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Natixis survey - what are institutional investors thinking for 2016?

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Many firms are now engaging in surveys to provide insight on the direction of asset allocation choices of large investors.  Natixis Global Asset Management just released their 2016 survey of institutional investors  which provides interesting reading. It tells us that institutions want efficient diversification, different asset class and strategy choices that efficiently use capital.  The top objective for institutions is not about growing or preserving capital but achieving the highest risk adjusted returns. This plays nicely into the higher demand for alternative investments. The one thing that hedge funds do well is more efficiently use capital and this seems to be the desire of investors. Of course the big elephant in the room for any investor is the threat of higher interest rates from a Fed normalization. 2/3rds of institutional investors plan to shorten bond durations as a way to respond to this threat. Unfortunately, lower durations comes at the cost of lower yiel...
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March managed futures underperforms versus traditional assets

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We have seen this story before. A reversal of negative fortunes for equities, a loss of momentum with global trends, and asset protection through monetary policy liquidity all lead to under-performance of managed futures. While managed futures has still be a highlight for hedge fund strategies in the first quarter of 2016, March was not kind to the strategy. The differential between managed futures and equities was close to 10%. The CTA index also underperformed relative to bonds and commodities. The first quarter still saw managed futures lead returns relative to equities, commodities, and diversified bods. Managed futures under-performed relative to the long bond which had good performance over the first two months of the quarter.  An ongoing issue for any strategy investor is determining when to invest. After the first two months of strong performance, the potential for a profit giveback from trend-followers was enhanced although there is little evidence to support an allocation...
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Managed futures index ends the year flat - between equity and bond returns

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Effort and results were not linked for managed futures managers in 2015.  For all of the trends, opportunities, and trading, the SOCGEN CTA index ended the year up 10 bps. Going to sleep for the year with money in a mattress would have gotten the same return. Nevertheless, equities as measured by the S&P 500 stock index (SPX) fell less than one percent while bonds as measured by the Barclay Aggregate Index (AGG) gained just less than 50 bps. It was a sideways year in spite of the historic change in Fed behavior,  significant oil shocks, and negative interest rates in the EU. A closer look at the monthly returns show an interesting story for how and when managed futures managers made profits and lost money. Of course, we are generalizing, but we believe a simple comparison with traditional assets can tell an effective story.  Looking at equities, there were two big positive return months, February and October. During these months, managed futures posted loses. The powe...
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