标题: Index for an alternatives portfolio? [打印本页] 作者: ShooterMcCFA 时间: 2013-4-22 12:09 标题: Index for an alternatives portfolio?
Anyone have a good idea? I was thinking for a section of a wrap fee program that will include real estate, precious metals, commodities (Oil, grains)? I thought of using the HFRI FOF but that doesn’t quite work. Any ideas?作者: mnieman 时间: 2013-4-22 12:10
Not aware of an index that does that, but there are several funds. The oldest and most well known is PRPFX. There are about a dozen other multi-asset alternative funds out there. Some of fund-of-funds, which I don’t really care for. Others offer a form of slice management that have a bit more flexibility.作者: tikfed 时间: 2013-4-22 12:10
Either a blended benchmark based on weightings of the AIs in that sleeve or I just use a absolute return for a client-facing benchmark.作者: chandsingh 时间: 2013-4-22 12:12
Index for my alternative slice作者: chunty 时间: 2013-4-22 12:13
We just use a simple 8% absolute return to bench our alternatives slice which includes HFs, commodities, RE, etc…作者: transferpricing 时间: 2013-4-22 12:13
8% absolute seems harsh in years like this one when the market is getting crushed.作者: kasinkei 时间: 2013-4-22 12:14
You can try benchmarking with managed futures index, that should be perfect to your needs.作者: luckygiftvn 时间: 2013-4-22 12:14
Blended benchmark is the way to go.作者: troymo 时间: 2013-4-22 12:15
I view the benchmark as what you should invest in if you don’t have any views. An investor might prefer a portfolio with a 10% standard deviation. I could optimize and find the optimal 10% standard deviation portfolio and use that as a benchmark before putting any of my views on top of it. The 10% standard deviation portfolio would not be consistent through time and would adjust to changing market conditions. That’s a problem for most people since they prefer a pre-set list of securities, like 60/40 allocation between stocks/bonds.
Regardless, for many an alternatives fund, they aren’t performing a benchmark-relative optimization anyway. They are optimizing based on total returns. For instance, there’s no investment out there that will return the risk-free rate plus 8%. Why bother pretending that there is?
Well that would be because they link performance fees to “benchmarks”. Well then, just call 8% plus risk-free the performance target and say you try to make absolute returns without too much risk.