Thomas Schneeweis

Founding Editor of The Journal of Alternative Investment

Co-Founder of the Chartered Alternative Investment Analyst Association

The New World Of Asset Allocation

May 19 | New York

Topic Slide Number

• New World of Asset Allocation: Basic Points 3

• Alternative Investments What Are They? 4

• How Did We Get Here? 5

• Where Do We Go From Here? 6

• Why Alternatives Now? 10

• Alternative Investment 101 - Why Alternatives? 12

• Alternative Investments 102 - Understand Basic Drivers 15

• Alternatives in DC Space 20

• What do We Do When We Get There? 22

• What Is A Wizard To Do? 24

• How Do Strategies Work? 26

• Sometimes There is A Solution 30

• Where To In the Future 32

2

• Markowitz based asset allocation(Modern Portfolio Theory/MPT) is now over 60 years and simple expected return/risk (e.g. correlation) based models have their shortcomings. MPT is really APT (Ancient Portfolio Theory). It is time for Postmodern Investment.

• Today’s investment climate (risk on and risk off, low rate environment…) requires a wide range of asset classes and risk management approaches including new approaches to measuring market sensitivity and accessing alternative sources of return. Traditional assets will increasingly be “traded in” for alternative investments.

• Alternative investments will be incorporated into Defined Contribution plans, less as stand-alone investments than as parts of newly developed multi-asset product designs (e.g., target date funds, smart beta, risk control approaches, multi-strategy funds).

3

New World of Asset Allocation: Basic Points

4

Alternative Investments: What Are They?

Investment Opportunities

Traditional Alternative Modern Alternative Traditional Investments

Stocks BondsHedge Funds

Managed Futures

Private Equity

Real Estate

Commodities

Investment Opportunities

Traditional Alternative Modern Alternative Traditional Investments

Stocks BondsHedge Funds

Managed Futures

Private Equity

Real Estate

Commodities

Traditional Alternatives (Tradals) Modern Alternatives (Modals) Traditional Investments (Tradins)

In its most general sense, alternative investments are investments which offer risk and return

opportunities not traditionally found in long bias stock and bond investment. The issue in

Postmodern Investment Management is the degree to which one considers the use of ‘Modals’

and ‘Tradals’ when one ‘Trades IN’ one’s traditional investments.

How Did We Get Here?

Market and Products Change: Investment management has evolved as investment markets, technology and regulation have forced changes in what is traded, how it is traded, and who packages and sells it. Today, alternative investments exist which increasingly offer unique ways to meet individual client needs.

5

Modern Portfolio Theory (MPT) Alternative Investment/Risk Managed Products Targeted Investment Programs

Currency Hedged

Products

Risk Parity Low Volatility

Hedge Funds Programs

Managed Futures

Multi-Factor ETFs/ETNs Tracker Funds

Return Models

(Small/Large Cap Target Date Funds

Value vs Growth)

Commodity Alternatives

Futures

Traditional Index Funds Hybrid Mutual Funds

Markowitz Options

Stock/Bond Dynamic

Diversification Portfolio Stuctured

Insurance Products

Efficient Market

CAPM Hypothesis

1950 1960 1970 1980's 1990's 2000 2010 2020

Traditional Market Based Investors View of the World of Alternative Investments

HC SVNT DRACONES" (i.e. hic sunt dracones, 'here are dragons');

6

Where Do We Go From Here?Leave the Land of Traditional Investments to the Little Known World of Alternatives

Where Do We Go From Here?Leave The Land of Traditional Assets

• Traditional Asset Allocation exists primarily in a world of two primary asset classes opportunities (primarily equity and fixed income) in which knowledge of assets’ historical correlations is the principal means to manage risk (e.g. standard deviation).

7

CML: Known as the Capital Market Line

8

Where Do We Go From Here?Why Are We Leaving The Land Of Traditional Investments?

• Reduced Correlation Benefits: Increased globalization of the financial markets has reduced the correlation benefits (e.g., diversification properties) within equity and fixed income asset classes.

• Single Factor Risk Emphasis: Traditional measures of return variability (e.g., standard deviation) as well as risk based performance (e.g., Sharpe Ratios) may not match the risk concerns (maximum drawdown, liquidity, transparency) of certain investors.

• Static/Long Term Investment: The long term approach to investment management may not meet changing market (risk on and risk of) and investor demographics (aging population) or the changing asset/ liabilities mix (real estate, fixed income holdings).

9

Where Do We Go From Here?Why Are We Leaving Land of Traditional Investments?

Traditional core products offer some differences but are impacted by the same factor exposures in extreme return environments such that within equity based asset class the returns are dominated by similar directional return.

• New World of Investment Choice: Today investors consider a broader range of traditional alternatives (real estate, private equity, commodities) as well as modern alternatives (equity long short, multi-factor funds) which provide both liquidity as well as new approaches to selecting assets with unique risk and return characteristics.

• New World of Risk Based Investment: Investors consider more advanced risk management techniques including both tactical (dynamic) or insurance based risk management (options programs) as a means to limit downside risk while participating in upside market returns.

• New World of Investor Targeted Investments: Investment products (Life Cycle funds, Target Date Funds) are being created to meet individual investor needs and to consider the alternative investments in the broader range of clients risk concerns.

10

Why Alternative Investments Now?

11

Put/Spread Enhanced

Protective Srategies Collar Strategies

Put Risk Parity

Risk Volatility

Futures Management Managed and Risk

Overlay Targeted

Strategies (often Alternatives Based whch are Designed to Control Portfolios

Passive Market Risk and Volatility Exposures

Algorithmic Income Based

Funds

Use of

Tax Efficient

Active Index Asset Allocation Alternative Investments Investor Targeted Funds

Based Investment Programs

Help Clients Meet Investment Goals

Multi Asset Through Custom Risk Based Asset Add-on Programs

Risk Based Management Solutions with Alternativs

and Factor Based to Core Asset Allocation Target Date

Active Factor (Traditional/Alternative) or Risk Managed Funds

Based Portfolios

Life Cycle Funds

ETF

Based

Commodity Funds

Manager

Based Tracker Funds

Alternative Investments in the New World of Asset AllocationThe Question Is Not “If” But “How”

12

Alternative Investments 101: Why Alternatives?Acceptable Stand-Alone Return to Risk Tradeoff and Expanded Portfolio Return Opportunities

0.88

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0.98

1

1.02

Portfolio A: Equal Weights S&P 500and BarCap U.S. Aggregate

Portfolio B: 90% Portfolio A and10% Hedge Funds

Portfolio C: 75% Portfolio A and25% CTA/Commodities/Private

Equity/Real Estate

Portfolio D: 90% Portfolio C and10% Hedge Funds

Information Ratio: Multi-Asset Portfolio (With and Without Hedge Funds) 1994-2014

Alternative Investments 101: Why Alternatives?Correlation Differences

13

Alternative Investments 101: Why Alternatives?Greater Diversity at Fund level and within Economic Markets

14

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10.0%

Average/Bottom Third Months Average/Middle Third Months Average/Top Third Months

Ave

rage

Mo

nth

ly R

etu

rn Monthly Returns Ranked by S&P 500 (1994-2014)

S&P 500 BarCap U.S. GovernmentBarCap U.S. Aggregate BarCap U.S. Corporate High YieldSP GSCI FTSE NAREIT AllPrivate Equity CISDM EW Hedge FundCISDM CTA EW

Alternatives 102: Understanding Basic Drivers

• Understand Source of Investments’ Beta• Hedge Funds (Markets traded, Leverage, Liquidity)• CTAs General style (trend-following, countertrend)• Private Equity, Real Estate (Liquid comparisons, corresponding multiples, fair

value calculations)• Commodities (Momentum trading, rebalancing, Contango)• Note Changes in trading style through time

• Understanding Source of Manager Alpha• Style classification and style drift are major considerations in manager

selection.

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Alternatives 102: Understand Basic DriversMulti-factors are source of Alternative Asset Returns

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CISDM EqualWeighted

Hedge Fund

CISDMEquityMarketNeutral

CISDMConvertibleArbitrage

CISDM EventDriven Multi

Strategy

CISDMMerger

Arbitrage

CISDMDistressedSecurities

CISDMEquity

Long/Short

CISDMGlobalMacro

CISDM CTAEW

R-Square Single Factor and Multi-Factor Regression (1994-2014)

S&P 500 BarCap High Yield Four Factor(S&P, BarCap Govt, Agg, HY)

-5.00

0.00

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10.00

15.00

S&P 500 Russell 2000 BarCap U.S. Government BarCap U.S. Corporate HighYield

Bet

a (T

-Sta

t)

Hedge Fund Beta (T-Stat): Multi-Factor Regression - Traditional Market Factors (1994-2014)

CISDM Equal Weighted Hedge Fund CISDM Equity Market Neutral CISDM Convertible Arbitrage

CISDM Event Driven Multi Strategy CISDM Merger Arbitrage CISDM Distressed Securities

CISDM Equity Long/Short CISDM Global Macro

Alternatives 102: Understanding Basic DriversCTAs may provide access to positive returns due to non-traditional market factors

17

Alternatives 102: Understanding Basic DriversCTAs Offer the Potential for Manager Based Excess Return

18

Period: 2001-2013 Correlation Correlation Correlation Correlation

Asset Class/ Strategy

Annualized

Return Stdev

MFSB Currency

Subindex

MFSB Interest

Rate Subindex

MFSB Physicals

Subindex

MFSB Stock

Subindex

MFSB Currency Subindex -0.18% 5.61% 1.00 0.25 0.44 0.34

MFSB Interest Rate Subindex 1.35% 1.77% 0.25 1.00 0.18 0.26

MFSB Physicals Subindex 6.68% 12.39% 0.44 0.18 1.00 0.33

MFSB Stock Subindex 0.85% 10.41% 0.34 0.26 0.33 1.00

Barclay CTA Index 3.94% 6.70% 0.53 0.44 0.46 0.27

Barclay Discretionary Index 5.26% 3.90% 0.18 0.17 0.28 0.06

Barclay Systematic Index 3.70% 8.14% 0.53 0.45 0.49 0.30Barclay Currency Index 2.77% 4.40% 0.58 0.07 0.09 0.07

Barclay Agricultural Index 2.22% 7.36% -0.06 0.02 0.14 0.00

Barclay Fin. & Met. Index 3.81% 5.17% 0.49 0.55 0.27 0.25

Portfolio 8.43% 12.36% 0.52 0.45 0.54 0.33

Performance

MFSB: Managed Futures Strategy Benchmarks are based on passive systematic algorithmic trading process based on series of short term, mid-term and longer term momentum indices with a volatility weighting across multiple futures contracts. They have been used in multiple papers on CTA Performance: See Recent Publications (Schneeweis, Spurgin, and Szado, 2013)

Alternatives 102: Understanding Basic DriversNote: Similar Return Pattern of Active Manager and Passive Index

19

ELS passive systematic algorithmic trading process based of series of investible ETFs. The benchmark reflects equal weighted five Mutual Fund ELS managers. MFSB reflects systematic futures based passive trend following model. See recent publications (Schneeweis et al. 2012; Schneeweis et. al, 2013).

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Currency CTA Returns: Ranked by Barclay Currency CTA Index

Barclay Currency Index MFSB Currency Subindex

1994-2013 – Monthly Data

• Investor Demands: Find means to increase access to less liquid and less transparent strategies in effort to increase expected returns to meet investors future anticipated cash flow needs while reducing exposure to sudden changes in value. This often requires moving to alternative investment and alternative risk management space.

• Market Demands: Alternative investments must be structured to meet needs of changing regulatory and market environment. The alternative space needs to find means to provide institutional quality support, compliance, pricing, transparency, for underlying investor products in space historically known for its lack of liquidity and transparency.

20

Alternatives In DC SpaceWe Go To Where Investors and the Markets Demand

• Traditional Market “Trade Ins”• FIA (Spread Trades) for FI in world of Rising Rates• EMN (low vol EQ) for FI/LV EQ in world of rising rates• Merger Arb, ELS etc. (in low growth market)• Private Equity (as alternative to levered equity)

• Traditional Asset Allocation “Trade Ins”• Liquid Alternatives for Illiquid asset• Index ETFs for less liquid assets• Option Based Risk Vehicles (non path dependent) for dynamic

path dependent allocation• Replication/Tracker vehicles as cash substitutes to reduce

tracking error or increase liquidity of comparable asset.

21

Alternatives In DC Space Traditional and Alternatives: Potential Trade Ins

22

What Do We Do When We Get There?The Enemy is US – We Are The World

CORE

Satellite I

Source of Diversification & Liquidity(Index Products, ETFS and Replication/Tracker

Products)

Satellite II

Some Liquidity & AlphaManager Based Products

Equity

Fixed Inc.Trad. Alt.

Modern Alt.

Indexed Products

23

What Do We Do When We Get There?

Goal: Move from core to satellite portfolios to increase expected alpha without fundamentally changing market and volatility exposures.

Asset Allocation

Non-Investible

Asset Allocation Program Benchmark Index Products and ETFs Manager/Fund Based

Equity Large Cap Russell 1000 Large Cap Mutual Fund

Small Cap Russell 2000 Small Cap Mutual Fund

Non-U.S. Developed MSCI EAFE Internaltional Mutual Fund

Fixed Income Government/Credit Barclay Gov.Credit FI Government Mutual Fund

Aggregagte Barclay U.S. Aggregate FI Broad Mkt. Mutual Fund

High Yield Barclay U.S. Corp. High Yield FI High Yield Mutual Fund

Alternatives Private Equity S&P PE Micro Cap MF/BDCs

Real Estate NAREIT Real Estate Mutual Fund

Commodities SP GSCI Commodity Mutual Fund

Hedge Funds Hedge Fund Hybrid Mutual Funds

Managed Futures Managed Futures Global Macro/CTA Mtual Fund

Note: Investible Products Must Reflect Return and Risk Expecations of Benchmarks for Benchmark Based Asset Allocation Processes to Be Meaningful

Multiple Investment Risk Vehicles

Investment Risk Characteristics

ETFs/Securities Manager/Fund

Higher Transparency, Investor Liquidity (ability to redeem) Lower

Higher Consistency, Scalability, Liquidity (ability to trade) Lower

Lower Fees, Relative Returns, Operational Risks Higher

Mu

ltip

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acto

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What is A Wizard To Do?The Advisor’s Value As A “Real Option” In PMI World

“Without Change They Could Hire a Monkey and Feed It Bananas” TRS

“Those Who Only Remember the Past Are Plagued to Repeat it” Inverse Paraphrase of George Santayana

“Oh, no, my dear; I'm really a very good man, but I'm a very bad Wizard” Wizard of Oz

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What Is A Wizard To Do?

• Identify the areas of liquid alternative investments (multi-alternative, equity long/short, market neutral, managed futures, commodities, real estate, private equity) that are suitable for Defined Contribution investment space.

• Identify the unique characteristics of each alternative investment strategy approach and the degree to which each alternative differs from comparison illiquid asset or liquid alternative.

• Identify which manager/programs fit investor needs and detail its expected return and risk characteristics in various market as well as factors used in estimating liquid alternative investment.

• Hope you get lucky – We don’t sell our best ideas, we sell the best ideas we can sell.

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Program which provides greatest downside protection in periods of extreme S&P 500 negative returns and generally provide least upside participation in positive S&P 500 markets

How Do Strategies Work?It is All in the Design: Option Based Collar Strategies

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While most ELS mutual funds are long bias, there seems to be a wide variation in fund/strategy performance in both up and down markets but in truth ELS which provide best protection in down markets provide least participation in up markets.

How Do Strategies Work?It is All in the Design: Equity Long/Short Mutual Funds

How Do Strategies Work?It is All in the Design: Why Not Manage Risk at Asset Class Level

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Commodity Collar GSCI

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Growth of $100: EAFE Collar and MSCI EAFE ETF

EAFE Collar MSCI EAFE

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Russell 2000 Collar Russell 2000

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EEM Collar MSCI EEM

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Growth of $100: S&P 500 Collar and S&P 500 ETF

S&P 500 Collar S&P 500

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Weight of cash is not shown. It can be calculated by subtracting sum of factor weights from 1.

ETF Tracker of Multi-Asset Alternative Mutual Fund (Benchmark)

ISHARES BARCLAYS

AGGREGATE BOND

FUND-AGG

ISHARES S&P

GSCI

COMMODITY

INDEXED

TRUST-GSG

ISHARES

IBOXX $ HIGH

YIELD

CORPORATE

BOND FUND-

HYG

ISHARES S&P

MIDCAP 400

INDEX FUND-IJH

ISHARES RUSSELL

1000 INDEX FUND-

IWB

5/4/2015 0 1.65 0 0 30.13

5/1/2015 0 1.62 0 0 29.54

4/30/2015 0 1.46 5.94 0 27.32

4/29/2015 0 1.53 4.7 4.96 22.83

4/28/2015 0 1.52 5.92 5.32 22.2

4/27/2015 0 1.57 5.33 5.74 22.14

4/24/2015 0 1.58 6 6.21 21.56

4/23/2015 0 1.61 6.06 6.66 21.29

4/22/2015 0 1.62 5.23 5.65 22.75

4/21/2015 0 1.54 3.95 4.63 23.48

Performance summary (5/2/2014 to 4/30/2015)Portfolio Avg Annual Return (%) Standard Deviation(%) Information Ratio CorrelationBenchmark 0.20 4.44 0.04 1.00Replication 4.81 3.53 1.36 0.90

How Do Strategies Work?It is All in the Design: Why Not Use ETF/Securities Tracking Strategies?

30

Sometimes There Is A Solution

A Tin Man’s Heart

31

Sometimes There Is A SolutionDo Not Look for the Simple Answers but Search out the Important Simple Questions

• Why Not a New Definitions of Asset Class?: What Makes An Asset Class? Expected Return is based not on asset class but one sensitivity to alternative risk factors. Without a fundamental shift in accepted process of investment, few investors can risk investing in stand-alone alternatives.

• Why Not Liquid Alternatives?: Liquid alternatives offer access to principal return characteristics of less liquid traditional alternatives. This is not to say that the less liquid investments do not offer additional return and risk characteristics only that one must carefully consider the additional market and manager risk characteristics.

• Why Not New Forms of Alternative Risk Management?: Indirect (Dynamic) and Direct (Options) to offer additional means to manage investor risk exposure. These non-traditional/alternative managed approaches to control risk must be viewed as acceptable alternatives to traditional “correlation” based diversification.

32

Where To In The Future

• Make it Simple But Make it Right: We are torn between the simple, easy-to-act-on yet incorrect answer, and the less simple, yet often misunderstood, but correct one. The issue remains how to ease investor’s transition from the simple to the more complex. (hint: alternatives are really not that complex. How complex is going long some stocks and short others? We must stop apologizing for using equal signs in explaining strategies).

• Who Changes For Who? Newly designed investment products are required to meet changes in regulation, technology and market structure. But even then they do not provide a free lunch. The fact is that sometimes they will lose money. One must prepare investors for this eventuality. However, how do Defined Contribution Plans manage new products within this world of change (hint: they don’t use the product) and how are they brought to the new world (hint: the products may need to exist as part of a larger product in order to gain acceptability).

• Education but Whose Education? Advisors need to understand the pros and cons of various investment platforms and investment opportunities. That responsibility is not costless and it takes constant re-education. Advisors are generally not incentivized to take on that education or the risk of using that knowledge. (hint: Develop source of quality education see CAIA).

33

Final Comments: What Ever Your Decision Remember

Truth Dies a Quick Death, but a Lie Well Told Lasts Forever

Paraphrase of Mark Twain Quote

It Ain’t Lying if They Never Expected The Truth in the First PlaceParaphrase of The Oft Described Washington Lie

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Thomas Schneeweis. “Where Academics and Practitioners Get It Wrong”, Alternative Investment Analyst Review, Vol. 1, Issue 3 (Q3, 2012).

Thomas Schneeweis. (Co-Authors: Garry B. Crowder, Hossein Kazemi). “Asset Class and Strategy Investment Tracking Based Approaches,” The Journal of Alternative Investments, Winter 2011.

Thomas Schneeweis. (Co-authors: Garry Crowder and H. Kazemi). The New Science of Asset Allocation: Risk Management in a Multi-Asset World (John Wiley, 2010).

Thomas Schneeweis (Co-Authors: Gary Crowder,, and H. Kazemi). Postmodern Investment: Facts and Fallacies in Growing Wealth in a Multi-Asset World (John Wiley, 2012).

Thomas Schneeweis (Co-Author: Ed Szado). Risk Management in a Multi-Asset World: Collaring Multi-Asset ETF Positions (OIC, 2012).

Thomas Schneeweis “Growing Wealth in a Complex World” Alternative Investment Analyst Review, Vol. 3, Issue 1 (Q2, 2014).

Thomas Schneeweis. “Hedge Funds: Where Investors Get It Wrong (and Right)” Journal of Alternative Investments. (Winter 2015, Vol. 17, No. 3), pp. 115-122.

Thomas Schneeweis, Richard Spurgin, and Edward Szado. Managed Futures Research: A Composite CTA Performance Review” (Winter 2013), Vol. 15, No. 3, pp. 32-61.

See www.trs-assoc.com for a complete listing of articles, commentary and short position papers.

Recent Publications

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Thomas Schneeweis

145 University Drive, Suite 2807 Amherst, MA 01004

Tel: 413.549.3351/3352

tschneeweis@isenberg.umass.edu