Investors flock to specialty investments
Skip to main content
pilogo-NEW
Subscribe
  • Subscribe
  • My Account
  • login
  • NEWS
    • Asset owners and the coronavirus
    • Alternatives
    • Consultants
    • Coronavirus
    • Defined Contribution
    • ESG
    • Frontlines
    • Hedge Funds
    • Investing / Portfolio Strategies
    • Money Management
    • Pension Funds
    • People Moves
    • Private Equity
    • Real Estate
    • Searches & Hires News
    • SECURE Act
    • Special Reports
    • WorldPensionSummit
    • Ron Schmitz
      Pandemic drives faster transition for Virginia to private markets
      Mubadala Investment Co. logo
      Mubadala draws on portfolio in coronavirus fight
      T.J. Carlson
      Texas Muni reduces downside risk during pandemic, finding opportunities now
      Scott Davis
      ‘Triage plan’ at Indiana system helped stem losses
    • CI Financial launches global real estate, infrastructure joint venture
      Tina Byles Williams
      Xponance, Investcorp link up to give diverse alts managers a boost
      MidOcean taps 2 for investor relations team
      Erik Hirsch
      Russell’s deal with Hamilton Lane about forming ‘strategic partnership’
    • Hub International agrees to buy Plan Sponsor Consultants
      Aon names public markets solution leader
      Deloitte to acquire Sydney-based consulting firm Rice Warner
      Jo Holden
      Mercer picks new global head of investment research
    • Jerome Powell, chairman of the Federal Reserve, listens during a Senate Banking Committee hearing in Washington on Dec. 1, 2020
      Fed saw some time before taper conditions met – minutes
      International Monetary Fund and World Bank spring meetings signage at the IMF headquarters in Washington
      IMF upgrades global growth forecast, warns of diverging recoveries
      A cashier standing behind a protective barrier assists a customer at a Peter Harris Clothes store in Latham, N.Y.
      Job growth tops 900,000 in March as hiring broadens
      Duncan Bonfield, CEO of IFSWF
      Institutional investors putting risk back on the table – report
    • Economic Group Pension Services scoops up third-party administrator
      OregonSaves gathers $100 million in assets
      Treasurer: CalSavers hits 10,000-plus in employer sign-ups
      Wisconsin Deferred Compensation cutting American Beacon fund from lineup
    • 2 standards better than 1 when it comes to ESG reporting – research
      Girls Who Invest aims for diversity
      Investors press Berkshire Hathaway on climate action
      U.K. pension regulator warns plans on climate disclosures
    • Ken Griffin
      Ken Griffin donates $5 million to give Miami students internet
      New book culls institutional wisdom from podcast series
      Fearless Girl
      SSGA’s Fearless Girl statue now shattering glass ceiling
      Tangen video
      Norges chief dons chef’s hat to boost employees’ spirits
    • Hedge funds post best first-quarter return since 2000
      Jason Kephart
      Managers see good times ahead in 2021
      Jev Mehmet, CEO of Brevan Howard's Coremont unit
      Brevan Howard runs $50 billion unit like BlackRock’s Aladdin
      A sign outside a Credit Suisse Group bank branch in Murten, Switzerland
      Credit Suisse, Nomura slump as banks tally Archegos damage
    • CalSTRS puts $1 billion into 2 BlackRock low-carbon strategies
      U.S. bonds have worst quarterly return since 1981
      Norway wealth fund should reduce equity universe – report
      Hedge funds post best first-quarter return since 2000
    • Former Winton executive joins digital asset trading firm
      Michael Dommermuth, chief executive officer of Manulife Asset Management speaks at the Bloomberg Markets Most Influential Summit in Hong Kong in 2015
      Manulife, Samsung Asset Management to cooperate on S. Korea opportunities
      Hamilton Lane puts 3 in charge of fund investment amid promotions
      two businessmen seal deal with handshake over table with documents, laptop, table, smartphone and documents
      Future Planet Capital acquires venture capital firm Midven
    • Pennsylvania State Capitol, Harrisburg
      PennPSERS subject of probe into fiscal-year return data
      Florida Senate bill seeks to close state pension plan to most new hires
      A foreign currency dealer on a telephone in a dealing room of Hana Bank in Seoul
      S. Korea tweaks NPS domestic equity target ranges
      NISA index ticks down in March, as funding gains
    • Former Winton executive joins digital asset trading firm
      Hamilton Lane puts 3 in charge of fund investment amid promotions
      TimesSquare Capital taps ISS veteran for ESG post
      Carl Pettersson
      Finland’s Elo chooses next CEO
    • Hand typing on stationary iPhone at an office reception desk
      Private equity’s taste for tech spurs $80 billion deal spree
      Vista Equity promotes 2 to leadership roles on 2 funds
      Azimut takes minority stake in HighPost
      Bills of euro, dollar and pound currencies, among others
      Ardian acquires Bregal’s stake in Freshstream fund
    • CalSTRS indutrial property
      Investors hungry for industrial properties
      Tim Wang
      GLP names co-president of logistics, industrial real estate for China
      Frank Forster
      StepStone Real Estate adds managing director for Europe
      Christine Iacoucci
      BentallGreenOak promotes from within to fill Canadian CIO role
    • Andy Schreiner
      New PEPs targeting firms without retirement plans
      Jackie Walorski
      Contribution catch-up for caregivers gaining favor
      Retirement cartoon
      Hopes rising for retirement readiness in 2021
      Neal and Brady
      Retirement security could be only issue both sides accept
    • Corporate pension contributions
      Eddy Awards 2021
      COVID-19: One year in
      Charging Bull, sometimes referred to as the Wall Street Bull or the Bowling Green Bull, a bronze sculpture that stands on Broadway just north of Bowling Green in the Financial District of New York City
      Top-performing managers Q4 2020
    • U.S. still a key market for investors
      Collected coverage of P&I's 2020 WorldPensionSummit
      Pedestrians pass a large advertisement on the Arndale Center shopping mall reading 'Act now to avoid a local lockdown' in Manchester, England
      COVID-19 puts new opportunities and risks on the agenda - WPS panelists
      Screens display stock price information over the trading floor of the NYSE Euronext exchange in Paris
      Private assets will continue to grow in portfolios – WPS panelists
  • Data
    • Research Center
    • Searches & Hires Database
    • Searches & Hires News
    • RFPs
    • Charts / Infographics
    • Sponsored Research
    • Trackers
    • Q2 2020 searches and hires overview report
      Q2 2020 money manager M&A activity summary
      Q2 2020 legal overview report
      Q1 2020 searches and hires overview report
    • Q1 2021 searches and hires overview report
      New Jersey hires 2 alts consulants
      CalSTRS puts $1 billion into 2 BlackRock low-carbon strategies
      Phoenix DC plans stick with Morley for stable value
    • Q1 2021 searches and hires overview report
      New Jersey hires 2 alts consulants
      CalSTRS puts $1 billion into 2 BlackRock low-carbon strategies
      Phoenix DC plans stick with Morley for stable value
    • Passive Investment Management Services
      Active Extended Global Credit Manager Search
      Actuarial Services
      Investment Management Services
    • U.S. bonds have worst quarterly return since 1981
      Stable value retains edge over money market funds
      Taiwan Semiconductor’s No. 1 in the emerging markets book
      U.S. fixed-income returns post another positive year
    • Institutional Investors: Shared Expectations, Divergent Paths
      Global Investor Study 2016
      Workplace Financial Wellness
    • U.S. Endowment Returns Tracker
      Pension Fund Returns Tracker
      Earnings Tracker
      Corporate Pension Contribution Tracker
  • Insights
    • Opinion
    • White Papers
    • Industry Voices
    • Letters to the Editor
    • Partner Content
    • Publisher's Update
    • CalPERS cartoon
      Urgency underscores CalPERS' search for a CIO
      Multiemployer plans cartoon
      Money — but no fixes — for multiemployer plans
      Vaccination cartoon
      Rallying to meet the ongoing COVID-19 challenge
      Tesla cartoon
      Don’t confuse wealth creation with retirement saving
    • China: the outlook is bright for longer-term investors
      Finding Differentiation in Securitized Assets
      Bipsync Client Stories: RMS in Action at Pensions and Superannuation Funds
      Green and sustainable bonds in emerging markets
    • Greg Shea and Steven Kindred
      Commentary: The solution for yield-seeking allocators may be hiding in plain sight
      Jim Park
      Commentary: Asian Americans, Pacific Islanders face ‘bamboo ceiling’ in money management
      Jared Gross
      Commentary: Anchors and allocations – breaking the grip of 60/40
      Peter Marber
      Commentary: Is it time for an emerging markets rally?
    • Writer using a typewriter
      OCIO industry needs to adopt GIPS
      Writer or journalist workplace. stock illustration
      Even as it assails China, Trump administration emulates it
      Skeptical of Main Street support for proxy adviser proposal
      Focus on manager diversity pushes asset owners’ to walk the talk
    • P&I Content Solutions
      Research for Institutional Money Management
      P&I Content Solutions
      Top questions for institutional investors
      Sponsored Content By Newton Investment Management
      Growth and Innovation in Emerging Markets
      P&I Content Solutions
      In Challenging Markets, Systematic Global Macro Strategies Could Hold Opportunity
    • Help us help you by supporting quality journalism
      You Must Believe in Spring
      Everything Must Change
      Tomatoes & Investments
  • Multimedia
    • Videos
    • Webinars
    • Polls
    • Slideshows
    • Charts / Infographics
    • watch video
      1:23
      The passive fixed-income glut
      watch video
      1:38
      Is it time for DC plans to embrace private equity?
      watch video
      5:39
      The coronavirus pandemic: One year later
      watch video
      0:45
      Private funds weathered 2020 turmoil
    • Understanding the PEP Evolution
      Divest or engage?
      New Outlook on Income: A Framework for Evaluating DC Retirement Income Solutions
      Innovations in DC: Helping supercharge retirement outcomes
    • POLL: The Biden infrastructure plan
      POLL: Retirement income solutions
      POLL: Working after the pandemic
      POLL: The year ahead for the 1,000 largest U.S. retirement funds
    • view gallery
      9 photos
      Coronavirus and the markets
      view gallery
      22 photos
      The 1,000 largest retirement funds: 2020
      view gallery
      10 photos
      Outlook 2020
      view gallery
      10 photos
      2019 as seen through the eyes of Roger
    • U.S. bonds have worst quarterly return since 1981
      A lost decade for funded status
      Graphic: The passive fixed-income glut
  • Events
    • Conferences
    • Webinars
    • DC Investment Lineup Virtual Series
      ESG Investing Virtual Series
      Private Markets Virtual Series
    • Understanding the PEP Evolution
      Divest or engage?
      New Outlook on Income: A Framework for Evaluating DC Retirement Income Solutions
      Innovations in DC: Helping supercharge retirement outcomes
  • Careers
  • Research Center
MENU
Breadcrumb
  1. Home
  2. INVESTING & PORTFOLIO STRATEGIES
November 02, 2015 12:00 AM

Investors flock to specialty investments

Global macro, managed futures strategies offer diversification

Christine Williamson
  • Tweet
  • Share
  • Share
  • Email
  • More
    Reprints Print
    Kenneth G. Tropin said investors moved $3 billion into his firm's managed futures strategy.

    Asset owners increasingly are turning to global macro and managed futures strategies in their efforts to diversify their portfolios.

    Institutional investors have invested at least $2.6 billion in 2015 in the two approaches, with global macro bringing in $1.5 billion and managed futures, $1.1 billion, according to Pensions & Investments' reporting.

    Actual investment totals likely are higher because many institutions don't release information about their investment changes. Indeed, one manager reported $3 billion of inflows to its global macro strategies alone so far this year.

    The resurgence of institutional investor interest in these subsets of the hedge fund industry this year is all about the lack of return correlation they have with traditional asset classes, said Arvin Soh, portfolio manager in GAM Group AG's alternative investment solutions unit in New York.

    Both strategies are popular as portfolio diversifiers because some asset owners with a tolerance for choppy — but profitable returns — want to capture “crisis alpha” during short or prolonged market downturns.

    Systematic, trend-following managed futures traders are best-suited to corral this form of alpha, albeit with a high probability for volatility, Mr. Soh said.

    By contrast, global macro strategies, which take a top-down approach to interpreting broad market trends, are better suited for investors with weaker stomachs when it comes to volatility.

    GAM runs a dedicated portfolio of managed futures and global macro funds with assets currently split evenly between the two, Mr. Soh said. GAM manages a total of $122.3 billion.

    Strong inflows

    Institutional marketers of both strategies report healthy inflows so far this year and full pipelines of new investors as well as additional allocations from existing clients.

    Investments in global macro and managed futures funds in 2015 have been sizable, including:

    nNew Jersey Division of Investment, Trenton, which invests the $79 billion New Jersey Pension Fund, invested an additional $150 million in Winton Capital Management Ltd.'s managed futures fund raising the allocation to $400 million. Existing managed futures specialist, Lynx Asset Management AB, received an additional $100 million to bring its allocation to $200 million. The division also invested an additional $110 million in MKP Capital Management LLC's global macro fund for a total allocation of $343 million. Stone Milliner Asset Management AG's global macro strategy received a first-time investment of $250 million. Another new manager, Laurion Capital Management LP, received a $100 million investment in its global macro/relative value strategy.

    nFlorida State Board of Administration, Tallahassee, which oversees $174.2 billion, invested $200 million in AQR Capital Management LLC's managed futures strategy, and $150 million in MKP Capital Management's global macro strategy.

    n Texas County & District Retirement System, Austin, invested $250 million of its $25.2 billion in Stone Milliner Asset Management's global macro strategy.

    nMunicipal Employees' Retirement System of Michigan, Lansing, invested $300 million of its $9.4 billion in William Blair Investment Management LLC's global macro strategy.

    nMaryland State Retirement & Pension System, Baltimore, with assets of $45.8 billion, invested $250 million in Graham Capital Management LP's managed futures strategy.

    But those institutions are only a part of the story.

    Kenneth G. Tropin, chairman of Graham Capital Management, Rowayton, Conn., said his firm has seen $3 billion flow into its now $7.4 billion managed futures strategy so far this year.

    “Finding diversification for an institutional portfolio is getting increasingly difficult,” Mr. Tropin said, noting that managed futures' positive performance 80% of the time and very good performance when equities are down is a “potent combination” that “truly is uncorrelated to equities and other asset classes.”

    AHL Partners

    Man Group's systematic managed futures business, AHL Partners LLP, also has experienced strong growth, with assets up $4.6 billion or 34.6% to $17.9 billion for the year ended June 30.

    AHL's asset surge came after a difficult period for managed futures funds between 2009 and 2013 because “government intervention and the fear of government intervention” played havoc with the price momentum signals that systematic trading programs use to buy and sell futures contracts, said Eric Burl, head of Man Group Americas in New York and co-head of global sales.

    Teachers' Retirement System of the State of Illinois, Springfield, has invested a total of $588 million in global macro and managed futures strategies so far this year, said Kenneth L. Musick, investment officer-diversifying strategies.

    The fund's $3.5 billion hedge fund portfolio is split into a $2.2 billion convergent portfolio that includes managers that are focused on idiosyncratic alpha sources and the $1.3 billion convex portfolio that seeks uncorrelated returns.

    Most of the assets invested in 2015 have been to the system's first managed futures managers as part of the build out of the convex portfolio: Brevan Howard Asset Management LLP ($148 million); Transtrend B.V. ($140 million); and ISAM (USA) LLC ($100 million). Global macro manager Quadratic Capital Management LLC received $50 million this year, as well. The pension fund also invested $150 million in PDT Partners' Mosaic equity-neutral strategy from the convergent hedge fund portfolio.

    Previously, the teachers' fund invested a total of $648 million in two global macro managers.

    Illinois Teachers' investment officials were “looking for the most diversification for the overall portfolio from the hedge fund portfolio,” Mr. Musick said, adding that the goal was to find the purest possible trend-following strategy from medium-sized firms, following medium-term trends and with the most efficient trade execution possible.

    The convex portfolio has done such a good job of diversification that Mr. Musick and his team have been able to allow the risk for individual hedge funds in the convergent portfolio to rise, and has lowered the overall portfolio's equity correlation.

    Illinois Teachers' hedge fund portfolio

    Market values are in millions as of June 30, 2015.

    Convergent strategiesInception dateMarket valueStrategy type
    Grosvenor Capital Mgmt.June 2007$421.1Hedge fund of funds
    Blue Mountain Capital Mgmt.March 2011$262.3Credit
    Tourbillon Capital PartnersDec. 2014$233.6Long/short equity
    Pine River Capital Mgmt.Feb. 2012$217.2Multistrategy relative value
    Carlson Capital (Black Diamond Thematic)July 2013$203.4Long/short equity
    Bluegill (formerly K2, liquidating)June 2007$189.0Hedge fund of funds
    Carlson Capital (Double Black Diamond )Feb. 2012$160.8Multistrategy relative value
    Varadero CapitalJune 2014$159.4Long-biased credit
    PDT Partners (Mosaic)June 2015$150.0Equity market-neutral
    Magnetar Capital Mgmt.Oct. 2013$144.6Multistrategy credit
    Monarch (Grosvenor, liquidating)Jan. 2014$60.1Hedge fund of funds
    Convergent portfolio total$2,201.5
     
    Convex strategiesInception dateMarket valueStrategy type
    Bridgewater AssociatesJan. 2009$352.5Global macro
    Alphadyne Asset Mgmt.June 2014$294.9Global macro
    Claren Road Asset Mgmt. March 2011$184.4Long/short credit
    Brevan Howard Asset Mgmt.June 2015$147.8Managed futures
    TranstrendJune 2015$139.8Managed futures
    ISAM (USA) June 2015$100.0Managed futures
    Quadratic Capital Mgmt.April 2015$50.0Global macro
    Convex portfolio total$1,269.4
     
    Hedge fund portfolio total$3,470.9
    Source: Illinois Teachers' Retirement System

    CalSTRS invests

    The $181.3 billion California State Teachers' Retirement System, West Sacramento, also made its first managed futures investments within the past year, placing $230 million with Graham Capital and $144 million with AQR.

    The managed futures investments, as well as the five global macro investments totaling $874 million that CalSTRS' investment staff placed between 2011 and 2014, are in the fund's $2.5 billion innovation and risk portfolio.

    The global macro and managed futures investments are “both experimental strategies, which the investment staff will study for a period of not less than three years, after which time the investment committee will review their performance and behavior to determine if they are right for the permanent portfolio. Those determinations have not yet been made,” said Ricardo Duran, a CalSTRS spokesman, in an e-mail.

    MKP Capital Management, New York, has found that institutional investors are more sophisticated and “understand much better what a diverse group global macro managers are,” ranging from entirely systematic to entirely discretionary approaches, said Anoop Dhakad, partner and head of client solutions.

    Global markets now are providing “a better environment for (global macro) managers than it was two years ago. There is real volatility, trends to follow and reversals that macro managers can play to their advantage,” said Samuel E. “Q” Belk IV, head of diversifying strategies at investment consultant Cambridge Associates LLC, Boston. n

    Related Articles
    Winton CIO to shift to venture capital, data units; deputy directors to take ov…
    Recommended for You
    More funds testing water on crypto-related assets
    More funds testing water on crypto-related assets
    Money managers eager to make leap to opportunity zone investing
    Money managers eager to make leap to opportunity zone investing
    Index investing: Not as passive as you might think
    Index investing: Not as passive as you might think
    Top questions for institutional investors
    Sponsored Content: Top questions for institutional investors
    sponsored
    Events
     
     
    Sponsored
    White Papers
    COVID-19 Makes LP Portfolio Management More Important Than Ever
    Green and sustainable bonds in emerging markets
    Finding Differentiation in Securitized Assets
    Bipsync Client Stories: RMS in Action at Pensions and Superannuation Funds
    Portfolio Protection: One Size Fits None
    China: the outlook is bright for longer-term investors
    View More
    Sponsored Content
    Partner Content
    The Industrialization of ESG Investment
    For institutional investors, ETFs can make meeting liquidity needs easier
    Gold: the most effective commodity investment
    2021 Investment Outlook | Investing Beyond the Pandemic: A Reset for Portfolios
    Ten ways retirement plan professionals add value to plan sponsors
    Gold: an efficient hedge
    View More
    E-MAIL NEWSLETTERS

    Sign up and get the best of News delivered straight to your email inbox, free of charge. Choose your news – we will deliver.

    Subscribe Today
    April 5, 2021 Page One

    Get access to the news, research and analysis of events affecting the retirement and institutional money management businesses from a worldwide network of reporters and editors.

    Subscribe
    Connect With Us
    • RSS
    • Twitter
    • Facebook
    • LinkedIn

    Our Mission

    To consistently deliver news, research and analysis to the executives who manage the flow of funds in the institutional investment market.

    pilogo-NEW
    About Us

    Main Office
    685 Third Avenue
    Tenth Floor
    New York, NY 10017-4036

    Chicago Office
    150 N. Michigan Ave.
    Chicago, IL 60601

    Contact Us

    Careers at Crain

    About Pensions & Investments

     

    Advertising
    • Media Kit
    • P&I Content Solutions
    • P&I Careers | Post a Job
    • Reprints & Permissions
    Resources
    • Subscribe
    • Newsletters
    • FAQ
    • P&I Research Center
    • Site map
    • Staff Directory
    Legal
    • Privacy Policy
    • Terms and Conditions
    • Privacy Request
    Pensions & Investments
    Copyright © 1996-2021. Crain Communications, Inc. All Rights Reserved.
    • NEWS
      • Asset owners and the coronavirus
      • Alternatives
      • Consultants
      • Coronavirus
      • Defined Contribution
      • ESG
      • Frontlines
      • Hedge Funds
      • Investing / Portfolio Strategies
      • Money Management
      • Pension Funds
      • People Moves
      • Private Equity
      • Real Estate
      • Searches & Hires News
      • SECURE Act
      • Special Reports
      • WorldPensionSummit
    • Data
      • Research Center
      • Searches & Hires Database
      • Searches & Hires News
      • RFPs
      • Charts / Infographics
      • Sponsored Research
      • Trackers
    • Insights
      • Opinion
      • White Papers
      • Industry Voices
      • Letters to the Editor
      • Partner Content
      • Publisher's Update
    • Multimedia
      • Videos
      • Webinars
      • Polls
      • Slideshows
      • Charts / Infographics
    • Events
      • Conferences
      • Webinars
    • Careers
    • Research Center