ARB Trading Group的动态

Sam Vogel highlights the compelling performance of the leading multi-strategy funds. However, this does not tell the whole story, as it is on risk-adjusted basis that these funds really outperform. As an emerging manager, it does not help me to highlight these facts. However, rather than try and diminish their achievements, we try and learn from them. In particular, we seek to understand their approach to risk management, data, execution, developing an edge and delivering high alpha with low drawdowns. #alpha #multistrategy

Oct ’24 Review: Multi-Strat Funds Outperform Amid Market Volatility (Comparisons) > Firms like Citadel, Schonfeld, Point72, and Millennium secured gains across asset classes in October '24 as they leveraged their diversified, multi-asset models. Key October Performance Highlights: ? Schonfeld Strategic Advisors > Monthly Gain: +2.3%, YTD: +15.5% - Schonfeld led in performance, driven by discretionary equity strategies that capitalized on market shifts. ? Point72 > Monthly Gain: +2.2%, YTD: +13.5% - Point72’s diversified approach yielded robust equity returns, weathering the challenges of October’s bond sell-off. ? Citadel Wellington > Monthly Gain: +1.2%, YTD: +11.2% - Citadel continued strong, with gains across both its Tactical Trading fund (up 2% in October, 18% YTD) and its flagship, Wellington. ? Millennium > Monthly Gain: +0.4%, YTD: +10% - Millennium maintained consistent returns by deploying capital across equities, fixed income, and macro strategies. ? Walleye > Monthly Gain: +1.9%, YTD: +13.3% - Walleye capitalized on volatility trading strategies, demonstrating resilience through market swings. Market Backdrop: Volatility and Cross-Asset Stress - October saw rising U.S. Treasury yields reach 5% as inflation and increased bond supply created headwinds, marking a likely third straight year of losses in the bond market. Equities were also pressured, with the S&P 500 and Nasdaq Composite falling for a third month amid mega-cap sell-offs. However, multi-strategy funds, benefiting from their ability to pivot across assets, delivered positive returns, underscoring their structural flexibility and diverse alpha generation. Strategic and Structural Resilience - Multi-strategy funds leverage diversified teams that specialize independently yet function under a unified risk framework. Schonfeld and Citadel exemplify how differing strategies—Schonfeld’s discretionary, fundamentally-driven equity model versus Citadel’s quantitative and discretionary blend—create resilience across firms. Such intra-sector diversity enables adaptable risk allocations, uncorrelated positioning, and rapid response to dislocation, crucial for today’s volatile markets. YTD Performance and Outlook for 2024 - As rate stability and inflation persist, multi-strategy managers appear well-positioned to deliver risk-adjusted returns. Their adaptability, robust frameworks, and multiple alpha sources make them attractive to institutional investors prioritizing portfolio stability and return resilience. For allocators, the October results solidify multi-strategy hedge funds as resilient core holdings, capable of thriving in challenging markets, remaining an essential part of a diversified, high-performance institutional portfolio. Come visit ARB Asset Management to learn more about our alpha capture. #trading #investing #multistrat #Citadel #Millennium #Point72 #ARB

Oct ’24 Review: Multi-Strat Funds Outperform Amid Market Volatility (Comparisons) > Firms like Citadel, Schonfeld, Point72, and Millennium secured gains across asset classes in October '24 as they leveraged their diversified, multi-asset models. Key October Performance Highlights: ? Schonfeld Strategic Advisors > Monthly Gain: +2.3%, YTD: +15.5% - Schonfeld led in performance, driven by discretionary equity strategies that capitalized on market shifts. ? Point72 > Monthly Gain: +2.2%, YTD: +13.5% - Point72’s diversified approach yielded robust equity returns, weathering the challenges of October’s bond sell-off. ? Citadel Wellington > Monthly Gain: +1.2%, YTD: +11.2% - Citadel continued strong, with gains across both its Tactical Trading fund (up 2% in October, 18% YTD) and its flagship, Wellington. ? Millennium > Monthly Gain: +0.4%, YTD: +10% - Millennium maintained consistent returns by deploying capital across equities, fixed income, and macro strategies. ? Walleye > Monthly Gain: +1.9%, YTD: +13.3% - Walleye capitalized on volatility trading strategies, demonstrating resilience through market swings. Market Backdrop: Volatility and Cross-Asset Stress - October saw rising U.S. Treasury yields reach 5% as inflation and increased bond supply created headwinds, marking a likely third straight year of losses in the bond market. Equities were also pressured, with the S&P 500 and Nasdaq Composite falling for a third month amid mega-cap sell-offs. However, multi-strategy funds, benefiting from their ability to pivot across assets, delivered positive returns, underscoring their structural flexibility and diverse alpha generation. Strategic and Structural Resilience - Multi-strategy funds leverage diversified teams that specialize independently yet function under a unified risk framework. Schonfeld and Citadel exemplify how differing strategies—Schonfeld’s discretionary, fundamentally-driven equity model versus Citadel’s quantitative and discretionary blend—create resilience across firms. Such intra-sector diversity enables adaptable risk allocations, uncorrelated positioning, and rapid response to dislocation, crucial for today’s volatile markets. YTD Performance and Outlook for 2024 - As rate stability and inflation persist, multi-strategy managers appear well-positioned to deliver risk-adjusted returns. Their adaptability, robust frameworks, and multiple alpha sources make them attractive to institutional investors prioritizing portfolio stability and return resilience. For allocators, the October results solidify multi-strategy hedge funds as resilient core holdings, capable of thriving in challenging markets, remaining an essential part of a diversified, high-performance institutional portfolio. Come visit ARB Asset Management to learn more about our alpha capture. #trading #investing #multistrat #Citadel #Millennium #Point72 #ARB

XNUMIA US EQUITIES ENHANCED FUND (+5% MTD/YTD) 1) Proven Performance: *Live Trade Data From 2015 onward, the average annual returns are as follows: Algo Actual Performance: 35.89%? Algo With Options: 59.35% (Back Tested. Options live for first time 2025 portfolio) S&P 500 (Actual): 13.13% *Back Tested Average annual returns from 1972 to 2024: Without Options: 26.29% With Options: 38.84% S&P 500 (Actual): 10.98% 2) 4% Performance Hurdle / Investor-Friendly Terms: *The fund includes a 4% performance hurdle, ensuring that only returns above this threshold are rewarded, aligning the interests of investors and the fund managers. The fund offers monthly liquidity with a 14-day notice period and no lock-up requirements, providing flexibility for investors. 3) Scalable and Low-Volatility with High Returns: *Designed to be scalable, offering low volatility paired with high returns. This makes it a robust option for investors seeking stable growth. 4) Impressive Risk-Adjusted Returns: *Sharpe Ratio: 1.28 (vs. S&P: 0.77). *Sharpe-VAR: 0.53 (vs. S&P: 0.28). *Sortino Ratio: 1.82 (vs. S&P: 1.0). *Calmar Ratio: 0.62 (vs. S&P: 0.14). *These ratios demonstrate superior risk-adjusted returns, reinforcing the fund’s stability and consistent performance. 5) Consistent Performance: *Back testing shows outperformance of the S&P 500 in 37 of the last 52 years since 1972, highlighting its long-term consistency. 6) Historical Excellence: *Since 1996, the algo has achieved an average annualized return of 33.12%, compared to the S&P 500’s 11.8%. 7) Proprietary Optimization: *Xnumia’s unique options overlay boosts average performance by 12.56% beyond the core strategy, while maintaining limited downside risk. 8) Comprehensive Risk Management: *The fund employs robust hedging strategies, including put options and gold, to mitigate risks and enhance stability during volatile market conditions. 9) Quantitative and Reflexivity-Based Approach: *The two-stage investment process aligns macroeconomic trends with S&P 500 stock selection, powered by cutting-edge algorithms. 10) Experienced Fund Management: *The fund is led by Dr. ?zgür Demirta? and Semih ünalan, renowned academics and market specialists with extensive experience and exceptional credentials.

Markets now appear to be expecting no landing, with equity markets seeming to have turned a corner from some of the negativity of last year - but is this optimism overstated? As we enter the second quarter of 2024, Fidelity Multi Asset Open range portfolio managers Chris Forgan and Caroline Shaw explain why they believe a cautious and flexible approach to asset allocation is prudent to navigate what comes next. Please get in touch if you would like to discuss the open range in more detail.

We evaluate the Permanent Fund’s performance by comparing it to benchmarks that measure the effectiveness of our active strategy, provide a meaningful comparison to our peers, and track progress toward the Board's target of a 5% real return. As of March 31, 2024, nine months into the fiscal year, total Fund performance is 6.84% and as measured against the three benchmark comparisons: -6.07% Total Fund Return Objective of Inflation (CPI) +5% – a real return target over a long-term horizon -7.99% Performance Benchmark – the aggregation of individual asset class benchmarks at their target weights -10.63% Passive Benchmark – reflects a blend of passive indices Marcus Frampton, APFC CIO provided - “The first nine months of fiscal year 2024 performance has been strong at 6.84%. However, this strong absolute performance has trailed the Fund’s Performance Benchmark which is up 7.99% fiscal year to date (FYTD). Relative to benchmark, the Fund’s major publicly traded asset classes are putting up strong performance. -Fixed Income has generated a 4.56% return vs. a benchmark of 4.02% and -Tactical Opportunities has generated a 24.37% return vs. a benchmark of 19.44%. -Public equities lagged benchmark modestly (15.50% vs. 15.65%), but this has reversed to over 50 basis points of outperformance by the beginning of May. The Fund’s private markets assets classes drove overall benchmark underperformance. -Private Equity has returned 0.79% FYTD vs. a benchmark of 3.24%, -Private Income has returned 4.78% FYTD vs. a benchmark return of 7.63%, and -Real Estate has modestly outperformed its benchmark (-3.60% vs. -3.66%). We believe that private markets performance is best viewed over the long term and that, on that basis, APFC’s private portfolio has achieved exemplary performance. On a longer-term basis than FYTD, the Fund’s performance remains very strong. Three-year trailing annualized returns are 5.42% vs. the benchmark 5.26%, and five-year trailing annualized returns are 8.69% vs. the benchmark 8.54%.” Monthly Performance Reports containing return information for the Total Fund, and by asset class for the FYTD and 5-year periods, are available at https://lnkd.in/eqPeykF.

Asset Allocation Market Monitor – End May 2024 ?? ? After a softer month in April, May was a return to ‘Hope & Glory’, with renewed focus on a soft landing. Growth and inflation data wasn’t far away from consensus in any region, possibly leaning towards a small slow down in the US. The lack of surprises meant equity markets were generally well supported, recovering from their April stumble. Equities: US tech was strong in May helping it return to the top of the pile, although the one stock is shouldering a lot of the gains. Growth stocks continue to lead but a better month for Small Caps saw them recouping some of their underperformance. Emerging market equities were volatile, rising sharply through the first half of the month to catch up with Developed markets in a year to date basis, only to sink rapidly in the last week with China and Latin America weak. ? It appears there is a fair amount of optimism baked into equities, with valuations elevated and sentiment indicators showing bullishness. Earnings expectations also reflect that positivity. Continued hope for a soft landing and eventual rate cuts will likely give equity markets support and until there is a catalyst for change, the unlimited upside potential of equities should not be forgotten, even after the strong run they have already had. Government bonds: The year-to-date picture remain clear, yields are higher across the board, with inflation stickier and growth more robust than forecasted 6 months ago. After running ahead of other markets, US treasury yields cooled in May despite hawkish rhetoric from policy makers. Central bank meetings are back in view with the ECB this week, the US Fed and Bank of Japan next week. ? Yields around 4.5% are healthier than at most point in the previous decade. Real yields remain above expected trend growth rates, a position that hasn’t historically been maintained for long. ? Credit: Corporate credit spreads edged lower over the month continuing the trend from earlier in the year and it feels there isn’t much juice left in the orange. US spreads have only been lower in three periods over the last 20 years. Yet yields have rarely been higher over the same period, which is proving a draw for investors. ? Spreads offer little extra compensation for the corporate risk in my view. At these levels, investment grade credit has historically struggled to deliver attractive future returns, and unlike equities, there is a more definitive ceiling on returns even in upside scenarios. ? Currencies: The US Dollar has been slowly strengthening when compared to a basket of global currencies, but pound sterling and the euro have broadly kept up. The yen and emerging currencies have been weaker. ? ? The low volatility in major currency markets may change if central bank policy diverges… can the ECB and BoE decouple from the Fed? ? What are your takeaways and outlier asset classes? ?? For professional investors only. Capital at risk.

Asset Allocation Market Monitor – end August 2024 ?? ? August started with a sting like a bee ?? but then floated off like a butterfly ??. The root cause of market turbulence is never fully understood, but the culprits for the August volatility spike include the Japanese carry trade unwinding, recession fears in the US following weaker jobs data triggering the Sahm rule, and some unwinding of momentum trades. The volatility went as quick as it came. Data through the rest of the month was more benign pointing again to a soft landing. Yet the recession question now lingers for some. Jerome Powell’s response has been to sure up the probability of imminent rate cuts, a move that has broadly supported most asset classes. Pleasingly for multi asset investors, there was also a shift in how assets interacted. Selling across equities and credits ?? was accompanied by a strong rally of safe-haven assets like government bonds ??. Unlike the broad-based, inflation-induced sell-off in 2022, this more classical growth-driven sell-off saw government bonds cushion the blow by moving in the opposite direction. Equities: A one-day -12% drop in Japanese equities has effectively been reversed and nearly all regions and sectors ended the month positive. That’s certainly the case over the year so far. Earnings in the US remain very resilient. Tech earnings expectations have slowed, reducing signs of wild exuberance one might expect amid a full-blown bubble, while expectations have lifted somewhat in many other sectors. ? Investor sentiment was briefly dented but remains positive on equities. The benign economic data picture is providing a positive backdrop for equities but the soft landing narrative is vulnerable to change which can wobble the asset class, as we have seen. Government bonds: 10 year yields fell rapidly at the end of July and into early August before stabilising as the rate cutting guidance became less ambiguous. But the first half of the year generally saw yields rise. The result has been close to flat total returns for the year. ? Nominal yields are healthier than at most point in the previous decade. This combines with the negative correlation to equities shown in the growth scare in August, building the compelling for bonds for many asset allocators. ? Credit: Corporate credit spreads also spiked a little before coming back down. The result was small positive total returns in the month and year. ? In my view, credits at these spread levels have similar downside but significantly less upside relative to equities. Currencies: Ongoing volatility for the Japanese yen, but it remains one of the weakest currencies for the year. The pound is continuing a period of relative strength. ? Outside of the yen, low volatility in major currency markets may change if central bank policy diverges with an uneven pace of rate cuts. For professional investors only. Capital at risk.

What Fund Flows Are Telling Us About Investor Sentiment With September and the third quarter (Q3) behind us, we conducted a deeper dive into fund flows over these periods. Flows measure the net movement of cash into and out of investment vehicles, such as mutual funds and exchange-traded funds (ETF). We analyzed flows to gain insights into investor demand and sentiment surrounding asset classes, sectors, and other classifications of markets. Morningstar Category Flows When looking at Morningstar category data in September, large blend equities experienced the largest inflow at $24.5 billion. This continues a trend we’ve seen throughout Q3 and this year, as the large blend category is the top category in terms of flows over the trailing Q3 and year-to-date (YTD) periods, experiencing $60.8 billion and $132 billion, respectively, in inflows. Following large blend equities, were a multitude of core and spread sector bond categories. Intermediate core and intermediate core-plus bonds rounded out the top three categories in terms of flows, raking in $12.1 billion and $8.0 billion, respectively. Like large blend equities, intermediate core and intermediate core-plus bonds have been a favorite category for investors this year, ranking second and third over the YTD period, gathering $94.8 and $45.9 billion, respectively. Looking at the other end of the spectrum, large growth funds experienced the largest net outflows of $7.8 billion in September. After another strong month, with the Russell 1000 Growth Index up 2.9%, it appears investors may be taking profits and rotating into a broader large-blend portfolio. Following large growth were moderate allocation and intermediate government bond funds, experiencing $4.4 billion and $3.3 billion, respectively, in outflows. Moderate allocation funds remain the top category by outflows YTD, experiencing outflows of $26.8 billion, and the second-largest category by outflows in Q3, losing $12.1 billion. Intermediate government bond funds lost assets as yields continued to fall in September, with the benchmark 10-year U.S. Treasury yield bottoming at 3.60%. While intermediate government bond funds experienced outflows in September, they remain the eighth-highest category by inflows over the YTD period. Core and Plus Sector Bond Categories Experienced Meaningful Inflows in September Top Ten and Bottom Ten Net Asset Flows Across Morningstar Categories (Trailing One-Month AUM, $ Billions) (see chart) Follow this link to read the complete article and important disclosures:?https://lnkd.in/gsU_FT5Y Follow this link to learn about independent financial planning?and investment management?through?Mountain-Bishop Private Wealth Management: https://mbpwm.com/ #InvestorSentiment #FundFlows #MarketTrends #AssetAllocation #InvestorInsights

March and First Quarter Fund Flows With March and the first quarter (Q1) behind us, we conduct a deep dive into fund flows over the respective periods. Flows measure the net movement of cash into and out of investment vehicles, such as mutual funds and exchange-traded funds (ETF). We analyze flows to gain insight into investor demand and sentiment surrounding asset classes, sectors, and other classifications of markets. Morningstar Category Flows When looking at Morningstar category data in March, large blend equities experienced the largest inflow at around $30 billion, followed by intermediate core and intermediate core-plus bonds with inflows of $17 billion and $7 billion, respectively. Q1 flows mimic these monthly flows, with large blend equities narrowly beating intermediate core bonds year-to-date with both around $48 billion of inflows. Given the risk-reward trade-off in fixed income relative to equities, it’s easy to understand why investors continue to pile into bonds at a faster rate than equities, with six of the top 10 categories by inflows comprised of bonds during the trailing one-month and year-to-date periods. Another category with significant inflows was digital assets, with the category gaining over $6 billion over the month and almost $16 billion year to date. The meaningful inflow into this asset class is due to the Securities and Exchange Commission’s (SEC) approval of digital asset ETFs at the start of the year. Looking at the other end of the spectrum, foreign large growth funds saw the largest outflow in March at $2 billion. Following foreign large growth were two allocation categories (global allocation and moderate allocation) and two value-style categories (foreign large value and (domestic) large value). As the monthly flows suggest, Q1 flows paint the same picture, with foreign large growth experiencing the largest outflow ($10 billion) year-to-date. Investors Continue to Rotate into Core Bonds Trailing 1-Month Net Asset Flows Top Ten and Bottom Ten Across Morningstar Categories (AUM, Billions $) (See graph) Sector Flows When looking at individual domestic equity sector data in March, the technology sector saw the largest inflow by a wide margin, gaining over $4 billion in assets over the month. Following technology were real estate, industrials, and energy. Year-to-date, technology continues to dominate flows, with the sector adding almost $13 billion in Q1. Given the run-up in the "Magnificent Seven" stocks, and more broadly U.S. growth equities, it’s no surprise to learn that technology is at the top of the list year-to-date. Follow this link to read the complete article and important disclosures: https://lnkd.in/eiH6djk8 Follow this link to learn about independent financial planning and investment management through Mountain-Bishop Private Wealth Management: https://mbpwm.com/ #FundFlows #InvestorInsights #MarketAnalysis #AssetAllocation