Building portfolios with smart beta
|
|
- Bridget Davis
- 6 years ago
- Views:
Transcription
1 Building portfolios with smart beta CFA Conference, Amsterdam 12 March 2015 Phil Tindall, March Towers Watson. All rights reserved.
2 A contentious topic! if one can find a more reliable alpha, and pay less for it, that would be pretty smart Rob Arnott When I hear smart beta, it makes me sick Bill Sharpe Smart beta: Not New, Not Beta, Still Awesome Clifford Asness what the devil are they talking about when they say smart beta? John Jack Bogle
3 What do we mean by smart beta? A framework to challenge the approach of only focusing on market beta and alpha: Bulk Beta Smart Beta Alpha Alpha vs beta Some alpha could be beta Bulk beta is not the only beta Beta framework Absolute risk and return: Sharpe ratio above tracking error Portfolio construction is all about position sizing Investor skill replaces some alpha skill Need to understand and monitor smart beta positions Requires beliefs and expertise Governance vs alpha more up front, less on-going (?)
4 What do we mean by smart beta? Ideally smart beta strategies should be: Mechanical Broad Simple Low cost Repeatable process limited discretionary management Low idiosyncratic risk Transparent as simple as possible, as complicated as necessary Reflect nature of the process With a robust investment case: Historical returns Rationale Sustainability Appropriate for the investor
5 How did we get here? - two perspectives Implementation focus Reduce concentration Avoid bubbles in stocks / sectors Reduce impact of index flaws Better representation Return / risk driver focus Systematic exposure to group of stocks Capture additional risk / factor premium May be economic or behavioural Improve efficiency Through better implementation By combining diverse return drivers 5
6 Some alpha is beta Return drivers (old and new) capture hedge fund industry returns - example using HFRI index A large % of Hedge Fund returns can be explained by a combination of equities and alternative betas Once identified, these return drivers can be captured in beta format (simple, low cost, transparent ) Cumulative excess returns Drawdown 30% global equities plus 70% combination of alternative betas 75%+ of monthly return variation explained by beta Source: Towers Watson, HFRI, FTSE, various managers 6
7 Benefits of new return drivers Low correlation Rolling 3 year correlation Equities vs Corporate Bonds Carry vs Trend Source: Towers Watson, FTSE, Merrill Lynch, various managers 7
8 A broader set of return drivers Complements traditional return drivers, including traditional manager skill Return drivers Term Credit Equity EM wealth Bank debt Low beta Trend Value Carry Credit basis Reinsurance Merger arbitrage Short volatility Insurance Illiquidity Skill - systematic Skill - thematic Skill - manager Skill - allocation 8
9 Building portfolios with return drivers A complement to the traditional asset class lens Its beta portfolio construction rules apply in return driver space as well More return driver allocation with More return Less risk, including tails More diversity (lower correlation) Return Driver Sharpe ratio Left tail multiplier Return driver target % Equity Term Inflation Credit Illiquidity Insurance Skill - systematic Skill - thematic Skill - manager Skill - allocation For illustration purposes only 9
10 Examples Equity + Skill focused, 400bps excess return Cost 120bps Asset allocation risk budget = 250bps Allocation % Equity Smart beta Skill focused Equity Active 30 Alternative betas Alternative credit 10 Hedge funds 20 Core real assets Private Markets 15 Active IG credit Equity Term Inflation Credit Illiquidity Insurance Skill - Systematic Skill - Manager Skill Thematic Skill - Allocation Return drivers Government bonds For illustration purposes only 10
11 Examples Beta focused, 250bps excess return Cost 35bps Asset allocation risk budget = 0bps Allocation % Skill focused Beta focused Equity Smart beta 15 Equity Active 30 Alternative betas 25 Alternative credit 10 5 Hedge funds 20 Core real assets 15 Private Markets 15 Active IG credit Government bonds Equity Term Inflation Credit Illiquidity Insurance Skill - Systematic Skill - Manager Skill Thematic Skill - Allocation Return drivers For illustration purposes only 11
12 Some considerations Not all return drivers are equal (?) Macro consistency Confidence in alpha vs equity? Capital efficiency want to maximise return driver per unit cost Long only vs long short implementation Other Overall diversity / robustness Complexity
13 What useful things come from smart beta? Bulk Beta Smart Beta Alpha Improve on bulk beta Capture some returns previously labelled as alpha Reduce concentration Non-price weighting More diversifying betas Customise based on context Work Target better factors with skilled or themes active managers Cost-effective exposures Better understand true alpha Offset unwanted factor risk Improve benchmarks Smart beta: a very useful tool for asset owners!
14 Disclaimer Towers Watson Limited ( Towers Watson ) has prepared this report for information only. Specific professional advice should be taken before any action is taken based upon this report. This report is provided for the purpose indicated. This report is based on data available to Towers Watson at the date of the report and takes no account of subsequent developments after that date. It may not be modified or provided to any other party without Towers Watson s prior written permission. It may also not be disclosed to any other party without Towers Watson s prior written permission except as may be required by law. In the absence of our express written permission to the contrary, Towers Watson accepts no responsibility for any consequences arising from any third party relying on this report or the opinions we have expressed. This report is not intended by Towers Watson to form a basis of any decision by a third party to do or omit to do anything. The analysis in this report is based on a range of assumptions which influence the output and our recommendations. The assumptions have been derived by Towers Watson through a blend of economic theory, historical analysis and the views of investment managers. They inevitably contain an element of subjective judgement. Our opinions and return forecasts are not intended to imply, nor should be interpreted as conveying, any form of guarantee or assurance by Towers Watson to any party, of the future performance of the asset classes in question, either favourable or unfavourable. Past performance should not be taken as representing any particular guide to future performance. 14
Into a New Dimension. An Alternative View of Smart Beta
Into a New Dimension An Alternative View of Smart Beta Into a New Dimension An Alternative View of Smart Beta Table Of Contents Introduction 4 The alpha/beta debate has a long and evolving history 4 Some
More informationHolistic Equity Portfolio. FOMO (/ˈfəʊməʊ an exciting or interesting event may currently
Portfolio Matters Holistic Equity Portfolio FOMO (/ˈfəʊməʊ an exciting or interesting event may currently equity investor, should you be experiencing a sense of FOMO? What exactly could you be missing
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 informationWeek in Markets. FTSE Equity Indices Week MTD Mar 17 Feb 17 QTD YTD. MSCI Equity Indices Week MTD Mar 17 Feb 17 QTD YTD
Week ending 7 April, 2017 Page 1 of 8 FTSE Equity Indices Week MTD Mar 17 Feb 17 QTD YTD UK FTSE All Share 0.6 0.6 1.2 3.1 0.6 4.7 23.5 FTSE 0.5 0.5 1.1 3.1 0.5 4.2 24.6 FTSE 250 1.5 1.5 1.4 3.5 1.5 7.0
More informationEmerging wealth Capturing the long-term growth dynamics of the emerging markets
Emerging wealth Capturing the long-term growth dynamics of the emerging markets Originally published by Watson Wyatt Worldwide Emerging wealth Capturing the long-term growth dynamics of the emerging markets
More informationEnhancing equity portfolio diversification with fundamentally weighted strategies.
Enhancing equity portfolio diversification with fundamentally weighted strategies. This is the second update to a paper originally published in October, 2014. In this second revision, we have included
More informationHow smart beta indexes can meet different objectives
Insights How smart beta indexes can meet different objectives Smart beta is being used by investment institutions to address multiple requirements and to produce different types of investment outcomes.
More informationFactor Investing: 2018 Landscape
Factor Investing: 2018 Landscape Growth expected to continue The factor investing landscape has proliferated in recent years. Today, the factor industry is $1.9 trillion in AUM and has grown organically
More informationBuilding Hedge Fund Portfolios Capable of Generating Absolute Return within Stressful Market Environments
Building Hedge Fund Portfolios Capable of Generating Absolute Return within Stressful Market Environments Presented to: October 20, 2011 Paul Lucek SSARIS Advisors, LLC SSARIS Advisors, LLC Wilton Corporate
More informationMulti-asset capability Connecting a global network of expertise
Multi-asset capability Connecting a global network of expertise For Professional Clients only Solutions aligned with investors' needs We have over 25 years of experience designing multi-asset solutions
More informationTimor-Leste Petroleum Fund
Timor-Leste Petroleum Fund Discussion of sovereign wealth fund models Petroleum Fund Management Seminar Peter J Ryan-Kane CFA Head of Portfolio Advisory, Asia Pacific May 2010 2010 Towers Watson. All rights
More informationAlternative Premia, Alternative Price
Aon Investment Research and Insights Alternative Premia, Alternative Price An introduction to Alternative Risk Premia February 2018 Table of Contents Executive Summary....1 What are Alternative Risk Premia
More informationTHE ALTERNATIVE WAY TO STABILIZE CORE PORTFOLIOS. Mackenzie Multi-Strategy Absolute Return Fund
THE ALTERNATIVE WAY TO STABILIZE CORE PORTFOLIOS Mackenzie Multi-Strategy Absolute Return Fund You Can Now Access Liquid Alternatives Liquid alternatives funds have unique characteristics: Wider range
More informationIdentifying a defensive strategy
In our previous paper Defensive equity: A defensive strategy to Canadian equity investing, we discussed the merits of employing a defensive mandate within the Canadian equity portfolio for some institutional
More informationBrunel Pension Partnership
DATE Brunel Pension Partnership Autumn 2018 Report to MHCLG Authorised and regulated by the Financial Conduct Authority No. 790168 Pooling update report to MHCLG The Local Government Pension Scheme (LGPS)
More informationPioneers: Better be smart
Pioneers: Better be smart April 2016 (Magazine) By Lynn Strongin Dodds Lynn Strongin Dodds finds that as the strategy becomes more popular, pioneers in the alternative-indexation field are warning investors
More informationWeek in Markets. FTSE Equity Indices Week MTD Jul 12 Jun 12 QTD YTD. MSCI Equity Indices Week MTD Jul 12 Jun 12 QTD YTD
Week ending 24 August, 20 Page 1 of 8 FTSE Equity Indices Week MTD Jul Jun QTD YTD UK FTSE All Share -1.3 3.2 1.3 4.8 4.6 8.0 15.5 FTSE -1.3 3.2 1.2 5.0 4.5 6.8 15.3 FTSE 250-1.4 3.0 2.1 3.8 5.2 15.6 17.5
More informationHEDGE FUNDS AND AUTOMOBILES AN OVERVIEW
HEDGE FUNDS AND AUTOMOBILES AN OVERVIEW PETER MULDOWNEY SENIOR VICE PRESIDENT, INSTITUTIONAL STRATEGY CONNOR, CLARK & LUNN FINANCIAL GROUP CHALLENGING THE BAD RAP HIGHER FEES TRANSPARENCY COMPLEXITY 3
More informationFactor-Based Investing
Aon Hewitt Retirement and Investment Factor-Based Investing Risk. Reinsurance. Human Resources. Factor-Based Investing Summary The right equity portfolio for an investor depends on their risk and return
More informationThe Rise of Factor Investing
Aon Retirement and Investment The Rise of Factor Investing Investing for DC savers Table of contents Key conclusions.... 3 Factor investing what is it?... 4 Where does factor investing fit in equity portfolios?....
More informationThe Benefits of Recent Changes to Trustees Investment Powers. June 2006
The Benefits of Recent Changes to Trustees Investment Powers June 2006 Financial Markets and Rollercoasters Spot the Difference? Performance from 1 Jan 1998 to 31 Mar 2006 80 % 60 % 40 % 20 % 0 % -20 %
More informationIncorporating Alternatives in an LDI Growth Portfolio
INSIGHTS Incorporating Alternatives in an LDI Growth Portfolio June 2015 203.621.1700 2015, Rocaton Investment Advisors, LLC EXECUTIVE SUMMARY * The primary objective of a liability driven investing growth
More informationWhat Institutional Investors are Looking for from Hedge Funds. CTA-EXPO Chicago September 2015
What Institutional Investors are Looking for from Hedge Funds CTA-EXPO Chicago September 2015 let s look briefly at: The role hedge funds are playing in institutional portfolios Why are Institutions adding
More informationResponsible Investor conference
Responsible Investor conference ESG in RFPs and the asset manager selection process Emma Hunt 12 th October 2012 2012 Towers Watson. All rights reserved. Contents 1 Who are we? 2 Our current thinking on
More informationEXPERT SERIES STRATEGIC BETA IN EMERGING MARKETS
NOVEMBER 2016 EXPERT SERIES STRATEGIC BETA IN EMERGING MARKETS Highlights There is an opportunity for investors in EM to implement a rules-based investment process that reflects the systemization of alpha
More informationETF s Top 5 portfolio strategy considerations
ETF s Top 5 portfolio strategy considerations ETFs have grown substantially in size, range, complexity and popularity in recent years. This presentation and paper provide the key issues and portfolio strategy
More informationHo Ho Quantitative Portfolio Manager, CalPERS
Portfolio Construction and Risk Management under Non-Normality Fiduciary Investors Symposium, Beijing - China October 23 rd 26 th, 2011 Ho Ho Quantitative Portfolio Manager, CalPERS The views expressed
More informationHedge Funds, Hedge Fund Beta, and the Future for Both. Clifford Asness. Managing and Founding Principal AQR Capital Management, LLC
Hedge Funds, Hedge Fund Beta, and the Future for Both Clifford Asness Managing and Founding Principal AQR Capital Management, LLC An Alternative Future Seven years ago, I wrote a paper about hedge funds
More informationAon Investment Research and Insights. Managed Futures. March 2018
Aon Investment Research and Insights Managed Futures March 2018 Table of Contents Executive summary....1 Introduction what is managed futures?....2 Why invest in managed futures?...3 Suitability and portfolio
More informationAlternative assets. An insight into the future of investing in alternatives
Alternative assets 2014 An insight into the future of investing in alternatives Contents 01 In this, the eleventh year of our Global Alternatives Survey, we pause to consider what may lie ahead for alternatives
More informationSTRATEGY OVERVIEW EMERGING MARKETS LOW VOLATILITY ACTIVE EQUITY STRATEGY
STRATEGY OVERVIEW EMERGING MARKETS LOW VOLATILITY ACTIVE EQUITY STRATEGY A COMPELLING OPPORTUNITY For many years, the favourable demographics and high economic growth in emerging markets (EM) have caught
More informationCashflow Driven Investment Assets
Aon Hewitt Retirement and Investment Aon Investment Research and Insights Cashflow Driven Investment Assets Cashflow Driven Investment Series November 2017 Table of contents Executive summary....3 Introduction...4
More informationCFI Multi-Strategy Equity Fund, LLC Objective and Strategy March 31, 2015
CFI Multi-Strategy Equity Fund, LLC Objective and Strategy Objective To offer an actively managed, multi-manager investment program that will provide broad exposure to global equity markets. The fund seeks
More informationBuilding a Resilient Fixed Income Portfolio for all Stages of the Economic Cycle
Building a Resilient Fixed Income Portfolio for all Stages of the Economic Cycle Matthew J. Eagan, CFA, Vice President and Portfolio Manager, Fixed Income, Loomis, Sayles & Company Kevin P. Kearns, Vice
More informationCORESHARES SCIENTIFIC BETA MULTI-FACTOR STRATEGY HARVESTING PROVEN SOURCES OF RETURN AT LOW COST: AN ACTIVE REPLACEMENT STRATEGY
CORESHARES SCIENTIFIC BETA MULTI-FACTOR STRATEGY HARVESTING PROVEN SOURCES OF RETURN AT LOW COST: AN ACTIVE REPLACEMENT STRATEGY EXECUTIVE SUMMARY Smart beta investing has seen increased traction in the
More informationBuilding Efficient Hedge Fund Portfolios August 2017
Building Efficient Hedge Fund Portfolios August 2017 Investors typically allocate assets to hedge funds to access return, risk and diversification characteristics they can t get from other investments.
More 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 informationMERGER ARBITRAGE REPLICATION: HOW EFFECTIVE ARE RULES BASED INDICES?
MERGER ARBITRAGE REPLICATION: HOW EFFECTIVE ARE RULES BASED INDICES? As institutional investors search for ways to reduce fees in hedge fund portfolios, attention has turned to the relative merits of investing
More informationNordic Alternatives Day
Nordic Alternatives Day London, 11 th November 2015 IPM Systematic Macro A different approach to Global Macro investing What is macro investing Macro investing is Consensus Contrarian: Somebody who does
More informationVolatility-Managed Strategies
Volatility-Managed Strategies Public Pension Funding Forum Presentation By: David R. Wilson, CFA Managing Director, Head of Institutional Solutions August 24, 15 Equity Risk Part 1 S&P 5 Index 1 9 8 7
More informationBatseta Seminar. Understanding risk April 2016
Batseta Seminar Understanding risk April 2016 $350bn Global ETP cumulative flow The global ETP inflow 2015 Source: BlackRock ETP Landscape The global ETP inflow by asset class & exposure 2015 The SATRIX
More informationZero Beta (Managed Account Mutual Funds/ETFs)
2016 Strategy Review Zero Beta (Managed Account Mutual Funds/ETFs) December 31, 2016 The following report provides in-depth analysis into the successes and challenges of the NorthCoast Zero Beta investment
More informationSEI UK Equity Fund Quarter 4, 2008
Benchmark FTSE Actuaries All Share Index Base Currency GBP Currencies Available USD, EUR, GBP Fund Complex SEI Global Master Fund PLC SEI UK Equity Fund Quarter 4, 2008 SEI MANAGER OF MANAGERS PHILOSOPHY
More informationCalamos Phineus Long/Short Fund
Calamos Phineus Long/Short Fund Performance Update SEPTEMBER 18 FOR INVESTMENT PROFESSIONAL USE ONLY Why Calamos Phineus Long/Short Equity-Like Returns with Superior Risk Profile Over Full Market Cycle
More informationI-4 UC Absolute Return (AR) Program
I-4 Committee on Investments/ Investment Advisory Group November 2, 2010 Hedge Fund Industry Update FY 2009/2010 Consistent growth has returned to the hedge fund industry following the market turmoil of
More 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 information5 th Annual PAPERS Fall Workshop Hedge Fund Investing
5 th Annual PAPERS Fall Workshop Hedge Fund Investing James H. Grossman, Jr., CPA, CFA Managing Director of External Public Markets, Risk & Compliance What are Hedge Funds? Private investment vehicles
More 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 informationCERTIFIED INVESTMENT MANAGEMENT ANALYST (CIMA ) CORE BODY OF KNOWLEDGE
The CIMA Core Body of Knowledge spans five Knowledge Domains, each of which is divided into a number of Sections covering a range of Topics (shown on subsequent pages). KNOWLEDGE DOMAIN 1: FUNDAMENTALS
More informationNewGen Trading Fund Equity long-short trading strategy
NewGen Trading Fund Equity long-short trading strategy Disclaimer The information in this document is furnished on a confidential basis exclusively for your use and retention and, by accepting this document,
More informationACCESS MORE ALTERNATIVE INVESTING - THE NEW DIVERSIFICATION. A part of the FirstRand Group
ACCESS MORE ALTERNATIVE INVESTING - THE NEW DIVERSIFICATION A part of the FirstRand Group A B Today s global investment climate of prolonged uncertainty calls for a shift beyond the traditional understanding
More informationA GUIDE TO INVESTMENT MANAGEMENT FINANCIAL ADVICE & WEALTH MANAGEMENT
A GUIDE TO INVESTMENT MANAGEMENT FINANCIAL ADVICE & WEALTH MANAGEMENT 2017 Learn why our portfolios consistently outperform industry benchmarks. Chartered Financial Advisers 29 years professional experience
More informationForum. Russell s Multi-Asset Model Portfolio Framework. A meeting place for views and ideas. Manager research. Portfolio implementation
Forum A meeting place for views and ideas Russell s Multi-Asset Model Portfolio Framework and the 2012 Model Portfolio for Australian Superannuation Funds Portfolio implementation Manager research Indexes
More informationPutting DC Members Front and Centre
Aon Retirement and Investment Putting DC Members Front and Centre Refocusing DC Investment Table of contents Intoduction.... 3 Discover the member focus.... 4 Develop your equity investments to help achieve
More informationTower Square Investment Management LLC Strategic Aggressive
Product Type: Multi-Product Portfolio Headquarters: El Segundo, CA Total Staff: 15 Geography Focus: Global Year Founded: 2012 Investment Professionals: 12 Type of Portfolio: Balanced Total AUM: $1,422
More informationFor professional investors and advisers only. Schroders. Liquid Alternatives
For professional investors and advisers only Schroders Liquid Alternatives Introduction What are liquid alternatives? 4 How do they work? 5 Performance characteristics 6 How to apply liquid alternatives
More informationActively Emerging: Opportunities in Debt
Aon Hewitt Retirement and Investment Actively Emerging: Opportunities in Debt Risk. Reinsurance. Human Resources. Executive summary Emerging Market Debt (EMD) offers higher yields relative to developed
More informationAlternative Data Integration, Analysis and Investment Research
Alternative Data Integration, Analysis and Investment Research Yin Luo, CFA Vice Chairman Quantitative Research, Economics, and Portfolio Strategy QES Desk Phone: 1.646.582.9230 Luo.QES@wolferesearch.com
More informationDynamic Smart Beta Investing Relative Risk Control and Tactical Bets, Making the Most of Smart Betas
Dynamic Smart Beta Investing Relative Risk Control and Tactical Bets, Making the Most of Smart Betas Koris International June 2014 Emilien Audeguil Research & Development ORIAS n 13000579 (www.orias.fr).
More informationCertification Examination Detailed Content Outline
Certification Examination Detailed Content Outline Certification Examination Detailed Content Outline Percentage of Exam I. FUNDAMENTALS 15% A. Statistics and Methods 5% 1. Basic statistical measures (e.g.,
More informationConexus Financial Events Alternatives 6th Annual Conference
Conexus Financial Events Alternatives 6th Annual Conference SEPTEMBER 6, 2012 Prepared for wholesale investors only Global Macro Styles Examined Eric S. Goodbar, CFA Managing Director, Global Investment
More informationGROWTH FIXED INCOME APRIL 2013
GROWTH FIXED INCOME APRIL 2013 BACKGROUND Most investors view fixed income investments as providing a liability-matching or defensive aspect to their total portfolio. The types of investments considered
More informationFOR PROFESSIONAL INVESTORS. Multi Asset. Evolution of Strategies in the Multi Asset Space. Presentation by. Antony John.
Multi Asset Evolution of Strategies in the Multi Asset Space Presentation by Antony John September 2013 IR = IC x BR Risk adjusted returns can be maximised through applying the widest levels of information
More informationAbsolute Return Strategy Process & Recommendations March 23-24, 2016
Absolute Return Strategy Process & Recommendations March 23-24, 2016 Marc L. Leavitt, Director of Absolute Return Strategies (ARS) Martha delivron, ARS Investment Analyst Lisa Ann Needle, Albourne America
More informationsmart money, crowded trades?
by Kristofer Kwait, Managing Director, Head of Research, and John Delano, Director, Hedge Fund Strategies Group, Commonfund smart money, crowded trades? For investors building multi-manager portfolios,
More informationCase Study # 3 Investing in Hedge Funds
Case Study # 3 Investing in Hedge Funds IFSWF Subcommittee II: Investment & Risk Management Presented by the Korea Investment Corporation Dr. Keehong Rhee, Head of Research 1 Contents I. KIC Hedge Fund
More informationAlternative Investments in a Changing World
NORTHERN TRUST 2010 PROGRAM SOLUTIONS CONFERENCE Investment Solutions in an Uncertain World: WHAT S NEXT? Alternative Investments in a Changing World Andrew C Smith, CFA, Chief Investment Officer, NTGA
More informationThe Next Wave of Hedge Fund Investing. Today s Discussion
The Next Wave of Hedge Fund Investing Adam L. Berger, CFA Vice President and Head of Portfolio Solutions AQR Capital Management, LLC December 6, 2007 Today s Discussion Hedge Funds Today Bifurcation of
More informationAlternative Investments: Risks & Returns
Alternative Investments: Risks & Returns THE FAMILY ALTERNATIVE INVESTMENT CONFERENCE February 2007, Monaco Hossein Kazemi, PhD, CFA Managing Partner, AIA Professor of Finance, Univ of Massachusetts kazemi@alternativeanalytics.com
More informationEvolving Equity Investing: Delivering Long-Term Returns in Short-Tempered Markets
March 2012 Evolving Equity Investing: Delivering Long-Term Returns in Short-Tempered Markets Kent Hargis Portfolio Manager Low Volatility Equities Director of Quantitative Research Equities This information
More informationHedge Fund Replication and Synthetic Funds
Hedge Fund Replication and Synthetic Funds Harry M. Kat, PhD Alternative Investment Research Centre Sir John Cass Business School, City University, London E-mail: Harry@AIRC.info 1 Synthetic Funds Would
More informationThe Rise of Factor Investing
Aon Hewitt Retirement and Investment A paper from Aon s UK Investment Committee The Rise of Factor Investing How clients should invest Table of contents Key conclusions.... 3 Factor investing a reminder...
More informationU.S. LOW VOLATILITY EQUITY Mandate Search
U.S. LOW VOLATILITY EQUITY Mandate Search Recommended: That State Street Global Advisors (SSgA) be appointed as a manager for a U.S. low volatility equity mandate. SSgA will be managing 10% of the Diversified
More informationUpdate on UC s s Absolute Return Program. 603 Committee on Investments / Investment Advisory Committee February 14, 2006
Update on UC s s Absolute Return Program 603 Committee on Investments / Investment Advisory Committee February 14, 2006 AGENDA Page I. Understanding of Absolute Return as an Asset Class 3 II. Review of
More informationAon Retirement and Investment. Aon Investment Research and Insights. Dangers Ahead? Navigating hazards using scenario analysis.
Aon Retirement and Investment Aon Investment Research and Insights Dangers Ahead? Navigating hazards using scenario analysis March 2018 Table of contents Executive summary....1 Introduction...1 Scenario
More informationBuilding Efficient Return Seeking Portfolios. Jim C. Cole, VP - Fixed Income Étienne Dubé, VP - Fixed Income
Building Efficient Return Seeking Portfolios Jim C. Cole, VP - Fixed Income Étienne Dubé, VP - Fixed Income Dec-01 Dec-02 Dec-03 Dec-04 Dec-05 Dec-06 Dec-07 Dec-08 Dec-09 Dec-10 Dec-11 Dec-12 Dec-13 Solvency
More informationBenchmarking & the Road to Unconstrained
Benchmarking & the Road to Unconstrained 24 April 2012 PIA Hiten Savani Investment Director hiten.savani@fil.com +44 (0) 20 7074 5234 Agenda Two Important Trends Increasing polarisation of demand between
More informationEXPLORING THE FUTURE OF FIXED INCOME IN DC PLANS
EXPLORING THE FUTURE OF FIXED INCOME IN DC PLANS Lorie Latham, CFA Senior Defined Contribution Strategist Wyatt Lee, CFA Asset Allocation Portfolio Manager Terry Moore, CFA Fixed Income Portfolio Specialist
More informationSpecialist Diversified Fixed Income Fund
Specialist Diversified Fixed Income Fund Manager Profile January 2016 Adviser use only Investment Process Specialist Diversified Fixed Income Fund Investment process for this Fund is structured in the
More informationINSIGHT ON MULTI-ASSET
FOR WHOLESALE CLIENTS ONLY. NOT TO BE DISTRIBUTED TO RETAIL CLIENTS. NOT TO BE REPRODUCED WITHOUT PRIOR WRITTEN APPROVAL. PLEASE REFER TO ALL RISK DISCLOSURES AT THE BACK OF THIS DOCUMENT. INSIGHT ON MULTI-ASSET
More informationHedge Fund Index Replication. September 2013
Hedge Fund Index Replication September 2013 Introduction Hedge Fund Investing What products enable hedge fund investing? Build and manage your own portfolio of HFs Select and allocate to Funds of HFs (FoFs)
More informationBATSETA Durban Mark Davids Head of Pre-retirement Investments
BATSETA Durban 2016 Mark Davids Head of Pre-retirement Investments Liberty Corporate VALUE Dividend yield Earning yield Key considerations in utilising PASSIVE and Smart Beta solutions in retirement fund
More informationHarnessing the Full Potential of Alternative Strategies
Harnessing the Full Potential of Alternative Strategies Edwin Conway, Managing Director Head of BlackRock U.S. and Canada Institutional Client Business & Global Head of BlackRock Alternatives Specialists
More informationBuilding Efficient Return Seeking Portfolios Reassessing the Equity Allocation
Building Efficient Return Seeking Portfolios Reassessing the Equity Allocation Paul M. Martin, CFA Vice President & Portfolio Manager Phillips, Hager & North Investment Management Sources of Risk in a
More informationDoes greater risk equal greater reward?
Does greater risk equal greater reward? The simple answer is not always, which is why investors may look at lower-volatility fund options like GuideStone s Defensive Market Strategies Fund. The Fund aims
More informationMinimum Variance and Tracking Error: Combining Absolute and Relative Risk in a Single Strategy
White Paper Minimum Variance and Tracking Error: Combining Absolute and Relative Risk in a Single Strategy Matthew Van Der Weide Minimum Variance and Tracking Error: Combining Absolute and Relative Risk
More informationFriday, August 24, Questions received in connection with Total Fund Overlay RFP No. NM INV-001- FY19 (Answers are in bold)
James Maxon MPA Chair, County Member Wayne Propst Executive Director P: (505) 476-9300 F: (505) 476-9401 Toll Free: 1(800) 342-3422 Friday, August 24, 2018 Questions received in connection with Total Fund
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 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 informationStatement of Investment Objectives Exhibit A: Michigan State University s Common Investment Fund
Statement of Investment Objectives Exhibit A: Michigan State University s Common Investment Fund INTRODUCTION This statement defines the investment objectives of Michigan State University s Common Investment
More informationinvestment strategy commentary
investment strategy commentary 2014 STRATEGIC ASSET ALLOCATION UPDATE July 2014 Peter Mladina Director of Portfolio Research Wealth Management pjm7@ntrs.com Michael DeJuan, CIM, CAIA Head, Portfolio Construction
More informationThe Northern Trust Experience
The Northern Trust Experience ACCESS. EXPERTISE. SERVICE. Are Alternatives Still Alternative? November 4, 2010 Anthony M. Zanolla, CFA SVP, Senior Director of Hedge Fund Investments 2010 Northern Trust
More informationHedge Fund Volatility: It s Not What You Think It Is 1 By Clifford De Souza, Ph.D., and Suleyman Gokcan 2, Ph.D. Citigroup Alternative Investments
Disclaimer: This article appeared in the AIMA Journal (Sept 2004), which is published by The Alternative Investment 1 Hedge Fd Volatility: It s Not What You Think It Is 1 By Clifford De Souza, Ph.D., and
More informationFor professional investors and advisers only
Schroders Euro Corporate Bond Product description Schroder ISF Euro Corporate Bond aims to generate significant, above-average benchmark returns. The team invests predominantly in investment grade corporate
More informationBuilding Fee-Efficient Portfolios
Aon Investment Research and Insights Building Fee-Efficient Portfolios February 2018 Table of contents Summary....3 Fees versus...4 Implementation...5 Get beta cheaply... 5 Pay fees proportionate with
More informationBUILDING EQUITY PORTFOLIOS WITH STYLE JULY 2014
BUILDING EQUITY PORTFOLIOS WITH STYLE JULY 2014 WE BELIEVE THAT IT IS IMPORTANT TO FOCUS ON THE UNDERLYING DRIVERS OF RETURN 2 INTRODUCTION Much has been written recently about smart beta, advanced beta,
More informationRBC Strategic Asset Allocation Models
Page 1 of United States Core Very conservative Last updated: April 17 Risk Profile 1 The focus is capital preservation. The portfolio will typically be invested mainly in fixed income and other low volatility
More informationInvestment Selection A focus on Alternatives. Mary Cahill & Ciara Connolly
Investment Selection A focus on Alternatives Mary Cahill & Ciara Connolly On the process of investing We have no control over outcomes, but we can control the process. Of course outcomes matter, but by
More informationInflation Portfolio Overview 11/18/2015
Inflation Portfolio Overview 11/18/2015 Inflation Portfolio History Inception January 1,2010 January 1,2011 July 1,2011 July 1,2014 *Source: BofA Merrill Lynch, used with permission. See disclaimer on
More informationMan Group Stock Performance. US$ Per Share 35
Panel Sponsored by: Man Group Stock Performance US$ Per Share 35 30 25 20 15 10 5 0 95 96 97 98 99 00 01 02 03 What is a Hedge Fund? The term "hedge fund" is not formally defined by federal securities
More information