Alternative Investments In Altegris view, long/short equity, managed futures and global macro should be included in a core alternatives allocation within a portfolio, and together offer the potential for lowering volatility and generating strong, non-correlated returns (See Figure 3) providing both downside protection and enhanced performance potential in rising markets. Thus, the three strategies can combine to provide investors with one of the primary benefits of alternative investments: enhancing a portfolio s ability to perform in a wide range of market conditions. Altegris Academy June
10 FIGURE 3. ALTERNATIVES IN A PORTFOLIO Adding core alternative investments can potentially enhance a portfolio s risk-return profile. Traditional Portfolio Traditional Portfolio + Alternatives 40% Bonds 38% US Stocks 10% LSE 10% MF 10% GM 60% US Stocks Common Period* 32% Bonds 172% Total Return 197% 10% Ann. Standard Deviation 7% -31% Worst Drawdown -22% 5.60 Reward/Risk Ratio % +3% +9% Source: Altegris *January 1997 March The referenced indices are shown for general market comparisons and are not meant to represent any particular Fund. The above is not intended, and should not be construed, as asset allocation advice. There is no guarantee that any investment product will achieve its objectives, generate profits or avoid losses. PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. An investor cannot invest directly in an index. Moreover, indices do not reflect commissions or fees that may be charged to an investment product based on the index, which may materially affect the performance data presented. Standard deviation is a statistical measure of how consistent returns are over time; a lower standard deviation indicates historically less volatility. Drawdown measures the peak to valley loss relative to the peak for a stated time period. INDICES: US Bonds: US Aggregate Bond Index; US Stocks: S&P 500 Total Return Index; Long/Short Equity (LSE): HFRI Equity Hedge (Total) Index; Managed Futures (MF): Altegris 40 Index (started July 2000; data available back to 1990); Global Macro (GM): Barclay Global Macro Index. Risk/Reward Ratio = Total Return/Worst Drawdown. Date range based on common period of data availability for shown indices. See pages 24 and 25 for additional index definitions, descriptions and risks. Even in the context of liquid alternative investments, it is important to keep in mind that the potential benefits of these strategies are typically realized over a long-term time horizon. 10
11 While liquid alternative investments can deliver more transparency and liquidity than typically offered by hedge funds accessible via private placement (See Figure 4), the two types of vehicles are not mutually exclusive within a well-diversified portfolio. For investors with the appropriate levels of investable capital for whom alternative investments are suitable, allocating sufficiently to liquid alternatives can free them up to simultaneously pursue less-liquid strategies offering higher risk and potentially higher returns by virtue of their longer investment horizons. As a result, liquid alternatives and private placement alternative investments can work in tandem to position a portfolio to generate potentially strong risk-adjusted returns in both up and down markets. FIGURE 4. MUTUAL FUNDS / PRIVATE FUNDS Mutual funds and private funds offer different but potentially complementary characteristics for investors. Liquidity Mutual Funds > Daily Liquidity > Daily final NAV pricing Private Funds > Typically monthly/quarterly liquidity > Typically monthly final NAV pricing Taxes > Form 1099 reporting > Form K-1 reporting Availability Access > Available to most investors, subject to investment suitability > Automated subscription and processes (NSCC) > Available to accredited and higher, subject to investment suitability > Manual subscription and redemption processes with advanced notice required Source: Altegris For illustrative purposes only. There is no guarantee that any investment product will achieve its objectives, generate profits or avoid losses. Even in the context of liquid alternative investments, it is important to keep in mind that the potential benefits of these strategies are typically realized over a long-term time horizon. For example, a quick glance at a chart of monthly managed futures performance shows a significant amount of red, representing negative monthly returns. Yet, out of the last 22 full years for which data is available, managed futures had just three down calendar years, with average annual returns of 8.5% over that time period (See Figure 5). Investors should therefore expect managed futures as well as other strategies, such as long/short equity or global macro to have periods of underperformance relative to other asset classes. However, knowing that past performance is not necessarily indicative of future results, we believe that, historically, these strategies have proven their worth over the long term, and that patient investors will be best positioned to maximize the attributes of these approaches. 11
12 FIGURE 5. MONTHLY MANAGED FUTURES RETURNS January 1990 March 2012 Short-term fluctuations have not dampened managed futures strong long-term performance. Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year % 0.41% -2.28% -1.57% % 1.70% -1.53% 3.90% -3.65% -2.60% 3.59% -0.20% -0.06% -3.96% 0.30% 0.96% -3.23% % 0.94% 3.97% 1.54% -2.42% 0.38% -1.29% 4.14% 1.82% 3.88% -3.54% 4.29% 11.33% % -0.05% -2.77% -3.27% 1.38% -2.66% -0.11% 0.33% 2.38% -2.56% 4.03% -4.00% -7.98% % 5.69% -0.44% -1.15% 2.06% 2.67% -4.59% -2.67% 0.21% 5.15% 3.67% 2.57% 15.47% % -3.75% -2.34% 4.20% 3.57% 2.89% -3.09% -3.73% 4.67% 4.31% -0.65% -0.23% 7.18% % -1.78% 2.68% 2.44% -2.65% -1.37% -1.48% 1.12% -1.06% 1.10% 2.45% 3.38% 6.70% % 0.69% -0.56% -2.45% 3.09% 3.41% 0.06% 0.54% 1.54% 0.16% 4.29% -1.81% 4.51% % 5.64% -0.98% -6.22% -1.59% -3.30% -1.14% -0.69% 1.35% 3.42% 5.41% 0.33% 2.57% % 5.97% -5.72% 1.47% 5.87% -2.51% -2.26% 0.94% -0.46% 2.25% -0.30% 4.33% 15.99% % -2.82% -0.29% -2.36% 2.59% 8.84% 5.34% 2.41% 4.61% -5.18% -2.76% 6.09% 15.22% % 0.95% 6.48% -6.16% 0.03% -1.10% 0.22% 2.99% 3.08% 4.32% -7.77% 2.11% 5.39% % -1.12% -2.48% -1.51% 1.37% -1.55% -1.76% 2.06% -1.74% 2.09% 6.26% 8.23% 10.63% % 1.87% -0.81% 3.07% -1.66% 2.60% -0.78% 0.60% 0.35% -4.42% 1.94% 1.29% 0.87% % -0.78% 1.17% -3.97% 2.54% 0.12% 0.21% 7.93% 4.47% -0.40% -1.83% 2.35% 12.61% % 2.39% -0.11% -2.34% -1.66% 1.16% 6.98% -4.76% 1.26% -0.62% 1.40% 2.68% 10.22% % -6.01% 0.57% 5.22% -2.36% 1.02% -2.58% -0.35% 4.49% 8.10% 7.05% -2.28% 16.04% % 3.66% 8.23% 1.79% 1.13% -2.16% -1.96% 1.24% -2.50% 0.10% 1.68% 4.49% 13.16% % -2.27% 1.59% -1.33% 2.24% 4.71% -3.13% -3.79% 1.31% -0.05% 1.40% -1.73% -5.46% % 7.61% -0.55% 4.60% 0.10% 1.43% 4.87% -1.14% -1.25% -0.70% -1.69% 1.81% 14.66% % -3.79% -0.08% -3.72% 1.08% 6.67% 7.16% 5.36% -2.43% -0.26% 1.63% -1.42% 0.89% % 0.30% 6.90% -1.65% -1.10% 2.69% -4.55% -1.01% 5.45% -2.65% 1.02% 16.01% 15.12% % 2.11% 3.71% 3.72% -6.53% 2.68% 10.36% 8.00% 3.37% 3.02% -0.39% -1.31% 37.15% Positive Negative Source: Altegris PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. An investor cannot invest directly in an index. Moreover, indices do not reflect commissions or fees that may be charged to an investment product based on the index, which may materially affect the performance data presented. Indices: Managed Futures: Altegris 40 Index (started July 2000; data available back to 1990). Time frame: January 1990 March
13 In contrast to core strategies such as long/short equity, managed futures and global macro, some strategies that are compelling in a hedge fund format do not necessarily translate as well to mutual funds. For example, some are not sufficiently liquid. Indeed, the lack of liquidity is a fundamental driver of investment returns for these strategies. This group includes virtually all forms of distressed securities investing, certain structured credit approaches and activist/special-situation strategies. However, while these strategies can provide challenges within a liquid mutual fund structure, they remain more nimble than investments such as physical private real estate, private equity, venture capital, timber and other hard assets, and infrastructure when considering them within a portfolio context (See Figure 6). Leverage is another key factor in evaluating whether an alternative investment strategy fits within a mutual fund format. Strategies such as relative value and statistical arbitrage, for example, can produce attractive risk-adjusted returns, yet they require leverage levels beyond what is allowable in a mutual fund structure in order to be effectively implemented. FIGURE 6. ALTERNATIVE INVESTMENT LIQUIDITY Managed futures, global macro and long/short equity are the most liquid of the principal alternative investment strategies. Managed Futures Global Macro Private Real Estate Private Equity Distressed Securities Fixed Income Arbitrage Credit Long/Short Event Driven Commodity Long/Short Liquidity of assets Multistrategy in the portfolio Multistrategy Equity Long/Short Sources: Citi Perspectives: The Liquidity Crisis & Its Impact on the Hedge Fund Industry, July 2010; Altegris For illustrative purposes only. Investor ability to withdraw assets 13
14 The Real Deal With the universe of alternative investment managers available via mutual funds expanding rapidly on top of the 5,000-plus hedge funds already in operation it is becoming more of a challenge for investors to identify and access the most talented investment professionals. As such, we believe there are clear benefits from partnering with a firm such as Altegris that has built deep relationships with premier alternative investment managers around the world, and can secure opportunities to invest with these managers and package their strategies in a liquid format for a range of advisors and their clients. At Altegris, we believe that investors realize the full benefits of liquid alternatives only when they work with the real deal : top-flight, experienced alternative investment managers with a robust infrastructure behind them, and the demonstrated ability to deliver alpha in a variety of market environments. Figure 7 illustrates the degree to which the best managers can outperform relative to average managers within a particular alternative investment strategy in this case, long/short equity. In addition, this performance dispersion highlights the fact that, unlike traditional investments whose performance is typically measured relative to benchmarks, the absolute returns of alternative investments are driven by manager skill and thus manager selection is particularly important. Investors realize the full benefits of liquid alternatives only when they work with top-flight, experienced alternative investment managers with a robust infrastructure behind them, and the demonstrated ability to deliver alpha in a variety of markets. 14
15 FIGURE 7. AVERAGE LONG/SHORT EQUITY MANAGER RETURNS January 2007 December 2011 Over the past five years, the highest performing long/short equity managers on a calendar year basis have provided a substantial return premium over the strategy s average managers. 100% 80% 60% Average Return: Average Long/Short Equity Managers Average Return: Highest 25% Performing Long/Short Equity Managers 82.4% 40% 42.8% 32.1% 29.6% 20% 0% 17.1% 10.9% 11.5% -19.6% -7.8% 6.5% -20% Source: Altegris PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. An investor cannot invest directly in an index. Moreover, indices do not reflect commissions or fees that may be charged to an investment product based on the index, which may materially affect the performance data presented. Data from screen of HFRI database. Criteria: established managers whose strategy was Equity Hedge. Established defined as those with firm-wide assets greater than $50M, a track record that started prior to January 2007, who reported data through December 2011 (1043 managers). In order to facilitate these opportunities for investors, an advisor should possess the expertise in alternatives to blend top-down viewpoints with bottom-up analysis to identify the most compelling market opportunities for clients and the best-of-breed managers within each strategy. A detailed assessment and multilayered due diligence process for each manager is also essential before an investment is approved. An advisor must then be able to provide an entrée to managers who are often capacity constrained or have historically provided limited access to non-institutional investors. Once strategies are implemented within a multimanager portfolio, the advisor should utilize advanced return analysis and risk profiles to actively manage and rebalance the portfolio. Finally, the advisor should have the resources to perform an ongoing evaluation of each manager in the portfolio including constant investment review and risk monitoring. This blend of alternatives background, investment skills and analytical resources is rare among investment advisors, based on our experience, and is a key rationale for partnering with a firm such as Altegris. For mutual fund investors more accustomed to lowcost, index-based products, the higher fee levels often associated with exposure to liquid alternatives can be an issue. At Altegris, we believe that true talent is worth paying for from a mutual fund investor s standpoint, potentially higher fees are appropriate in exchange for access to some of the best investment talent in the world: an elite group of managers within the alternative investment universe with a history of consistently generating strong risk-adjusted returns in both up and down markets, supported by institutional-quality infrastructure. Whether in private placement or mutual fund format, the best managers can be more expensive for investors to engage directly if they are open to new investors at all. Regardless of the vehicle, the best managers are in a position to be able to command higher fees if they can deliver consistently strong risk-adjusted returns, those fees represent a wise investment, in our view. 15
16 Figure 8 shows the extent to which a higher-fee investment can compound assets relative to a lowfee vehicle. Within Morningstar s managed futures category, many passive strategies which generally feature lower fees than their actively managed counterparts track the Diversified Trends Indicator (DTI) Index, which can go both long and short depending on whether prices are above or below their sevenmonth moving average. In our example, we compare the compound growth of an initial $1,000 investment in the DTI with an identical allocation to the Altegris 40, an asset-weighted index that comprises the 40 largest managers in the managed futures space. Managers report their returns net of both performance fees (typically around 20%) and management fees (around 2%) for inclusion in the Altegris 40 Index. As such, the substantial 73% difference in the compound of the allocation to that index vs. an investment in the DTI since July 2000 underscores the notion that higher fees can be worthwhile in the service of better returns. Certainly, passive exposures via indices, such as in exchange-traded funds (ETFs), represent a viable and popular option for investors seeking more liquid access to alternatives. However, Altegris believes that actively managed mutual funds have the ability to best capture the risk-return attributes of core alternative investment strategies such as long/short equity, managed futures and global macro due to their nimbleness and flexible investment opportunity sets. FIGURE 8. GROWTH OF $1000 July 2000 March 2012 Higher fees in context: actively managed futures have significantly outperformed low-fee index funds on a historical basis Altegris 40 Index S&P Diversified Trends Indicator TR (S&P DTI TR) Jan-01 Jan-02 Jan-03 Jan-04 Jan-05 Jan-06 Source: Morningstar Direct, Altegris PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. An investor cannot invest directly in an index. Moreover, indices do not reflect commissions or fees that may be charged to an investment product based on the index, which may materially affect the performance data presented. The Altegris 40 Index was started in July 2000; data is available back to See pages 24 and 25 for additional index definitions, descriptions, and risks. Jan-07 Jan-08 Jan-09 Jan-10 Jan-11 Jan-12 16
17 Preparing for the Markets Next Phase Particularly in light of recent history, we believe that it is critical for investors in formulating their long-term plans to maintain investment flexibility and focus on strategies with the ability to perform in a variety of market conditions. At the same time, we also believe that the ability to go long and short in various asset classes is a key driver for extended investment success. While it s difficult to draw up a macroeconomic forecast for the next few years, volatility in the markets is a factor that will always exist to some extent regardless. As a result, we believe it is important for portfolios to incorporate investments that are able to not only withstand times of increased market volatility, but potentially profit from them as well and managed futures within our alternatives core may be one such investment (See Figure 9). Managed futures have historically performed well in a wide variety of market conditions, including when expected volatility is high or simply shifting. The ability of managed futures to perform despite market volatility may, therefore, be beneficial to those seeking to counter market uncertainty. We believe that the ability and skill to go both long and short is crucial for delivering strong risk-adjusted returns in up and down markets. 17
18 FIGURE 9. ANNUALIZED RATE OF RETURN AT VARIOUS VIX LEVELS January 1990 March 2012 Managed futures have delivered consistently strong historical performance across different levels of market volatility. On average, since 1990 managed futures have delivered a return of 13% when the VIX, an index that measures market volatility, is 40% or higher than its historic average. In contrast, US stocks have lost an average of 24% at the same VIX levels. 40% 30% Decrease in expected volatility Increase in expected volatility 20% Annualized Return 10% 0% -10% -20% -30% Managed Futures Int l Stocks US Stocks Commodities REITs -40% <= -40% <= -30% <= -20% <= -10% <= 0% >= 0% >= 10% >= 20% >= 30% >= 40% Monthly VIX Above/Below Historical VIX Average Source: Bloomberg, Altegris The annualized return of an investment is only one measure of performance. Performance should never be the sole consideration when making an investment decision. There is no guarantee that any investment will achieve its objectives, generate profits or avoid losses. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. An investor cannot invest directly in an index. Moreover, indices do not reflect commission or fees that may be charged to an investment product based on the index, which may materially affect the performance data presented. INDICES: US Stocks: S&P 500 Total Return Index; Managed Futures: Altegris 40 Index (started July 2000; data available back to 1990); Int l Stocks: Morgan Stanley Capital International, Inc. EAFE Net Index; Commodities: S&P GSCI Total Return Index; REITs: FTSE NAREIT Composite Total Return Index; VIX Index. Date range based on common period of data availability for shown indices. See pages 24 and 25 for additional index definitions, descriptions and risks. Beyond preparing for continued volatility, we believe that investors should endeavor to build a diversified portfolio and position themselves to take advantage of a range of market opportunities by allocating to a mix of so-called convergent and divergent strategies that are available in liquid structures a topic that Altegris plans to examine in greater detail in an upcoming white paper. Convergent strategies are based on the idea that the intrinsic value of securities and asset classes can be measured using fundamental data. By analyzing this data, a convergent manager can express an opinion on whether a security is over-/undervalued, believing that the price will converge to its intrinsic value over time. Long/short equity is a prominent example of a convergent strategy. Divergent strategies, in contrast, aim to profit when fundamental valuations are ignored by the market. These strategies of which managed futures is a prime example seek to identify and exploit serial price movement (trends and momentum) that reflect changing market themes and investor sentiment. 18
19 Global macro is a strategy that could fall under either category, depending on the market environment. Macro managers may anticipate market dislocations and position their portfolios for divergence, or they may identify mispriced markets and position their portfolios for convergence. In fact, global macro s flexibility is further underscored by the fact that the strategy has historically exhibited strong performance in bear markets particularly relative to equities. Figure 10 illustrates how global macro managers as a group have demonstrated significant crisis alpha the ability to make profits in periods when long-only strategies have experienced substantial losses. FIGURE 10. GLOBAL MACRO RETURN / S&P 500 RETURN January 1997 March 2012 Global macro has produced positive returns during four of the five worst quarters for the S&P since January % 0% 1.96% 0.65% 0.99% 2.55% -5% -2.34% -10% -15% -20% -25% % % % % Global Macro Q4 08 Q3 02 Q3 01 Q3 11 Q % US Stocks Source: Altegris PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. An investor cannot invest directly in an index. Moreover, indices do not reflect commissions or fees that may be charged to an investment product based on the index, which may materially affect the performance data presented. Global Macro: Barclay Global Macro Index; US Stocks: S&P 500 Total Return Index. Date range based on common period of data availability for shown indices. See pages 24 and 25 for additional index definitions, descriptions and risks. Altegris Academy June
20 Amid changing economic conditions, we believe that the ability and skill to go both long and short is crucial for delivering strong risk-adjusted returns in up and down markets. Strategies that include long and short exposures can be highly flexible, and managers can adjust those exposures to a variety of market conditions. In long/short equity, for example, higher net long exposures (where long exposure is significantly greater than short exposure) will generally correspond with periods of increased bullishness in the strategy, while lower net exposures would typically indicate a more bearish outlook and/or cautious positioning. We believe that this ability to adapt exposures on both the long and the short sides of portfolios provides an edge over traditional long-only portfolios, where the manager might rely on stock-picking abilities and market beta. That is, a long/short portfolio can be adjusted to hedge against swings in the market, whereas a portfolio that is 100% net long (high beta) is vulnerable to such swings (See Figure 11). FIGURE 11. SAMPLE LONG/SHORT EQUITY PORTFOLIO EXPOSURES A hedged long/short portfolio with low net exposure may be less vulnerable to market swings than one that is 100% net long. 120% 100% 80% Low Net Hedged Market Exposure (Bearish) 100% Net Long Market Exposure (Bullish) 120% Gross Long 60% 40% 20% 0% -20% -40% 120% Gross Invested 80% Gross Long 40% Gross Short 40% Net Long 120% Gross Invested 20% Gross Short 100% Net Long Source: Altegris Short: selling an asset/security that may have been borrowed from a third party with the intention of buying back at a later date. Short positions profit from a decline in price. If a short position increases in price, covering the short position at a higher price may result in a loss. Long: buying an asset/security that gives partial ownership to the buyer of the position. Long positions profit from an increase in price. There is no guarantee that any investment product will achieve its objectives, generate profits or avoid losses. The success of an investment is dependent upon the ability of a long/short equity manager to identify profitable investment opportunities and successfully trade. The identification of attractive trading opportunities is difficult, requires skill and involves a significant degree of uncertainty. See the glossary on page 23 for term definitions. 20
21 Additional alpha may be generated by a manager s ability to successfully pick securities on both the long and the short sides. As a result, the best managers not only use shorting as a hedging mechanism, but also as an opportunistic means of delivering alpha in a range of environments. This further underscores the appeal of experienced alternative managers who have a history of successfully identifying securities on both the long and short sides, and simultaneously managing the delicate balance between those two books as opposed to managers transitioning from the long-only world who might be astute at identifying undervalued securities but have not yet proven that they possess the skills to efficiently oversee a short portfolio. In the context of a long-term investment strategy, long/short equity, managed futures and global macro are all designed to do well in a wide range of shortterm market conditions. As liquid, opportunistic, non-correlated investments, these strategies can potentially allow an investor to weather an array of short-term conditions in order to achieve his or her longer-term risk-adjusted return objectives, as illustrated by the compound growth of a $1,000 investment in Figure 12. FIGURE 12. GROWTH OF $1000 January 1997 March 2012 Investors can potentially benefit from a long-term approach to core alternative investments. $4,500 $4,000 $3,500 Altegris 40 Index Barclays Aggregate Bond Index Barclays Global Macro Index S&P 500 TR HFRI Equity Hedge (Total) Index $3,000 $2,500 $2,000 $1,500 $1,000 $500 $0 Jan-97 Jan-98 Jan-99 Jan-00 Jan-01 Jan-02 Jan-03 Jan-04 Source: Morningstar Direct, Altegris PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. An investor cannot invest directly in an index. Moreover, indices do not reflect commissions or fees that may be charged to an investment product based on the index, which may materially affect the performance data presented. Date range based on common period of data availability for shown indices. See pages 24 and 25 for additional index definitions, descriptions and risks. Jan-05 Jan-06 Jan-07 Jan-08 Jan-09 Jan-10 Jan-11 Jan-12 21
22 Conclusion Alternative investments and mutual funds have historically existed in separate realms where high-net-worth and institutional investors have been the beneficiaries of access to the former, and a broader range of investors have taken advantage of the strengths of the latter. However, recent years have seen a blurring of the lines between the two worlds and that shift has gathered momentum in the wake of the financial crisis. By gaining exposure to premier alternative investment managers, in a liquid, mutual fund format, investors can infuse their portfolios with more flexibility, reduce correlations to stocks and bonds and improve their potential risk-return profiles. Altegris believes that, through the use of liquid alternatives, investors can potentially enjoy the best of both worlds mutual funds and alternative investments as they pursue their long-term investments goals. For more information and perspectives on alternatives, please visit altegrisacademy.com or contact your alternatives consultant at Altegris Investments (800)
23 Glossary Alpha: measures the non-systematic return which cannot be attributed to the market. It shows the difference between a fund s actual return and its expected return, given its level of systematic (or market) risk (as measured by beta). A positive alpha indicates that the fund has performed better than its beta would predict. Alpha is widely viewed as a measure of the value added or lost by a fund manager. Beta: A measure of volatility that reflects the tendency of a security s returns and how it responds to swings in the markets. A beta of 1 indicates that the security s price will move with the market. A beta of less than 1 means that the security will be less volatile than the market. A beta of greater than 1 indicates that the security s price will be more volatile than the market. Drawdown: a drawdown is any losing period during an investment time frame. It is calculated by taking the peak-to-valley loss relative to the peak for a stated time period. The figure is expressed as a percentage. Exposure: the proportion of money invested in a particular type of security and/or market sector or industry. Usually expressed as a percentage of total portfolio holdings. Long: buying an asset/security that gives partial ownership to the buyer of the position. Long positions profit from an increase in price. Sector: group of businesess that share similar characteristics or a related product of service (e.g., energy, consumer, financials, technology). Short: selling an asset/security that may have been borrowed from a third party with the intention of buying back at a later date. Short positions profit from a decline in price. If a short position increases in price, covering the short position at a higher price may result in a loss. Standard deviation: a statistical measure of how consistent returns are over time; a lower standard deviation indicates historically less volatility. Style: the primary strategy or philosophy used by an investor or money manager to select individual securities. VAMI: value added monthly index. A graph that shows the compounded growth of a $1,000 investment on a monthly basis. 23
24 Index Definitions An investor cannot invest directly in an index. Moreover, indices do not reflect commissions or fees that may be charged to an investment product based on the index, which may materially affect the performance data presented. The referenced indices are shown for general market comparisons and are not meant to represent any particular investment. Commodities. The S&P GSCI Total Return Index measures a fully collateralized commodity futures investment and currently includes 24 commodity nearby futures contracts. Int l Stocks. The MSCI EAFE Index is a capitalization-weighted index widely accepted as a benchmark of non-us stocks compiled by Morgan Stanley. It represents an aggregate of 21 individual country indices that collectively represent many of the major markets of the world. Long/Short Equity. The HFRI Equity Hedge (Total) Index tracks funds that maintain positions both long and short in primarily equity derivative securities. Equity hedge managers would typically maintain at least 50% exposure, and may in some cases be entirely invested in, equities both long and short. HFRI Equity Hedge (Total) is a fund weighted index and reflects monthly returns, net of all fees, of funds that have at least $50 million under management or been actively trading for at least twelve months. Managed Futures. The Altegris 40 Index tracks the performance of the 40 leading managed futures programs, by ending monthly equity (assets) for the previous month, as reported to Altegris by the over 500 managed futures programs that report performance to Altegris proprietary database. The Altegris 40 index represents the dollar-weighted average performance of those 40 constituent programs. The Index started in July 2000; data is available back to REITs. The FTSE NAREIT Composite Total Return Index includes both price and income returns of all publicly traded REITs (equity, mortgage and hybrid). The Index began on December 31, 1971 with a base value of 100. US Bonds. The Barclays Capital U.S. Aggregate Index represents securities that are SEC-registered, taxable, and dollar denominated. The index covers the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities and asset-backed securities. These major sectors are subdivided into more specific indices that are calculated and reported on a regular basis. These specific indices include the Government/Credit Index, Government Index, Treasury Index, Agency Index and Credit Index. US Stocks. The S&P 500 Total Return Index is the total return version of S&P 500 index. The S&P 500 index is unmanaged and is generally representative of certain portions of the U.S. equity markets. For the S&P 500 Total Return Index, dividends are reinvested on a daily basis and the base date for the index is January 4, All regular cash dividends are assumed reinvested in the S&P 500 index on the ex-date. Special cash dividends trigger a price adjustment in the price return index. VIX. Chicago Board Options Exchange Volatility Index, commonly known as the VIX, measures implied near-term volatility of S&P 500 index option prices. Global Macro. The Barclay Global Macro Index tracks the performance of ~175 global macro programs, by ending monthly values, net of fees, as reported to Barclay Hedge. 24
25 Index Descriptions And Risks Representative Index Characteristics Key Risks Commodities S&P GSCI Total Return Index 24 principal physical commodities that are the subject of active, liquid futures markets Market risk. Prices may decline. Derivative risk. May be subject to higher volatility. Leverage risk. Volatility and risk of loss may magnify with use of leverage. International Stocks MSCI EAFE Index 1,000+ stocks from 20+ developed markets in Europe and the Pacific Rim Stock market risk. Stock prices may decline. Country / regional risk. World events may adversely affect values. Currency risk. Unfavorable exchange rates may occur. Long/Short Equity HFRI Equity Hedge (Total) Index Variety of investment processes that maintain at least 50% exposure to equities both long and short Stock market risk. Stock prices may decline. Industry risk. Adverse sector performance may cause declines. Leverage risk. Volatility and risk of loss may magnify with use of leverage. Managed Futures Altegris 40 Index 40 top AUM managed futures programs, monthly, as reported to Altegris Market risk. Prices may decline. Leverage risk. Volatility and risk of loss may magnify with use of leverage. Country / regional risk. World events may adversely affect values. REITs FTSE NAREIT Composite Total Return Index Publicly traded US real estate investment trusts (REITs) Stock market risk. Stock prices may decline. Industry risk. Adverse real estate may cause declines. Interest rate risk. Prices may decline if rates rise. US Bonds Barclays Capital US Aggregate Index Wide spectrum of taxable, investment-grade US fixed income Interest rate risk. Bond prices will decline if rates rise. Credit risk. Bond issuer may not pay. Income risk. Income may decline. US Stocks S&P 500 Total Return (TR) Index 500 US stocks Weighted towards large capitalizations Stock market risk. Stock prices may decline. Global Macro Barclay Global Macro Index ~175 global macro programs by monthly values as reported to Barclay. Indicator Definition, Description and Risk Market risk. Prices may decline. Leverage risk. Volatility and risk of loss may magnify with use of leverage. Country / regional risk. World events may adversely affect values. S&P Diversified Trends Indicator. The S&P DTI is a composite of 24 highly liquid futures grouped into 14 sectors, evenly weighted between financial and physical commodities. S&P Diversified Trends Indicator Characteristics Composite of 24 liquid futures evenly weighted between financial and physical commodities Key Risks Market risk. Prices may decline. Leverage risk. Volatility and risk of loss may magnify with use of leverage. Country / regional risk. World events may adversely affect values. 25
26 Risks and Important Considerations Altegris Advisors LLC is an SEC-registered investment adviser that advises alternative strategy mutual funds that may pursue investment returns through a combination of managed futures, macro, equity long short, fixed income and/or other investment strategies. MUTUAL FUNDS INVOLVE RISK INCLUDING POSSIBLE LOSS OF PRINCIPAL. As with all mutual funds, there is the risk that you could lose money through your investment in the Fund. No Fund is intended to be a complete investment program. Many factors affect a fund s net asset value and performance and there can be no assurance that any fund will achieve its investment objectives. Alternative investment mutual funds are subject to certain risks including, but not limited to, non-diversification risk, which means that a fund may invest in fewer securities at any one time than a diversified fund and the fund s performance may be more sensitive to any single economic, business, political or regulatory occurrence. Factors such as domestic and foreign economic growth and market conditions, interest rate levels and political events affect the securities and derivatives markets. When the value of the fund s investments goes down, your investment in a fund decreases in value and you could lose money. An investment in derivatives, such as futures and options contracts, involves additional risks that a fund would not be subject to if it invested directly in the securities and commodities underlying those derivatives. The fund may experience losses that exceed losses experienced by funds that do not use futures contracts and options. Long options positions may expire worthless. Although futures contracts are generally liquid instruments, under certain market conditions there may not always be a liquid secondary market. Trading restrictions or limitations may be imposed by an exchange, and government regulations may restrict trading in futures contracts and options. Over-the-counter transactions are subject to little, if any, regulation and may be subject to the risk of counterparty default. When a fund invests in fixed income securities or derivatives, the value of your investment in the fund will fluctuate with changes in interest rates. In general, the market price of debt securities with longer maturities will increase or decrease more in response to changes in interest rates than shorter-term securities. Other risk factors include credit risk (the debtor may default) and prepayment risk (the debtor may pay its obligation early, reducing the amount of interest payments). High yield or junk bonds present greater credit risk than bonds of higher quality, as well as heightened liquidity risk and risk of default. Foreign investing involves risks not typically associated with US investments, including adverse fluctuations in foreign currency values, adverse political, social and economic developments, less liquidity, greater volatility, less developed or less efficient trading markets, political instability and differing auditing and legal standards. These risks are magnified in emerging markets. Alternative investment mutual funds may also engage in short selling and short position derivative activities, which involve significant financial risk. Positions in shorted securities and derivatives are speculative and more risky than long positions (purchases) because the cost of the replacement security or derivative is unknown. Therefore, the potential loss on an uncovered short is unlimited, whereas the potential loss on long positions is limited to the original purchase price. You should be aware that any strategy that includes selling securities short could suffer significant losses. Shorting will also result in higher transaction costs (such as interest and dividends), which reduces a fund s return, and may result in higher taxes. The use of leverage by a fund, such as borrowing money to purchase securities or the use of options, will cause the Fund to incur additional expenses and magnify the fund s gains or loss. The investment expertise of the portfolio manager may prove to be inaccurate and may not produce the desired results. The manager s judgments about the attractiveness, value and potential appreciation or depreciation of a particular security in which the fund invests may prove to be inaccurate and may not produce the desired results. If used in connection with the sale or promotion of an investment company product, this material must be preceded or accompanied by a prospectus for the respective product. 26
LIQUID ALTERNATIVES Flowing into the Mainstream SEPTEMBER 2014
LIQUID ALTERNATIVES Flowing into the Mainstream SEPTEMBER 2014 Jack Rivkin Chief Investment Officer Altegris Advisors Lara Magnusen, CAIA Director Altegris Advisors In response to the 2008 financial crisis,
More informationGuide to Managed Futures
Guide to Managed Futures Why Managed Futures? Potential Benefits of Managed Futures Historical Performance Managed futures have historically withstood a number of major market scenarios. In fact, over
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 informationPART TWO: PORTFOLIO MANAGEMENT HOW EXPOSURE TO REAL ESTATE MAY ENHANCE RETURNS.
PART TWO: PORTFOLIO MANAGEMENT HOW EXPOSURE TO REAL ESTATE MAY ENHANCE RETURNS. MAY 2015 Burland East, CFA CEO American Assets Capital Advisers Creede Murphy Vice President, Investment Analyst American
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 informationAdvisor Briefing Why Alternatives?
Advisor Briefing Why Alternatives? Key Ideas Alternative strategies generally seek to provide positive returns with low correlation to traditional assets, such as stocks and bonds By incorporating alternative
More 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 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 informationManaged Futures: Staying the Course
ALTEGRIS ACADEMY RESEARCH SERIES Managed Futures: Staying the Course Short-term Drawdowns, Long-term Focus June 2012* The Question: For each period, which line do you choose? The Details: Each line represents
More informationAltegris/AACA Opportunistic Real Estate Fund
Altegris/AACA Opportunistic Real Estate Fund A: RAAAX C: RAACX I: RAAIX N: RAANX 1-877-772-5838 www.altegris.com Summary Prospectus May 1, 2018 Before you invest, you may want to review the Fund s prospectus,
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 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 informationPortfolio Optimization Aggressive-Growth Portfolio
Summary Prospectus May 1, 2018 Class I Shares Portfolio Optimization Aggressive-Growth Portfolio This summary prospectus is intended for use in connection with variable life insurance policies and variable
More information1 ALLOCATION. 4+ CORE ALTERNATIVES.
1 ALLOCATION. 4+ CORE ALTERNATIVES. The alternative universe is vast with over 8,000 alternative managers representing hundreds of alternative strategies So how do you know which managers to choose with
More informationCatalyst Macro Strategy Fund
Catalyst Macro Strategy Fund MCXAX, MCXCX & MCXIX 2015 Q3 About Catalyst Funds Intelligent Alternatives We strive to provide innovative strategies to support financial advisors and their clients in meeting
More informationALTEGRIS FIXED INCOME LONG SHORT FUND. TRUSTED ALTERNATIVES. INTELLIGENT INVESTING.
It s time to diversify interest rate risk. ALTEGRIS FIXED INCOME LONG SHORT FUND. TRUSTED ALTERNATIVES. INTELLIGENT INVESTING. Altegris Fixed Income Long Short Fund A Fixed Income Alternative. Taking a
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 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 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 informationAll Alternative Funds are Not Equal
May 19 New York All Alternative Funds are Not Equal Patrick Deaton, CAIA, Senior Vice President, Alternatives, Neuberger Berman David Kupperman, PhD, Managing Director, Alternatives, Neuberger Berman Today
More informationManaged Futures with Active Fixed Income
Managed Futures with Active Fixed Income Since managed futures provide a return stream uncorrelated with equity markets, they can be a good portfolio diversifier. Matt Osborne, CIO of Altegris and portfolio
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 informationPortfolio Optimization Conservative Portfolio
Summary Prospectus May 1, 2018 Class I Shares Portfolio Optimization Conservative Portfolio This summary prospectus is intended for use in connection with variable life insurance policies and variable
More informationAltegris/AACA Real Estate Long Short Fund RAAAX RAAIX RAANX
MARKET + PORTFOLIO COMMENTARY Q1.2014 Altegris/AACA Real Estate Long Short Fund RAAAX RAAIX RAANX Market Commentary This quarter, real estate stocks (as measured by the Dow Jones US Real Estate Total Return
More informationDoubleLine Core Fixed Income Fund Fourth Quarter 2017
Income Fund Fourth Quarter 2017 333 S. Grand Ave., 18th Floor Los Angeles, CA 90071 (213) 633-8200 The Income Fund (DBLFX/DLFNX) is DoubleLine s flagship fixed income asset allocation fund. The fund seeks
More informationCapital Advisory Group Institutional Investor Survey
INSIGHTS Global Capital Advisory Group 2018 Institutional Investor Survey Capital Advisory Group This material is provided by J.P. Morgan s Capital Advisory Group for informational purposes only. It is
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 informationMulti-Strategy Total Return Fund A fund seeking attractive risk adjusted returns through a global portfolio of stocks, bonds, and other investments.
SUMMARY PROSPECTUS TMSRX TMSSX TMSAX Investor Class I Class Advisor Class March 1, 2018 T. Rowe Price Multi-Strategy Total Return Fund A fund seeking attractive risk adjusted returns through a global portfolio
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 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 informationTrue Diversifiers: The Case for Multi-Strategy, Multi-Manager Hedge Strategies
January 11, 2013 Topic Paper 13 March 2015 True Diversifiers: The Case for Multi-Strategy, Multi-Manager Hedge Strategies PERSPECTIVE FROM K2 ADVISORS Today s financial markets present a unique set of
More informationAltegris Managed Futures Strategy Fund
November 1, 2011 Altegris Managed Futures Strategy Fund A Series of Northern Lights Fund Trust Prospectus Class A (MFTAX) Class C (MFTCX) Class I (MFTIX) A D V I S E D B Y Altegris Advisors, LLC 1200 Prospect
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 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 informationTACTICAL ALL ASSET STRATEGY FUND CLASS A shares: CMGQX CLASS I shares: CMGHX
TACTICAL ALL ASSET STRATEGY FUND CLASS A shares: CMGQX CLASS I shares: CMGHX 1-866-CMG-9456 www.cmgmutualfunds.com Summary Prospectus August 28, 2018 Before you invest, you may want to review the Fund
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 informationTRANSAMERICA MANAGED RISK GROWTH ETF VP (FORMERLY,TRANSAMERICA VANGUARD ETF PORTFOLIO GROWTH VP)
TRANSAMERICA MANAGED RISK GROWTH ETF VP (FORMERLY,TRANSAMERICA VANGUARD ETF PORTFOLIO GROWTH VP) Class & Ticker Initial & Service Not Applicable Summary Prospectus May 1, 2015 (as revised May 22, 2015)
More informationSchwab Indexed Retirement Trust Fund 2040
Fund Facts Trustee Fund Type Charles Schwab Bank Collective Trust Fund Category Target Date 2036-2040 Benchmark 2040 Custom Index 1 Unit Class Inception Date Fund Inception Date 1/5/2009 Net Asset Value
More informationProspectus. AGFiQ Equal Weighted High Momentum Factor Fund (HIMO)
Prospectus AGFiQ U.S. Market Neutral Momentum Fund (MOM) AGFiQ U.S. Market Neutral Value Fund (CHEP) AGFiQ U.S. Market Neutral Size Fund (SIZ) AGFiQ U.S. Market Neutral Anti-Beta Fund (BTAL) AGFiQ Hedged
More informationSmart Beta Dashboard. Thoughts at a Glance. March By the SPDR Americas Research Team
By the SPDR Americas Research Team Thoughts at a Glance For the first two months of Q1, US outperformed the broader market by nearly 5%. However, as 10-year Treasury yields and inflation expectations came
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 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 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 informationSmart Beta Dashboard. Thoughts at a Glance. June By the SPDR Americas Research Team
By the SPDR Americas Research Team Thoughts at a Glance Factor performance diverged across regions in Q2. In the US, all factors with the exception of underperformed broad US equities. As volatility in
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 informationDearorn Capital Management, LLC Q3 2018
Consider your alternatives. Invest smarter. Absolute Return Fund Grant Park Managed Futures Fund, LP Multi Alternative Strategies Fund grantparkfunds.com 555 W. Jackson Blvd, Ste. 600 Chicago, IL 60661
More informationSchwab Diversified Growth Allocation Trust Fund (Closed to new investors) Institutional Unit Class As of June 30, 2017
Fund Facts Trustee Fund Type Charles Schwab Bank Collective Trust Fund Morningstar Category Allocation - 50-70% Equity Benchmark Global Growth Custom Index 1 Unit Class Inception Date 3/7/2012 Fund Inception
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 informationDiscover the power. of ETFs. Not FDIC Insured May May Lose Lose Value Value No No Bank Bank Guarantee
Discover the power of ETFs Not FDIC Insured May May Lose Lose Value Value No No Bank Bank Guarantee Discover exchange-traded funds (ETFs) Financial television programs and publications continue to give
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 informationVideo: GIC Wealth Management Perspectives
GLOBAL INVESTMENT COMMITTEE FEB.8, 2017 Video: GIC Wealth Management Perspectives Video: The Case for Active Management A new video takes a deep dive into the drivers of recent Active Manager underperformance
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 informationDESIGNED FOR TODAY S AND TOMORROW S INVESTMENT CHALLENGES
DESIGNED FOR TODAY S AND TOMORROW S INVESTMENT CHALLENGES PRUDENTIAL REAL ASSETS FUND EFFECTIVE JUNE 11, 2018, THE FUND S NEW NAME WILL BE PGIM REAL ASSETS FUND. FUND SYMBOLS WILL NOT CHANGE. Potential
More informationWisdomTree CBOE S&P 500 PutWrite Strategy Fund (PUTW) and CBOE S&P 500 PutWrite Index (PUT)
Q3 2017 WisdomTree CBOE S&P 500 PutWrite Strategy Fund (PUTW) and CBOE S&P 500 PutWrite (PUT) WisdomTree.com 866.909.9473 WisdomTree CBOE S&P 500 PutWrite Strategy Fund +Investment Objective: The WisdomTree
More informationDiscover the power. of ETFs. Not FDIC Insured May May Lose Lose Value Value No No Bank Bank Guarantee
Discover the power of ETFs Not FDIC Insured May May Lose Lose Value Value No No Bank Bank Guarantee Discover exchange-traded funds (ETFs) Financial television programs and publications continue to give
More informationThe Swan Defined Risk Strategy - A Full Market Solution
The Swan Defined Risk Strategy - A Full Market Solution Absolute, Relative, and Risk-Adjusted Performance Metrics for Swan DRS and the Index (Summary) June 30, 2018 Manager Performance July 1997 - June
More informationGlobal Investment Strategy Report
Global Investment Strategy Global Investment Strategy Report June 5, 2017 Tracie McMillion, CFA Head of Global Asset Allocation Strategy Weekly market insights from the Global Investment Strategy team»
More informationALTEGRIS ACADEMY FUNDAMENTALS AN INTRODUCTION TO ALTERNATIVES [1]
ALTEGRIS ACADEMY FUNDAMENTALS AN INTRODUCTION TO ALTERNATIVES [1] Important Risk Disclosure Alternative investments involve a high degree of risk and can be illiquid due to restrictions on transfer and
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 informationALTEGRIS EQUITY LONG SHORT FUND.
It s time for a hedged approach to equities. ALTEGRIS EQUITY LONG SHORT FUND. ELSAX ELSCX ELSIX ELSNX TRUSTED ALTERNATIVES. INTELLIGENT INVESTING. Altegris Equity Long Short Fund A Hedged Approach to Your
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 informationAddition Through Subtraction: Thinking Strategically About Managing Tax Liabilities
Strategic Advisory Solutions April 2015 Addition Through Subtraction: Thinking Strategically About Managing Tax Liabilities Maximizing returns is a key goal for most investors, but many overlook an important
More informationTactical Growth ETF. Investor Presentation N ORTHC OAST I NVESTMENT A DVISORY T EAM NORTHCOASTAM. COM
Tactical Growth 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 informationDemystifying the Role of Alternative Investments in a Diversified Investment Portfolio
Demystifying the Role of Alternative Investments in a Diversified Investment Portfolio By Baird s Advisory Services Research Introduction Traditional Investments Domestic Equity International Equity Taxable
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 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 informationWell-Engineered Solutions
PIMCO Exchange-Traded Funds Well-Engineered Solutions PIMCO exchange-traded funds are designed to meet a broad range of investor needs, and provide access to our timetested investment process and world-class
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 informationA floating-rate portfolio that seeks to deliver attractive income
A floating-rate portfolio that seeks to deliver attractive income An investor should consider the investment objective, risks, and charges and expenses of the Fund carefully before investing. The prospectus
More informationKP Retirement Path 2050 Fund: KPRHX. KP Retirement Path 2055 Fund: KPRIX. KP Retirement Path 2060 Fund: KPRJX. KP Large Cap Equity Fund: KPLCX
The KP Funds KP Retirement Path 2015 Fund: KPRAX KP Retirement Path 2020 Fund: KPRBX KP Retirement Path 2025 Fund: KPRCX KP Retirement Path 2030 Fund: KPRDX KP Retirement Path 2035 Fund: KPREX KP Retirement
More informationInvestment Management Philosophy
Investment Management Philosophy Executive Overview The investment marketplace has grown increasingly complex and unpredictable for individual investors. This reality may make it difficult for many people
More informationFundSource. Professionally managed, diversified mutual fund portfolios. A sophisticated approach to mutual fund investing
FundSource Professionally managed, diversified mutual fund portfolios Is this program right for you? FundSource is designed for investors who: Want a diversified portfolio of mutual funds that fits their
More informationSpotlight on: 130/30 strategies. Combining long positions with limited shorting. Exhibit 1: Expanding opportunity. Initial opportunity set
INVESTMENT INSIGHTS Spotlight on: 130/30 strategies Monetizing positive and negative stock views Managers of 130/30 portfolios seek to capture potential returns in two ways: Buying long to purchase a stock
More informationKP Retirement Path 2050 Fund: KPRHX. KP Retirement Path 2055 Fund: KPRIX. KP Retirement Path 2060 Fund: KPRJX. KP Large Cap Equity Fund: KPLCX
The KP Funds KP Retirement Path 2015 Fund: KPRAX KP Retirement Path 2020 Fund: KPRBX KP Retirement Path 2025 Fund: KPRCX KP Retirement Path 2030 Fund: KPRDX KP Retirement Path 2035 Fund: KPREX KP Retirement
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 informationExchange Traded Fund Strategies
Exchange Traded Fund Strategies 221 W. 6 th Street, Suite 1210 Austin, Texas 78701 Phone 512.477.3110 Fax 512.472.1046 Teresa Finney Senior Vice President, Investments Richard A. Funk, CFP First Vice President,
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 informationAn All-Cap Core Investment Approach
An All-Cap Core Investment Approach A White Paper by Manning & Napier www.manning-napier.com Unless otherwise noted, all figures are based in USD. 1 What is an All-Cap Core Approach An All-Cap Core investment
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 informationMorgan Stanley ETF-MAP 2 Index Information
Morgan Stanley ETF-MAP 2 Index Information Investing in instruments linked to the Morgan Stanley ETF-MAP 2 Index involves risks not associated with an investment in other instruments. See Risk Factors
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 informationFUND SUMMARY: NAVIGATOR TACTICAL FIXED INCOME FUND. 1 FUND SUMMARY: NAVIGATOR DURATION NEUTRAL BOND FUND.
TABLE OF CONTENTS FUND SUMMARY: NAVIGATOR TACTICAL FIXED INCOME FUND... 1 FUND SUMMARY: NAVIGATOR DURATION NEUTRAL BOND FUND... 6 FUND SUMMARY: NAVIGATOR EQUITY HEDGED FUND... 10 FUND SUMMARY: NAVIGATOR
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 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 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 informationGuide to Altegris Research and Investment Process
Guide to Altegris Research and Investment Process Altegris Research and Investment Process The Bedrock of Our Investment Philosophy Any successful investment begins with a focused group of professionals
More informationIs Diversification Still Relevant?
Is Diversification Still Relevant? Examining the portfolio value of managed futures and other alternative investments after a 9-year equity bull market FOR BROKER DEALER AND RIA USE ONLY. NOT TO BE USED
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 informationJ.P. Morgan Structured Investments
July 2017 J.P. Morgan Structured Investments ent JPMORGAN EFFICIENTE (USD) INDEX STRATEGY GUIDE The JPMorgan ETF Efficiente 5 Index Strategy Guide Important Information The information contained in this
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 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 information20% 20% Conservative Moderate Balanced Growth Aggressive
The Global View Tactical Asset Allocation series offers five risk-based model portfolios specifically designed for the Retirement Account (PCRA), which is a self-directed brokerage account option offered
More informationBlackstone Alternative Multi-Strategy Fund (BXMIX) As of June 30, 2018
Blackstone Alternative Multi-Strategy Fund () As of June 30, 2018 Multiple hedge fund strategies and investment styles with the aim of capturing opportunities across asset classes and geographies, but
More informationALTEGRIS MULTI-STRATEGY ALTERNATIVE FUND
ALTEGRIS MULTI-STRATEGY ALTERNATIVE FUND A Shares MULAX C Shares MULCX I Shares MULIX N Shares MULNX (a series of Northern Lights Fund Trust) Supplement dated February 8, 2018 (effective at the close of
More informationPomona Investment Fund
Pomona Investment Fund A Registered Fund Structured To Provide Streamlined Access To Private Equity An investor should consider the investment objectives, risks, charges and expenses of the Fund(s) carefully
More informationPERSPECTIVES. Multi-Asset Investing Diversify, Different. April 2015
PERSPECTIVES April 2015 Multi-Asset Investing Diversify, Different Matteo Germano Global Head of Multi Asset Investments In the aftermath of the financial crisis, largely expansive monetary policies and
More informationAlternative Investments
Alternative Investments Tap into greater opportunity with Merrill Lynch 03 More choice. More opportunity. 04 Enhance your financial strategy. 05 Ways to access alternative investments. 06 The Merrill Lynch
More informationEvent-Driven Investing
Event-Driven Investing An Alternative to Beta What is Event- Driven Investing? How Does it Complement a Balanced Portfolio? Why Event-Driven Investing Now? Event-driven investing is a strategy that aims
More informationIntroducing BlackRock's Target Allocation ETF Models
Introducing BlackRock's Target Allocation ETF Models Eve Cout Director, Managed Accounts Business Thomas Wood, CFA Lead Strategist, US Model Portfolios Tuesday January 23 rd, 2018 BENEFIT # 1 Scale and
More informationBuilding Better Alternatives
Building Better Alternatives Equinox Funds builds state-of-the-art alternative strategies for investors seeking diversified returns. At Equinox Funds, we are pioneers in developing investor-friendly alternatives,
More information