This report analyzes liquid alternative investments (Liquid Alts) to see if they improve risk-adjusted returns when added to a portfolio. The author examines the 25 largest multi-alternative Liquid Alt funds. Adding most funds to a generic portfolio lowered its Sharpe and RoMAD ratios, indicating they did not provide the expected diversification benefits. Few funds limited maximum drawdowns during the 2008 crisis as expected. The author concludes Liquid Alts have so far failed to deliver on their promises and investors should be wary of allocating capital to them.
An investment project in a virtual trading platform with the most realistic simulations available for real-time, streaming platforms that feature global equities, bonds, options, futures, commodities and more.
The project involved being a financial advisor for an investor with a total portfolio value of USD 1 million.
This project report highlights the performance and strategies used to ensure a successful and profitable Investment for the portfolio.
The trading period started on 22nd January, 2013 and ended on 12th April, 2013.
The document discusses exchange-traded funds (ETFs) and how they compare to mutual funds. It notes that ETFs have grown significantly in popularity due to their lower fees compared to mutual funds. While ETFs may benefit investors through lower costs, they also increase complexity and risk for less sophisticated investors. The document reviews the history of mutual funds and ETFs and various studies that have found no statistically significant performance difference between ETFs and index funds, though ETFs may slightly outperform index mutual funds in terms of risk-adjusted returns. Overall, ETFs appear to be competitive with and in some ways superior to mutual funds, particularly due to their lower fees.
The true value of a multi-purpose vessel - IHC - July 2014Arnaud van Oers
This document discusses unlocking the embedded value of real options in offshore vessel investment decisions. It presents a case study analyzing the value of options to modify five vessel types - PSV, CSV, WROV, DSVAIR and DSVSAT. A valuation model is developed using Black-Scholes to calculate the real option value in addition to traditional NPV. Results show accounting for real options can significantly increase overall vessel value and impact investment decisions. For example, factoring the option to modify a CSV to a DSV increases its NPV from $2.3 million to $7.3 million. Regularly updating the model is important to seek ongoing value as forecasted day rates and option values fluctuate over time
Dr. Drago Indjic considers the maturation of hedge funds and funds of hedge funds (FoHF). FoHF now represent over one-third of total hedge fund assets and are the preferred vehicle for most institutional and retail investors to gain hedge fund exposure due to perceived safety. However, FoHF often fail to be designed and managed as proper investment portfolios, exhibiting biases in portfolio construction and strategy selection. Determining the best FoHF involves addressing numerous questions around strategy diversification, leverage, liquidity, and fees.
Global macro hedge funds employ a top-down investment approach analyzing macroeconomic variables to assess their potential impact on markets. They pursue directional and relative value strategies across equity, debt, currency and commodity markets. Global macro funds exhibit attractive returns, low volatility, and low correlation to stocks and bonds, making them a beneficial diversifier for portfolios. CrystalTools can help advisors evaluate global macro managers through its analytics on historical performance, risk, and portfolio construction.
Performance Of Fo F Do Experience And Size Matterchardingsmith
This summary provides the key information from the document in 3 sentences:
The document discusses the performance of funds of hedge funds (FHFs), analyzing whether experience and size impact performance. It uses quantile regression to study the effect of these factors on various return levels rather than just average return. The empirical results suggest that experience and size have a negative effect on performance at higher quantiles, but size has a positive effect at lower quantiles, with both factors showing no significant effect at the median.
Funds of hedge funds failed to deliver value to investors and demonstrated dangerous redemption risks. FoHF managers ran large liquidity mismatches and did not address warnings about this risk. When hedge fund performance declined and redemptions increased in late 2008, the liquidity mismatch led to a crisis. Research on accurately modeling redemption terms and liquidity risks in FoHFs could have helped prevent this.
Quantitative methods in Hedge Fund of Fund ( HFOF ) construction ( Dec 2009 )Peter Urbani
The document discusses weaknesses in quantitative models used to analyze hedge funds. It notes that existing models do not adequately account for asymmetric returns, autocorrelation, liquidity issues, and non-linear dependence among hedge funds. It also discusses how the Infiniti Capital Analytics Suite addresses some of these weaknesses through techniques like modified correlation analysis and Cornish-Fisher adjustments to better capture the unique risks of hedge funds.
An investment project in a virtual trading platform with the most realistic simulations available for real-time, streaming platforms that feature global equities, bonds, options, futures, commodities and more.
The project involved being a financial advisor for an investor with a total portfolio value of USD 1 million.
This project report highlights the performance and strategies used to ensure a successful and profitable Investment for the portfolio.
The trading period started on 22nd January, 2013 and ended on 12th April, 2013.
The document discusses exchange-traded funds (ETFs) and how they compare to mutual funds. It notes that ETFs have grown significantly in popularity due to their lower fees compared to mutual funds. While ETFs may benefit investors through lower costs, they also increase complexity and risk for less sophisticated investors. The document reviews the history of mutual funds and ETFs and various studies that have found no statistically significant performance difference between ETFs and index funds, though ETFs may slightly outperform index mutual funds in terms of risk-adjusted returns. Overall, ETFs appear to be competitive with and in some ways superior to mutual funds, particularly due to their lower fees.
The true value of a multi-purpose vessel - IHC - July 2014Arnaud van Oers
This document discusses unlocking the embedded value of real options in offshore vessel investment decisions. It presents a case study analyzing the value of options to modify five vessel types - PSV, CSV, WROV, DSVAIR and DSVSAT. A valuation model is developed using Black-Scholes to calculate the real option value in addition to traditional NPV. Results show accounting for real options can significantly increase overall vessel value and impact investment decisions. For example, factoring the option to modify a CSV to a DSV increases its NPV from $2.3 million to $7.3 million. Regularly updating the model is important to seek ongoing value as forecasted day rates and option values fluctuate over time
Dr. Drago Indjic considers the maturation of hedge funds and funds of hedge funds (FoHF). FoHF now represent over one-third of total hedge fund assets and are the preferred vehicle for most institutional and retail investors to gain hedge fund exposure due to perceived safety. However, FoHF often fail to be designed and managed as proper investment portfolios, exhibiting biases in portfolio construction and strategy selection. Determining the best FoHF involves addressing numerous questions around strategy diversification, leverage, liquidity, and fees.
Global macro hedge funds employ a top-down investment approach analyzing macroeconomic variables to assess their potential impact on markets. They pursue directional and relative value strategies across equity, debt, currency and commodity markets. Global macro funds exhibit attractive returns, low volatility, and low correlation to stocks and bonds, making them a beneficial diversifier for portfolios. CrystalTools can help advisors evaluate global macro managers through its analytics on historical performance, risk, and portfolio construction.
Performance Of Fo F Do Experience And Size Matterchardingsmith
This summary provides the key information from the document in 3 sentences:
The document discusses the performance of funds of hedge funds (FHFs), analyzing whether experience and size impact performance. It uses quantile regression to study the effect of these factors on various return levels rather than just average return. The empirical results suggest that experience and size have a negative effect on performance at higher quantiles, but size has a positive effect at lower quantiles, with both factors showing no significant effect at the median.
Funds of hedge funds failed to deliver value to investors and demonstrated dangerous redemption risks. FoHF managers ran large liquidity mismatches and did not address warnings about this risk. When hedge fund performance declined and redemptions increased in late 2008, the liquidity mismatch led to a crisis. Research on accurately modeling redemption terms and liquidity risks in FoHFs could have helped prevent this.
Quantitative methods in Hedge Fund of Fund ( HFOF ) construction ( Dec 2009 )Peter Urbani
The document discusses weaknesses in quantitative models used to analyze hedge funds. It notes that existing models do not adequately account for asymmetric returns, autocorrelation, liquidity issues, and non-linear dependence among hedge funds. It also discusses how the Infiniti Capital Analytics Suite addresses some of these weaknesses through techniques like modified correlation analysis and Cornish-Fisher adjustments to better capture the unique risks of hedge funds.
Performance emergingfixedincomemanagers joi_is age just a numberbfmresearch
1) Younger fixed-income managers tend to outperform older, more established managers in terms of gross returns. Returns are significantly higher for emerging managers in their first year and first five years compared to later years.
2) The study examines 54 fixed-income managers formed since 1985 that had majority employee ownership. Most were formed before 2000, when barriers to entry increased.
3) Business risk is low for emerging managers, as only 6.8% of the 88 examined managers are no longer in business. Higher first-year and early-period returns for emerging managers indicate they provide alpha during their hungry startup phase.
The casual analysis of market moves in Q1 2016 does not fully explain the performance of hedge funds over the period. In addition to changes in global macroeconomic conditions and market dynamics over the course of the quarter, hedge fund performance was driven by the impact of momentum and concentration across portfolios and the structure and behavior of multi-strategy funds.
This document discusses the growth of long-short Ucits funds in Europe and whether they should be considered hedge funds. It finds that only 40% of surveyed long-short funds describe themselves as hedge funds. The document analyzes the funds launched in the past nine months by asset size, fees, and performance. While the funds aim to generate positive returns in all markets, performance data is limited and average returns are below long-only equity funds. Overall the document examines the characteristics and popularity of these new long-short Ucits funds.
This document discusses hedge fund investment philosophy and manager selection. It makes the following key points:
1) Hedge fund returns come from systematic risk premiums, liquidity premiums, and alpha, which are amplified by leverage. True alpha is rare and hard to achieve consistently.
2) Successful manager selection focuses on those with a sustainable competitive edge investing in less crowded strategies, and an understanding of how to reduce risk in stressful times.
3) The selection process profiles managers' investment beliefs, alpha generation process, and risk philosophy to construct an expected return distribution for each manager.
The document provides information on long/short equity hedge funds:
- Long/short equity funds buy stocks they believe will increase in value and short stocks they believe will decrease, aiming to outperform markets while reducing risk.
- They have flexibility to take long or short positions and can generate returns in both rising and falling markets.
- Studies show long/short equity funds have outperformed the S&P 500 with lower volatility, providing better risk-adjusted returns over the past 10 years.
Optimal stock holdings in fund portfolios shawkybfmresearch
The document analyzes the optimal number of stock holdings for mutual fund portfolios based on market performance between 1992-2000. It finds a significant quadratic relationship between the number of stock holdings and risk-adjusted returns, with an optimal number that balances diversification benefits against monitoring and transactions costs. The number of stocks held by funds remained fairly stable over this period, though there was cross-sectional variability. Changes in the number of stocks held were more correlated with fund flows than investment returns.
The document summarizes the mid-year 2011 Standard & Poor's Indices Versus Active Funds (SPIVA) Scorecard, which compares the performance of actively managed mutual funds to relevant benchmarks. Some key findings over the past 3 and 5 years include:
- Over 63% of large-cap, 75% of mid-cap, and 63% of small-cap US stock funds underperformed their benchmarks.
- Over 57% of global stock funds, 65% of international stock funds, and 81% of emerging markets stock funds underperformed.
- Over 50% of active bond funds failed to outperform benchmarks, except for emerging market debt funds.
- Asset-weighted returns also showed
AIAR Winter 2015 - Henry Ma Adaptive Invest ApproachHenry Ma
This document discusses the shortcomings of modern portfolio theory and the efficient market hypothesis. It introduces an alternative framework called adaptive investment which adjusts portfolios based on changing economic and market conditions. Specifically, it discusses how the risk/return relationship breaks down when including more asset classes, how average returns and other parameters are unstable over time. It also discusses how traditional investment practices like buy-and-hold and benchmark-centric investing led to suboptimal outcomes for investors. The document proposes that an adaptive investment approach which adjusts to different market regimes may better help investors achieve their goals.
Special report conventional investment wisdom that can hurt youRobert Champion
In the Pirates of the Caribbean, the young Miss. Elizabeth Swann demands that Captain Barbossa follow the “Pirate Code.” Barbossa rejects her demand, explaining that, “the code is more of what you would call guidelines than actual rules.” Investors would do well to interpret much conventional investment wisdom with the same flexibility. Instead many follow these so called ‘rules’ without questioning whether or not they are valid and whether they apply to their situation.
Blind obedience to these rules can potentially increase risk and volatility in your portfolio. In this report we explain why you should dig a little deeper before making an investment decision based on conventional investment wisdom.
- See more at: http://www.sprunginvestment.com/downloads/#sthash.IuPVKQra.dpuf
This master's thesis examines whether hedge fund performance is due to manager skill or luck. The document provides an abstract that summarizes the thesis. It applies a false discovery rate methodology to measure the proportion of lucky funds among hedge funds with statistically significant returns. The results show that hedge funds outperform due to skill more than luck, and underperform due to being unlucky rather than unskilled. Event driven, relative value, and multi-strategy funds have very low false discovery rates, implying manager skill. CTA, relative value, and short bias funds have higher false discovery rates when underperforming, implying more luck than skill. Small funds' outperformance is also more due to luck, while large funds' underperformance is
Standard & poor's 16768282 fund-factors-2009 jan1bfmresearch
This document summarizes a study by Standard & Poor's on factors that predict investment fund performance. The study analyzed both qualitative factors like fund size, expenses, and age as well as quantitative metrics like Jensen's alpha and information ratio. The key findings were:
- For developed markets, larger funds with lower expenses tended to outperform. But for emerging markets, smaller funds did better due to differences in liquidity.
- Jensen's alpha and information ratio best predicted future performance of developed market equity funds over shorter time periods.
- Past performance was informative over 2 years but less so over 1 year due to noise. Fund selection should focus on factors predicting shorter term outperformance.
This document summarizes a study examining 125 equity mutual funds that closed to new investment between 1993 and 2004. The study tests three hypotheses about why funds close: 1) The "good steward" hypothesis argues funds close to restrict inflows and maintain performance, and will perform well after reopening. 2) The "cheap talk" hypothesis posits closing has no real cost if fees increase and existing investors contribute, compensating managers. 3) The "family spillover" hypothesis claims closing diverts attention to other funds in the same family. The study finds little support for good steward performance, but evidence managers raise fees consistent with cheap talk, and little family benefit except briefly around closure.
This document analyzes different categories of active mutual fund management based on measures of Active Share and tracking error. It finds that the most active stock pickers have outperformed their benchmarks after fees, while closet indexers and funds focusing on factor bets have underperformed after fees. Performance patterns were similar during the 2008-2009 financial crisis. Closet indexing has become more popular recently. Fund performance can be predicted by cross-sectional stock return dispersion, favoring active stock pickers when dispersion is higher.
This document introduces a new measure called Active Share to quantify active portfolio management. Active Share describes the percentage of portfolio holdings that differ from the portfolio's benchmark index. It argues that Active Share, combined with tracking error, provides a comprehensive picture of a fund's active management approach. The authors apply this two-dimensional framework to analyze mutual funds, finding that the most active stock pickers outperform, while closet indexers and funds focusing on factor bets underperform after fees.
Three Palms offers alternative investment strategies through proprietary funds, single and multi-strategy funds, and structured products. It has a team of investment professionals with extensive experience in alternative investments. Three Palms provides portfolio administration, risk management, and reporting services to support client participation in alternative investments through customized solutions.
This document analyzes the performance of Type A and Type B mutual funds in Turkey from 2009-2014 using risk-adjusted measures. It evaluates 10 Type A and 10 Type B funds, applying the Sharpe Ratio, Treynor Ratio, Jensen's Alpha and Sortino Ratio. The results show that Type A funds generally outperformed Type B funds over this period, though performance was mixed. Neither fund type consistently generated high risk-adjusted returns. Overall, the study aims to provide guidance to investors on evaluating mutual fund performance.
A Study on the Performance of Mutual Fund Scheme in IndiaIJAEMSJORNAL
A mutual fund is a trust that encompasses the savings of a number of investors who share a common financial goal. The money thus collected is then invested in capital market instruments such as shares, debentures and other securities. The income earned through these investments and the capital appreciation realized is shared by its unit holders in proportion to the number of units owned by them. Thus, Mutual Fund is one of the most effective instruments for the small & medium investors for investment and offers opportunity to them to participate in capital market with low level of risk. It also provides the facility of diversification i.e. investors can invest across different types of schemes. Indian Mutual Fund has achieved a lot of popularity since last two decades. For a long time UTI enjoyed the monopoly in mutual fund industry. But with the passage of time many new players came in the market and thus the mutual fund industry faces a lot of competition. Now a day this industry has become the major player of the financial system. Therefore it becomes important to investigate the mutual fund performance at continuous basis. The wide variety of schemes floated by these mutual fund companies gave wide investment choice for the investors. Among wide variety of funds equity, diversified fund is considered as substitute for direct stock market investment. In present paper an attempt has been made to investigate the performance of the open ended, growth oriented, equity diversified schemes on the basis of return and risk evaluation. The analysis was achieved by assessing various financial tests like Average Return, Standard Deviation, Beta, Coefficient of Determination (R2), Alpha, Sharpe Ratio and Treynor Ratio whose results will be useful for investors for taking better investment decisions. The data has been taken from various websites of mutual fund schemes and from amfiindia.com. The analysis depicts that majority of funds selected for study have outperformed under Sharpe Ratio as well as Treynor Ratio.
This paper discusses how institutional-quality hedge funds possess a much greater risk/reward pay off then the leading liquid alternative funds can offer.
This document discusses a new measure of portfolio diversification called Effective Portfolio Dimensionality (EPD). EPD aims to quantify diversification in a single number by assessing the number of independent dimensions of risk in a portfolio. The EPD divides portfolio correlations into perfect positive correlation, perfect negative correlation, and zero correlation, with zero correlation representing true diversification. The EPD is compared for different portfolio construction techniques using real-world asset categories, showing intuitive results. Portfolios with higher EPD scores are generally considered to be more diversified.
Performance emergingfixedincomemanagers joi_is age just a numberbfmresearch
1) Younger fixed-income managers tend to outperform older, more established managers in terms of gross returns. Returns are significantly higher for emerging managers in their first year and first five years compared to later years.
2) The study examines 54 fixed-income managers formed since 1985 that had majority employee ownership. Most were formed before 2000, when barriers to entry increased.
3) Business risk is low for emerging managers, as only 6.8% of the 88 examined managers are no longer in business. Higher first-year and early-period returns for emerging managers indicate they provide alpha during their hungry startup phase.
The casual analysis of market moves in Q1 2016 does not fully explain the performance of hedge funds over the period. In addition to changes in global macroeconomic conditions and market dynamics over the course of the quarter, hedge fund performance was driven by the impact of momentum and concentration across portfolios and the structure and behavior of multi-strategy funds.
This document discusses the growth of long-short Ucits funds in Europe and whether they should be considered hedge funds. It finds that only 40% of surveyed long-short funds describe themselves as hedge funds. The document analyzes the funds launched in the past nine months by asset size, fees, and performance. While the funds aim to generate positive returns in all markets, performance data is limited and average returns are below long-only equity funds. Overall the document examines the characteristics and popularity of these new long-short Ucits funds.
This document discusses hedge fund investment philosophy and manager selection. It makes the following key points:
1) Hedge fund returns come from systematic risk premiums, liquidity premiums, and alpha, which are amplified by leverage. True alpha is rare and hard to achieve consistently.
2) Successful manager selection focuses on those with a sustainable competitive edge investing in less crowded strategies, and an understanding of how to reduce risk in stressful times.
3) The selection process profiles managers' investment beliefs, alpha generation process, and risk philosophy to construct an expected return distribution for each manager.
The document provides information on long/short equity hedge funds:
- Long/short equity funds buy stocks they believe will increase in value and short stocks they believe will decrease, aiming to outperform markets while reducing risk.
- They have flexibility to take long or short positions and can generate returns in both rising and falling markets.
- Studies show long/short equity funds have outperformed the S&P 500 with lower volatility, providing better risk-adjusted returns over the past 10 years.
Optimal stock holdings in fund portfolios shawkybfmresearch
The document analyzes the optimal number of stock holdings for mutual fund portfolios based on market performance between 1992-2000. It finds a significant quadratic relationship between the number of stock holdings and risk-adjusted returns, with an optimal number that balances diversification benefits against monitoring and transactions costs. The number of stocks held by funds remained fairly stable over this period, though there was cross-sectional variability. Changes in the number of stocks held were more correlated with fund flows than investment returns.
The document summarizes the mid-year 2011 Standard & Poor's Indices Versus Active Funds (SPIVA) Scorecard, which compares the performance of actively managed mutual funds to relevant benchmarks. Some key findings over the past 3 and 5 years include:
- Over 63% of large-cap, 75% of mid-cap, and 63% of small-cap US stock funds underperformed their benchmarks.
- Over 57% of global stock funds, 65% of international stock funds, and 81% of emerging markets stock funds underperformed.
- Over 50% of active bond funds failed to outperform benchmarks, except for emerging market debt funds.
- Asset-weighted returns also showed
AIAR Winter 2015 - Henry Ma Adaptive Invest ApproachHenry Ma
This document discusses the shortcomings of modern portfolio theory and the efficient market hypothesis. It introduces an alternative framework called adaptive investment which adjusts portfolios based on changing economic and market conditions. Specifically, it discusses how the risk/return relationship breaks down when including more asset classes, how average returns and other parameters are unstable over time. It also discusses how traditional investment practices like buy-and-hold and benchmark-centric investing led to suboptimal outcomes for investors. The document proposes that an adaptive investment approach which adjusts to different market regimes may better help investors achieve their goals.
Special report conventional investment wisdom that can hurt youRobert Champion
In the Pirates of the Caribbean, the young Miss. Elizabeth Swann demands that Captain Barbossa follow the “Pirate Code.” Barbossa rejects her demand, explaining that, “the code is more of what you would call guidelines than actual rules.” Investors would do well to interpret much conventional investment wisdom with the same flexibility. Instead many follow these so called ‘rules’ without questioning whether or not they are valid and whether they apply to their situation.
Blind obedience to these rules can potentially increase risk and volatility in your portfolio. In this report we explain why you should dig a little deeper before making an investment decision based on conventional investment wisdom.
- See more at: http://www.sprunginvestment.com/downloads/#sthash.IuPVKQra.dpuf
This master's thesis examines whether hedge fund performance is due to manager skill or luck. The document provides an abstract that summarizes the thesis. It applies a false discovery rate methodology to measure the proportion of lucky funds among hedge funds with statistically significant returns. The results show that hedge funds outperform due to skill more than luck, and underperform due to being unlucky rather than unskilled. Event driven, relative value, and multi-strategy funds have very low false discovery rates, implying manager skill. CTA, relative value, and short bias funds have higher false discovery rates when underperforming, implying more luck than skill. Small funds' outperformance is also more due to luck, while large funds' underperformance is
Standard & poor's 16768282 fund-factors-2009 jan1bfmresearch
This document summarizes a study by Standard & Poor's on factors that predict investment fund performance. The study analyzed both qualitative factors like fund size, expenses, and age as well as quantitative metrics like Jensen's alpha and information ratio. The key findings were:
- For developed markets, larger funds with lower expenses tended to outperform. But for emerging markets, smaller funds did better due to differences in liquidity.
- Jensen's alpha and information ratio best predicted future performance of developed market equity funds over shorter time periods.
- Past performance was informative over 2 years but less so over 1 year due to noise. Fund selection should focus on factors predicting shorter term outperformance.
This document summarizes a study examining 125 equity mutual funds that closed to new investment between 1993 and 2004. The study tests three hypotheses about why funds close: 1) The "good steward" hypothesis argues funds close to restrict inflows and maintain performance, and will perform well after reopening. 2) The "cheap talk" hypothesis posits closing has no real cost if fees increase and existing investors contribute, compensating managers. 3) The "family spillover" hypothesis claims closing diverts attention to other funds in the same family. The study finds little support for good steward performance, but evidence managers raise fees consistent with cheap talk, and little family benefit except briefly around closure.
This document analyzes different categories of active mutual fund management based on measures of Active Share and tracking error. It finds that the most active stock pickers have outperformed their benchmarks after fees, while closet indexers and funds focusing on factor bets have underperformed after fees. Performance patterns were similar during the 2008-2009 financial crisis. Closet indexing has become more popular recently. Fund performance can be predicted by cross-sectional stock return dispersion, favoring active stock pickers when dispersion is higher.
This document introduces a new measure called Active Share to quantify active portfolio management. Active Share describes the percentage of portfolio holdings that differ from the portfolio's benchmark index. It argues that Active Share, combined with tracking error, provides a comprehensive picture of a fund's active management approach. The authors apply this two-dimensional framework to analyze mutual funds, finding that the most active stock pickers outperform, while closet indexers and funds focusing on factor bets underperform after fees.
Three Palms offers alternative investment strategies through proprietary funds, single and multi-strategy funds, and structured products. It has a team of investment professionals with extensive experience in alternative investments. Three Palms provides portfolio administration, risk management, and reporting services to support client participation in alternative investments through customized solutions.
This document analyzes the performance of Type A and Type B mutual funds in Turkey from 2009-2014 using risk-adjusted measures. It evaluates 10 Type A and 10 Type B funds, applying the Sharpe Ratio, Treynor Ratio, Jensen's Alpha and Sortino Ratio. The results show that Type A funds generally outperformed Type B funds over this period, though performance was mixed. Neither fund type consistently generated high risk-adjusted returns. Overall, the study aims to provide guidance to investors on evaluating mutual fund performance.
A Study on the Performance of Mutual Fund Scheme in IndiaIJAEMSJORNAL
A mutual fund is a trust that encompasses the savings of a number of investors who share a common financial goal. The money thus collected is then invested in capital market instruments such as shares, debentures and other securities. The income earned through these investments and the capital appreciation realized is shared by its unit holders in proportion to the number of units owned by them. Thus, Mutual Fund is one of the most effective instruments for the small & medium investors for investment and offers opportunity to them to participate in capital market with low level of risk. It also provides the facility of diversification i.e. investors can invest across different types of schemes. Indian Mutual Fund has achieved a lot of popularity since last two decades. For a long time UTI enjoyed the monopoly in mutual fund industry. But with the passage of time many new players came in the market and thus the mutual fund industry faces a lot of competition. Now a day this industry has become the major player of the financial system. Therefore it becomes important to investigate the mutual fund performance at continuous basis. The wide variety of schemes floated by these mutual fund companies gave wide investment choice for the investors. Among wide variety of funds equity, diversified fund is considered as substitute for direct stock market investment. In present paper an attempt has been made to investigate the performance of the open ended, growth oriented, equity diversified schemes on the basis of return and risk evaluation. The analysis was achieved by assessing various financial tests like Average Return, Standard Deviation, Beta, Coefficient of Determination (R2), Alpha, Sharpe Ratio and Treynor Ratio whose results will be useful for investors for taking better investment decisions. The data has been taken from various websites of mutual fund schemes and from amfiindia.com. The analysis depicts that majority of funds selected for study have outperformed under Sharpe Ratio as well as Treynor Ratio.
This paper discusses how institutional-quality hedge funds possess a much greater risk/reward pay off then the leading liquid alternative funds can offer.
This document discusses a new measure of portfolio diversification called Effective Portfolio Dimensionality (EPD). EPD aims to quantify diversification in a single number by assessing the number of independent dimensions of risk in a portfolio. The EPD divides portfolio correlations into perfect positive correlation, perfect negative correlation, and zero correlation, with zero correlation representing true diversification. The EPD is compared for different portfolio construction techniques using real-world asset categories, showing intuitive results. Portfolios with higher EPD scores are generally considered to be more diversified.
The document discusses concerns raised by policymakers about potential systemic risks from mutual funds holding less liquid assets. It summarizes the document in three points:
1. These less liquid asset classes (bank loans, high yield bonds, emerging markets debt) make up a small part of the global debt market, and over 60% is held by institutional investors, with less than a third held by retail mutual funds.
2. Historical data shows aggregate outflows from these funds have been manageable over 10-15 years, and there is no evidence of "runs" on these funds during past downturns.
3. Existing fund structures and liquidity management practices, like holding cash and liquid securities, have historically ensured
This document appears to be a project report on mutual fund investment submitted for an MBA program. It includes an acknowledgements section thanking various parties for their support and guidance. The executive summary provides an overview of mutual funds in India and how awareness and information is increasing investment. The report appears to analyze data on mutual fund investors in Ahmedabad through surveys to understand preferences and criteria for investment. It includes sections comparing performance of public and private mutual funds in oil and petroleum sectors between 2008-2009.
1. The document analyzes whether systematic rules-based strategies based on traditional and alternative risk factors can successfully replicate the performance of various hedge fund strategies.
2. Regression analysis shows the factors explain a substantial portion of hedge fund returns, though the explanatory power is higher in-sample than out-of-sample. More dynamic strategies are harder to replicate than directional ones.
3. Out-of-sample, a rolling-window approach to estimating time-varying factor exposures works as well or better than a Kalman filter model for most strategies. Replication quality varies by strategy, with more directional strategies like short selling replicating better than dynamic ones.
Watershed Capital Group is a specialty consulting firm that assists sustainable companies and fund managers. It helps clients raise capital, execute mergers and acquisitions, and evaluate strategic financial options. Watershed's clients include entrepreneurs, companies, and fund managers scaling sustainable solutions. The firm brings over 100 years of combined experience across multiple industries. Partners have expertise in sectors like renewable energy, agriculture, manufacturing, and environmental services. Watershed also maintains one of the broadest networks in sustainable investing through initiatives it has launched. The firm is committed to helping clients succeed and scaling the sustainable economy.
The undeniable global macroeconomic step change warrants a re-think of portfolio construction for the next investment cycle. The regulation of hedge funds presents an additional tool previously not available to the retail investor that can act as a component of greater certainty in a portfolio cognisant of a VUCA world
Collateralized Fund Obligations MSc thesis Executive SummaryNICOLA Padovani
This dissertation analyzes Collateralized Fund Obligations (CFOs), which issue securitized tranches backed by pools of hedge funds. The author aims to explain the limited success of CFOs compared to expectations.
The paper reviews hedge fund investment vehicles and risks. It identifies clusters of correlated hedge fund strategies using indices. It models pools of strategies using multivariate Archimedean copulas to account for joint extreme returns.
The paper analyzes how CFOs apply techniques from Collateralized Debt Obligations, like credit support and diversification covenants. It proposes a modeling and pricing approach using copulas to simulate joint distributions and calculate tranche spreads. Hypothetical CFOs are priced using
Business Characteristic ETFs: Completing the Corekeatonsmith
http://www.torosoinv.com - At Toroso, we believe the historical returns of mainstream indexing may not be what investors should expect to receive in the future.
HOLT Cash and the Corporate Life Cycle White Paper11.2010Michael Oliveros
The document discusses cash usage and corporate life cycles from an investor's perspective. It finds:
1) During growth stages, reinvesting cash into high return projects creates shareholder value, while mature companies may create equal value by returning cash to shareholders.
2) The market values cash based on a company's investment opportunities - cash is discounted for mature firms with low opportunities.
3) As cash surplus increases beyond investment needs, risks of overinvestment, known as "agency costs", also increase as managers may pursue lower return projects against shareholders' interests.
4) Distributing excess cash through dividends or buybacks can create value when agency costs are high due to large cash surpluses and few
The Toroso Target 8 Series consists of five distinct portfolios comprised of ETFs and other exchange traded products (ETPs), that are structured to reflect a client’s economic point of view while considering the client’s risk tolerance and time horizon. Risk is mitigated using 4 distinct asset classes such that not one economic scenario will deplete a client’s portfolio under stressful market events.
Hedge funds have been criticized for taking hefty fees without a performance to match. This presentation takes a look at the issue of hedge fund performance looking at both sides of the equation and evaluating how hedge funds fit into an investment portfolio.
Examination of hedged mutual funds agarwalbfmresearch
Hedge funds have traditionally only been available to accredited investors while providing lighter regulation and stronger performance incentives compared to mutual funds. Recently, some mutual funds have adopted hedge fund-like strategies but remain subject to tighter regulation. This study examines the performance of these "hedged mutual funds" relative to both hedge funds and traditional mutual funds. It finds that despite using similar strategies as hedge funds, hedged mutual funds underperform due to their tighter regulation and weaker incentives. However, hedged mutual funds outperform traditional mutual funds, with the superior performance driven by those with managers having hedge fund experience.
CHW Vol 15 Isu 7 July Quarterly EHP Funds v1J Scott Miller
This document provides a summary of topics covered in the July 2015 issue of a quarterly review publication on hedge funds and alternative investing. It discusses an AIMA Canada seminar series to help new hedge fund managers, performance numbers for the recent quarter, and an article on using a trend-based approach to manage risk. The article describes how following a simple strategy of holding stocks only when they are above their 10-month moving average achieved equity-like returns with lower drawdowns and volatility than a buy-and-hold approach. It also introduces the author's own "EHP Fear Index" for determining their funds' risk levels.
Convertible bonds can provide diversification benefits and higher risk-adjusted returns than equities or bonds in a low-yield environment. NN Investment Partners examines the historical performance of convertible bonds globally and in Japan, where convertibles outperformed stocks and bonds for the past decade. The document describes a predictive model for convertible bond returns based on stochastic diffusion of key market factors. The model aims to assess how convertibles may contribute positively to asset allocation going forward in the current low-yield environment.
[LATAM EN] The use of convertible bonds in the asset allocation processNN Investment Partners
Convertible bonds can provide diversification benefits and higher risk-adjusted returns than other asset classes in a low-yield environment. The document examines historical performance of convertible bonds globally and in Japan, which experienced low yields for over a decade. A simulation model is described that predicts future convertible bond returns based on stochastic diffusion of key market factors. The document concludes convertible bonds deserve consideration for asset allocation given their ability to participate in equity upside while providing downside protection from bond floors.
[UK] The use of convertible bonds in the asset allocation process
will the real alternatives please stand up
1. Pearl Capital Advisors, LLC
505 Montgomery, Suite 1143, San Francisco, CA 94111
Phone: 650.278.2032
Will the real alternatives please stand up?
This report is a review of liquid alternative investments (“Liquid Alt(s)”) and how their
performance fares against common, widely held views regarding their diversification
benefits and properties. We explore whether or not adding Liquid Alt products to your
overall portfolio will improve the portfolio’s risk-adjusted returns.
Authors
Timothy R. Jacobson, CFA
Managing Partner
jacobson@pearlcapitaladvisors.com
Lawson E. Stringer
Managing Partner
stringer@pearlcapitaladvisors.com
November 2014
2. 1
Introduction
Traditionally, a typical advisor may build for a client a portfolio that closely resembles the following
profile: 55% stock, 35% bonds and 10% real-estate. However, one profile which historically has only been
accessible to the wealthiest individuals, is one which includes alternative investments—more commonly
known as hedge funds. Access to these alternative investments is now changing due to the relativity new
introduction of liquid alternatives (“Liquid Alt(s)”).
Liquid Alts is a term used for mutual funds and exchange-traded funds (“ETFs”) that use ‘hedge-fund-
like’ strategies that are more sophisticated than conventional buy-and-hold strategies. Liquid Alt
strategies are meant to reduce portfolio risk and provide absolute returns—meaning that they should
perform positively under most market conditions. A significant difference between a hedge fund and a
Liquid Alt product is that a Liquid Alt product has more regulatory oversight. This oversight may
include requiring daily liquidity and pricing as well as limitations on the types of instruments allowed
and the use of leverage. Many investment professionals see that Liquid Alts provide the historic strengths
of hedge funds while benefiting from the regulatory oversight of mutual funds.
Recently, there has been prolific growth in the amount of alternative investment products offered and
wrapped in mutual fund and ETF structures. Strategies far ranging from equity long/short, event driven,
merger arbitrage, global macro, and managed futures are a few such offerings. It is generally understood
that Liquid Alts should occupy a core holding within investor portfolios due to their anticipated lower
volatility and non-correlated returns in both rising and falling markets.
The Liquid Alt offering seems like a big win for the small investor: access to investment strategies once
only available to the wealthy few and now easily accessible through mutual fund and ETF structures.
This report displays the results of a materially comprehensive analysis of Liquid Alts, debunks many of
the reasons given to advisors and investors to add these products into their portfolios, and lays out the
“call to action” advisors and investors should take when seeking genuine exposure to the hedge fund
alternative asset class. Our research strongly suggests Liquid Alts are not the boon to investors they
purport to be.
The Approach
To conduct a broad and, in our opinion, fair evaluation of the performance of Liquid Alts, we selected
from the Multialternative class of Liquid Alts. These products should demonstrate the diversifying
properties of Liquid Alts hoped for by advisors and investors. After analyzing the 25 largest
Multialternative Liquid Alt funds, we present the impact these funds have on a Generic Portfolio (defined
in Appendix I - Methodology).
3. 2
The Analysis
This analysis takes the largest 25 Liquid Alternative multi-alternative mutual funds (“Liquid Alt(s)”) with
track records dating back to December 31, 2010. A subset of the 25 funds was also formed, consisting of
14 Liquid Alts with track records dating back to December 31, 2007 (see Appendix I - Analysis Universe).
A Generic Portfolio was created using ETFs to mimic a 55/35/10 stock, bond, real-estate portfolio. Each
Liquid Alt fund was combined with the Generic Portfolio (see Appendix I - Analysis Universe) in turn to
form a combined portfolio. Twenty-five combined portfolios were created from the larger group of funds
and 14 combined portfolios were created from the subset group. Each of the 25 combined portfolios was
created dating from December 31, 2010 to September 30, 2014. Each of the 14 combined portfolios was
created dating from December 31, 2007 to September 30, 2014.
The summary Sharpe and RoMAD (Return over Maximum Drawdown) ratios of each combined portfolio
are compared to those of the stand-alone Generic Portfolio. In addition to the comparison of Sharpe and
RoMAD ratios for the subset of 14 funds, the maximum drawdowns of each combined portfolio are
added to the analysis to evaluate each Liquid Alt fund’s diversification and capital protection properties
during the 2008 financial crisis. The results are as follows:
In Charts 1 and 2, the Sharpe and RoMAD ratios for each of the 25 combined portfolios are shown. The
results show, since December 31, 2010, the large majority (20 of 25 or 80%) of Liquid Alt products, when
combined with the Generic Portfolio, do not improve the Generic Portfolio’s stand-alone performance as
measured by Sharpe and RoMAD ratios.
Chart 1: Sharpe Ratio (Jan 2011 to Sep 2014) Chart 2: RoMAD Ratio (Jan 2011 to Sep 2014)
In actuality, 80% of these Liquid Alt funds had a negative impact (lowered Sharpe and RoMAD ratios) on
the Generic Portfolio. Investors would have experienced higher Sharpe and RoMAD ratios had they only
invested in the Generic Portfolio and excluded Liquid Alts from their portfolios.
1.25
1.30
1.35
1.40
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1.50
1.55
RDRAX
RYIMX
SFHYX
NCHPX
PDPAX
IQHIX
DAMDX
BNAAX
DRRAX
DVRAX
SMSAX
AVGAX
IMUAX
ALSNX
SELAX
AAAAX
ALPHX
PASIX
QOPBX
QAI
VPDAX
JAAAX
GARTX
ASFAX
GAFAX
SharpeGeneric Portfolio
1.00
1.05
1.10
1.15
1.20
1.25
1.30
RDRAX
RYIMX
SFHYX
NCHPX
PDPAX
IQHIX
DAMDX
BNAAX
DRRAX
DVRAX
SMSAX
AVGAX
IMUAX
ALSNX
SELAX
AAAAX
ALPHX
PASIX
QOPBX
QAI
VPDAX
JAAAX
GARTX
ASFAX
GAFAX
RoMADGeneric Portfolio
4. 3
To anticipate the rebuttal that the date range from 2011 to present is not a meaningful market cycle
segment to measure the Liquid Alt group’s ability to improve risk-adjusted returns, a subset of these
Liquid Alt funds with longer track records was also measured. The date range was extended to include
the period between December 31, 2007 and September 30, 2014 and 14 of the 25 funds met this new
criterion. Again, the large majority (12 of 14 or 86%) of Liquid Alt funds failed to improve the Generic
Portfolio’s performance as measured by Sharpe and RoMAD ratios. See the 14 combined portfolio Sharpe
and RoMAD ratios in Charts 3 and 4 below.
Chart 3: Sharpe Ratio (Jan 2008 to Sep 2014) Chart 4: RoMAD Ratio (Jan 2008 to Sep 2014)
Furthermore, the Liquid Alt products failed to provide diversification and capital protection during the
very period (i.e. 2008) in which they were supposed to perform. All but three funds had drawdowns of
25% or more and four of the funds had drawdowns which met or exceeded that of the Generic Portfolio (-
34.16%). See Charts 5 below.
Chart 5: Maximum Drawdown
(Jan 2008 to Sep 2014)
Both in terms of diversification (i.e. improving Sharpe and RoMAD ratio) and capital preservation (i.e.
limiting drawdowns), the Liquid Alt Multialternative group has failed to deliver. While some may argue
0.44
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SharpeGeneric Portfolio
0.15
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RoMADGeneric Portfolio
-45.00%
-40.00%
-35.00%
-30.00%
-25.00%
-20.00%
-15.00%
-10.00%
-5.00%
0.00%
MaxDDGeneric Portfolio
5. 4
the failure to perform is more symptomatic of the times, the fact remains that even in the short time they
have existed, they have already failed to deliver on their promise. Given this performance has happened
“out-of-the-gate” places serious doubt the group can or will deliver their anticipated performance in the
future.
Furthermore, investors paid on average 2.03% (weighted average based on assets) to these Liquid Alt
funds. By including these funds with the Generic Portfolio, the annual blended cost of each combined
portfolio rises from 0.08% per year to 0.28% per year—in return for a reduction in risk-adjusted returns.
The expense for each individual fund is shown in Chart 6 while the blended fee structure for each
combined portfolio can be seen below in Chart 7.
Chart 6: Liquid Alt Expense as a % of AUM Chart 7: Blended Expense as a % of AUM
The above data make it clear—Liquid Alts have failed and will likely continue to fail investors and their
advisors. Historically they have largely not improved performance, as measured either by Sharpe or
RoMAD ratios. Putting it plainly, these are not the real alternatives.
Better Than Hedge Funds?
The body of research supporting that investors may benefit from including alternatives, namely hedge
funds, in their portfolios is too exhaustive to single out a single paper. We write this paper under the
assumption that alternative investments do improve intuitional portfolios. However, some have argued
(Towle and Sundt) that Liquid Alts at least perform better than hedge funds. To make their argument,
they compare the Liquid Alt universe with the broad HFRI Indices. This is unequivocally an apples-to-
oranges comparison. Implicit in the Liquid Alt products is a selection bias. Only the best available
alternative strategies and managers, which can or are housed within mutual fund and ETF structures, are
selected for Liquid Alt products, whereas the HFRI Indices take no view on which strategies and
managers are “good” or “bad.” Liquid Alts are constructed with the benefit of hind-sight while the HFRI
Indices are just a compilation of reported strategies and take no view on quality. Therefore, one cannot
argue that Liquid Alts have outperformed hedge funds. In fact, many managers who offer both hedge
0.00%
0.50%
1.00%
1.50%
2.00%
2.50%
3.00%
3.50%
4.00%
4.50%
5.00%
ExpenseGeneric Portfolio
0.00%
0.10%
0.20%
0.30%
0.40%
0.50%
0.60%
Blended ExpenseGeneric Portfolio
6. 5
fund and mutual fund versions of their strategy deliberately differentiate the two versions of their
strategy; a student of alternative strategies would easily know this is the case.
Poorly Structured
Why Liquid Alts destroy value (lower risk-adjusted returns) is, in large part, due to the governance of
Liquid Alts by the Investment Company Act of 1940 (“1940 Act”). Additionally, the 1940 Act restricts the
amount of short-selling and oft times many hedge fund strategies use short-selling either as a hedge or in
some speculative measure to capture some unique opportunities; this is especially the case in arbitrage,
relative value, and market neutral strategies. Having this restriction greatly reduces the opportunities
and ultimately changes the profile of the strategy.
Also of concern is the restriction on futures. Products managed according to the 1940 Act can only have
limited amount of exposure to futures. Many alternative strategies are futures-based and offer attractive
and uncorrelated returns. However, because of the restriction on futures, many of the futures-based
strategies are not accessible directly. Generally, a counterparty is introduced through which synthetic
SWAP and derivative exposure to these strategies is obtained. These SWAPs and derivatives complicate
the process and introduce new forms of illiquidity, costs, and most significantly, risks to investors. Rather
than accessing these strategies directly, investors must now take on counterparty risk which violates
Liquid Alts’ paramount values of liquidity and transparency.
Not only do Liquid Alts rely on SWAPs and derivatives as a round-about solution to overcome
restrictions on the use of futures, but also to bypass limits on the use of leverage. These workarounds are
becoming a concern of the Office of Compliance Inspections and Examinations (OCIE) of the SEC and has
been a key focus of its examination priorities for 2014. Turning to counterparty SWAPs and derivatives
for leverage inherently reduces transparency, and again increases risk and is, quite frankly, hypocritical
of an industry calling itself Liquid Alt. Additionally, the fact the SEC is still grappling with how to
regulate Liquid Alts exposes investors to new regulatory risks that could change the rules of investing
mid-stream and could leave investors stranded.
Furthermore, the restriction on leverage of Liquid Alts on the surface may seem like a protection for
investors. However, this restriction on leverage can and does inherently change the return profile of
Liquid Alts compared to their hedge fund predecessors. The leverage restriction limits how trades and
opportunities can be exploited by Liquid Alt managers and alters how returns can be engineered or
structured. As a result of these restrictions, the Liquid Alt strategy cannot deliver the same return profile.
For this reason, Liquid Alt product engineers turned to counterparty SWAPs and derivatives to hide the
actual leverage used.
The introduction of Liquid Alts to the market place and the exponential growth over the last few years
has been attributed to unintentional consequences of the Dodd-Frank Act. Many hedge fund managers
became SEC-registered and sought other revenue streams for their hedge fund products. The length of
7. 6
time Liquid Alts have been offered may be a relatively short period of time, but investors and their
advisors should be asking themselves what makes a good alternative investment. Based on our findings,
there is little to no value found among the Liquid Alts. If you are seriously considering an alternative
investment, investors should perform their due-diligence and not simply add a Liquid Alt to a portfolio
because it is exchange-traded or doesn’t require a K1 for tax purposes.
Conclusion
Investors and their advisors should be particularly wary of allocating any amount of capital to Liquid
Alts. In its short history, the group has already failed to deliver diversification (i.e. higher Sharpe or
RoMAD ratios) or capital preservation (i.e. limiting drawdowns). The regulations governing mutual
funds, at best, dilute the intended return profile and, at worst, actually increase the risks through
masking actual exposures and leverage behind SWAPs and derivatives which are laden with
counterparty risk and which are not necessary in the conventional hedge fund space.
The regulatory landscape for these Liquid Alt products is murky and the SEC is playing catch-up—
exposing investors to regulatory risk. Given how these Liquid Alt products have failed to perform and
given known regulatory constraints and unknown regulatory risks, we claim the value for Liquid Alts
just isn’t there.
There are many hedge funds that have now increased their own transparency and lowered liquidity
requirements to meet consumer demand. Don’t be fooled by the masqueraders. If you are seriously
considering alternatives as part of your portfolio, ask: "Will the real alternatives please stand up?"
8. 7
Appendix I
Methodology
The Generic Portfolio is intended to mimic a portfolio that an advisor might construct for his or her client.
The Generic Portfolio is a mixture of 55% stocks, 35% bonds, and 10% real-estate, as represented by three
ETFs: IVV, AGG, and VNQ, respectively.
Each Generic Portfolio is combined with each Liquid Alt fund in turn by reducing each of the holdings by
10% and adding the remaining exposure to that Liquid Alt fund. The resulting exposures are 49.5% IVV,
31.5% AGG, 9.0% VNQ, and 10% Liquid Alt1, 2, 3…n fund. A combined portfolio is build with each Liquid
Alt fund in turn. The results of each combined portfolio are compared to the stand-alone Generic
Portfolio.
Analysis Universe
The Liquid Alt funds used in this analysis are the largest 25 mutual funds (including one ETF), with a
track record starting after December 31, 2010, and is classed in the industry as a Multialternative. These
25 funds represent $17.8 billion in assets under management and roughly 39% of the Multialternative
group’s assets. Fourteen of these funds with track records dating back to at least December 31, 2007 form
a subset to further analyze the group’s capability to fulfill the investment objective to provide
diversification and to protect capital. The group’s subset represents $8.3 billion in assets under
management and approximately 18% of the Multialternative group’s assets. The tickers of these funds are
listed below.
Group I
(12/31/2010 – 9/30/2014)
Group I Subset
(12/31/2007 – 9/30/2014)
GAFAX
ASFAX ASFAX
GARTX
JAAAX
VPDAX VPDAX
QAI
QOPBX QOPBX
PASIX PASIX
ALPHX ALPHX
AAAAX AAAAX
SELAX
ALSNX
IMUAX IMUAX
AVGAX AVGAX
SMSAX
DVRAX DVRAX
DRRAX
BNAAX BNAAX
10. 9
References:
1. “The Case for Liquid Alternative Investments.” Jon Sundt and Allen Cheng, June 2012.
http://www.altegris.com/~/media/Files/White%20Paper/ALT_LiqAlts_WhitePaper_Single.pdf
2. “Liquid Alternative Investments versus Hedge Funds: A Quantitative Analysis.” Margaret M.
Towle, PhD, CPWA and Dylan Thomas Jones, March 2013.
http://www.alphacapitalmgmt.com/media/pdfs/IWM13MarApr_LiquidAItsVsHedgeFunds.pdf
3. Morningstar.com
4. “Examination Priorities for 2014.” U.S. Securities and Exchange Commission, Office of
Compliance Inspections and Examinations, January 9, 2014.
http://www.sec.gov/about/offices/ocie/national-examination-program-priorities-2014.pdf
5. “SEC Adopts Dodd-Frank Act Amendments to Investment Advisers Act.” U.S. Securities and
Exchange Commission, June 22, 2011.
http://www.sec.gov/news/press/2011/2011-133.htm
6. “Madoff's Revenge: The Rise Of Liquid Alternatives.” O'Brien Greene & Co., June 2014.
http://seekingalpha.com/article/2268063-madoffs-revenge-the-rise-of-liquid-alternatives