HIGH-FREQUENCY FUTURES DATA Cantab Capital Partners
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GAM Star Fund P.L.C. Unaudited Half-Yearly Report
GAM Star Fund p.l.c. Unaudited Half-Yearly Report 31 December 2016 GAM Star Fund p.l.c. is an open-ended umbrella investment company incorporated with limited liability with variable capital under the laws of Ireland. It is an umbrella fund with segregated liability between Funds. Directors of the Company Delegate Investment Managers Depositary Andrew Bates* Cantab Capital Partners LLP State Street Custodial Services (Ireland) David Dillon** City House Limited Andrew Hanges* 126-130 Hill Road 78 Sir John Rogerson's Quay Daniel O' Donovan** Cambridge CB2 1RE Dublin 2, Ireland Burkhard Poschadel** United Kingdom Delegate Administrator *Non-executive Director Manning & Napier Advisors LLC State Street Fund Services (Ireland) **Independent non-executive Director 290 Woodcliff Drive Limited Fairpoint 78 Sir John Rogerson's Quay Manager, Registrar and Secretary New York 14450, USA Dublin 2, Ireland GAM Fund Management Limited George’s Court Wadhwani Asset Management LLP Independent Auditors 54-62 Townsend Street 40 Berkeley Square PricewaterhouseCoopers Dublin 2, Ireland London W1J 5AL Chartered Accountants and Registered United Kingdom Auditors Registered Address of the Company One Spencer Dock George’s Court Dalton Investments LLC North Wall Quay 54-62 Townsend Street 1601 Cloverfield Boulevard Dublin 1, Ireland Dublin 2, Ireland Suite 5050 N Santa Monica, CA 90404, USA Legal Advisers to the Company Sponsor and Global Distributor and the Manager as to Irish Law GAM Limited GAMCO Asset Management Inc. and the Irish Listing Sponsor Wessex House -
Arbitrage Pricing Theory∗
ARBITRAGE PRICING THEORY∗ Gur Huberman Zhenyu Wang† August 15, 2005 Abstract Focusing on asset returns governed by a factor structure, the APT is a one-period model, in which preclusion of arbitrage over static portfolios of these assets leads to a linear relation between the expected return and its covariance with the factors. The APT, however, does not preclude arbitrage over dynamic portfolios. Consequently, applying the model to evaluate managed portfolios contradicts the no-arbitrage spirit of the model. An empirical test of the APT entails a procedure to identify features of the underlying factor structure rather than merely a collection of mean-variance efficient factor portfolios that satisfies the linear relation. Keywords: arbitrage; asset pricing model; factor model. ∗S. N. Durlauf and L. E. Blume, The New Palgrave Dictionary of Economics, forthcoming, Palgrave Macmillan, reproduced with permission of Palgrave Macmillan. This article is taken from the authors’ original manuscript and has not been reviewed or edited. The definitive published version of this extract may be found in the complete The New Palgrave Dictionary of Economics in print and online, forthcoming. †Huberman is at Columbia University. Wang is at the Federal Reserve Bank of New York and the McCombs School of Business in the University of Texas at Austin. The views stated here are those of the authors and do not necessarily reflect the views of the Federal Reserve Bank of New York or the Federal Reserve System. Introduction The Arbitrage Pricing Theory (APT) was developed primarily by Ross (1976a, 1976b). It is a one-period model in which every investor believes that the stochastic properties of returns of capital assets are consistent with a factor structure. -
INVESTMENT VENDORS the Following Is a Listing of the Investment Managers, Custodians, and Consultants That Serve the Massachusetts Public Pension Systems
INVESTMENT VENDORS The following is a listing of the investment managers, custodians, and consultants that serve the Massachusetts public pension systems. The listing is based on information supplied by the retirement boards. RETIREMENT BOARD INVESTMENT VENDORS ADAMS • Capital Research and Management • Granite Investment Advisors Custodian: State Street Bank & Trust AMESBURY • PRIT ANDOVER • PRIT ARLINGTON • PRIT • Wilshire Associates Inc. Custodian: State Street Bank & Trust ATTLEBORO • Boston Advisors, LLC • Herndon Capital Management, LLC • PRIT Custodian: People’s United Bank • Daruma Capital Management, LLC • Invesco Core Real Estate USA, LP • Regions Timberland Consultant: Dahab Associates Inc. • Fidelity Institutional Asset Management • Invesco National Trust Company • State Street Global Advisors • Frontier Capital Management Co., LLC • Orleans Capital Management Corp. • Wells Capital Management Inc. • Hancock Natural Resource Group, Inc. BARNSTABLE COUNTY • Intercontinental Capital Management, LLC • PRIT • UBS Realty Investors, LLC BELMONT • AEW Capital Management, LP • Loomis Sayles & Company • RhumbLine Advisers Custodian: State Street Bank & Trust • Atlanta Capital • Pacific Investment Management Company, LLC • Rothschild Asset Management Inc. Consultant: New England Pension • Harbourvest Partners, LLC • PRIT • Scout Capital Management, LLC Consultants BERKSHIRE COUNTY • PRIT BEVERLY • PRIT BLUE HILLS REGIONAL • PRIT BOSTON (CITY) • 57 Stars, LLC • EnTrust Partners, LLC • Permal Asset Management, Inc. Custodian: State -
Arbitrage Pricing Theory: Theory and Applications to Financial Data Analysis Basic Investment Equation
Risk and Portfolio Management Spring 2010 Arbitrage Pricing Theory: Theory and Applications To Financial Data Analysis Basic investment equation = Et equity in a trading account at time t (liquidation value) = + Δ Rit return on stock i from time t to time t t (includes dividend income) = Qit dollars invested in stock i at time t r = interest rate N N = + Δ + − ⎛ ⎞ Δ ()+ Δ Et+Δt Et Et r t ∑Qit Rit ⎜∑Qit ⎟r t before rebalancing, at time t t i=1 ⎝ i=1 ⎠ N N N = + Δ + − ⎛ ⎞ Δ + ε ()+ Δ Et+Δt Et Et r t ∑Qit Rit ⎜∑Qit ⎟r t ∑| Qi(t+Δt) - Qit | after rebalancing, at time t t i=1 ⎝ i=1 ⎠ i=1 ε = transaction cost (as percentage of stock price) Leverage N N = + Δ + − ⎛ ⎞ Δ Et+Δt Et Et r t ∑Qit Rit ⎜∑Qit ⎟r t i=1 ⎝ i=1 ⎠ N ∑ Qit Ratio of (gross) investments i=1 Leverage = to equity Et ≥ Qit 0 ``Long - only position'' N ≥ = = Qit 0, ∑Qit Et Leverage 1, long only position i=1 Reg - T : Leverage ≤ 2 ()margin accounts for retail investors Day traders : Leverage ≤ 4 Professionals & institutions : Risk - based leverage Portfolio Theory Introduce dimensionless quantities and view returns as random variables Q N θ = i Leverage = θ Dimensionless ``portfolio i ∑ i weights’’ Ei i=1 ΔΠ E − E − E rΔt ΔE = t+Δt t t = − rΔt Π Et E ~ All investments financed = − Δ Ri Ri r t (at known IR) ΔΠ N ~ = θ Ri Π ∑ i i=1 ΔΠ N ~ ΔΠ N ~ ~ N ⎛ ⎞ ⎛ ⎞ 2 ⎛ ⎞ ⎛ ⎞ E = θ E Ri ; σ = θ θ Cov Ri , R j = θ θ σ σ ρ ⎜ Π ⎟ ∑ i ⎜ ⎟ ⎜ Π ⎟ ∑ i j ⎜ ⎟ ∑ i j i j ij ⎝ ⎠ i=1 ⎝ ⎠ ⎝ ⎠ ij=1 ⎝ ⎠ ij=1 Sharpe Ratio ⎛ ΔΠ ⎞ N ⎛ ~ ⎞ E θ E R ⎜ Π ⎟ ∑ i ⎜ i ⎟ s = s()θ ,...,θ = ⎝ ⎠ = i=1 ⎝ ⎠ 1 N ⎛ ΔΠ ⎞ N σ ⎜ ⎟ θ θ σ σ ρ Π ∑ i j i j ij ⎝ ⎠ i=1 Sharpe ratio is homogeneous of degree zero in the portfolio weights. -
Introduction and Overview of 40 Act Liquid Alternative Funds
Introduction and Overview of 40 Act Liquid Alternative Funds July 2013 Citi Prime Finance Introduction and Overview of 40 Act Liquid Alternative Funds I. Introduction 5 II. Overview of Alternative Open-End Mutual Funds 6 Single-Manager Mutual Funds 6 Multi-Alternative Mutual Funds 8 Managed Futures Mutual Funds 9 III. Overview of Alternative Closed-End Funds 11 Alternative Exchange-Traded Funds 11 Continuously Offered Interval or Tender Offer Funds 12 Business Development Companies 13 Unit Investment Trusts 14 IV. Requirements for 40 Act Liquid Alternative Funds 15 Registration and Regulatory Filings 15 Key Service Providers 16 V. Marketing and Distributing 40 Act Liquid Alternative Funds 17 Mutual Fund Share Classes 17 Distribution Channels 19 Marketing Strategy 20 Conclusion 22 Introduction and Overview of 40 Act Liquid Alternative Funds | 3 Section I: Introduction and Overview of 40 Act Liquid Alternative Funds This document is an introduction to ’40 Act funds for hedge fund managers exploring the possibilities available within the publically offered funds market in the United States. The document is not a comprehensive manual for the public funds market; instead, it is a primer for the purpose of introducing the different fund products and some of their high-level requirements. This document does not seek to provide any legal advice. We do not intend to provide any opinion in this document that could be considered legal advice by our team. We would advise all firms looking at these products to engage with a qualified law firm or outside general counsel to review the detailed implications of moving into the public markets and engaging with United States regulators of those markets. -
Proposed Rule
Vol. 76 Friday, No. 29 February 11, 2011 Part V Commodity Futures Trading Commission 17 CFR Part 4 Securities and Exchange Commission 17 CFR Parts 275 and 279 Reporting by Investment Advisers to Private Funds and Certain Commodity Pool Operators and Commodity Trading Advisors on Form PF; Proposed Rule VerDate Mar<15>2010 21:44 Feb 10, 2011 Jkt 223001 PO 00000 Frm 00001 Fmt 4717 Sfmt 4717 E:\FR\FM\11FEP3.SGM 11FEP3 srobinson on DSKHWCL6B1PROD with PROPOSALS3 8068 Federal Register / Vol. 76, No. 29 / Friday, February 11, 2011 / Proposed Rules COMMODITY FUTURES TRADING Commission, Three Lafayette Centre, Web site (http://www.sec.gov/rules/ COMMISSION 1155 21st Street, NW., Washington, DC proposed.shtml). Comments are also 20581. available for Web site viewing and 17 CFR Part 4 • Hand Delivery/Courier: Same as printing in the SEC’s Public Reference RIN 3038–AD03 mail above. Room, 100 F Street, NE., Washington, • Federal eRulemaking Portal: http:// DC 20549 on official business days SECURITIES AND EXCHANGE www.regulations.gov. Follow the between the hours of 10 a.m. and 3 p.m. COMMISSION instructions for submitting comments. All comments received will be posted ‘‘Form PF’’ must be in the subject field without change; we do not edit personal 17 CFR Parts 275 and 279 of comments submitted via e-mail, and identifying information from clearly indicated on written submissions. You should submit only [Release No. IA–3145; File No. S7–05–11] submissions. All comments must be information that you wish to make RIN 3235–AK92 submitted in English, or if not, available publicly. -
Minutes of the Meeting Held on August 6, 2020 Present: Francis Murphy
Minutes of the meeting held on August 6, 2020 Present: Francis Murphy – Chairman, James Monagle, Michael Gardner, Nadia Chamblin- Foster, John Shinkwin, David Kale, Ellen Philbin, Rafik Ghazarian and Chris Burns. The meeting was called to order at 11:05 AM. The meeting was digitally recorded. Agenda Item #1 – Segal Marco Advisors Ghazarian reviewed Segal Marco’s written analysis of investment performance for the period ending June 30, 2020. Markets bounced back strongly following the losses in the early part of the year, but still remain negative on a year-to-date basis. Ghazarian reviewed the system’s current asset allocation. The system funded the investment with the Pinebridge bank loans fund in July. The system is slightly short of the target allocation in real estate. The hedge fund allocation was cut and is now targeted to 5% of the portfolio. Overall, the total fund was valued at $1.322 billion, representing a gain of 9.94% during the quarter. The fund underperformed with the policy index return of 13.99%. Ghazarian stated that part of this underperformance was attributable to the underperformance of value stocks. Another issue was the drop in the price of Cambridge Bancorp stock, which dragged down the entire equity sleeve. Lazard has also continued to underperform. The hedge fund sleeve also saw poor performance, returning 1.25% in the last quarter, vs. the benchmark at 7.25%. Ghazarain stated that a number of his clients had asked about “recovery funds” which have advertised returns of 15-20%. He noted that some similar funds had very strong performance after the 2008 financial crisis. -
Monthly Update
Guinness Global Money Managers Fund Guinness Global Money Managers Fund A high conviction equity fund managed by Will Riley and Tim Guinness investing in quoted companies in the asset management sector. INVESTMENT COMMENTARY – January 2020 Aim Asset management sector The Fund aims to deliver long‐term capital In this month’s update, we review the asset management growth by capturing the strong returns that sector and our Fund performance in 2019, and consider successful asset management companies can deliver to shareholders. the outlook for 2020 and beyond. We expect asset managers to outperform the Performance in 2019 broad market over the long term, primarily due to the ability of successful managers to grow their Total return % (in USD) 2019 earnings more rapidly than the broad market. Guinness Global Money Managers Fund 32.1 MSCI World (net return) 27.7 MSCI World Financials Index (net return) 25.5 Performance 31.12.2019 IA Global Equity sector 23.4 150% IA Global Financials sector 21.6 Guinness Global Money Managers 130% IA Global sector Source: Bloomberg, Financial Express 110% FE Offshore financials funds The Global Money Managers Fund (class E, in USD) in 2019 90% produced a total return of +32.1%. This compares to the return of the MSCI World Index (net return) of +27.7% and 70% the MSCI World Financials Index of +25.5%. 50% After a period of weak performance in 2018, the money 30% management sector rebounded well in 2019. Strength 10% across asset classes, particularly equities, acted as a major Cumulative total return from Fund launch support, since nearly all participants are operationally ‐10% (31.12.10), in GBP geared to rises and falls in the market. -
Investment Vendors
INVESTMENT VENDORS The following is a listing of the investment managers, custodians, and consultants that serve the Massachusetts public pension systems. The listing is based on information supplied by the retirement boards. Retirement Investment Vendors Board Adams • PRIT Amesbury • PRIT Andover • PRIT • RhumbLine Advisers Consultant: Dahab Associates Arlington • PRIT Custodian: People’s United Bank Attleboro • Amalgated Bank • Hancock Timber Resource Group, Inc. • PRIT Custodian: People’s United Bank • BTG Pactual Timberland Investment Group • Intercontinental Real Estate Corp. • RhumbLine Advisers Consultant: Dahab Associates Inc. • Copeland Capital Management • Invesco Core Real Estate USA, LP • State Street Global Advisors • Fidelity Institutional Asset Management • Invesco National Trust Company • Van Eck • Frontier Capital Management Co., LLC • Peregrine Capital Barnstable County • PRIT Belmont • AEW Capital Management, LP • HarbourVest Partners, LLC • PRIT Custodian: People’s United Bank • Atlanta Capital • Loomis, Sayles & Company • RhumbLine Advisers Consultant: NEPC, LLC • Carillion Tower Advisors • Pacific Investment Management Company, LLC • Rothschild Asset Management Inc. Berkshire County • PRIT Beverly • PRIT Blue Hills Regional • PRIT Boston (City) • 57 Stars, LLC • EnTrust Global Partners • Polunin Capital Partners • AEW Capital Management, LP • Goldentree Asset Management, LP • Prudential Capital Partners Custodian: State Street Bank & Trust • Alcentra NY, LLC • Grosvenor Capital Management, LP • Prudential -
Abbey Capital Futures Strategy Fund ABYAX, ABYCX, ABYIX 31 March 2021
Abbey Capital Futures Strategy Fund ABYAX, ABYCX, ABYIX 31 March 2021 The Abbey Capital Futures Strategy Fund (the “Fund”), a multi-manager managed futures strategy, comprises an allocation to managed futures complemented with an actively-managed fixed income exposure, in a competitive cost structure Manager Primary Trading Style → Exposure to an asset class with Grains, fundamentally different drivers to Aspect Capital Limited Diversified Trendfollowing equities based on exploiting investor Meats & behavioural biases Energy Softs GAM Systematic LLP* Diversified Trendfollowing 9% 7% Currency → Exposure to a range of strategies 28% Eclipse Capital Management, Inc Diversified Trendfollowing including Diversified Trendfollowing and Global Macro trading styles Metals Graham Capital Management L.P. Diversified Trendfollowing 8% Revolution Capital Management Diversified Trendfollowing → Strategies executed across bond, equity, commodity and foreign Tudor Investment Corporation Diversified Trendfollowing exchange markets Welton Investment Partners LLC Diversified Trendfollowing → Quality managers selected and monitored by Abbey Capital, an Fixed Crabel Capital Management LLC Diversified Trendfollowing allocator with a 20 year record of Income successful multi-manager investing Equity Winton Capital Management Limited Diversified Trendfollowing 27% Indices P/E Global, LLC Global Macro → Segregated accounts structure to 21% legally segregate the Fund’s assets Trigon Investment Advisors, LLC Global Macro and liabilities allocated to each Manager Episteme Capital Partners UK (LLP) Value ▲Source: Abbey Capital. The target market exposure data shown above relates to the positions held by wholly-owned and controlled subsidiaries of the Fund and does not take into account any other assets held by the Fund (primarily cash and cash-equivalents). The Fund is actively managed and percentages may vary over time. -
Fifty Leading Women in Hedge Funds 2020
Fifty Leading Women in Hedge Funds 2020 I N A S S O C I A T I O N W I T H 50 LEADING WOMEN IN HEDGE FUNDS 2020 50 LEADING WOMEN IN HEDGE FUNDS 2020 Introduction HAMLIN LOVELL, CONTRIBUTING EDITOR, THE HEDGE FUND JOURNAL his is the eighth edition of our managers of all time – according to LCF Edmond 50 Leading Women in Hedge de Rothschild analysis – namely Bridgewater Funds report and is published Associates and Lone Pine. The two Lone Pine in association with EY for the women in this year’s report are two of the three seventh time. Whilst Covid-19 portfolio managers who succeeded Lone Pine’s has denied us the opportunity founder Steve Mandel. Three of the report’s to host accompanying events discretionary equity portfolio managers specialize in London and New York, at in the healthcare and biotechnology sector, which least this year, the professional achievements has attracted more attention this year for obvious Tof the women featured in this year’s report reasons. Four of the investment professionals shine through, nonetheless. We are so pleased work for systematic and quantitative hedge fund An analysis of the S&P to be publishing this report just a few days after managers, which is notable given the general Kamala Harris made history by becoming the dearth of women in STEM. Another noteworthy first female, first black and first Asian-American cluster is three women managing multi-billion Composite 1500 found US Vice-President-elect. s the leading global evidence is clear. Having more amounts in liquid credit strategies. -
GAM Star Fund P.L.C. Unaudited Half-Yearly Report
GAM Star Fund p.l.c. Unaudited Half-Yearly Report 31 December 2018 No notification pursuant to Section 310 Capital Investment Code (Kapitalanlagegesetzbuch) has been filed with respect to the followingunds F and the Shares in such Funds may therefore not be distributed to investors in Germany: – GAM Star Balanced – GAM Star Cautious – GAM Star China Bond – GAM Star Defensive – GAM Star Dynamic Growth – GAM Star Flexible Allocation EUR – GAM Star Flexible Allocation Plus EUR – GAM Star Flexible Allocation USD – GAM Star Global Income – GAM Star Growth – GAM Star UK Equity Income – GAM Systematic Alternative Risk Premia Ex-A Any continuing authorisation pursuant to Sec. 355 (4) of the German Capital Investment Code (Kapitalanlagegesetzbuch) for activities that did not qualify as public marketing under the German Investment Act (Investmentgesetz) remains unaffected. Copies of the Prospectus, the Key Investor Information Documents, the Memorandum and Articles of Association and the most recent audited annual and the unaudited semi-annual reports may be obtained in paper form free of charge at the registered office of the Information Agent in the Federal Republic of Germany. Net Asset Value per Share of a Fund, the issue and redemption prices (and if applicable the conversion prices) may be obtained free of charge from the Information Agent in the Federal Republic of Germany. No notification has been filed with respect to the following Funds in Austria and the Shares in such Funds may therefore not be publicly distributed to investors in Austria: