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Are Alternative Mutual Funds Eating From The CTA Pie?

It seems like everywhere you look, you see a chart showing the upward AUM growth of liquid mutual funds, as well as the number of new funds. These charts left us with one main lingering question that we think is on the mind of many in the Managed Futures space. How big is the Liquid Mutual fund compared to the rest of the industry? And is that growth in addition to, or at the expense of, the rest of the industry? We explored this question in the latest article featured in CTA Intelligence , seen below. Are alt mutuals eating from the CTA pie? There’s no doubt that the packaging of managed futures into liquid mutual funds (’40 Acts’ as they’re called in the biz) has changed the managed futures space forever. It just depends which side of this particular aisle you’re on whether you view that as a good or bad change. On one hand, you can argue the $11bn AQR which has been brought into the space is good for the industry (in a sort of rising tide lifts all boats argument). On the other hand, there were the snickers and jeers in the audience at last year’s managed futures Pinnacle Awards when Cliff Asness won a lifetime achievement award. Many said he should have won the lifetime damage award for undercutting everyone on fees and essentially switching $11bn in money from 2/20 to 125bps). So which is it? Are managed futures mutual funds good for the industry as a whole? This may all seem like semantics, but it is surely important for those playing their particular brand of managed futures to investors. If mutuals are grabbing assets at the expense of others, then that’s surely not helpful to the grand majority of fund managers out there, not to mention the exchanges, brokerage firms, and the rest of the industry which need new money brought into the space to grow, not just the same money switching to mutual funds. Which brings us to the numbers. We gathered the data on the assets in managed futures mutual funds to trace the growth of the category since 2013. Then, we looked to compare that growth to the growth of managed futures as a whole from the BarclayHedge database. Now, a few details to consider: One, we made one big assumption, that all of the managed futures mutual fund AuM is included in the BarclayHedge CTA database, to make the math as simple as subtracting the ‘liquid AuM’ from the BarclayHedge AuM to arrive at the ‘non-liquid AuM’. Second, we subtracted Bridgewater’s AuM from the BarclayHedge numbers ( we don’t consider them to be managed futures ). And finally, we’re talking growth of assets here and sort of commingling that with inflows and outflows, as that term is known in the mutual fund world. Our methodology is considering the change in assets, so the growth or decline is both inflows/outflows and performance. As for what we would anticipate to see if there’s a rising tide effect, we would expect both curves to be up varying amounts. If there is ‘liquid’ growth at the expense of private funds, we would expect sort of mirror image curves, with private on the bottom and liquid on top. So what did we find – more of the mirrored look, albeit with private funds more mirrored than just mutual funds would explain – meaning they didn’t lose a dollar in assets for every one mutual funds brought in – they appear to have lost more. Going with BarclayHedge numbers, private funds lost around $40bn in assets through the middle of 2014 before pulling in around $20bn to end the period down roughly $19bn. Meanwhile, their liquid alt counterparts showed a slow but consistent growth of around $13bn over two years (amazingly, AQR was about $7.5bn of that amount according to Brightscope ). All in all, the managed futures mutual funds in the Morningstar managed futures mutual fund category outgrew private funds by $33bn. Click to enlarge This is interesting but it doesn’t completely answer the question we are after. Growth in assets are a good indicator of which vehicle investors are adding or subtracting from, but it doesn’t quite tell us how much of the industry is controlled by each type. Here’s a look at the percentage of managed futures assets controlled by mutual funds compared to the amount that is not. In 2013, our estimation of the total assets in managed futures through both private and liquid funds was about $206bn. The Morningstar category had around $9.6bn of that number, meaning 4.7% of the managed futures pie was controlled by mutual funds (cue pie chart): Click to enlarge Click to enlarge Fast forward to 2015, and we estimate managed futures overall actually went down in AuM by about $8.1bn to $198bn, while mutual funds grew by $13.9bn over the same time to a new high of $23.7bn, meaning managed futures mutual funds now represent 12% of the industry. The last two years have seen mutual funds share of the managed futures pie jump from 4.6% to 12%. That’s sort of impressive, but not as big of a jump as we might have thought before crunching the numbers. Perhaps, it’s important to apply context to what was going on during this growth. Managed futures was experiencing its worst drawdown in a generation throughout 2013 and the first half of 2014, then following it up by posting its best performance since 2008 in the second half of 2014.Grabbing a bigger slice of the pie with what’s generally considered ‘hotter’ money investing in mutual funds is certainly a feat. There’s no denying mutual funds are making up more of the managed futures space, but private funds still control There’s no denying mutual funds are making up more of the managed futures space, but private funds still control nine tenths of AuM – that’s a big number. The question is, what does the future trajectory look like? You would think mutual funds would continue making hay and taking a bigger and bigger slice of the pie, and indeed more and more managers we talk to are asking when, not if, they should consider switching to a mutual fund format. But then there are reports that institutional investors are looking to increase their exposure to private funds in 2016. And last but not least, it’s not a wide open road ahead for liquid alts products with new SEC derivatives rules on the horizon , potentially meaning you would need millions of dollars to trade a single Euro Dollar future, effectively putting the managed futures mutual fund complex out of business. Stay tuned…this is one battle definitely worth watching

Tactical Asset Allocation – May 2016 Update

Here is the tactical asset allocation update for May 2016. Before I get into the updates for the month I want to share a must read post from Antonacci. In the post he lists some questions he often gets asked about markets and investing. Here they are: Question: How much do you think the stock market can drop? Response: 89% Question: What?!! Response: Well, that is the most it has dropped in the past. But past performance is no assurance of future success, so I guess it could go down more than that. Question: I just looked at my account, and it is down. What should I do? Response: Stop looking at your account. Question: What are you doing now? Response: What I always do … following my models. After these responses, I am usually not asked any more questions. This is so on point. I have very similar experiences. I’ll add a few more. Q: What are you investing in now? A: Uhh, whatever is going up, or cheap, or both… or I’ve also said, don’t know I’d have to check my computer to tell you. Q: If I do answer the above with a specific investment, which is usually a mistake, then I get, the why? A: Because the computer/model said so… Q: What do you think about X? (where X=China, Junk bonds, liquidity, etc..) A: I have a lot of personal opinions about those things but for investing I don’t care. Doesn’t matter. After these answers the conversation usually turns to something else, like craft beer… Below are the updates for the AGG3, AGG6, and GTAA13 portfolios. The source data can be found here . The sheet contains the IVY5, GTAA5, and the Permanent Portfolio as well. These signals are valid after every trading day. So, while I’ll maintain these month end updates this means that you can implement your portfolio changes on any day of the month, not just month end. FINVIZ will at times generate signals that are slightly different than Yahoo Finance. Also, year to date performance figures have been updated and are included in the sheet. Note: I am not maintaining the Yahoo Finance versions any more. All portfolios now use FINVIZ data. Click to enlarge For May there are no changes to AGG3. For AGG6, VCIT and VBR are new holdings. Both portfolios are 100% invested. For GTAA13, only GSG remains in cash mode. Approximate monthly and YTD performance is below. In a new change global asset allocation is still working well in 2016. Click to enlarge For the Antonacci dual momentum GEM and GBM portfolios, GEM remains in SPY , and the bond portion of GBM is in MBB . The Antonacci tracking sheet shareable so you can see the portfolio details for yourself. The Bond 3 quant model , see spreadsheet , ranks the bond ETFs by 6 month return and uses the absolute 6 month return as a cash filter to be invested or not. The Bond 3 quant model is invested in IGOV , VGLT , and MUB . That’s it for this month. These portfolios signals are valid for the whole month of May. As always, post any questions you have in the comments.

ITC Holdings’ (ITC) CEO Joseph Welch on Q1 2016 Results – Earnings Call Transcript

ITC Holdings Corp. (NYSE: ITC ) Q1 2016 Earnings Conference Call April 28, 2016 10:00 ET Executives Stephanie Amaimo – Director, IR Joseph Welch – Chairman, President & CEO Rejji Hayes – SVP & CFO Analysts Julien Dumoulin-Smith – UBS Caroline Bone – Deutsche Bank Praful Mehta – Citigroup Operator Good day, ladies and gentlemen, and welcome to the ITC Holdings Corp First Quarter Conference Call and Webcast. At this time, all participants are in a listen-only mode. Later, we will conduct a question-and-answer session and instructions will follow at that time. [Operator Instructions] As a reminder, this call is being recorded. I would now like to introduce your host for today’s conference, Ms. Stephanie Amaimo. Ma’am, you may begin. Stephanie Amaimo Good morning, everyone and thank you for joining us for ITC’s 2016 first quarter earnings conference call. Joining me on today’s call are Joseph Welch, Chairman, President and CEO of ITC; and Rejji Hayes, our Senior Vice President and CFO. This morning we issued a press release summarizing our results for the first quarter ended March 31, 2016. We expect to file our Form 10-Q with the Securities and Exchange Commission today. Before we begin, I would like to make everyone aware of the cautionary language contained in the Safe Harbor statement. Certain statements made during today’s call that are not historical facts such as those regarding our future plans, objectives, and expected performance reflect forward-looking statements under federal securities laws. While we believe these statements are reasonable, they are subject to various risks and uncertainties and actual results may differ materially from our projections and expectations. These risks and uncertainties are disclosed in our reports filed with the SEC such as our periodic reports on forms 10-K and 10-Q and our other SEC filings. You should consider these risk factors when evaluating our forward-looking statements. Our forward-looking statements represent our outlook only as of today and we disclaim any obligation to update these statements except as may be required by law. A reconciliation of the non-GAAP financial measures discussed on today’s call is available on the Investor Relations page of our website. I will now turn the call over to Joe Welch. Joseph Welch Thank you, Stephanie and good morning everyone. I’m pleased to report that we’re off to a solid start in 2016. We continue to deliver operational excellence to our customers and superior growth to our shareholders while concurrently focusing on the Fortis acquisition of ITC. On the operational front, system performance for the first quarter of 2016 aligned with our historical track record with good performance across the operating companies and minimal impacts to the system despite several spring storms in March. In addition, our capital projects and maintenance programs were off to a good start for the year. Many reliability, system capacity and customer interconnection projects are in process across all of our operating companies and progressing on schedule. One notable project in Detroit that we work to complete it in February is our portion of the new Temple substation which will support the load requirements for the new Red Wings Stadium. With respect to our development efforts, we continue to advance the new Covert project, which is scheduled to go into service later this year along with preparations and certifications to operate in PJM. We are also continuing to negotiate bilateral contracts with shippers on the Lake Erie Connector project. As we highlighted on our last call, the MISO Transmission owners filed their updated testimony on January 29, in the second base ROE complaint and have since held various hearings and briefings during the last several months as part of their most recent procedural schedule. And initial decision in the second base ROE complaint is expected from the Administrative Law Judge by the end of June. While final decisions from the FERC Commission aren’t expected until late 2016 and the first half of 2017 for the first and second complaints respectively, we remain confident that FERC will continue to support their historical policies given the significant investment requirements necessary to modernize the electrical infrastructure in the U.S. As for other regulatory matters, on March 11, FERC issued two orders concerning ITC Midwest. In summary, in its orders on the final and the formal challenge of ITC Midwest 2015 formula rates in its orders conditionally accepting the Bent Tree facility service agreement, FERC concluded that ITC Midwest’s decision to elect out of bonus depreciation wasn’t prudent. As a result, FERC has required ITC Midwest to simulate the effects of bonus depreciation that is to calculate generally applicable transmission rates and its charges under a specific agreement as though the company actually had taken bonus depreciation for facilities placed into service in 2015. In response to FERC’s order, on April 11, ITC Midwest filed request for rehearing on both orders, essentially asking FERC to reconsider and reverse its decisions. To the extent that FERC decided not to reverse its orders on the formal challenge, ITC Midwest also asked FERC to modify the date for implementation of the order on the formal challenge so that ITC Midwest is able to maintain compliance with the new tax law requirements. As we wait FERC’s response to our request for rehearing, we’ve taken steps to comply with these orders and have recorded the applicable bonus depreciation impacts during the first quarter as well as the necessary compliance filings on the Bent Tree facility service agreement. Subsequently, we’ve since received a similar challenges at METC from CMS, and are in the process of evaluating the next steps. That said, although we expect these proceedings to take some time to be resolved, we plan to elect bonus depreciation across all our companies for the 2015 and 2016 tax years. With respect to the Fortis transaction, Fortis and ITC have worked diligently to advance the transaction. The most material news since our last call – last week’s announcement of Fortis entering into a definitive agreement with GIC to acquire 19.9% equity interest in ITC for over $1.2 billion in cash upon closing the transaction. Needless to say, we are delighted with this outcome, as well as a well-respected long-term investor with over $100 billion in assets under management and strong track record of investing in North America infrastructure, GIC will be a great investment partner for Fortis and co-owners of ITC. With the minority investor secured, we can now proceed with other key milestones in the transaction, including the remaining State and Federal regulatory filings and the shareholder votes for both Fortis at ITC. Overall, the transaction continues to progress as planned, and we expect to close in the late 2016. Although it’s been a busy start to the year, we look forward to another strong year both operationally to the benefits of our customers, and financially by creating long-term value for the shareholders. I will now turn the call over to Rejji to elaborate on our first quarter 2016 financial results. Rejji Hayes Thank you, Joe, and good morning, everyone. For the three months ended March 31, 2016, ITC reported net income of $64.2 million or $0.42 per diluted share as compared to reported net income of $67.1 million or $0.43 per diluted share for the first quarter of 2015. Operating earnings for the first quarter of 2016 were $84.5 million or $0.55 per diluted share compared to $73.1 million or $0.47 per diluted share for the first quarter of 2015. Operating earnings are reported on a basis consistent with how we have provided our guidance for the year and exclude the following items. First, they exclude regulatory charges of approximately $1.1 million or $0.01 per share for the first quarter of 2015. The 2015 charges relate to management’s decision to write-off abandoned costs associated with a project of ITC Transmission. Second, operating earnings exclude the estimated refund liability associated with the MISO base ROE, which totaled $11.5 million or $0.07 per diluted share for the first quarter of 2016 and $4.8 million or $0.03 per diluted share for the first quarter of 2015. It is possible that upon the ultimate resolution of this matter we may be required to pay refunds beyond what has been record to-date. We will continue to assess this matter and we’ll provide updates as necessary. Lastly, they exclude after tax expenses associated with the Fortis transaction of approximately $8.7 million or $0.06 per diluted share for the first quarter 2016. Operating earnings for the three months ended March 31, 2016 increased by approximately $11.4 million or $0.08 per diluted share of the comparable period in 2015, primarily due to higher income associated with increased rate base at our operating companies coupled with lower non-recoverable bonus payments associated with the V-Plan project in the first quarter of 2016 compared to the same period in 2015. These beneficial factors are partially offset by the impact of electing bonus depreciation, as Joe highlighted, at all of our operating subsidiaries. For the three months ended March 31, 2016, we invested $176.6 million in capital projects at our operating companies, including $41.1 million at ITC Transmission, $47 million of METC, $74.8 million at ITC Midwest and $13.7 million at ITC Great Plains. With respect to our financing liquidity initiatives on April 26, 2016, we executed a 30-year debt issuance at METC, the $200 million of senior secured notes were priced at 3.9% and the proceeds will be used to refinance an unsecured three-year term loan at METC. As we’ve underscored in the past, management remains committed to sustaining our strong financial position and solid investment grade credit ratings. As such, we are pleased to report that on April 15, Moody’s affirmed the issue ratings in outlook of ITC and its regulated operating subsidiaries. From a liquidity perspective, as of March 31, 2016, we have readily available liquidity of approximately $775 million, which consists of roughly $8 million of cash on hand and $767 million of net undrawn capacity on our revolving credit facilities. For the three months ended March 31, 2016, we reported operating cash flows of approximately $88 million, which reflects an increase of approximately $21 million from the first quarter 2015. It’s also worth noting that on April 7, 2016, we successfully amended all of our revolving credit facilities with unanimous support from our syndicate of lenders to allow for consummation of the transactions. As a result, we will be able to maintain the revolving credit facilities and the amounts under the revolving credit facilities close. In closing, we are well positioned to execute on our plans in 2016, including the Fortis acquisition of ITC, to benefit the customers and shareholders. Our continued solid performance in the first quarter serves as an important foundation for these efforts. At this time, we’d like to open the call to address questions from the investment community. Question-and-Answer Session Operator [Operator Instructions] And our first question comes from Julien Dumoulin-Smith from UBS. Your line is now open. Julien Dumoulin-Smith Hi, good morning. Joseph Welch Good morning, Julien. Julien Dumoulin-Smith So quick question here on the independent side. Obviously, we’ve got the GIC involved now as a JV partner. Would you expect to be able to keep that on a prospective basis here? Joseph Welch I think that’s a question you ought to ask GIC. The thing is that, as far as we’re concerned, this is – Fortis’ and GIC’s filing and you ITC and its shareholders were held harmless to that decision. Julien Dumoulin-Smith Got it. And then subsequently, you’ve commented in the past on FERC Order 1000, I’d be curious to get your latest thoughts on the SPP process. Obviously that had certain issues about allocations of points on the technical basis. I’d be curious to get your reaction and any broader implication? Joseph Welch No, I think that the SPP’s decision probably fits into the same line as the decisions that’s taken place in PJM, for instance that they awarded the points, I find it interesting that – from my standpoint, they’ve eliminated a lot of people based on conductor size and conductor design and we feel strongly, in our case, that our conductor sizing and design was 110% appropriate. But I could tell you this that on the whole process of a line that size and the amount of magnitude from an investment perspective, there was more money spent on bidding on it and more money spent on evaluating it than the whole line was worth. Julien Dumoulin-Smith Intriguing data point itself. And lastly, just turning back to bonus depreciation with the CMS complaint out there, I’d be curious how do you intend to treat results for this year given METC and actually potentially for the balance of the portfolio? Rejji Hayes Yes, Julien this is Rejji. Joe and I highlighted, we have assumed the election of bonus depreciation, both for the 2015 tax year as well as the 2016 tax year. And so as our Q is filed later today, you’ll see the details around that. It is flowing through the financials you see in the earnings release that hit the tape this morning and the estimate on a pre-tax basis for Q1 is about $5.4 million after-tax, about $3.2 million. And you can assume over the course of 2016, you’re probably just under $10 million and that’s for the full estimate for 2016 across all of the operating companies. So we are erring on the side of conservatism in our financials, but needless to say, we obviously requested a rehearing with the FERC on the IP&L matter. So we’ll see where we go from there. Julien Dumoulin-Smith Okay, great. Thank you. Rejji Hayes Thank you. Operator And our next question comes from Caroline Bone from Deutsche Bank. Your line is now open. Caroline Bone Good morning. Just a follow-up on that bonus depreciation question. Thank you so much for the details on the impacts for the quarter and the full year, but I was just wondering if you could comment a little bit about how this might impact your more long-term growth expectations? Joseph Welch It really, when I look at growth, I don’t look at growth quite the same way you do, we’re going to be growing at the same rate that we’ve always grown, when you look at the earnings and the bonus depreciation, but the fact of the matter is that the bonus depreciation, if you elect it and generates a lot of cash and that gives us the ability to start to invest in other areas. Rejji Hayes Yes, exactly right. The only thing I would add to that, Caroline, is it clearly you’re going to have a financial impact on your net earnings, we talked of the 2016 impact and as I’m sure you well know and which the election works, it flows through our tariff as an increase in deferred tax liabilities that reduces rate base and you basically have to wear that financial impact for about 15 years. And so you do work for some time, but as Joe highlighted, clearly we’re still going to be investing in the system and trying to obviously improve the system to the benefit of customers. Caroline Bone All right. So I guess, I mean in terms of the cash benefit that you guys will see from bonus depreciation, did you get a lot of that in Q1 or should there be kind of a similar level of – just looking at the line, the deferred taxes line, in terms of the benefit for the rest of the quarters? Joseph Welch Yes. So technically, we have not received the cash benefit. So you probably noticed the income tax receivable in current assets of about $140 million, technically we’d be receiving that when we file our tax return for the 2015 tax year around mid-year. I think that’s the earliest time we can get that done. So we’re expecting that true cash inflow around mid-year, it is approximately $140 million for 2016. Caroline Bone All right, thanks so much. Joseph Welch Thank you. Operator [Operator Instructions] Our next question comes from Praful Mehta from Citigroup. Your line is now open. Praful Mehta Thank you. Hi guys, just quickly on that bonus depreciation again and I truly appreciate the point on the cash that you have now freed up. I guess if you do have this cash freed up in the long-term, as long as you can reinvest that cash at an accretive way in terms accretive asset or bid it out of CapEx, would that support – is that your thesis on why the growth rates remain the same? And secondly, does that change, now that you’re part of Fortis, if they could use that excess cash to grow some other part of the, I guess the combined platform, does that kind of change your perspective on how you think about bonus depreciation longer term, I guess? Joseph Welch It doesn’t change our perspective on how we view that at all. Rejji Hayes Yes, I think, Praful, the only thing I would add to that is from a capital deployment perspective, we’ll see what the options are at the time we receive the cash and clearly, assuming we get the transaction of the finish line post-closing, it will be discussion we have with the owners of the business, both Fortis and GIC as to what the most efficient use of that cash is, but needless to say it’s not going to be sitting in a money market account, earning 5 basis points. Praful Mehta And then just in terms of FERC 1000 and growth and development CapEx and the projects there, can you just briefly give us an update on how that is going and do you see any updates in terms of the growth projects more longer-term? Joseph Welch With regards to Order 1000? I think you could regard Order 1000 as a complete failure for the whole marketplace. In our case and you must not have been listening when we had some of our earnings calls in the past because I’ve directly highlighted that we’re not very focused on Order 1000 for the facts that I’ve just outlined. We have of Lake Erie Connector that we’re really focused on, we’ve announced that we’re doing work in Puerto Rico and Mexico. We continue to stay involved in Order 1000, but I think it’s a tree that doesn’t bear much fruit for anyone. Rejji Hayes And then Praful, this is Rejji, so the non-traditional development side, as we highlighted in our initial comments, we continue to make progress in the new Covert line which we should have in service this year and clearly the other opportunities, Lake Erie and some of the other non-traditional development opportunities as they continue to progress and we should have visibility on Lake Erie project in the latter half of this year. So continuing to push forward on that as well. Praful Mehta And I do pay attention, I do listen guys, it’s always just good to get a refresh, although I appreciate it. Joseph Welch You just wanted it refreshed? Praful Mehta Yes, always good to get your perspective again on FERC 1000, I guess. Joseph Welch Okay. Praful Mehta Thank you. Operator I’m showing no further questions. I will now like to turn the call back to Stephanie Amaimo for any further remarks. Stephanie Amaimo This concludes our call. Anyone wishing to hear the conference call, replay available through May 3, can access it by dialing 855-859-2056 toll free or 404-537-3406, passcode 83086632. This webcast to this event will also be archived on ITC website at itc-holdings.com. Thank you, everyone and have a great day. Operator Ladies and gentlemen, thank you for participating in today’s conference. You may all disconnect. Everyone, have a great day. Copyright policy: All transcripts on this site are the copyright of Seeking Alpha. However, we view them as an important resource for bloggers and journalists, and are excited to contribute to the democratization of financial information on the Internet. (Until now investors have had to pay thousands of dollars in subscription fees for transcripts.) 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