2. Belmont Investments
• Founded in 2009
• $215m under management
• Based and regulated in the US, offices in Dublin and Singapore
• Invest in hedge funds managers for clients
• Bias towards quantitative strategies
4. Why bother with hedge funds at all ?
• Local equity performance
• Underperformance relative to global stocks and bonds
• Lack of formal FSB recognition
• The ugly stuff – fees, transparency, regulation
8. What are managed futures ?
• Professionally managed portfolios of futures contracts
• Can invest on both the long and short side
• Generally trend-following in nature
9.
10. Diversified markets
Currencies EquitiesBonds Commodities
Euro
British Pound
Swiss Franc
US Dollar
Japanese Yen
Australian Dollar
Canadian Dollar
New Zealand Dollar
South African Rand
Norwegian Kroner
Brazilian Real
Mexican Peso
Singapore Dollar
Energy
Crude Oil
Natural Gas
Natural Gas
Heating Oil
Unleaded Gas
Metals
Gold
Silver
Copper
Aluminum
Nickel
Palladium
Platinum
S&P 500
Nasdaq
AEX
CAC
FTSE
DAX
Eurostoxx
Stoxx
Hang Seng
Nikkei
KOSPI
IBEX
Russell 2000
SMI
TOPIX
US 10-Year
US 5-Year
US 2-Year
BOBL
Bund
Schatz
Gilts
JGB
Eurodollar
Euroswiss
Euroyen
Australian Notes
Canadian Bonds
Short Sterling
Federal Funds
Euribor
Meats
Live Cattle
Lean Hogs
Pork Bellies
Agricultural
Wheat
Barley
Corn
Oats
Soybeans
Softs
Coffee
Cotton
Cocoa
12. -50
-40
-30
-20
-10
0
10
20
30
40
50
90 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14
Managed Futures Index S&P 500 Index Barclays Aggregate Bond Index
Comparative Performance – Managed Futures
Data as of December 31, 2009
Source: ITR CTA Index. The Index includes both domestic and offshore funds. The managed futures fund universe from which the components of a
managed futures fund index are selected is based on funds which have continued to report results for a minimum period of time. Important Note: This
prerequisite for fund selection interjects a significant element of "survivor bias" into the reported levels of an index, as generally only successful funds
will continue to report for the required period so that the funds from which the statistical analysis or the performance of an index to date is derived
necessarily tend to have been successful. Performance data reflects past performance and is not indicative of future results.
13. $1,000
$2,000
$3,000
$4,000
$5,000
$6,000
$7,000
Managed Futures Equities Bonds
Data as of December 31, 2014
Source: ITR CTA Index. The Index includes both domestic and offshore funds. The managed futures fund universe from which the components of a
managed futures fund index are selected is based on funds which have continued to report results for a minimum period of time. Important Note: This
prerequisite for fund selection interjects a significant element of "survivor bias" into the reported levels of an index, as generally only successful funds
will continue to report for the required period so that the funds from which the statistical analysis or the performance of an index to date is derived
necessarily tend to have been successful. Performance data reflects past performance and is not indicative of future results.
14. Low Correlation
Correlation to traditional asset classes
S&P 500 0.03
Nasdaq (0.05)
MSCI World Index 0.06
Barclays US Aggregate Bond Index 0.27
NAREIT (0.02)
CRB Commodity Index 0.04
CSFB Hedge Fund Index 0.12