Investment Insight Diversified Factor Premia Edward Qian PhD, CFA, Bryan Belton, CFA, and Kun Yang PhD, CFA PanAgora Asset Management August 2013

Size: px
Start display at page:

Download "Investment Insight Diversified Factor Premia Edward Qian PhD, CFA, Bryan Belton, CFA, and Kun Yang PhD, CFA PanAgora Asset Management August 2013"

Transcription

1 Investment Insight Diversified Factor Premia Edward Qian PhD, CFA, Bryan Belton, CFA, and Kun Yang PhD, CFA PanAgora Asset Management August 2013 Modern Portfolio Theory suggests that an investor s return can be attributed to one of two sources. The first source of return is derived from positive exposure to the market portfolio, commonly referred to as beta. The second is a residual return not explained by the market. This residual return is commonly referred to as alpha and is often attributed to a manager s skill in identifying mispriced securities. While beta exposure offers transparency and plenty of capacity, alpha is generally more opaque with limiting capacity constraints. Consequently, the cost of returns generated from exposure to alpha is higher than the cost of returns generated from beta exposures. Despite the higher cost, most institutional investors have a strong appetite for alpha in their portfolio. Beyond the hope of a higher payoff per unit of risk relative to beta, another equally important driver of demand for alpha is the diversification it offers for portfolios with exposure to market risk premia. In theory, combining beta with uncorrelated sources of alpha should deliver better risk-adjusted returns over time. For years, academics have expressed skepticism about the existence of alpha, net of transaction costs. In their view, any residual return not attributable to the market portfolio is largely the result of exposure to unidentified risk factors rather than evidence of manager skill. While we believe a manager s skill can produce true alpha, we also know that some sources of return traditionally labeled as alpha are attributable to market risk exposures as well as strategic exposures to compensated risk factors or persistent, well-known market anomalies. Regardless of whether exposures are related to a compensated factor risk or a well-known market anomaly, they can be utilized to improve the aggregate risk-adjusted return of a portfolio with exposure to market betas as long as the returns generated by such exposures are positive and diversifying relative to a broad set of market risk premia, such as equity, interest rates, etc. Consequently, creating a diversifying return stream derived from exposure to factor risk premia ( factor premia ) presents a strong value proposition to institutional investors. Similar to market risk premia, generating returns from exposure to factor premia is relatively inexpensive and not heavily dependent on a unique forecasting skill. The task simply requires maintaining persistent exposure to compensated risk factors. In our view, the key to efficiently harvesting return from compensated risk-factor exposures rests in a manager s ability to construct and combine factors in a way that produces more efficient returns that are less correlated with those derived from the market risk exposures. As a result, manager skill in achieving beta exposure 1

2 to either market risk premia or factor premia manifests itself largely through the portfolio construction process. At PanAgora, we have been providing clients with risk efficient beta solutions for multi-asset portfolios since Our experience managing strategies designed to capture factor premia in a variety of forms dates back even further. In this note we focus on the foundation of our Diversified Global Factor Premia approach. The Diversified Global Factor Premia strategy is designed to efficiently capture and combine returns generated from exposure to a broad array of factor premia. The strategy seeks to generate aggregate returns that are uncorrelated with those generated from exposure to market risk premia. We first summarize the different types of factor premia that comprise our approach. We then highlight the key portfolio construction techniques used to maximize a portfolio s diversification and efficiency. Selecting Factor Premia The number of risk factors identified by investors over the course of the past thirty years has greatly expanded. Today, many commercial risk models include tens and even hundreds of factors to which total portfolio risk can be attributed. While many risk factors have been uncovered, not all offer positive risk premia. In addition, among factors with positive payoffs, not all are independent of market risks. The objective of our Diversified Global Factor Premia strategy is to create a positive and stable return stream that is diversifying to the return investors earn from the market exposures in their portfolio. To achieve our objective, selected factors need to be qualitatively intuitive, empirically supported, and easily targeted in a transparent and liquid fashion. From a fundamental perspective, we must understand the reason an investor would be compensated for assuming a given risk factor exposure before including it in our process. For example, we expect value investors to be compensated for supplying capital to underperforming firms that have been shunned by more risk-averse investors. From an empirical perspective, we look to select factors that have delivered strong risk-adjusted performance while exhibiting low correlation to one another as well as the market portfolio. From an implementation perspective, we seek factor premia that can be captured with the use of highly liquid exchange traded futures or currency forward contracts. Risk factors that meet our criteria can be broadly organized into three categories and can be identified across four asset classes. Exhibit 1 Examples of Targeted Premia Value Momentum Macro Equities Rates FX Commodities B/P, E/P Analyst Momentum LEI, Trade- Weighted FX Relative Slope Yield Curve Diffusion Index For illustrative purposes only. Source: PanAgora Carry, PPP Change in Policy Rates As shown in Exhibit 1 above, generally speaking, we target exposure to value, momentum, and macroeconomic factors in equities, rates, currencies, and commodities. Some of the factors we choose are well-known, while others are proprietary in nature. In our view, the existence of factor premia can be explained either as compensation for certain risks or as a result of persistent market anomalies caused by behavioral biases. In addition, the fact that many of these factors manifest themselves in multiple segments of capital markets Roll Yield Price Momentum 2

3 demonstrates that they have common fundamental origins and are not merely statistical artifacts. Value premium can be attributed to a compensated risk, a behavioral bias, or both. In fact, its source has been, and still is, debated both in academia and among practitioners. Assets that reflect value exposure tend to exhibit greater negative skewness and excess kurtosis than the broader market. In the case of equities this increased tail risk reflects a greater probability of bankruptcy or insolvency for the underlying company. With respect to value exposure in other asset classes, the left tail risk may reflect a shared systematic risk, such as short volatility exposure. In either case, the value premium may be explained as compensation for assuming an increased probability of suffering a sharp negative drawdown. On the other hand, value premium can also be due to investors persistent aversion to securities that have declined in price. This aversion to depreciated assets may put downward pressure on their price beyond that which is justified by their fundamental value. Such behavioral biases lead to mispricing and thus create a return premium for assets with high value exposure. Regardless of rationale, the important point for practitioners is that maintaining persistent exposure to value is expected to deliver positive long-term returns, albeit with some side effects, such as a positive correlation to market risk and a negatively skewed return distribution. Momentum is a market anomaly best explained by the existence of some well-documented behavioral biases. The first is investors tendency to under react as information becomes available. This slow reaction, or in some cases slow transmission of news, provides a return opportunity to investors who assimilate information into asset prices more quickly than others. The disposition effect is another behavioral bias that can be used to explain the return premium sourced from momentum. The disposition effect reflects investors tendency to sell winners while holding on to losers. Our last category of factor premia relates to macroeconomic factors. Macroeconomic factors are relatively less well-known than value and momentum premia because they do not fit nicely with academic theory. However, we believe the return premium from macroeconomic factors can also be explained by behavioral biases related to the slow transmission of news or information. In other words, investors seem to under react to both price signals and fundamental signals related to changing macroeconomic conditions. They often fail to recognize changes in macroeconomic conditions until such changes are confirmed by either central bank policies or a full panel of backward-looking data. Factor Conditioning While identifying risk factor exposures that deliver positive long-term returns is a good first step, it does not fully satisfy our investment objective. In addition to delivering strong riskadjusted performance, we believe a factor premia portfolio should also exhibit low correlation with a broad collection of market risk premia so that a combination of the two sources of premia will yield even more stable returns over time. The most common approach to removing market directionality from factor premia is to target dollar neutrality within an asset class through the use of long/short spread trades. Unfortunately, dollar neutrality does not always eliminate return correlation with the 3

4 market. In fact, the returns generated by certain market neutral factor premia exhibit significant correlation with market risk premia. To address this issue, we introduce conditioning techniques when constructing our factor premia exposures. Conditioning more traditional long/short spread trades enhances our ability to build diversified portfolios that exhibit low correlation with a broad array of market risk premia. Index. We constructed a cross-sectional currency carry factor derived from 1-month interest rates. The t-statistic is measured over a 2-year rolling window. As a point of comparison, the graph also plots the level of the VIX Index over the same time period. Exhibit 2 Sensitivity of Carry to Equity Market We illustrate the benefits of factor conditioning on two value factors whose payoffs are positively correlated with the equity market, despite their dollar neutrality. The first example is the currency carry trade. While carry trades are constructed to be dollar neutral with respect to a base currency, they also tend to exhibit short volatility exposure. Many cyclical forms of market risk premia, including equity beta, also exhibit short volatility exposure. Consequently, the payoff from currency carry trades tends to be positively correlated with equity returns. In the second example, we point to a similar relationship between trades designed to capture the equity value premia and the return to equities. Equity value premia may be targeted across the country dimension using country index futures. However, despite eliminating a net position to the equity market by taking long positions in countries with low valuations and offsetting short positions in countries with high valuations, the return premia from equity value exposure still tends to be correlated with equity returns. As a result, conditioning may be applied to further mitigate correlation with equities inherent in carry and value spread trades. Exhibit 2 plots the t-statistic of beta measuring sensitivity of the return from a naïve currency carry factor to the return on the MSCI World /1/ /1/1998 6/1/1999 2/1/ /1/2000 6/1/2001 2/1/ /1/2002 6/1/2003 2/1/ /1/2004 6/1/2005 2/1/ /1/2006 6/1/2007 2/1/ /1/2008 6/1/2009 2/1/ /1/2010 6/1/2011 2/1/ /1/2012 6/1/2013 For illustrative purposes only. Source: PanAgora Upon a casual inspection of the graph we see that changes in correlation between the return of the currency carry factor and the return of the MSCI World Index has been conditional on the level of volatility as proxied by the VIX Index. During periods in which the VIX level was below 30, correlation between the carry factor and the MSCI World Index tended not to be statistically significant. In contrast, the currency carry factor and the MSCI World Index exhibited statistically significant correlation during periods of heightened volatility. The conditional relationship between currency carry and equities reveals a common short exposure to volatility risk. As a result, controlling for volatility exposure embedded in carry can help reduce the return correlation between carry risk and equity market risk. A similar conditional relationship exists between the return payoff from a naïve equity value factor and the return on the MSCI World Index. Exhibit 3 plots the t-statistic of beta measuring the sensitivity of an equity value Carry T-Stat to MSCIW (lhs) VIX (rhs) 4

5 factor s returns relative to the returns of the MSCI World Index. Exhibit 3 also includes a measure of return dispersion across the four major developed regions in the global equity universe. We define these regions as North America, Europe non-euro, Europe with Euro, and Asia. Exhibit 3 Sensitivity of Value to Equity Market The impact of conditioning carry and equity value premia is significant. Exhibit 4 compares the full sample t-statistics of betas estimated between the factor returns and the returns of the MSCI World Index. Prior to conditioning, the returns associated with both carry and equity value factor premia had statistically significant betas to the returns of equities, while the unexplained component of their returns was not statistically significant /1/1998 3/1/1999 4/1/2000 5/1/2001 6/1/2002 7/1/2003 8/1/2004 9/1/ /1/ /1/ /1/2008 1/1/2010 2/1/2011 3/1/2012 4/1/2013 For illustrative purposes only. Source: PanAgora Value T-Stat to MSCIW (lhs) Regional Return Dispersion (rhs) Exhibit 4 Summary Factor Statistics Alpha T-Stat MSCIW T-Stat Carry Conditional Carry Value Conditional Value For illustrative purposes only. Source: PanAgora Similar to exhibit 2, a casual inspection of the chart reveals that the correlation between value factor returns and the return of the MSCI World Index is related to changes in return dispersion across regions. This suggests that when differences in equity market returns across regions increase, positive correlation between the payoff from exposure to the equity value factor and the returns of the MSCI World Index tend to increase. This regional influence on the returns generated from exposure to value premia has been particularly evident in the aftermath of 2008 s financial crisis and the subsequent round of European sovereign debt crises. When constructing an equity value factor, we find that controlling for regional differences mitigates the impact of higher dispersion between markets, thus reducing the correlation of returns from exposure to the equity value factor and those generated from exposure to the equity market risk-premia. After introducing volatility conditioning to the currency carry factor and regional conditioning to the equity value factor, their betas to equities are no longer statistically significant, while the independent component of their returns becomes statistically significant at the 10% level. In both cases, the application of conditioning techniques reduced the factors sensitivity to the equity market, resulting in a more consistently independent targeted risk premium. Risk Budgeting The approach undertaken to combine factors within a given portfolio may be the most impactful step in portfolio construction. Managers combine factors in various ways. For example, some managers combine factors by applying a capital budgeting framework, while others use mean-variance-based solutions. Our many years of research and extensive experience implementing a variety of portfolio 5

6 construction techniques have led us to conclude that risk-budgeting yields optimally diverse portfolios. As a firm, PanAgora has been advocating for quite some time that Risk Parity is much more than just an asset allocation strategy. We believe Risk Parity is a portfolio construction technique that can be used to create efficient exposures in a variety of portfolios, including those that invest across multiple asset classes as well as those that invest within a stand-alone single asset class such as equities, fixed income, or commodities. Not surprisingly, we find that our Risk Parity-based approach to portfolio construction is also well suited to building diversified factor premia portfolios. Consistent with our Risk Parity-based approach to building multi and single asset class portfolios, we apply a risk-budgeting procedure that targets a specified risk allocation to each factor in our Diversified Global Factor Premia portfolio. This targeted risk allocation considers both a long-term strategic target risk allocation for each factor, as well as a tactical element that allows the portfolio to adapt to changing market conditions without meaningfully altering its aggregate risk profile. The proper strategic risk allocation for a given factor premia portfolio depends on its diversification objective. If the objective is limited to creating diversification across each of the targeted premia, a strategic risk allocation that targets equal risk contribution across all factor premia would be appropriate. However, such an approach may result in unintended correlation with market risk premia. To further mitigate directionality of the aggregate returns generated by our Diversified Global Factor Premia portfolios, we target a strategic risk allocation that is not only diversified amongst the individual factor premia we target, but it is also diversified relative to sources of market risk premia typically captured within other areas of an aggregate portfolio. Such an adjustment to the portfolio s strategic risk allocation would not be necessary if all factor returns were independent of market returns. Unfortunately, our experience and our research suggest this is not always the case. Consequently, we adjust a factor s targeted risk allocation based upon its correlation with market returns. The combination of factor conditioning and multiple levels of diversification in the portfolio construction process enhances the strategy s ability to generate aggregate returns that are devoid of directionality and independent of the returns achieved through market exposure. Dynamic Risk Allocation While balancing contribution to risk equally across factors and factor groups results in a diversified and risk-efficient portfolio, we believe risk-adjusted returns generated from a factor premia strategy can be even further enhanced through a process of Dynamic Risk Allocation. An equal risk allocation to all factors that comprise a given portfolio is only optimal when the performance of all factors is expected to be equal on a risk-adjusted basis. However, if differences in the risk-adjusted performance across targeted premia are meaningful, a portfolio that allocates more risk to the better performing premia will outperform an equal risk portfolio. Indeed, the efficacy of individual factor premia may be time varying. For example, in some periods, value-based factors may fall out of favor, while momentum-based factors may deliver above average performance. We account for the time varying nature of factor 6

7 efficacy through a controlled and systematic process we refer to as Dynamic Risk Allocation. Dynamic Risk Allocation allows our portfolios to adapt to changing market conditions through tactical shifts in their risk budget away from long-term strategic targets. While the application of Dynamic Risk Allocation is expected to improve a portfolio s performance, it is designed to be an enhancement rather than the significant driver of its returns. Our prior is that maintaining positive exposure to a diversified collection of compensated risk factors will generate attractive risk-adjusted returns over time. As a result, we tightly control the degree of active risk from our tactical shifts to ensure that the portfolio remains broadly diversified at all times. Summary In this note we introduce factor premia as an additional source of return that lies along the spectrum between beta from market exposure and alpha derived from manager skill. Its transparency, liquidity, capacity and long time horizon present similarities to market risk premia. However, portfolio construction techniques required to efficiently capture factor premia in a manner that provides diversifying aggregate returns relative to traditional market betas requires a thoughtful approach. Our research shows that combining well understood factor premia together in a way that gives special consideration to their correlation with one another as well as with a broad array of market risk premia can deliver attractive, riskadjusted returns. Our findings suggest that the returns of our factor premia portfolio have little statistical relationship to equity, fixed income or commodity indices. This feature is distinguishing relative to global macro hedge fund approaches that often exhibit strong positive correlation to the equity market. Selecting appropriate sources of factor premia is an important consideration of an approach designed to generate diversifying returns. However, the process used to efficiently capture and combine factor premia is equally, if not even more, important. We differentiate our process by focusing on three techniques. First, we identify factors that are conditionally correlated to market risk premia. We then reduce the correlation of factors returns with the return of markets by conditioning them in the factor construction process. Second, we combine factor premia through the use of a risk-budgeting procedure. We set our strategic risk allocation such that the contribution to risk is balanced across factors, but is also diversifying to a broad array of market risk premia. Finally, we incorporate a systematic process that allows us to make controlled, tactical changes to the portfolio s risk budget in response to changing market conditions. Investors have an insatiable demand for sources of positive return that are differentiated from those earned from the market exposure in their portfolios. Such allocations are typically made to strategies within their alternatives bucket which is an integral part of many plans asset allocation lineup. We believe that a portfolio targeting exposure to compensated risk factors can play an important role within this asset category. When constructed appropriately, a factor premia portfolio can deliver attractive risk-adjusted returns that are not only different from, but also truly diversifying relative to, the 7

8 returns earned from both traditional beta exposures as well as alpha achieved through true manager skill in security selection. Of equal importance, PanAgora s Diversified Global Factor Premia portfolio offers transparency, liquidity, and capacity making it an attractive, low cost complement to a plan s alternative allocation. Legal Disclosures This material is solely for informational purposes and shall not constitute an offer to sell or the solicitation to buy securities. The opinions expressed herein represent the current, good faith views of the author(s) at the time of publication and are provided for limited purposes, are not definitive investment advice, and should not be relied on as such. The information presented in this article has been developed internally and/or obtained from sources believed to be reliable; however, PanAgora Asset Management, Inc. ("PanAgora") does not guarantee the accuracy, adequacy or completeness of such information. Predictions, opinions, and other information contained in this article are subject to change continually and without notice of any kind and may no longer be true after the date indicated. Any forward looking statements speak only as of the date they are made, and PanAgora assumes no duty to and does not undertake to update forward looking statements. Forward looking statements are subject to numerous assumptions, risks and uncertainties, which change over time. Actual results could differ materially from those anticipated in forward looking statements. This material is directed exclusively at investment professionals. Any investments to which this material relates are available only to or will be engaged in only with investment professionals. There is no guarantee that any investment strategy will achieve its investment objective or avoid incurring substantial losses. The discussion in this material poses a number of hypothetical scenarios that rely on a number of assumptions. Certain of the assumptions have been made for modeling purposes and are unlikely to be realized. No representation or warranty is made as to the reasonableness of the assumptions made or that all assumptions made in the discussion herein have been stated or fully considered. The views expressed in this article are exclusively those of its author(s) as of the date of the article. The views are provided for informational purposes only, are not meant as investment advice, and are subject to change. Investors should consult a financial advisor for advice suited to their individual financial needs. PanAgora cannot guarantee the accuracy or completeness of any statements or data contained in the article. PanAgora disclaims any obligation to provide any updates on the subject in the future. PanAgora is exempt from the requirement to hold an Australian financial services license under the Corporations Act 2001 in respect of the financial services. PanAgora is regulated by the SEC under U.S. laws, which differ from Australian laws. This material is directed exclusively for investment professionals. Any investments to which this material relates are available only to, or will be engaged in only with, investment professionals. As with any investment there is a potential for profit as well as the possibility of loss. 8

9 Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular investment program. One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular investment program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific investment program which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results. Index Descriptions The Morgan Stanley Capital International (MSCI) World Index is an unmanaged list of securities from developed and emerging markets, with all values expressed in U.S. dollars. The VIX Index is a popular measure of market risk. Represents the implied volatility on the S&P 100 (OEX) option. This volatility is meant to be a forward looking volatility. 9

Best Styles: Harvesting Risk Premium in Equity Investing

Best Styles: Harvesting Risk Premium in Equity Investing Strategy Best Styles: Harvesting Risk Premium in Equity Investing Harvesting risk premiums is a common investment strategy in fixed income or foreign exchange investing. In equity investing it is still

More information

Assessing the Risks of a Yield-Tilted Equity Portfolio

Assessing the Risks of a Yield-Tilted Equity Portfolio Engineered Portfolio Solutions RESEARCH BRIEF Summer 2011 Update 2014: This Parametric study from 2011 is intended to illustrate common risks and characteristics associated with dividendtilted equity portfolios,

More information

Effective downside risk management

Effective downside risk management Effective downside risk management Aymeric Forest, Fund Manager, Multi-Asset Investments November 2012 Since 2008, the desire to avoid significant portfolio losses has, more than ever, been at the front

More information

Diversified Alternatives Index

Diversified Alternatives Index The Morningstar October 2014 SM Diversified Alternatives Index For Financial Professional Use Only 1 5 Learn More indexes@morningstar.com +1 12 84-75 Contents Executive Summary The Morningstar Diversified

More information

Rethinking Fixed Income

Rethinking Fixed Income Rethinking Fixed Income Challenging Conventional Wisdom May 2013 Risk. Reinsurance. Human Resources. Rethinking Fixed Income: Challenging Conventional Wisdom With US Treasury interest rates at, or near,

More information

Defensive equity. A defensive strategy to Canadian equity investing

Defensive equity. A defensive strategy to Canadian equity investing Defensive equity A defensive strategy to Canadian equity investing Adam Hornung, MBA, CFA, Institutional Investment Strategist EXECUTIVE SUMMARY: Over the last several years, academic studies have shown

More information

Are Unconstrained Bond Funds a Substitute for Core Bonds?

Are Unconstrained Bond Funds a Substitute for Core Bonds? TOPICS OF INTEREST Are Unconstrained Bond Funds a Substitute for Core Bonds? By Peter Wilamoski, Ph.D. Director of Economic Research Philip Schmitt, CIMA Senior Research Associate AUGUST 2014 The problem

More information

Volatility: A Brief Overview

Volatility: A Brief Overview The Benefits of Systematically Selling Volatility July 2014 By Jeremy Berman Justin Frankel Co-Portfolio Managers of the RiverPark Structural Alpha Fund Abstract: A strategy of systematically selling volatility

More information

NorthCoast Investment Advisory Team 203.532.7000 info@northcoastam.com

NorthCoast Investment Advisory Team 203.532.7000 info@northcoastam.com NorthCoast Investment Advisory Team 203.532.7000 info@northcoastam.com NORTHCOAST ASSET MANAGEMENT An established leader in the field of tactical investment management, specializing in quantitative research

More information

Risk Parity Portfolios:

Risk Parity Portfolios: SEPTEMBER 2005 Risk Parity Portfolios: Efficient Portfolios Through True Diversification Edward Qian, Ph.D., CFA Chief Investment Officer and Head of Research, Macro Strategies PanAgora Asset Management

More information

ALTERNATIVE INVESTMENTS: MYTHS & MISCONCEPTIONS

ALTERNATIVE INVESTMENTS: MYTHS & 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

More information

The Coming Volatility

The Coming Volatility The Coming Volatility Lowell Bolken, CFA Vice President and Portfolio Manager Real estate Securities June 18, 2015 www.advantuscapital.com S&P 500 Percent Daily Change in Price September 2008 to April

More information

Evolution of GTAA Investment Styles. In This Issue: June 2012

Evolution of GTAA Investment Styles. In This Issue: June 2012 June 2012 ALPHA GROUP TOPIC The Alpha Group researches investment managers. In This Issue: n Evolution of GTAA Investment Styles n Risk-Parity vs. GTAA Managers n Implementation n Investing in a GTAA Strategy

More information

Market betas vs. alternative betas

Market betas vs. alternative betas BILL LANDES, PH.D., DEPUTY HEAD OF GLOBAL INVESTMENT SOLUTIONS 2015 PERSPECTIVES USING ALTERNATIVE BETAS TO IMPROVE PORTFOLIO DIVERSIFICATION JEFFREY KNIGHT, CFA, GLOBAL HEAD OF INVESTMENT SOLUTIONS AND

More information

Do Hedge Funds Have An Edge Over Alternative Mutual Funds?

Do Hedge Funds Have An Edge Over Alternative Mutual Funds? May 2016 ALTERNATIVE PERSPECTIVES Do Hedge Funds Have An Edge Over Alternative Mutual Funds? The Case of Equity Long/Short Strategies Do Hedge Funds Have an Edge Over Alternative Mutual Funds? The concept

More information

Historical Drawdowns & Recoveries of the Salient Risk Parity V15 Index

Historical Drawdowns & Recoveries of the Salient Risk Parity V15 Index Historical Drawdowns & Recoveries of the Salient Risk Parity V15 Index July 1, 2013 Lee Partridge, CFA Rusty Guinn This information is being provided to you by Salient Index Management, LLC. It is intended

More information

Diversify your global asset allocation approach by focusing on income and income growth.

Diversify your global asset allocation approach by focusing on income and income growth. Diversify your global asset allocation approach by focusing on income and income growth. Institutional investors have embraced global asset allocation (GAA) strategies as a way to pursue returns with low

More information

Long/Short Equity Investing Part I Styles, Strategies, and Implementation Considerations

Long/Short Equity Investing Part I Styles, Strategies, and Implementation Considerations Long/Short Equity Investing Part I Styles, Strategies, and Implementation Considerations Scott Larson, Associate Portfolio Manager for Directional Strategies This is Part I of a two part series. In Part

More information

Managing Risks in a Multi-Asset, Multi-Manager Portfolio

Managing Risks in a Multi-Asset, Multi-Manager Portfolio Managing Risks in a Multi-Asset, Multi-Manager Portfolio Presented by: Mary Jane Bobyock, CFA, Director, Advisory Team Rob Ludwig, Managing Director, Risk Management Group Risk management at multiple levels

More information

Seek Opportunity in Lower Starting Valuations While Avoiding Crowded Trades

Seek Opportunity in Lower Starting Valuations While Avoiding Crowded Trades Seek Opportunity in Lower Starting Valuations While Avoiding Crowded Trades Developed Market (DM) Valuations Remain Attractive Developed Market (ex US) valuations remain attractive relative to history

More information

The potential benefits of diversification

The potential benefits of diversification The potential benefits of diversification The case for diversification Over the past few years, pension schemes have faced challenging market conditions and investment performance has been mixed, leading

More information

Investing on hope? Small Cap and Growth Investing!

Investing on hope? Small Cap and Growth Investing! Investing on hope? Small Cap and Growth Investing! Aswath Damodaran Aswath Damodaran! 1! Who is a growth investor?! The Conventional definition: An investor who buys high price earnings ratio stocks or

More information

De-Risking Solutions: Low and Managed Volatility

De-Risking Solutions: Low and Managed Volatility De-Risking Solutions: Low and Managed Volatility NCPERS May 17, 2016 Richard Yasenchak, CFA Senior Vice President, Client Portfolio Manager, INTECH FOR INSTITUTIONAL INVESTOR USE C-0416-1610 12-30-16 AGENDA

More information

Absolute return investments in rising interest rate environments

Absolute return investments in rising interest rate environments 2014 Absolute return investments in rising interest rate environments Todd White, Head of Alternative Investments Joe Mallen, Senior Business Analyst In a balanced portfolio, fixed-income investments have

More information

J.P. Morgan Equity Risk Premium Multi-Factor (Long Only) Index Series

J.P. Morgan Equity Risk Premium Multi-Factor (Long Only) Index Series J.P. Morgan Equity Risk Premium Multi-Factor (Long Only) Index Series QUESTIONS AND ANSWERS These Questions and Answers highlight selected information to help you better understand: 1. JPERPLMF: J.P. Morgan

More information

High Yield Bonds A Primer

High Yield Bonds A Primer High Yield Bonds A Primer With our extensive history in the Canadian credit market dating back to the Income Trust period, our portfolio managers believe that there is considerable merit in including select

More information

What Level of Incentive Fees Are Hedge Fund Investors Actually Paying?

What Level of Incentive Fees Are Hedge Fund Investors Actually Paying? What Level of Incentive Fees Are Hedge Fund Investors Actually Paying? Abstract Long-only investors remove the effects of beta when analyzing performance. Why shouldn t long/short equity hedge fund investors

More information

Why Tactical Fixed Income is Different

Why Tactical Fixed Income is Different WHITE PAPER May 2015 For professional investors Why Tactical Fixed Income is Different 12% 9% 6% Annualized Income Forfeited and Loss Avoided by "Going to Cash" Newfound Research LLC 425 Boylston St. 3

More information

Historical Distributions of IRR in Private Equity

Historical Distributions of IRR in Private Equity Historical Distributions of IRR in Private Equity INVESTMENT MANAGEMENT RESEARCH A private equity fund-of-funds partnership that had access to the top 10-20% of funds in the studied data set shown herein

More information

Single Manager vs. Multi-Manager Alternative Investment Funds

Single Manager vs. Multi-Manager Alternative Investment Funds September 2015 Single Manager vs. Multi-Manager Alternative Investment Funds John Dolfin, CFA Chief Investment Officer Steben & Company, Inc. Christopher Maxey, CAIA Senior Portfolio Manager Steben & Company,

More information

Alpha Preservation. Using Valuations to Identify Style Risk. Benjamin Graham

Alpha Preservation. Using Valuations to Identify Style Risk. Benjamin Graham RESEARCH RESOURCES RESULTS Alpha Preservation Using Valuations to Identify Style Risk If you have formed a conclusion from the facts and if you know your judgment is sound, act on it even though others

More information

Black Box Trend Following Lifting the Veil

Black Box Trend Following Lifting the Veil AlphaQuest CTA Research Series #1 The goal of this research series is to demystify specific black box CTA trend following strategies and to analyze their characteristics both as a stand-alone product as

More information

Draft Prudential Practice Guide

Draft Prudential Practice Guide Draft Prudential Practice Guide SPG 532 Investment Risk Management May 2013 www.apra.gov.au Australian Prudential Regulation Authority Disclaimer and copyright This prudential practice guide is not legal

More information

PERFORMING DUE DILIGENCE ON NONTRADITIONAL BOND FUNDS. by Mark Bentley, Executive Vice President, BTS Asset Management, Inc.

PERFORMING DUE DILIGENCE ON NONTRADITIONAL BOND FUNDS. by Mark Bentley, Executive Vice President, BTS Asset Management, Inc. PERFORMING DUE DILIGENCE ON NONTRADITIONAL BOND FUNDS by Mark Bentley, Executive Vice President, BTS Asset Management, Inc. Investors considering allocations to funds in Morningstar s Nontraditional Bond

More information

Moderator Timothy Wilson

Moderator Timothy Wilson Investment Symposium March 2012 P2: Portfolio Construction: Asset Allocation versus Risk/Strategy Buckets Marc Carhart Radu Gabudean Moderator Timothy Wilson Beyond Modern Portfolio Theory Radu C. Gabudean

More information

The case for tactical trading for nonprofits

The case for tactical trading for nonprofits By: Mark Raskopf, CFA, Head of Tactical Trading Strategies MARCH 2012 Darren Spencer, Director, Alternative Investment Consulting The case for tactical trading for nonprofits Issue: The investment portfolios

More information

McKinley Capital U.S. Equity Income Prospects for Performance in a Changing Interest Rate Environment

McKinley Capital U.S. Equity Income Prospects for Performance in a Changing Interest Rate Environment March 25, 2014 McKinley Capital U.S. Equity Income Prospects for Performance in a Changing Interest Rate Environment This paper analyzes the historic performance of the McKinley Capital Management, LLC

More information

Managing Risk/Reward in Fixed Income

Managing Risk/Reward in Fixed Income INSIGHTS Managing Risk/Reward in Fixed Income Using Global Currency-Hedged Indices as Benchmarks In the pursuit of alpha, is it better to use a global hedged or unhedged index as a benchmark for measuring

More information

SSgA CAPITAL INSIGHTS

SSgA CAPITAL INSIGHTS SSgA CAPITAL INSIGHTS viewpoints Part of State Street s Vision thought leadership series A Stratified Sampling Approach to Generating Fixed Income Beta PHOTO by Mathias Marta Senior Investment Manager,

More information

FREQUENTLY ASKED QUESTIONS March 2015

FREQUENTLY ASKED QUESTIONS March 2015 FREQUENTLY ASKED QUESTIONS March 2015 Table of Contents I. Offering a Hedge Fund Strategy in a Mutual Fund Structure... 3 II. Fundamental Research... 4 III. Portfolio Construction... 6 IV. Fund Expenses

More information

Interest Rates and Inflation: How They Might Affect Managed Futures

Interest Rates and Inflation: How They Might Affect Managed Futures Faced with the prospect of potential declines in both bonds and equities, an allocation to managed futures may serve as an appealing diversifier to traditional strategies. HIGHLIGHTS Managed Futures have

More information

A Solution for Yield-Starved Insurance Companies: Dividend Equities

A Solution for Yield-Starved Insurance Companies: Dividend Equities August 2015 A Solution for Yield-Starved Insurance Companies: Dividend Equities Federal Reserve efforts to normalize monetary policy are unlikely to provide meaningful relief for yield-starved insurance

More information

ishares MINIMUM VOLATILITY SUITE SEEKING TO WEATHER THE MARKET S UP AND DOWNS

ishares MINIMUM VOLATILITY SUITE SEEKING TO WEATHER THE MARKET S UP AND DOWNS ishares MINIMUM VOLATILITY SUITE SEEKING TO WEATHER THE MARKET S UP AND DOWNS Table of Contents 1 Introducing the ishares Minimum Volatility Suite... 02 2 Why Consider the ishares Minimum Volatility Suite?...

More information

Capturing Equity Risk Premium Revisiting the Investment Strategy

Capturing Equity Risk Premium Revisiting the Investment Strategy Capturing Equity Risk Premium Revisiting the Investment Strategy Introduction: Equity Risk without Reward? Institutions with return-oriented investment portfolios have traditionally relied upon significant

More information

www.fa-mag.com www.pw-mag.com PRESENTED BY 1

www.fa-mag.com www.pw-mag.com PRESENTED BY 1 www.fa-mag.com www.pw-mag.com 1 Confronting Market Volatility: Help Clients Weather The Market's Ups And Downs Mark E. Carver, CIMA March 25, 2015 How is BlackRock defining Smart Beta? An evolution in

More information

Portfolio Management Consultants Perfecting the Portfolio

Portfolio Management Consultants Perfecting the Portfolio Portfolio Management Consultants Perfecting the Portfolio Envestnet PMC is the ultimate advisor to the advisor. Our goal is to help advisors strengthen relationships with their clients and improve outcomes

More information

Investment Portfolio Management and Effective Asset Allocation for Institutional and Private Banking Clients

Investment Portfolio Management and Effective Asset Allocation for Institutional and Private Banking Clients Investment Portfolio Management and Effective Asset Allocation for Institutional and Private Banking Clients www.mce-ama.com/2396 Senior Managers Days 4 www.mce-ama.com 1 WHY attend this programme? This

More information

Purpose of Selling Stocks Short JANUARY 2007 NUMBER 5

Purpose of Selling Stocks Short JANUARY 2007 NUMBER 5 An Overview of Short Stock Selling An effective short stock selling strategy provides an important hedge to a long portfolio and allows hedge fund managers to reduce sector and portfolio beta. Short selling

More information

3Q14. Are Unconstrained Bond Funds a Substitute for Core Bonds? August 2014. Executive Summary. Introduction

3Q14. Are Unconstrained Bond Funds a Substitute for Core Bonds? August 2014. Executive Summary. Introduction 3Q14 TOPICS OF INTEREST Are Unconstrained Bond Funds a Substitute for Core Bonds? August 2014 Executive Summary PETER WILAMOSKI, PH.D. Director of Economic Research Proponents of unconstrained bond funds

More information

SEI s Approach to Asset Allocation

SEI s Approach to Asset Allocation SEI s Approach to Asset Allocation Presented by: Jim Smigiel Managing Director and Portfolio Manager Portfolio Strategies Group What is diversification? Sharpe ratio? Peak Sharpe Ratio Loss of efficiency:

More information

Managed Volatility: A Highly Risk-Efficient Approach to Investing in Emerging Markets

Managed Volatility: A Highly Risk-Efficient Approach to Investing in Emerging Markets Managed Volatility: A Highly Risk-Efficient Approach to Investing in Emerging Markets Executive Summary Adrian Banner, Ph.D. INTECH Chief Executive Officer Chief Investment Officer abanner@intechjanus.com

More information

Low-Volatility Investing: Expect the Unexpected

Low-Volatility Investing: Expect the Unexpected WHITE PAPER October 2014 For professional investors Low-Volatility Investing: Expect the Unexpected David Blitz, PhD Pim van Vliet, PhD Low-Volatility Investing: Expect the Unexpected 1 Expect the unexpected

More information

A constant volatility framework for managing tail risk

A constant volatility framework for managing tail risk A constant volatility framework for managing tail risk Alexandre Hocquard, Sunny Ng and Nicolas Papageorgiou 1 Brockhouse Cooper and HEC Montreal September 2010 1 Alexandre Hocquard is Portfolio Manager,

More information

EVALUATING THE PERFORMANCE CHARACTERISTICS OF THE CBOE S&P 500 PUTWRITE INDEX

EVALUATING THE PERFORMANCE CHARACTERISTICS OF THE CBOE S&P 500 PUTWRITE INDEX DECEMBER 2008 Independent advice for the institutional investor EVALUATING THE PERFORMANCE CHARACTERISTICS OF THE CBOE S&P 500 PUTWRITE INDEX EXECUTIVE SUMMARY The CBOE S&P 500 PutWrite Index (ticker symbol

More information

The Foreign Exchange Market Not As Liquid As You May Think

The Foreign Exchange Market Not As Liquid As You May Think 06.09.2012 Seite 1 / 5 The Foreign Exchange Market Not As Liquid As You May Think September 6 2012 1 23 AM GMT By Loriano Mancini Angelo Ranaldo and Jan Wrampelmeyer The foreign exchange market facilitates

More information

CALVERT UNCONSTRAINED BOND FUND A More Expansive Approach to Fixed-Income Investing

CALVERT UNCONSTRAINED BOND FUND A More Expansive Approach to Fixed-Income Investing CALVERT UNCONSTRAINED BOND FUND A More Expansive Approach to Fixed-Income Investing A Challenging Environment for Investors MOVING BEYOND TRADITIONAL FIXED-INCOME INVESTING ALONE For many advisors and

More information

The Morningstar Category TM Classifications for Hedge Funds

The Morningstar Category TM Classifications for Hedge Funds The Morningstar Category TM Classifications for Hedge Funds Morningstar Methodology Paper Effective April 30, 2012 Contents Introduction 4 Directional Equity Asia/Pacific Long/Short Equity Bear-Market

More information

Why Anfield s Universal Fixed Income Fund?

Why Anfield s Universal Fixed Income Fund? Why Anfield s Universal Fixed Income Fund? Disclosure Investors should carefully consider the investment objectives, risks, charges and expenses of the Anfield Universal Fixed Income Fund. This and other

More information

COMBINING FACTORS IN A PORTFOLIO

COMBINING FACTORS IN A PORTFOLIO COMBINING FACTORS IN A PORTFOLIO Thierry Roncalli Head of Quantitative Research François Millet Head of Product Line Manager ETF & Indexing There s rapidly growing interest in constructing equity portfolios

More information

The Role of Alternative Investments in a Diversified Investment Portfolio

The Role of Alternative Investments in a Diversified Investment Portfolio The Role of Alternative Investments in a Diversified Investment Portfolio By Baird Private Wealth Management Introduction Traditional Investments Domestic Equity International Equity Taxable Fixed Income

More information

The Dual Advantage of Long/Short Equity

The Dual Advantage of Long/Short Equity July 2014 The Dual Advantage of Long/Short Equity Adding an allocation to this liquid alternative strategy can help investors boost their returns while lowering total portfolio risk. Author Charles Cook,

More information

Commodity Trading Advisors. AQF 2005 Nicolas Papageorgiou

Commodity Trading Advisors. AQF 2005 Nicolas Papageorgiou Commodity Trading Advisors AQF 2005 Nicolas Papageorgiou Market size The current size of the global capital markets is estimated to be about $55 trillion, according to Anjilvel, Boudreau, Johmann, Peskin

More information

DISCLAIMER. A Member of Financial Group

DISCLAIMER. A Member of Financial Group Tactical ETF Approaches for Today s Investors Jaime Purvis, Executive Vice-President Horizons Exchange Traded Funds April 2012 DISCLAIMER Commissions, management fees and expenses all may be associated

More information

PH&N Trustee Education Seminar 2012. Managing Volatility in Equity Portfolios

PH&N Trustee Education Seminar 2012. Managing Volatility in Equity Portfolios PH&N Trustee Education Seminar 2012 Managing Volatility in Equity Portfolios Why Equities? Equities Offer: Participation in global economic growth Superior historical long-term returns compared to other

More information

Managed Futures as a Crisis Risk Offset Strategy

Managed Futures as a Crisis Risk Offset Strategy Managed Futures as a Crisis Risk Offset Strategy SOLUTIONS & MULTI ASSET MANAGED FUTURES INVESTMENT INSIGHT OCTOBER 2016 While equity markets and other asset prices have generally retraced their declines

More information

Alternative Investing

Alternative Investing Alternative Investing An important piece of the puzzle Improve diversification Manage portfolio risk Target absolute returns Innovation is our capital. Make it yours. Manage Risk and Enhance Performance

More information

Navigating through flexible bond funds

Navigating through flexible bond funds WHITE PAPER February 2015 For professional investors Navigating through flexible bond funds Risk management as a key focus point Kommer van Trigt Winfried G. Hallerbach Navigating through flexible bond

More information

Wealth Management Solutions

Wealth Management Solutions Wealth Management Solutions Invest in the Future Life has significant moments. Making sure you re prepared for them is important. But what can you do when the pace of your life leaves you little time to

More information

Today s bond market is riskier and more volatile than in several generations. As

Today s bond market is riskier and more volatile than in several generations. As Fixed Income Approach 2014 Volume 1 Executive Summary Today s bond market is riskier and more volatile than in several generations. As interest rates rise so does the anxiety of fixed income investors

More information

About Hedge Funds. What is a Hedge Fund?

About Hedge Funds. What is a Hedge Fund? About Hedge Funds What is a Hedge Fund? A hedge fund is a fund that can take both long and short positions, use arbitrage, buy and sell undervalued securities, trade options or bonds, and invest in almost

More information

Market Linked Certificates of Deposit

Market Linked Certificates of Deposit Market Linked Certificates of Deposit This material was prepared by Wells Fargo Securities, LLC, a registered brokerdealer and separate non-bank affiliate of Wells Fargo & Company. This material is not

More information

STATEMENT OF INVESTMENT BELIEFS AND PRINCIPLES

STATEMENT OF INVESTMENT BELIEFS AND PRINCIPLES STATEMENT OF INVESTMENT BELIEFS AND PRINCIPLES Investment Advisory Board, Petroleum Fund of Timor-Leste August 2014 CONTENTS Page Summary... 1 Context... 3 Mission Statement... 4 Investment Objectives...

More information

Adaptive Asset Allocation

Adaptive Asset Allocation INVESTMENT INSIGHTS SERIES Adaptive Asset Allocation Refocusing Portfolio Management Toward Investor End Goals Introduction Though most investors may not be explicit in saying it, one of their primary

More information

Why Invest in Emerging Markets Small Cap Stocks?

Why Invest in Emerging Markets Small Cap Stocks? March 2015 Tim Atwill, Ph.D., CFA Head of Investment Strategy Mahesh Pritamani, Ph.D., CFA Senior Researcher Why Invest in Emerging Markets Small Cap Stocks? The notion of a small-cap premium (i.e. that

More information

CHAPTER 11: THE EFFICIENT MARKET HYPOTHESIS

CHAPTER 11: THE EFFICIENT MARKET HYPOTHESIS CHAPTER 11: THE EFFICIENT MARKET HYPOTHESIS PROBLEM SETS 1. The correlation coefficient between stock returns for two non-overlapping periods should be zero. If not, one could use returns from one period

More information

Navigator Fixed Income Total Return

Navigator Fixed Income Total Return CCM-15-08-1 As of 8/31/2015 Navigator Fixed Income Total Return Navigate Fixed Income with a Tactical Approach With yields hovering at historic lows, bond portfolios could decline if interest rates rise.

More information

Purer return and reduced volatility: Hedging currency risk in international-equity portfolios

Purer return and reduced volatility: Hedging currency risk in international-equity portfolios Purer return and reduced volatility: Hedging currency risk in international-equity portfolios Currency-hedged exchange-traded funds (ETFs) may offer investors a compelling way to more precisely access

More information

ANZ ETFS PHYSICAL US DOLLAR ETF. (ASX Code: ZUSD)

ANZ ETFS PHYSICAL US DOLLAR ETF. (ASX Code: ZUSD) ANZ ETFS PHYSICAL US DOLLAR ETF (ASX Code: ZUSD) INVESTMENT BUILDING BLOCKS FOR A CHANGING WORLD Introducing a suite of innovative exchange traded funds (ETFs) designed for Australian investors by ANZ

More information

Unconstrained Fixed Income

Unconstrained Fixed Income Unconstrained Fixed Income A Dynamic and Flexible Approach to Fixed Income Investing 26th ANNUAL TEXPERS CONFERENCE Global Fixed Income & Liquidity Management March 2015 This material is provided for educational

More information

CHAPTER 11: ARBITRAGE PRICING THEORY

CHAPTER 11: ARBITRAGE PRICING THEORY CHAPTER 11: ARBITRAGE PRICING THEORY 1. The revised estimate of the expected rate of return on the stock would be the old estimate plus the sum of the products of the unexpected change in each factor times

More information

Strategic allocation to quantitative emerging markets strategies

Strategic allocation to quantitative emerging markets strategies WHITE PAPER October 2015 For professional investors Strategic allocation to quantitative emerging markets strategies Wilma de Groot, CFA Weili Zhou, CFA Strategic allocation to quantitative emerging markets

More information

Exhibit 1: Hedge Fund Style Returns During Increasing and Decreasing Correlation Environments

Exhibit 1: Hedge Fund Style Returns During Increasing and Decreasing Correlation Environments ve Equity Derivatives Strategy CSFB Quantitati CSFB SFB Equity Derivatives Strategy Global Market Commentary October, 6, 24 Mika Toikka (212) 325-5798 Ed Tom (212) 325-3584 Martin Boldt-Christmas 44 2

More information

TAX-MANAGED SMAS: BETTER THAN ETFS?

TAX-MANAGED SMAS: BETTER THAN ETFS? September 2015 Rey Santodomingo, CFA Director of Investment Strategy Tax Managed Equities Tim Atwill, Ph.D., CFA Head of Investment Strategy TAX-MANAGED SMAS: BETTER THAN ETFS? Exchange traded funds, or

More information

Managing Working Capital Liquidity July 29, 2012 2:00 3:15 PM

Managing Working Capital Liquidity July 29, 2012 2:00 3:15 PM Managing Working Capital Liquidity July 29, 2012 2:00 3:15 PM Paul L. Robertson III Managing Director Edge Capital Partners, LLC 404-835-3280 probertson@edgecappartners.com Working Capital Management Process

More information

Investing In Volatility

Investing In Volatility Investing In Volatility By: Anish Parvataneni, CFA Portfolio Manager LJM Partners Ltd. LJM Partners, Ltd. is issuing a series a white papers on the subject of investing in volatility as an asset class.

More information

ETF Total Cost Analysis in Action

ETF Total Cost Analysis in Action Morningstar ETF Research ETF Total Cost Analysis in Action Authors: Paul Justice, CFA, Director of ETF Research, North America Michael Rawson, CFA, ETF Analyst 2 ETF Total Cost Analysis in Action Exchange

More information

Understanding Currency

Understanding Currency Understanding Currency Overlay July 2010 PREPARED BY Gregory J. Leonberger, FSA Director of Research Abstract As portfolios have expanded to include international investments, investors must be aware of

More information

Simplifying Unconstrained Fixed Income Investing

Simplifying Unconstrained Fixed Income Investing Investment Management Fixed Income Team, July 204 Simplifying Unconstrained Fixed Income Investing Introduction Financial markets fluctuations in recent years and central banks attempts to sustain the

More information

CFA Institute Contingency Reserves Investment Policy Effective 8 February 2012

CFA Institute Contingency Reserves Investment Policy Effective 8 February 2012 CFA Institute Contingency Reserves Investment Policy Effective 8 February 2012 Purpose This policy statement provides guidance to CFA Institute management and Board regarding the CFA Institute Reserves

More information

A Pared-Down Approach to Stock Picking. That is Market-Neutral and Results-Driven

A Pared-Down Approach to Stock Picking. That is Market-Neutral and Results-Driven A Pared-Down Approach to Stock Picking That is Market-Neutral and Results-Driven Q1 2011 A white paper discussing how this strategy of market-neutral approaches delivers on its promise 1 A Pared-Down Approach

More information

Global Equity Portfolio Construction. Fall 2012

Global Equity Portfolio Construction. Fall 2012 Global Equity Portfolio Construction Fall 2012 INTRODUCTION Investors should thoughtfully construct an equity portfolio by: Identifying the objective Taking a global approach Expanding away from long only

More information

Why Are Institutional Investors Missing the International Small Cap Opportunity?

Why Are Institutional Investors Missing the International Small Cap Opportunity? Why Are Institutional Investors Missing the International Small Cap Opportunity? October 2011 Chris Tessin, CFA ctessin@acuitasinvestments.com Dennis Jensen, CFA djensen@acuitasinvestments.com Brian Stoner,

More information

The Master Statement of Investment Policies and Objectives of The Lower Colorado River Authority Retirement Plan and Trust. Amended June 16, 2015

The Master Statement of Investment Policies and Objectives of The Lower Colorado River Authority Retirement Plan and Trust. Amended June 16, 2015 The Master Statement of Investment Policies and Objectives of The Lower Colorado River Authority Retirement Plan and Trust Amended June 16, 2015 Introduction The Lower Colorado River Authority ( LCRA )

More information

Seeking a More Efficient Fixed Income Portfolio with Asia Bonds

Seeking a More Efficient Fixed Income Portfolio with Asia Bonds Seeking a More Efficient Fixed Income Portfolio with Asia s Seeking a More Efficient Fixed Income Portfolio with Asia s Drawing upon different drivers for performance, Asia fixed income may improve risk-return

More information

Effect of Rising Interest Rates on Fixed Income. Dominick DeAlto, Global Head, Multi-Sector Fixed Income

Effect of Rising Interest Rates on Fixed Income. Dominick DeAlto, Global Head, Multi-Sector Fixed Income Effect of Rising Interest Rates on Fixed Income Dominick DeAlto, Global Head, Multi-Sector Fixed Income Effect of Rising Interest Rates on Fixed Income I May 2015 I 2 Why Do Investors Allocate to Fixed

More information

Investing in Alternatives. Help optimize your portfolio with non-traditional solutions.

Investing in Alternatives. Help optimize your portfolio with non-traditional solutions. Investing in Alternatives. Help optimize your portfolio with non-traditional solutions. Eagle Strategies LLC is an investment adviser registered with the Securities and Exchange Commission and is notice

More information

T. Rowe Price Target Retirement 2030 Fund Advisor Class

T. Rowe Price Target Retirement 2030 Fund Advisor Class T. Rowe Price Target Retirement 2030 Fund Advisor Class Supplement to Summary Prospectus Dated October 1, 2015 Effective February 1, 2016, the T. Rowe Price Mid-Cap Index Fund and the T. Rowe Price Small-Cap

More information

The Cadence Approach to Strategic Beta Investing

The Cadence Approach to Strategic Beta Investing Cadence Capital Management 265 Franklin Street, 4th Floor Boston, MA 02110 617-624-3500 cadencecapital.com The Cadence Approach to Strategic Beta Investing Contents An Introduction to Strategic Beta Specific

More information

Fixed Income Liquidity in a Rising Rate Environment

Fixed Income Liquidity in a Rising Rate Environment Fixed Income Liquidity in a Rising Rate Environment 2 Executive Summary Ò Fixed income market liquidity has declined, causing greater concern about prospective liquidity in a potential broad market sell-off

More information

ADDITIONAL (ASX DESCRIPTION CODE: ZGOL) AND THE DATE

ADDITIONAL (ASX DESCRIPTION CODE: ZGOL) AND THE DATE HEADLINE GOES ANZ HERE ETFS PHYSICAL ONE LINE GOLD OR TWO ETF ADDITIONAL (ASX DESCRIPTION CODE: ZGOL) AND THE DATE THE EXCHANGE TRADED FUND THAT S AS GOOD AS GOLD 1 WHAT IS ANZ ETFS PHYSICAL GOLD ETF?

More information