RESEARCH

THE CASE FOR REPLICATION OF MANAGED FUTURES HEDGE FUNDS20191205095358

THE CASE FOR REPLICATION OF MANAGED FUTURES HEDGE FUNDS

December 5, 2019
Factor-based replication of managed futures hedge funds may solve the two principal issues with investing in the space. First, replication of a portfolio of funds provides diversification of single manager risk, a serious issue when there is a 30% or more dispersion among top and bottom managers each year and the evidence is strong that […]...
Understanding The Key Landmines In Liquid Alternatives20191004143610

Understanding The Key Landmines In Liquid Alternatives

October 4, 2019
A version of this first appeared in Absolute Return here Investors are understandably frustrated with liquid alternatives. The average liquid alternative fund has underperformed its hedge fund brethren by around 200 bps per annum, which is meaningful when hedge funds themselves have been delivering mid-single digit returns. Further, funds have experienced unexpectedly large drawdowns – […]...
Should Fundamental Investors Own Managed Futures Today?20190909174403

Should Fundamental Investors Own Managed Futures Today?

September 9, 2019
Like most of you, I am a fundamental investor at heart. I started my career in the hedge fund business working for famed value investor Seth Klarman (whose book, Margin of Safety, is treasured by those lucky enough to have a copy). The lessons of intrinsic value stuck. I am also a believer that markets are reasonably efficient: when prices get out of whack, investors figure this out and buy things that are cheap and sell those that are dear. To quote Warren Buffett’s mentor, Benjamin Graham, “ov...
Rethinking Managed Futures in a Low Fee World20190708012104

Rethinking Managed Futures in a Low Fee World

July 8, 2019
Managed futures as a strategy (before high hedge fund fees) has delivered strong performance since 2000 – higher returns than equities with far lower volatility. As a diversifier, managed futures offer more “bang for the buck” than bonds, commodities and REITS. These results are obscured by excessive hedge fund fees and expenses, which have consumed a high percentage of gross returns and virtually all alpha especially in recent years. A new generation of lower cost investment products seek to de...
The practitioner’s guide to investing in managed futures20190619052608

The practitioner’s guide to investing in managed futures

June 19, 2019
Plenty of white papers extoll the diversification benefits of investing in managed futures strategies.  Those papers principally highlight long-term statistical benefits:  low correlation to traditional asset classes and strong historical performance during down equity markets.  Add managed futures to a traditional 60/40 portfolio, they assert, and the efficient frontier rises.  While those benefits are real, they miss a key point:  allocators, especially those with retail clients, generally are...
Generation two liquid alternatives20180912213647

Generation two liquid alternatives

September 12, 2018
Executive Summary Generation One liquid alternatives suffered from three issues: poor performance, high fees and/or unpredictable results. Dissatisfaction today reflects in part a disconnect between the asset allocation/diversification objective and how funds were added to retail investor portfolios. While institutional investors typically allocate to dozens of alternative managers, retail portfolios often have only one or two – a significant problem given that the dispersion of manager return...
Six Reasons To Replicate Hedge Funds20180611110106

Six Reasons To Replicate Hedge Funds

June 11, 2018
In this recent article in AlphaWeek, Beachhead Capital’s Andrew Beer makes the case for hedge fund replication and describes how replication strategies can bring meaningful value to most investors’ portfolios. Link to article: Six Reasons to Replicate Hedge Funds...
NYSSA Keynote Presentation: Emerging Hedge Funds: Today versus 200620161013154035

NYSSA Keynote Presentation: Emerging Hedge Funds: Today versus 2006

October 13, 2016
In his keynote address to the New York Society of Security Analysts (NYSSA), Andrew Beer shared his views on launching a hedge fund in today’s environment and discussed the many ways in which the process changed over the last decade. This presentation was very well received and we suspect that it will likely be of […]...
The Trouble with Alpha: Part I20160623124038

The Trouble with Alpha: Part I

June 23, 2016
Investors equate “alpha” to outperformance.  A high alpha fund presumably delivers substantial excess returns relative to its benchmark. True alpha is short-hand for manager skill.  Statistically, alpha simply is the result of a linear regression between two return streams. The regression finds the straight line (ordinary least squares) that best fits the time series. Visually, […]...
The Rise of Populism and the Fall of Economies20160616163624

The Rise of Populism and the Fall of Economies

June 16, 2016
Recent election cycles in the U.S. and Europe have seen the ascendance of political parties whose platforms are significantly shaped by populist initiatives. Underlining many such initiatives is a preoccupation with immigration. Earlier today the Wall Street Journal reported that 40% of Brexit supporters indicated that immigration was their primary reason for backing the Leave […]...
Why a ‘Replication’ Strategy Trumps Liquid Alt Funds20160614134722

Why a ‘Replication’ Strategy Trumps Liquid Alt Funds

June 14, 2016
Catch Andrew Beer interviewed on TheStreet. The liquid alternatives movement is trying to bring hedge fund strategies to ordinary investors. Unfortunately, performance has been subpar for the majority of liquid alternative funds and the fees are still relatively high compared to the average mutual fund. Andrew Beer, managing partner at Beachhead Capital Management, said a […]...
Brexit in 10 Days?20160613134124

Brexit in 10 Days?

June 13, 2016
A new poll from the Bruges Group gives the Leave camp a 19 point lead over Remain. According to the poll, 52% of respondents supported a Brexit, while only 33% wished to remain in the EU and 15% were undecided. A decisive victory for Leave is within grasp; even if all of the undecided Britons […]...
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