alternative investments, including managed futures and hedge funds, involve substantial risk of loss...

Alternative Investments, including managed futures and hedge funds, involve substantial risk of loss and are not suitable for all investors. Past performance is not indicative of future results.

This material does not constitute an offer to sell or a solicitation of an offer to buy or sell, any commodities or securities and is intended for informational purposes only.

Liquidity Matters – Pure & Applied Techniques in Liquidity Management

Managed Accounts and Managed Futures: Why Many Pensions Are Insisting on Them

National University of Singapore (Institute of Mathematical Sciences & Risk Management Institute) – Workshop on Stochastic Control ProblemsPresented by: Dr. Ranjan Bhaduri, CFA, CAIA

Managing Director, AlphaMetrix Alternative Investment Advisors, LLCHead of Research, AlphaMetrix, LLC

Date: Friday, December 18th, 2009.

1

This presentation is solely for informational and discussion purposes only. These materials do not constitute an offer to sell or the solicitation of an offer to buy or sell interests in any financial instrument or any product. Any offer for any investment product will be made solely by a confidential offering memorandum. Information contained herein is confidential and may not be reproduced in any format.

102309CA



Agenda

• The Interplay between Liquidity, Transparency and Technology• Managed Accounts – What One Should Know• The Role of Managed Accounts in an Institutional Portfolio• Lintner Revisited – Managed Futures

2102309CA



Liquidity, Transparency and Technology

• Liquidity, transparency and technology are interrelated• Investor may be invested in a fund vehicle that offers favorable liquidity terms,

but:– Lack of transparency leaves the investor vulnerable to

• Style drift• Concentration risk

• If a blowup were to happen for any of these reasons, the investor could still redeem afterward, but would have to do so after incurring a significant loss

3102309CA




• Liquidity and model risk and entangled• No model is perfect• Financial modeling and measurement of risk complicated by valuation of illiquid

instruments– Infrequent pricing obscures relationship between price and the variables used in

the valuation model– Often results in hidden risks

• During a “fire sale” or crisis event, the seller may be forced to accept a deep discount in price to exit an illiquid position

– Model risk is significantly magnified as a result

4102309CA




“You can check in, but you can’t check out.” (Lock-ups, Gates, Side Pockets, Exit Fees)

5102309CA




“Liquidity is the first line of Defense.”- Daniel MacDonald, CFA, Portfolio Manager, Alternative InvestmentsOntario Teachers Pension Plan

6102309CA




Know Model Risk

“Nothing at MIT had ever reminded me of my lab at home. I suddenly realized why Princeton was getting results. They were working with the instrument. They built the instrument; they knew where everything was, they knew how everything worked.”

- Late Nobel Laureate Richard Feynman on why Princeton’s cyclotron was getting better results than MIT’s.

7102309CA




“Transparency is the best antiseptic.” Aleks Kins, President & CEO of AlphaMetrix

8102309CA




Transparency, however, can be elusive…

9102309CA




• Transparency via managed accounts comes in the form of large amounts of data

– Must be parsed– Must be cleaned and verified– Multiple sources and formats (i.e., different prime brokers/FCMs)– Trade information and market prices are constantly changing– Reconciliation with administrator and trading manager

• Technology allows investors to synthesize the information transparency provides so that they can unlock the value of liquidity

10102309CA



Separately Managed Accounts - Overview

A separately managed account is an investment vehicle through which an investor opens an account at a prime broker or futures commission merchant in his or her name and provides a trading manager with limited power of attorney to trade the account on his or her behalf in exchange for a fee.

11102309CA




• Primary strengths– Liquidity is controlled by the investor

• No lockups, gates, side-pockets, or suspension of NAV– Transparency of positions

• Facilitates ongoing monitoring and due diligence• Concentration risk, style drift

– Custody or control of assets• Cash is not wired to the trading manager but remains at prime broker or

FCM– Provides the investor with operational control and reduces the role of the

manager to trading– Allows for efficient funding of investments

12102309CA




• Given these obvious strengths, why have separately managed accounts only become popular recently?

• Financial crisis of 2008 exposed:– Liquidity mismatches

• Gates, lockups, suspension of redemptions, side pockets– Fraud– Concentration/blowup risk– Style drift, strategy drift

13102309CA




Challenges to investing via separately managed accounts:• Minimum investment is often quite high• Often difficult to negotiate; legal costs can be high (Trading Advisory

Agreement)• Potentially unlimited liability – margin calls• Technology necessary to harness data to make use of transparency• Operationally difficult to manage

– Investor must perform middle and back office functions• Trade reconciliation, often with multiple counterparties• Accruals of fees and expenses

– Negotiate brokerage commissions– Negotiate ISDAs for over-the-counter instruments

14102309CA



Managed Account Platforms – A potential solution?

Managed account platforms offer investors a variety of structures and formats:• Pooled managed accounts

– Hybrid managed account/fund structure– May offer investors superior liquidity and transparency– Third-party custody and control– Turnkey access to trading managers

• Separate structures– Investor utilizes platform to consolidate operations– Data aggregation and risk monitoring

• Potential weaknesses– Selection of managers (biases and quality)– Extra fees– Tracking error

15102309CA



Comparison of Managed Accounts, Funds and Managed Account Platforms: Institutional Investors’ Perspective

Fund Investment

Separately Managed Account

Managed Account Platform

Convenience Yes No Yes

Limited Liability Yes No Yes - If Pooled

Liquidity Varies Superior Varies

Ability to Liquidate Positions to Protect Investor No Yes Yes

Transparency Varies Full Varies

Custody/Control of Assets Manager Investor Third Party

Investment Minimum Low High Low

Operationally Complex No Yes No

Tracking Error None Yes Yes

Extra Fees (No) No Yes

16102309CA



Lintner Revisited

Dr. John Lintner Ph.D., Harvard University• One of the co-creators of the Capital Asset Pricing Model• Presented “The Potential Role of Managed Commodity-Financial Futures

Accounts (and/or Funds) in Portfolios of Stocks and Bonds” at the Annual Conference of the Financial Analysts Federation in Toronto in May 1983.

“Indeed, […] the return/risk trade-offs provided by augmented portfolios consisting partly of funds invested with appropriate groups of futures managers (or funds) combined with funds invested in portfolios of stocks alone (or in mixed portfolios of stocks and bonds), clearly dominate the trade-offs available from portfolios of stocks alone (or from portfolios of stocks and bonds). [Lintner, pages 105-106]

17102309CA



Lintner Revisited

• Objectives of “Lintner Revisited: A Quantitative Analysis of Managed Futures in an Institutional Portfolio”

– Revisit Dr. Lintner’s analysis of the role of managed futures in institutional portfolios to see if his insights remain true 25 years later

• Apply techniques previously unavailable to Dr. Lintner, such as the analysis of Omega functions

– Re-introduce Managed Futures as a group of liquid transparent hedge fund sub-strategies which trade global exchange-traded futures and deep liquid FX forward markets and do not tend to exhibit correlation to traditional or alternative investments

– Dispel some commonly held misconceptions about managed futures– Provide an overview of some more common strategies employed by CTAs– Explore the tendency of managed futures investments to perform well during

market dislocations– Discuss some of the unique benefits managed futures offer institutional

investors

18102309CA



Managed Futures - Overview

Hedge Fund – A managed portfolio that may trade long and short, employ leverage and is generally not subject to restrictions in terms of investment strategy or the types of instruments traded.

Mutual Funds Private Equity

19102309CA



Managed Futures - Overview

• What is Managed Futures?– A group of liquid transparent hedge fund sub-strategies employed by professional

money managers who trade a diversified mix of liquid global markets utilizing futures, forwards and options on the foregoing

– Instruments tend to be exchange-traded; no valuation or accounting issues

20102309CA



What Managed Futures is Not – Common Misconceptions

• Commodity Trading Advisors (CTAs) trade only natural resources/commodities– Trade diversified liquid global markets including equity indices, fixed income and

currencies• Association of CTAs with passive long-only commodity indices such as the S&P

GSCI, DJ UBS Commodity Index and Rogers International Commodity Index– Misleading because these do not account for active management and only include

a small fraction of the investment universe of most CTAs– Also may lead to general misconceptions about riskiness

• All CTAs are trend followers– Managed futures is a tremendously diverse and rich space

21

FUTURES TRADING IS SPECULATIVE, AND INVESTORS CAN LOSE ALL OR SUBSTANTIALLY ALL OF THEIR INVESTMENT. MEASURES THAT PROFILE RISK AND REWARD SUCH AS STANDARD DEVIATION, MAX DRAW DOWN AND THE SHARPE RATIO MAY MATERIALLY UNDERSTATE TRUE RISK BECAUSE FUTURES TRADING IS SUBJECT TO A "RISK OF RUIN" WHICH IS NOT REFLECTED IN SUCH STATISTICS. COMPARISONS OF ACTIVELY MANAGED PRODUCTS TO PASSIVE FINANCIAL INDICES INVOLVE MATERIAL INHERENT LIMITATIONS.

102309CA



Managed Futures Strategies and Styles

• Trend Following– Seeks to capture directional trends or momentum across diversified portfolios of

futures markets– Continuous innovation and evolution– Multi-strategy– Multiple portfolio managers or risk silos within the same trading program

• Global Macro– Discretionary or systematic global macro trading based on macroeconomic themes

over multiple time frames. A Macro CTA seeks to profit from analysis of global economic factors (for example, interest rates, economic policies and currency fluctuations).

• Statistical/Quantitative– Employs sophisticated statistical or quantitative techniques borrowed from or

applied in the sciences. Examples include signal processing, neural networks and genetic algorithms. Typically technical and systematic.

22102309CA




• Short-term Trading– Holding periods of a few hours or days allow traders to exploit short-term trends or

countertrends that behavioral finance research suggests result from the emotional reactions of market participants. Can be systematic, discretionary, or opportunistic; typically based on technical analysis.

• Sector Specialists– Natural Resources (Energy, Agriculture, Metals)

• Seeks to capture trends and countertrends, as well as relative value/market structure opportunities in natural resources/commodities markets. Trading styles vary from diversified systematic managers searching for trends to fundamental niche sector specialists trading only the grains and meats, for example.

– Financials (Equity Indices, Fixed Income, FX)• Seeks to capture trends and countertrends, as well as fundamental mispricing through

discretionary or econometric analysis– Foreign Exchange (FX)

• Seeks to capture trends and countertrends, as well as international interest rate differences, in the foreign exchange markets. Most foreign exchange trading is done primarily in highly liquid G10 currencies* (a group of 10 large developed economies).

*Eurozone, United States, United Kingdom, Switzerland, Japan, Canada, Australia, New Zealand, Norway and Sweden

23102309CA




• Managed futures is best described as a group of liquid transparent hedge fund sub-styles unified by the fact that they trade global futures and FX markets

– Discretionary or Systematic– Wide diversity of trading styles and holding periods may also yield returns that

exhibit low correlations to traditional assets – like different radio receivers that “tune in” to different market frequencies

– Broad range of markets and the ability to go long, short, or neutral, as well as take relative value or spread positions

– Taking both long and short positions may enable managers to produce returns that are uncorrelated with traditional assets

– Ability to actively manage risk and quickly shift positions to exploit opportunities

24102309CA



Managed Futures: Potential Benefits

• Transparency, liquidity and custody– Managed futures strategies typically offer high levels of transparency into their portfolios,

facilitating risk oversight and monitoring– Trade deep, liquid global markets; allows managers to more easily manage risk and offer

superior liquidity to underlying investors– Third party custody of assets helps to mitigate the risk of fraud, blow-ups

• Potential low correlation to traditional equity and fixed income markets, as well as other alternative investments

– Managed futures may reduce risk in some market environments and enhance returns in others

– Managed futures have, from time to time, historically performed well during equity market drawdowns

• CTAs often capture trends that result as investors flee equities for the safety of bonds or hard assets like commodities

– Often uncorrelated even to one another• Global market exposure through a variety of assets

– Trade international financial and commodity markets; diverse opportunity set – Trade long, short, or neutral futures, forwards and futures options

25102309CA



Global Growth of Managed Futures

Growth has increased as investors have attempted to capture the potential benefitsA

sset

s U

nd

er M

anag

emen

t (B

illi

on

s)

1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008$0

$20

$40

$60

$80

$100

$120

$140

$160

$180

$200

$220

Source: BarclayHedge

26102309CA



Managed Futures Risk Management

3-Year Rolling Returns: Various Traditional and Alternative Indices, January 1990 – August 2009

Source: AlphaMetrix Alternative Investment Advisors, CME Group, Bloomberg

Jan-90

Sep-90

May-91

Jan-92

Sep-92

May-93

Jan-94

Sep-94

May-95

Jan-96

Sep-96

May-97

Jan-98

Sep-98

May-99

Jan-00

Sep-00

May-01

Jan-02

Sep-02

May-03

Jan-04

Sep-04

May-05

Jan-06

Sep-06

May-07

Jan-08

Sep-08

May-09

-60%

-40%

-20%

0%

20%

40%

60%

80%

100%

120%

140%

S&P 500Barclay CTA

Barclay CTA

Index

Maximum 79.43%Average 22.91%Minimum 1.48%

Number of Negative Periods

0

27


102309CA




3-Year Rolling Returns: Various Traditional and Alternative Indices, January 1990 – August 2009

*Barclays Bond Composite Global Index did not report returns for Sep 2008 and Oct 2008Source: AlphaMetrix Alternative Investment Advisors, CME Group, Bloomberg

S&P 500 Index

Barclays Bond Composite

Global Index*

S&P Goldman Sachs Commodity Total Return Index

HFR Equity Hedge Index

HFRI Fund

Weighted Index

Barclay CTA

Index

Barclay BTOP 50

Index

Number of Negative Periods (n = 200)

47 0 55 13 4 0 0

28


102309CA



Mistaking Liquidity for Alpha

Consider the Following:• Hedge Fund A has a two-year lock-up with annual redemption and trades illiquid

instruments• Hedge Fund B has no lock-up with monthly redemption and trades liquid instruments• Both hedge funds have a five-year track recordHow can the two investments be compared? (Answer: Liquidity Buckets)• Empirical Research conducted on the returns of 1,904 hedge funds over the three year

period from June 2004 – June 2007 neither supported nor refuted the existence of a liquidity premium in the returns of illiquid hedge funds.

– Bhaduri and Art, “Liquidity Buckets, Liquidity Indices, Liquidity Duration and their Applications to Hedge Funds,” Alternative Investment Quarterly, Second Quarter, 2008.

• Illiquid hedge funds with lock-ups have since underperformed liquid hedge funds in general – is there any reason to invest with illiquid managers?

• Lock-ups hold the investor prisoner!

29102309CA



Private Equity – LONG Lock-ups! (i.e. long jail sentence)

• Does Private Equity Investments really compensate investors for the illiquidity?

In general, much more hidden risks in private equity than in Liquid Alpha programs.

• Private Equity – much like folks who go to a casino (only talk about winnings, not losses)

Private Equity – no good data, valuations are often not accurate.

• Private Equity – some investment boards may only approve because of the word “equity”

30




Source: AlphaMetrix Alternative Investment Advisors, CME Group, Bloomberg

• CTAs employ active risk management which typically includes disciplined adherence to well-defined stop-loss limits• Managed futures programs also have the ability to go long, short, or neutral which also may help CTAs to recover more

quickly from drawdowns by generating returns in falling markets• Indices of managed products are not indicative of the performance of any individual account.

Jan-90

Aug-90

Mar-91

Oct-91

May-92

Dec-92

Jul-93

Feb-94

Sep-94

Apr-95

Nov-95

Jun-96Jan

-97

Aug-97

Mar-98

Oct-98

May-99

Dec-99

Jul-00

Feb-01

Sep-01

Apr-02

Nov-02

Jun-03Jan

-04

Aug-04

Mar-05

Oct-05

May-06

Dec-06

Jul-07

Feb-08

Sep-08

Apr-09

-60%

-50%

-40%

-30%

-20%

-10%

0%Drawdowns of S&P 500 and Barclay CTA Index, Jan 1990 – Aug 2009

Barclay CTA S&P500

Draw

dow

n

31


102309CA



The Case for Diversification: Omega Functions

0 1.6 3.22344.87066.54198.23759.957911.70313.474 15.27 17.09318.94220.817 22.72 24.65 26.60828.5940

0.5

1

1.5

2

2.5

3

Omega Graph: BTOP 50 Index and Traditional Portfolio of Equities and Fixed Income, January 1987 – August 2009

BTOP 50 Index

Traditional Portfolio (60% S&P 500 Index/40% Barclays Capital Bond Composite Global Index)

50% BTOP 50 Index/50% Traditional Portfolio (60% S&P 500 Index/40% Barclays Capital Bond Composite Global Index)

Annualized Return Threshold (%)

Om

ega

Perf

omra

nce

Mea

sure

* Barclays Bond Composite Global Index did not report returns for Sep 2008 and Oct 2008Source: AlphaMetrix Alternative Investment Advisors, CME Group, Bloomberg

32


102309CA



The Case for Diversification: Correlations

Managed futures have potential to show low correlation to broader market indices (Jan 1990 – Aug 2009)

* Barclays Bond Composite Global Index did not report returns for Sep 2008 and Oct 2008Source: AlphaMetrix Alternative Investment Advisors, Bloomberg. Indices of managed products are not indicative of the performance of any individual account.

S&P 500 IndexBarclays Bond

Composite Global Index*

S&P Goldman Sachs Commodity Total

Return Index

HFR Equity Hedge Index

HFRI Fund Weighted

Index

Barclay BTOP 50 Index

Barclay CTA Index

S&P 500 Index 1.00

Barclays Bond Composite Global Index

0.15 1.00

S&P Goldman Sachs Commodity Total Return

Index0.09 0.05 1.00

HFR Equity Hedge Index 0.71 0.07 0.31 1.00

HFRI Fund Weighted Index 0.73 0.06 0.26 0.95 1.00

Barclay BTOP 50 Index -0.14 0.26 0.13 -0.05 -0.05 1.00

Barclay CTA Index -0.14 0.20 0.18 -0.02 -0.02 0.92 1.00

33


102309CA



Managed Futures – Performance During Equity Market Drawdowns

Performance of the Barclay CTA Index during 15 Worst Quarters of S&P 500 Index Performance

Period EventS&P 500

IndexBarclay CTA

IndexDifference

Fourth Quarter 1987 Black Monday - Global Stock Markets Crash -23.23% 13.77% 37.00%

Fourth Quarter 2008 Bear Market in U.S. Equities led by Financials -22.56% 6.70% 29.26%

Third Quarter 2002 WorldCom Scandal -17.63% 6.77% 24.41%

Third Quarter 2001 Terrorist Attacks on World Trade Center and Pentagon -14.99% 2.62% 17.61%

Third Quarter 1990 Iraq Invades Kuwait -14.52% 15.82% 30.33%

Second Quarter 2002 Continuing Aftermath of Technology Bubble Bursting -13.73% 8.20% 21.93%

First Quarter 2001 Bear Market in U.S. Equities led by Technology -12.11% 3.75% 15.87%

Third Quarter 1998 Russia Defaults on Debt, LTCM Crisis -10.30% 8.95% 19.25%

First Quarter 2008 Credit Crisis, Commodity Prices Rally -9.92% 6.90% 16.82%

Third Quarter 2008 Credit Crisis, Government-Sponsored Bailout of Banks -8.88% -3.01% 5.87%

Fourth Quarter 2000 DotCom Bubble Bursts -8.09% 9.86% 17.95%

Third Quarter 1999 Anxiety during Run Up to Y2K -6.56% -0.79% 5.77%

First Quarter 1994 Federal Reserve Begins Increasing Interest Rates -4.43% -2.76% 1.68%

Fourth Quarter 2007 Credit Crisis, Subprime Mortgage Losses -3.82% 4.07% 7.89%

First Quarter 1990 Recession in U.S., Oil Prices Spike -3.81% 5.43% 9.24%

Source: AlphaMetrix Alternative Investment Advisors, Bloomberg

- Indices of managed products are not indicative of the performance of any individual account.

34


102309CA



Managed Futures – Performance During Equity Market Drawdowns

• While not a hedge, managed futures has historically tended to perform well during periods that have been difficult for equities and many other hedge fund strategies

• This effect may possibly enhance the benefits from diversification managed futures offer by potentially contributing to an investor’s portfolio during periods that may be difficult for other investments

8/00 - 2/03

35


102309CA



Efficient Funding

• Investors can use the low margin requirements of futures contracts and FX forwards to efficiently fund investments. For example:

– An institutional investor has US$50 million that she would like to invest in a managed futures strategy whose maximum margin usage and volatility suggests that it would be prudent to use notional funding at a level of 2X. The investor then only needs to post $25 million cash as initial margin to gain $50 million notional exposure. She can then place the other $25 million cash in Treasury bills to receive interest or deploy this cash elsewhere in its portfolio.

36102309CA



Efficient Funding: Managed Futures Overlay – How it Works

• Begin with initial capital outlay (100%).

• Invest 10% of the cash in managed futures. As they require only a small cash deposit, it is easy and prudent to use notional funding to increase exposure to the managed futures component to 20% for no additional capital outlay.

• Invest remaining 90% of cash in fund investments.

• Result is enhanced portfolio diversification.

37102309CA



Conclusion

1. Liquidity, Transparency and Technology are all interrelated and reinforce one another

2. Managed account solutions may help institutional investors mitigate the risks associated with investing in hedge funds

3. Managed futures is a diverse and rich space offering investors opportunities to generate uncorrelated returns in liquid, transparent and exchange-traded markets

4. Why invest in illiquid strategies when it may be possible to generate similar returns with liquid strategies?

38102309CA



References

• Abrams, Ryan and Ranjan Bhaduri and Elizabeth Flores. “Lintner Revisited: The Benefits of Managed Futures 25 Years Later,” CME Group, 2009.

• Bhaduri, Ranjan and Christopher Art. “Liquidity Buckets, Liquidity Indices, Liquidity Duration and their Applications to Hedge Funds,” Alternative Investment Quarterly, Second Quarter 2008.

• Bhaduri, Ranjan and Niall Whelan. “The Value of Liquidity,” Wilmott Magazine, January 2008.

• CME Group. “Managed Futures: Portfolio Diversification Opportunities,” CME Group, 2008.

39102309CA



Appendix

Source: Keating and Shadwick, 2002

40102309CA



Acknowledgements

• Aleks Kins, AlphaMetrix LLC

• Min Dai, National University of Singapore

• National University of Singapore – Institute of Mathematical Sciences

• National University of Singapore – Risk Management Institute

• Liz Flores, CME Group

• Ryan Abrams, AlphaMetrix Alternative Investment Advisors



Important DisclaimersThese materials are solely informational and for discussion purposes only. In preparing these materials, we have relied upon and assumed without independent verification, the accuracy and completeness of all information available from public and internal sources. AlphaMetrix does not undertake to advise you of changes in the information or materials contained herein, and we shall not in any way be liable for claims relating to them, and make no express or implied representations or warranties as to their accuracy or completeness or for statements or errors contained in, or omissions from, them. The investment strategies discussed herein may not be suitable for all investors. The statistics contained in this report may contain model error which may be non-trivial. It should be understood that pro-forma statistics may have very serious limitations and shortcomings. Investors must make their own investment decisions based on their own investment objectives and financial position. An investor must be prepared to lose all or substantially all of any investment. These materials do not constitute an offer to sell or the solicitation of an offer to buy interests in any financial instrument or participate in any trading strategy. Any offering of interests in any investment vehicle will be made solely pursuant to the offering memorandum relating to such investment vehicle. No investment should be made without a detailed review of an offering memorandum, including, without limitation, risk factors. There may be many risks, some unarticulated and potentially very large, with any investment vehicle. Any investment returns, past, pro forma, or otherwise, are not a guarantee of future performance. Returns reflect past performance, and past performance is not indicative of future returns. Hedge Funds, Commodity Trading Advisors, and other alternative investments often engage in leveraging and other speculative investment practices that may increase the risk of loss, can be highly illiquid, are not required to provide periodic pricing or valuation information to investors, may involve complex tax structures and delays in distributing important tax information, and often charge high fees. The information in this document is directed only to qualified persons with whom AlphaMetrix and its principals have a pre-existing relationship, and therefore is meant for the review of the named recipient only. Please do not forward, copy or otherwise circulate this letter or any other information in this letter to any persons not affiliated with the recipient. This document does not constitute an offer to sell, or a solicitation of an offer to buy or sell any products named herein, any commodities interests, futures contracts, or securities, and is intended for informational purposes only. Any offer for any investment product will be made solely by a confidential private placement memorandum. Alternative investment products, including hedge funds and managed futures, involve a high degree of risk. Alternative investment performance can be volatile. An investor could lose all or a substantial amount of his or her investment. Alternative investment products often execute a substantial portion of their trades on non-U.S. exchanges. Investing in non-U.S. markets may entail risks that differ from those associated with investments in U.S. markets.

42102309CA

alternative investments, including managed futures and hedge funds, involve substantial risk of loss...

Documents

managed futures

substantial risk of

measurement of risk

informational purposes

illiquid position model

indicative of future

hedge funds

valuation model