Tag Archives: contests

Transamerica Launches Global Equity Long-Short Fund

By DailyAlts Staff Global equity long/short funds offer investors a ready-made portfolio of “long” (owned) and “short” (sold-short) stocks from all over the world. These funds can generally serve a core or satellite role within a diversified investment portfolio. Most long/short equity funds have long-term capital appreciation as their primary objective, with downside protection as a natural secondary benefit. What separates these funds are the strategies they employ in pursuit of these objectives, and the skill of the managers employing them. Sub-Advised by Picton Mahoney On November 30, Transamerica launched its own global long/short mutual fund: the Transamerica Global Long/Short Equity Fund (MUTF: TAEAX ). The fund is sub-advised by Picton Mahoney Asset Management and overseen by Michael Kimmel and Jung (Michael) L. Kuan, a pair of CFA portfolio managers from Transamerica. The managers combine quantitative and fundamental analysis in the fund’s investment process. Under normal circumstances, the fund will have 25% to 75% net-long exposure to the global equity market. Its investments may include common stocks, convertible securities, REITs, and rights and warrants for the purchase of common stocks and other equity investments. The fund may also employ options strategies, including but not limited to covered-call and put writing, to increase income. Fundamental, Factor-Driven Approach Picton Mahoney employs fundamental research and quantitative models to generate ideas for long and short positions, and then uses a multi-factor model that emphasizes fundamental change, valuation, growth, and quality. Up to 20% of the fund’s net assets (including long and short positions and derivative exposure) may be invested in emerging market securities. In addition, the fund expects to have approximately 25-75% net long exposure to the global equity market. Shares of the new fund are available in two classes: A (TAEAX) and I (MUTF: TAEIX ). The management fee on both share classes is 1.00%, while the respective net-expense ratios are 3.89% and 3.64%. The expense ratios include 2.09% for dividend and interest expense on short positions, which is an expense of running a long/short portfolio. The respective initial minimum investments for each share class are $1,000 and $1 million. For more information, view a copy of the fund’s prospectus .

Market Neutral Funds: Best And Worst Of November

By DailyAlts Staff (click to enlarge) Market-neutral funds balance long and short holdings, generally in pursuit of something close to a 0% net-long exposure. This allows investment managers to neutralize beta and focus on generating alpha – or at least, that’s the idea. In November, the top three market-neutral mutual funds generated returns ranging from +0.94% to +3.52%, while the category’s three laggards returned between -2.53% and -3.19%. In this month’s review, we look beyond November’s performance and also consider the composition of each of the featured funds’ three-year standard deviation and Sharpe ratio. (click to enlarge) November’s Top Performers The top performing market-neutral mutual funds in November were: (click to enlarge) The QuantShares US Market Neutral Momentum ETF fund led the pack last month with its decidedly strong returns of +3.52%. Year to date through November 30, the fund had spectacular gains of 20.43%, but its annualized three-year return through that date stood at a lower +3.80%! Overall, the QuantShares US Market Neutral Momentum Fund’s three-year Sharpe ratio stood at 0.31. The Hussman Strategic International Fund’s +1.37% returns in November weren’t quite as impressive, but were still strongly positive for the month. However, the fund’s three-year return of -1.91% through November 30 is less impressive. On a risk-adjusted basis, the Hussman fund’s three-year Sharpe ratio stood at a dismal -0.28, as of November 30. Perhaps the best looking of the three funds was November’s third-best performer, the Turner Titan II Fund, which posted a 0.94% gain for the month. Its three-year annualized return of 4.69% is much stronger than its peers’, and the three-year Sharpe ratio of 0.82 is by far the best of any market-neutral fund reviewed this month. November’s Worst Performers The worst performing market-neutral mutual funds in November included: (click to enlarge) The Whitebox fund was the month’s worst, at -3.19%. For the first eleven months of 2015, the fund lost 6.56%, but its three-year annualized returns were in the black at +1.44%. What’s more, the fund’s Sharpe ratio of 0.27 was not only better than either of November’s other worst performing market-neutral funds, but among the top three of the six funds covered this month. The QuantShares US Market Neutral Value Fund lost 2.98% in November, bringing its year-to-date losses to 10.03% as of November 30. The fact that QuantShares has found itself on both the Best and the Worst lists for the month is a clear indication that momentum exposure worked in November (and the year), and value did not. On a three-year basis, the fund was in the black, with annualized returns of +0.30%. Finally, the Hussman Strategic Growth Fund was November’s third-worst performer, also earning Hussman the distinction of being in both the penthouse and the doghouse for the month. Of the three biggest losers from last month, the Hussman fund has the worst looking long-term results: a three-year annualized return of -8.88%. Its three-year Sharpe ratio of -1.38 was also easily the worst of the bunch. Past Performance does not necessarily predict future results. Meili Zeng and Jason Seagraves contributed to this article.

Focus On Less Leveraged Companies When The Markets Get Squirley

By Eric Bush, CFA, Gavekal Capital Blog 2015 is looking like one of those years in the stock market where it feels like investors have wasted a lot of time and effort for nothing. We have undoubtedly had a lot of ups and downs, both literally with stock prices and emotionally for investors, and all we have gotten in return is a market that is basically flat (intraday, the S&P 500 is a whopping 48 bps higher YTD). We all know that even in a flat market, however, there are pockets of the market that have done well (i.e., growth counter-cyclicals ) and that have performed poorly (hello to energy stocks and to our friendly neighbor to the north ). For investors who think a more volatile market is here to stay for 2016, it may be helpful to focus their attention on companies with less leverage. This strategy paid off in 2015. In the scatter plot below, we plot median YTD performance (y-axis) against median long-term debt (LTD) as a % of total capital. We are looking at industry groups for both emerging market and developed market companies. As you can see, companies with lower overall levels of long-term debt as a percentage of its total capital tended to have higher equity returns this year. In fact, if we look at equity returns over the past four years, we see that this relationship continues to hold. We would be surprised if in 2016 more liquid companies didn’t continue to dominate their more leveraged peers. (click to enlarge) (click to enlarge) (click to enlarge) Disclosure: None.