Alt Strategies Flashcards
AQR Managed Futures Strategy
Trend analysis- buy mkts that are trending higher and selling mkts that are trending lower.
Why: takes long and short positions & seeks to benefit from both if the price of the underlying security rises and falls. PROFITs from behavioral biases that cause investors to overreact. DO NOT TYPICALLY Correlate to stock/bond mkts.
Contracts to buy/sell commodities, currencies, fixed income, & equities at a specific future date.
The investment seeks positive absolute returns. To pursue its investment objective, the fund invests primarily in a portfolio of futures contracts, futures-related instruments and swaps. The fund’s universe of investments currently includes more than 100 global developed and emerging market exchange-traded futures, futures-related instruments, swaps and forward contracts currently across four major asset classes (commodities, currencies, fixed income and equities). The fund is non-diversified.
Neuberger Berman Currency
Global liquid currencies
Why: diversify an existing multi asset portfolio add value in bear or bull markets bc low correlation
AQR Risk Parity
Tactical Allocation
Why: 90% of a traditional portfolios risk comes from equity exposure. RP approach seeks to build on traditional asset allocation by balancing across the three major risk sources: equity, interest rates, & inflation.
How: sets a strategic target of 33% risk exposure to equities, 33% to nominal interest rates, & 33% to inflation. Then, they tactically manage the weightings depending on macro trends.
GOAL: The investment seeks total return. The fund pursues its investment objective by allocating assets among major asset classes (including global developed and emerging market equities, global nominal and inflation-linked government bonds, developed and emerging market currencies, and commodities). The fund intends to gain exposure to these asset classes by investing in a portfolio of Instruments.
BlackRock Global Long Short Credit
zero duration or currency risk expected. USD denominated.
WHERE: Allocating 50% of existing bond portfolio would essentially cut the duration of the bond portion in half.
Why: When interest rates stay the same or go up, interest-rate sensitive portfolios will struggle to generate risk adjusted returns similar to those they have seen the last decade.
What: Offers investment in both domestic and international (mostly Europe) fixed income securities with the goal of obtaining solid risk adjusted returns while managing duration risk. Seeks absolute returns between 4-7% per year by employing an absolute return oriented investment approach with 4-7% volatility target.
The investment seeks absolute total returns over a complete market cycle. The fund normally invests at least 80% of its total assets in credit-related instruments, including, but not limited to, U.S. government and agency securities, foreign government and supranational debt securities, corporate bonds, including bonds of companies principally engaged in the aircraft or air transportation industries, mortgage-related securities and asset-backed securities, collateralized debt and loan obligations, etc. It may invest up to 20% of its total assets in equity instruments.
United States 54.10% Italy 7.77% United Kingdom 5.13% Netherlands 4.39% Spain 4.13%
Boston Partners Global Long Short Equity
Microsoft Corp 5.97% Liberty Global PLC Class C 5.16% CVS Health Corp 4.90% Comcast Corp Class A 4.89% Apple Inc 4.42%
The investment seeks long-term growth of capital. The fund invests in long positions in stocks identified by the Sub-Adviser, Robeco Investment Management, Inc. (doing business as “Boston Partners”) as undervalued and takes short positions in stocks that Boston Partners has identified as overvalued. The cash proceeds from short sales will be invested in short-term cash instruments to produce a return on such proceeds just below the federal funds rate. The fund will invest, both long and short, in securities issued by U.S. and non-U.S. companies of any capitalization size. It is non-diversified.
