Weekly Alternatives Snapshot October 19, 2015 (data as of October 16, 2015) MORNINGSTAR ALTERNATIVE CATEGORIES1
BROAD INDEX PERFORMANCE1
WEEKLY HEADLINES Alternative Landscape Review – September1: In September, negative performance offset positive net flows of $736MM into the broad alts category. AUM slid slightly to $156B. At the individual category level, Multialternatives and Managed Futures continue to see the majority of inflows. Multi-alts, now the largest alternative category, saw inflows of $999M, increasing AUM to $51B. Long/short, previously the largest category, had net outflows of $331MM, shrinking AUM to $49B. In September, alternatives again proved their worth outperforming the S&P, which was down -2.47% for the month, while alternatives as a whole were down -0.79%. Managed Futures and Market Neutral were positive for the month. Despite being negative, Long/Short again provided downside protection and outperformed the S&P 500 by 85bps. Economic Releases Last Week (10/12): PPI/Core PPI: -0.5%/-0.3% CPI/Core CPI: -0.2%/0.2% Retail Sales: 0.1%
1 week
MTD
QTD
YTD
1 week
MTD
QTD
YTD
0.93
5.98
5.98
0.38
US OE Convertibles
0.61
3.48
3.48
-1.60
Russell 3000
0.70
5.84
5.84
0.07
US OE Long/Short Equity
0.35
2.17
2.17
-1.65
Russell 2000
-0.24
5.64
5.64
-2.52
US OE Market Neutral
0.25
0.25
0.25
-0.03
Russell 1000
0.78
5.85
5.85
0.31
US OE Multialternative
0.27
1.21
1.21
-1.43
Russell Mid Cap
-0.01
5.18
5.18
-0.97
US OE Nontraditional Bond
-0.06
0.51
0.51
-0.70
MSCI EM
0.71
9.33
9.33
-7.31
US OE Managed Futures
0.85
-2.29
-2.29
-2.36
MSCI ACWI
0.61
6.77
6.77
-0.33
US OE Multicurrency
0.29
2.45
2.45
-0.17
MSCI World
0.60
6.49
6.49
0.50
US OE Natural Resources
-1.01
12.07
12.07
-12.51
MSCI EAFE
0.29
7.25
7.25
1.99
US OE Energy LPs
-1.13
12.52
12.52
-18.81
BofAML Global Convertible
0.67
3.14
3.14
2.09
US OE Real Estate
1.06
5.57
5.57
1.36
BofAML All Convertible (VXA0)
0.79
3.76
3.76
-0.19
US OE Precious Metals
1.59
5.36
5.36
-2.08
BofAML US HY Master II
0.07
2.20
2.20
-0.38
US OE Bear Market
-0.80
-8.63
-8.63
-4.10
Barclays US Agg Bond
0.37
0.43
0.43
1.56
US OE Commodities Broad
-1.19
2.80
2.80
-13.94
S&P 500
COMMODITIES2
BOND RATES2 10.16.15 10.9.15 12.31.14 10.16.14
Gold Oil Gasoline
1152 46.3 2.32
1206 53.3 2.30
MARKET PULSE1
MORNINGSTAR WEEKLY EST. NET FLOWS ($MIL)
1
Last Week
2 Wks Ago
3 Wks Ago
4 Wks Weekly Ago Streak
Multialternative
159
126
161
243
32
Managed Futures
123
227
220
222
44
Energy LPs
72
153
(60)
(8)
2
Real Estate
41
(67)
(88)
(9)
1
Commodities Broad
32
(18)
39
22
1
Multicurrency
(2)
(19)
(11)
(7)
(28)
Convertibles
(16)
(10)
(46)
14
(3)
Market Neutral
(22)
(33)
3
(7)
(2)
Long/Short Equity
(26)
173
7
17
(1)
Bear Market
(69)
201
18
16
(1)
Nontraditional Bond
(404)
(463)
(372)
(399)
(5)
MONTH-TO-DATE VALUE
6.37
0.13 0.61 2.04 3.93
0.12 0.65 2.12 4.04
0.12 0.67 2.17 3.79
As of
VALUE
CORE GROWTH
5.85
-3.16
0.31
LARGE
18
YEAR-TO-DATE
10th-90th 20th-80th 30th-70th
16 14
3.73
12
5.81 6.09
5.18 5.64
4.54 5.20
0.09 0.35 2.17 3.84
KNOW THE CATEGORY: DIFFERENCE IN RETURNS BETWEEN L/S MANAGERS1
CORE GROWTH 10/16/2015
5.35
10.16.15 10.9.15 12.31.14 10.16.14 Effective Fed Funds Rate 2-Year Treasury 10-Year Treasury Moody's Aaa Corp. Yield
1241 82.3 3.12
MID SMALL
-2.30 -4.58
-0.97 -2.52
0.20 -0.55
Return (%)
Economic Releases This Week (10/19): Initial Claims Existing Home Sales
1176 46.7 2.34
10 8 6 4
Past performance is not indicative of future results. This material is provided for internal and educational purposes only and should not be construed as investment advice or an offer or solicitation to buy or sell securities. Source: 1Morningstar (Net Flows as of previous Wed.), 2St. Louis Federal Reserve (FRED Database), FOR INVESTMENT PROFESSIONAL USE ONLY.
2 0 1 Year
3 Years
5 Years
Difference in Returns Between Percentiles
Weekly Alternatives Snapshot October 2015 (data as of October 16, 2015) June 22, 19, 2015 Definitions and Disclosures The Nontraditional Bond category contains funds that pursue strategies divergent in one or more ways from conventional practice in the broader bond-fund universe. Multialternative funds offer investors exposure to several different alternative investment tactics. Funds in this category have a majority of their assets exposed to alternative strategies. The gross short exposure is greater than 20%. Bear Market funds dedicate a majority of the fundâ&#x20AC;&#x2122;s assets to equities. Most of the portfolio is dedicated to short stock positions in an attempt to take advantage of anticipated market or stock declines producing a net exposure to equities of less than or equal to negative 20%. These funds will typically have a beta of less than negative 0.3 to equity indexes such as the S&P 500 or MSCI World. Managed Futures funds primarily trade liquid global futures, options, swaps, and foreign exchange contracts, both listed and over-the-counter. These funds obtain exposure primarily through derivatives; the holdings are largely cash instruments. Commodities Broad-basket portfolios can invest in a diversified basket of commodity goods including but not limited to grains, minerals, metals, livestock, cotton, oils, sugar, coffee, and cocoa. Investment can be made directly in physical assets or commodity-linked derivative instruments, such as commodity swap agreements. Energy Limited Partnership strategies invest a significant amount of their portfolio in energy master limited partnerships, also known as MLPs. These include but are not limited to limited partnerships specializing in midstream operations in the energy industry. Multicurrency portfolios invest in multiple currencies through the use of shortterm money market instruments; derivative instruments including and not limited to forward currency contracts, index swaps, and options; and cash deposits. Market Neutral funds attempt to reduce systematic risk created by factors such as exposures to sectors, market-cap ranges, investment styles, currencies, and/or countries. A distinguishing feature of funds in this category is that they typically have low beta exposures (< 0.3 in absolute value) to market indexes such as MSCI World. Real Estate portfolios invest primarily in real estate investment trusts of various types. REITs are companies that develop and manage real estate properties. There are several different types of REITs, including apartment, factory-outlet, health-care, hotel, industrial, mortgage, office, and shopping center REITs. Convertible-bond portfolios are designed to offer some of the capital-appreciation potential of stock portfolios while also supplying some of the safety and yield of bond portfolios. The S&P 500 Index is considered generally representative of the U.S. equity market. The MSCI World Index is considered generally representative of the market for developed market equities. The MSCI Emerging Markets Index is a free float adjusted market capitalization index cited as a measure of the performance of emerging market equities. The MSCI ACWI Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets. The MSCI ACWI consists of 46 country indexes comprising 23 developed and 23 emerging market country indexes. The DM country indexes included are: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the United Kingdom and the United States. The EM country indexes included are: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Peru, Philippines, Poland, Qatar, Russia, South Africa, Taiwan, Thailand, Turkey and United Arab Emirates. The MSCI EAFE Index (Europe, Australasia, Far East) is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the US & Canada. The MSCI EAFE Index consists of the following 21 developed market country indexes: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, and the United Kingdom. The Russell 3000 Index measures the performance of 3,000 publicly held US companies based on total market capitalization, which represents approximately 98% of the investable US equity market. The Russell 2000 Index measures the performance of the small-cap segment of the U.S. equity universe and includes approximately 2000 of the smallest securities based on a combination of their market cap and current index membership. The Russell 1000 Index measures the performance of the large-cap segment of the U.S. equity universe and includes approximately 1000 of the largest securities based on a combination of their market cap and current index membership. The Russell Midcap Index measures the performance of the mid-cap segment of the U.S. equity universe and includes approximately 800 of the smallest securities based on a combination of their market cap and current index membership. The BofA Merrill Lynch U.S. High Yield Master II Index tracks the performance of U.S. dollar denominated below investment grade rated corporate debt publically issued in the U.S. domestic market. The Barclays Capital U.S. Aggregate Bond Index covers the U.S.-denominated, investment-grade, fixed-rate, taxable bond market of SEC registered securities. The index includes bonds from the Treasury, Government-Related, Corporate, MBS (agency fixed-rate and hybrid ARM pass-throughs), ABS, and CMBS sectors. The BofA Merrill Lynch Global 300 Cv Index (VG00) is a $US/Local-denominated unmanaged index generally indicative of the overall global convertible market. The BofA ML All U.S. Convertibles Index (VXA0) is comprised of approximately 700 issues of only convertible bonds and preferreds of all qualities. Oil - West Texas Intermediate (WTI - Cushing): A crude stream produced in Texas and southern Oklahoma which serves as a reference or "marker" for pricing a number of other crude streams and which is traded in the domestic spot market at Cushing, Oklahoma. Gasoline: Weighted average based on sampling of approximately 900 retail outlets, 8:00AM Monday. The price represents self-service unless only full-service is available and includes all taxes. Gold - Gold Fixings Price: The Fixings are an open process at which market participants can transact business on the basis of a single quoted price. Orders can be changed throughout the proceedings as the price is moved higher and lower until such time as buyers' and sellers' orders are satisfied and the price is said to be 'fixed'. Orders executed at the fixings are conducted as principal-to-principal transactions between the client and the dealer through whom the order is placed.
SUBSCRIBE to receive the Weekly Alternatives Snapshot Past performance is not indicative of future results. This material is provided for internal and educational purposes only and should not be construed as investment advice or an offer or solicitation to buy or sell securities. FOR INVESTMENT PROFESSIONAL USE ONLY.