Education & Resources

Thought Leadership

Can Managed Futures Improve Your Retirement?
By Andrew John, CFA, Manager of Risk Analytics and John Dolfin, CFA, Chief Investment Officer | 07/09/18

It is generally recommended to plan for a retirement of 30 years or longer, placing a crucial emphasis on choosing the right mix of investments to maximize the sustainability of the portfolio.

For this analysis we introduce the concept of drawdowns and the impact of drawdowns on a hypothetical retirement portfolio when an investor is taking fixed monthly withdrawals. We found that historically, including a managed futures allocation during the distribution phase of the portfolio lifecycle would have added meaningful value to a retired investor by helping limit the depth of drawdowns during periods of market stress.

2018 Market Outlook
By John Dolfin, CFA Chief Investment Officer | 01/30/18
This video reviews 2017’s exceptional stock market performance, equity market valuations and potential long-term stock return expectations, particularly in light of continued central bank tightening. Markets have traded down sharply off recent highs while volatility has spiked. We highlight the historically low market volatility over 2017 and review which alternative investments could benefit the most if volatility continues to rise in 2018.
Video: Myth Busting | Hedge Funds Are Dead
By John Dolfin, CFA Chief Investment Officer and Chris Maxey, CAIA® Senior Portfolio Manager | 11/30/17
This brief video examines key arguments made against hedge funds, using empirical data to separate the facts from the sensationalism. The results debunk the myths we tend to hear about hedge funds most often.
White Paper: Myth Busting | Hedge Funds Are Dead
By John Dolfin, CFA Chief Investment Officer and Chris Maxey, CAIA® Senior Portfolio Manager | 11/30/17

Hedge funds have seemingly fallen out of favor over the course of the second longest equity bull market in history. A policy of unprecedented quantitative easing (QE) has supported a rising tide environment, ripe for long-only passive (index) investing in traditional asset classes. As performance of hedge funds has lagged equity markets, a steady stream of news articles has sounded the death knell for the industry.

We set out to analyze the empirical data so that we could separate the facts from the sensationalism. The results debunk the myths we tend to hear about hedge funds most often.

Video: Can You Time Managed Futures?
By John Dolfin, CFA Chief Investment Officer and Chris Maxey, CAIA® Senior Portfolio Manager | 09/01/17

A common question we hear from investors is about the timing of their managed futures allocation.

This brief video provides an overview of some of the potential benefits, challenges and opportunity costs for investors seeking to time an allocation to managed futures. For additional information, read the full white paper.


White Paper | Can You Time Managed Futures?
By John Dolfin, CFA Chief Investment Officer and Chris Maxey, CAIA® Senior Portfolio Manager | 09/01/17

This white paper addresses some of the potential benefits, challenges and opportunity costs for investors seeking to time an allocation to managed futures. For a brief overview, watch the video.

The results of our research show that managed futures risk-adjusted performance* is at its lowest point ever, and also finds evidence of historical mean reversion in 12-month Sharpe ratios.

*Based on a -1.99 rolling 12-month Sharpe ratio for the Barclay CTA Index as of June 30, 2017, its lowest point since inception of the index in 1980.

Don’t Mistake Style for Skill The Impact of Style Factors on Performance Among Trend Followers
By John Dolfin, CFA Chief Investment Officer & Christopher Maxey, CAIA® Senior Portfolio Manager

February 2017

Managed futures have become an alternative asset class that is widely used by investors seeking overall portfolio diversification and absolute returns independent of the direction of broad equity and bond markets. The most common managed futures trading strategy is trend following, a strategy that attempts to exploit momentum in more than 200 global futures markets (including commodities, equities, fixed income, and currencies) by taking long positions in rising markets and short positions in falling markets.

While investors have embraced the potential benefits of managed futures, the causes of the large performance dispersion among trend following commodity trading advisors (“CTAs” or “managers”) are not well understood given that their trading programs are conceptually similar. The research team at Steben & Company set out to find answers.

Our study shows that style factors including volatility targets, speed and sector exposures explain many of the historical short-term performance differences among trend followers.
Do Hedge Funds Have An Edge Over Alternative Mutual Funds?
By Steben & Company, Inc.

May 2016

The concept of hedge fund returns in a convenient mutual fund format with daily liquidity and no performance fees certainly seems enticing. Yet there is still an allure for hedge funds, whose total assets under management swelled to more than $2.9 trillion by the end of 2015.

The research team at Steben decided to take a closer look by examining the alpha and beta to the S&P 500 of all equity long/short hedge funds in the BarclayHedge database and all equity long/short mutual funds in the Morningstar database.

Our empirical study reveals that fee restrictions, liquidity requirements and investment constraints have a real impact on net performance for equity long/short mutu­al funds compared to hedge funds.
The Importance of Manager Selection within the Alternative Investments World
By John Dolfin, CFA Chief Investment Officer & Christopher Maxey, CAIA® Senior Portfolio Manager

November 2015

Given the increasingly complex world of alternative investment products (alts), we will discuss in this white paper the importance of manager research and due diligence.

Investors of all stripes recognize that choosing the right fund managers may matter a great deal more going forward than in the past, when passively owning a diverse array of assets generally achieved longer-term objectives.

1 Single Manager vs. Multi-Manager Alternative Investment Funds
By John Dolfin, CFA Chief Investment Officer & Christopher Maxey, CAIA® Senior Portfolio Manager

September 2015

One important decision when considering alternative investments is whether to use single manager or multi-manager funds. In this white paper, we will discuss the relative benefits and drawbacks of each type of fund.