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Announcing New sWebMap Component in JavaScript

March 6, 2012 by Jenz514   Comments (0)

Frederick Giasson recently announced “the release of the new sWebMap Semantic Component in JavaScript. This new mapping component is a standalone JavaScript application that can be integrated on any new or existing web sites and interact with an Open Semantic Framework (OSF) instance to search, browse, filter and display with geographically-located information on an interactive map.” continued…

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FINCAD Launches F3 2.2 in Response to Rapid Market and Regulatory Changes

March 6, 2012 by FINCAD   Comments (0)

[03/07/2012] FINCAD launches F3 2.2 with capabilities that capture the full effects of counterparty credit risk on valuation.

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Semantic Web Jobs: Qualcomm

March 6, 2012 by Jenz514   Comments (0)

Qualcomm is looking for an Artificial Intelligence & Reasoning Engineer in San Diego, CA. The post states, “We seek a Systems Engineer with demonstrable knowledge and experience in artificial intelligence, reasoning, semantics and natural language processing. We expect our systems engineers to keep up to date and understand technological advances in areas directly and indirectly related to mobile and wireless systems and devices and channel those trends toward enabling new applications. To that end, the responsibilities include developing new system architectures, algorithms, protocols, standards and implementation.” continued…

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Reserve Bank of Australia Keeps Rate on Hold at 4.25%

March 6, 2012 by CentralBankNews   Comments (1)

The Reserve Bank of Australia (RBA) kept the cash rate on hold at 4.25%.  The RBA said: "With growth expected to be close to trend and inflation close to target, the Board judged that the setting of monetary policy remained appropriate for the moment. Should demand conditions weaken materially, the inflation outlook would provide scope for easier monetary policy. The Board will continue to monitor information on economic and financial conditions and adjust the cash rate as necessary to foster sustainable growth and low inflation."

The Bank previously previously cut the cash rate by 25 basis points at its November and December meetings, meanwhile the RBA last increased the interest rate by 25 basis points in November 2010.  Australia reported annual consumer price inflation of 3.1% in Q4 last year, compared to 3.5% in Q3, 3.6% in Q2, and 3.3% in Q1, and 2.7% in the December quarter of 2010, and only just outside the Bank's inflation target of 2-3%.  


The Australian economy expanded 1.0% in the September quarter (1.4% in Q3), after contracting -0.9% during the March quarter due to the impact of natural disasters; placing year on year GDP growth at 2.1% in the September quarter, 1.1% in the June quarter, and 1.2% in the March quarter.
The Australian dollar (AUD) has gained about 5% against the US dollar over the past year, after reaching parity and climbing as high as 1.10 last year; the AUDUSD exchange rate last traded around 1.05
The RBA next meets on the 3rd of April this year, and will release its March meeting minutes on the 20th of March.

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Linked Open Vocabularies Gets an Update

March 6, 2012 by Jenz514   Comments (0)

Linked Open Vocabularies (LOV), a great public resource that has been around for about six months now, has been updated and now includes 229 vocabulary spaces. The website states, “Welcome to LOV, your entry point to the growing ecosystem of linked open vocabularies (RDFS or OWL ontologies) used in the Linked Data Cloud. Here you will find vocabularies listed and individually described by metadata, classified by vocabulary spaces, interlinked using the dedicated vocabulary VOAF. You will enjoy querying the LOV dataset either at vocabulary level or at element level, exploring the vocabulary content using full-text faceted search, and finding metrics about the use of vocabularies in the Semantic Web.” continued…

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Beepl Loses CEO, Heads Toward Mobile App

March 6, 2012 by Jenz514   Comments (0)

Q&A startup Beepl has gained public interest since coming out of stealth mode in January, but the company has unfortunately lost CEO Steve O’Hear. The article states, “O’Hear confirmed his departure to TechCrunch and says that he remains a minority shareholder and director — although given his departure as CEO he may be leaving that role soon, too. It is not clear yet who is permanently replacing O’Hear as the CEO, but we have heard that the move comes at the same time that Beepl is pushing out a new release of its site and gearing up for a mobile app launch.” continued…

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Managed Futures Newsletter, March 1, 2012

March 6, 2012 by Ron Sebonia   Comments (0)

CTA Expo New York, April 19, 2012, NYMEX Building
CTA EXPO was created to help professional capital raisers and allocators identify futures trading talent and to promote investing in managed futures. In just over three years CTA EXPO has grown to offering one day conferences in New York, London, Chicago and Miami. Registrations have grown for our conference in Chicago from 140 in 2008 to 500 in 2011.
http://jlne.ws/zc1HxN
**Note from Bucky this morning - Two keynote speakers: Chuck Johnson, CEO of Tano Capital, a family office of one of the families in the Forbes 400; Dr. Bob Swarup, alternatives manager at an $8 billion pension fund and aspiring author. "We currently have 310 registered, including 53 CTAs, and expect to sell out by mid-March."

Quote of the Day

“Growth in developed markets is likely to remain low in 2012, but we are positive on the outlook for Asia, which is supported by stronger fundamentals, particularly for China.”

Joanna Munro, Hong Kong–based CEO for Asia-Pacific at HSBC Global Asset Management in Institutional Investor's article "Asset Management on the Rise in Hong Kong."

Lead Stories

U.S. futures players at odds on post-MF Global path
Reuters
Four months after $1.6 billion in customer funds went missing in the collapse of futures brokerage MF Global, industry participants are full of ideas for how to prevent a similar debacle going forward. They are far from agreed on which are the best. About two dozen regulators, exchanges, brokers, money managers, dealers, and academics took part Wednesday in an open meeting at the Commodity Futures Trading Commission on ways to beef up protection of customer collateral.
http://jlne.ws/zI5Rgw
**DA: Panelists at the roundtable include our own John Lothian. To see more ideas from industry participants, and to cast your vote on submitted ideas, visit our FuturesCrowd site

Deutsche Bank Hedge Fund Survey Predicts Growth And Increased Institutional Participation
HedgeCo.Net
Institutions now account for approximately two thirds of hedge fund assets compared to less than one fifth in 2003. Investors also predict continued growth, with an estimated net inflow of $140bn in 2012, taking industry AUM to an all time high of $2.26tn by year end.
http://jlne.ws/xthlMX
**JK - BarclayHedge reports that Q4 2011 AUM for Managed Futures totaled $314.6 billion, down from $320.3 billion in Q3 2011.

Survey: Funds Need To Do More To Attract Capital
eVestment|HFN
The fifth annual SEI report, “The New Dynamics of Hedge Fund Competitiveness,” found that the percentage of investors who listed a fund’s performance as the most important factor doubled from 2009.
Also noted is that while transparency at hedge funds has increased, the majority of investors still list that factor as a top worry and would like to see more improvement in that area.
http://jlne.ws/wY5Fmu
**It's survey day at JLN Managed Futures. Here's the SEI Report: The New Dynamics of Hedge Fund Competitiveness.

Global hedge launches outpace liquidations for second year running, says report
Hedgeweek
Global hedge funds’ assets totalled USD1,902 billion at the end of 2011 according to TheCityUK’s report Hedge Funds 2012. Although a 3% reduction from the previous year, it follows two successive years of growth that have seen assets increase by around a quarter.
http://jlne.ws/AD7kyF

Hedge fund, CTA and private equity investors to increase allocations in 2012
Hedgeweek
A total of 65 per cent of investment managers and investors surveyed said they intend to increase their allocations to private investments by some degree this year, with 25 per cent of participants planning to raise their allocations significantly. Further, 35 per cent intend to leave their existing allocations unchanged.
http://jlne.ws/zZevRf

John Paulson: Gold Fund Will Top Other Strategies
Newsmax Media
John Paulson, the hedge fund manager seeking to rebound from record losses in 2011, told investors his Gold Fund will outperform his other strategies over five years, according to a person with knowledge of the matter. The billionaire, at a meeting Friday at the Metropolitan Club in New York, said the metal is the best hedge against currency debasement as countries inject money into their economies, said the person, who attended the event and asked not to be named because the information is private. Paulson also cited gold as a hedge against the euro currency, as a breakup may occur, and an eventual increase in inflation.
http://jlne.ws/ydo0cg
**DA: Two days ago, I flagged this story for inclusion in the newsletter. Yesterday gold dropped almost $100/oz. Paulson made a name for himself several years ago due to his impeccable timing in shorting the housing market.

Man results in line with January trading statement
Hedgeweek
Man has reported statutory profit before tax from continuing operations of USD193 million for the nine months ended 31 December 2011 (12 months ended 31 March 2011: USD324 million), which is in line with estimates reported in the group’s 18 January trading statement.
http://jlne.ws/A4cujg
**JK - Man reported $59.5 billion in AUM at the end of February.

Pension Pain Mounts, Low Rates Boost Liabilities
Businessweek
Companies from defense contractor Lockheed Martin Corp. (LMT) to aviation-electronics maker Honeywell International Inc. are caught in a vise: the Federal Reserve Board’s vow to keep rates at current levels until 2014 means pension plans’ fixed-income investments are stagnating just as new rules shorten the time available to shore up funding.
http://jlne.ws/xv2eL1
**JK - If ever there were an opportunity for pensions and alternative investments, this is it.

Bridgewater's flagship up 36 in 2011 ranks number one in LCH list; managers expects dramatic 2012
Ray Dalio - Opalesque
Bridgewater's Pure Alpha fund, the world's biggest hedge fund with around $72bn in AuM, returned 0.9% (gross of fees) in the fourth quarter (Q4) of 2011, bringing the performance for the year to 36.4%, according to documentation obtained by Opalesque. The Strategy has annualised 22.2% since December 1991, and the fund has annualised 20% since its May 2005 inception.
http://jlne.ws/yf4Oc9

Managed Futures, Managed Expectations
Opalesque
According to Morningstar, the amount of assets plowed into funds that employ managed futures strategies zoomed roughly 240% last year, to $3.4 billion. There are now 26 funds in this category, with half of them coming on board since the start of 2011.
http://jlne.ws/zesIsJ

Steve Cohen Hedges with New York Mets Investment
Institutional Investor
SAC Capital’s Steve Cohen has become the latest member of the alternative-investments community to invest in a professional sports team after last week’s $20 million investment in the struggling New York Mets. For Cohen, however, this is something of a hedge.
http://jlne.ws/w5A6K0
**JK - Just because John Henry did it...

Asset Management on the Rise in Hong Kong
Institutional Investor
The number of money management firms in the city had risen to 798 at the end of 2010 from 580 three years earlier. Total assets increased more modestly, to HK$10 trillion ($1.3 trillion) from HK$9.6 trillion, but that occurred against a backdrop of weak markets that saw the MSCI Asia APEX 50 Index drop more than 11 percent during that period. The industry’s growth put Hong Kong well above rival Singapore and made the city the largest fund management center in Asia outside of Japan.
http://jlne.ws/wTzHiA

SunGard launches Hedge360
Hedgeweek
SunGard has launched Hedge360, an integrated, hosted service that supports the complete investment lifecycle for hedge funds and alternative asset management firms, from portfolio management to risk management, portfolio accounting and reporting with dedicated coverage of convertible arbitrage strategies and independent valuation.
http://jlne.ws/ySyVdb

Managed Futures/Managed Funds

Managed futures' performance fees lurk in loophole
InvestmentNews
Mutual funds aren't allowed to charge hedge-fund-style performance fees, but some managed-futures funds are taking advantage of a loophole. Because managed-futures funds that use multiple hedge fund managers do so through offshore entities, those entities aren't technically considered “subadvisers” and, therefore, are able to charge performance-based fees. In some cases, they may run as high as 35% of the managers' profits during any year.
http://jlne.ws/xlFM8a
*DA: In a discretionary trading strategy, manager skill is everything, so the manager must be compensated accordingly. In the mutual fund world, deducting performance fees from NAV is a big "no-no." When the CPO/CTA registration rules finalized by the CFTC this month goes through, this problem should go away. See the regulatory section for more information.

Goldman Adds to the Managed-Futures Rush
Focus on Funds - Barrons.com
Goldman Sachs’ (GS) asset-management arm is giving yet another sign that big money managers think that small time investors will cotton to highly quantitative, hedge fund-like “alternative” strategies. But investors should always be wary of chasing performance, and the managed-futures niche that’s the focus of this effort has had its share of chasers.
http://jlne.ws/ytFsdG
**DA: I prefer it straight, with no chaser.

Nick Sketch: why wealth managers got hedge funds so wrong
Citywire A few years ago, many of us invested in hedge funds via funds of hedge funds. The better examples generally offered a better risk-return trade-off than pure equity investment, while offering likely returns ahead of bonds. However, most had some net exposure to equity markets. Even without the discount swings that many investment trusts in the sector suffered (or the severe problems caused to some by illiquidity in their underlying assets), this feature made funds of this type less than ideal diversifying assets for an equity-based portfolio (and much less good in extreme circumstances than many of us expected).
http://jlne.ws/yEXBLc
*DA: The article cites CTAs/managed futures as the exception.

2011 New Hedge Fund Study
Seward & Kissel LLP
About 50% of the funds included in the study involved an equity or equity-related strategy (not including multi-strategy offerings which generally involved both equity-related as well as other strategies). About 1/3 of the
equity/equity-related offerings were focused on U.S. equities, while the rest had a global focus.
About 1/4 of the equity/equity-related strategies had a sector focus, with the most popular focuses being healthcare and financial services. About 20% of the funds included in the study were multi-strategy offerings, approximately 10% were credit or credit-related strategies, and the balance consisted of structured products, managed futures, commodities and miscellaneous other strategies.
http://jlne.ws/xLKGIE

UBP to Acquire Hedge Fund Manager Nexar Capital Group
HedgeCo.Net
Union Bancaire Privee, UBP SA, one of the leaders in Switzerland’s hedge fund industry, has signed a definitive agreement to acquire Nexar Capital Group, a global alternative investment manager.
http://jlne.ws/wqVMFg

Why CitiGroup Hid Its Hedge Fund Numbers
HedgeCo.Net
This coming April issue of Bloomberg Markets magazine reports that four of Citi’s seven biggest hedge funds have underperformed their indexes since they started, according to investors. Five of the seven lost money in 2011.
http://jlne.ws/wLXSEK

Managed Futures Scorecard 2/28/2012
Newedge Indices MTD Return YTD Return
Newedge CTA Index 1.04% 1.63%
Newedge CTA Trend Sub-Index 1.85% 2.92%
Newedge Trend Indicator 2.4% 0.61%
Newedge Short-Term Traders Index -0.83% -1.07%
Barclay Indices MTD Return YTD Return
Barclay CTA Index 0.18%
Barclay UCITS Index 7.3%
Barclay Hedge Fund Index 6.33%
BTOP FX Index 1.68% 0.99%
Morningstar Long/Short Com. Index 1.47% 1.73%

Pensions & Institutions

Texas Teacher fund moving into directional hedge funds
Pensions & Investments
Texas Teacher Retirement System, Austin, is in the process of building out a new 5% allocation — $5.5 billion in current dollars — to directional hedge funds to bring the $109 billion fund up to its 9% hedge fund target. Last year, the state Legislature approved an increase in the $109 billion system's hedge fund cap to 10% from 5%.
http://jlne.ws/xMAany
**DA: We reported last month on the increased allocation.

Georgia Senate passes bill allowing state pension funds to invest in alternatives
Pensions & Investments
The Georgia State Senate on Thursday passed legislation to allow most of the state’s public pension funds, including the $13.8 billion Georgia Employees’ Retirement System, Atlanta, to invest in alternatives.
http://jlne.ws/xBUR7A
**DA: Diversifying portfolios or reaching for yield? Maybe a bit of both. See story below.

Pension Tension: Political Sparks Highlight Challenges Ahead for Retirement System
Free Times (Columbia, SC)
Roughly 20 state and municipal employees gathered in the lobby of the State House on Feb. 22 to press lawmakers on an issue that, to them, matters more than almost anything in the world — whether, when their day to retire comes, they can count on the arrival of their pension checks, and whether those checks might be smaller or come later than they’d planned.
http://jlne.ws/wGipA9
**DA: Article highlights $13.4 billion funding gap over next 30 years. For a $25 billion plan, that is a significant shortfall. Alternatives the saving grace?

Private equity? You mean alternative asset manager
Reuters
Bosses of some of the world's largest private equity groups told the industry's annual get-together that their growth into alternative asset managers, investing in everything from credit to real estate, was necessary for their investors to beat the economic cycle. Private equity, one of the alternative asset classes offering diversification from stocks and bonds, has traditionally been about leveraged buyouts - where the buyer funds the purchase price through borrowing, using the target company's assets as collateral.
http://jlne.ws/yjFoxS
**DA: Tighter financing, Volcker Rule among the "game-changers."

Hedge-Fund Assets To Rise To Record $2.26 Trillion - Deutsche Bank
Fox Business
Hedge-fund assets look set to surge to a record $2.26 trillion by the year's end as investors increase their alternative investments and trim cash holdings. That is according to Deutsche Bank AG's latest alternative-investment survey, which interviewed about 400 investor entities worldwide--like pensions, foundations and endowments--representing more than two-thirds of the industry's $2 trillion in assets as at the end of 2011.
http://jlne.ws/AeDyB5
**DA: Not a bad haul considering the sector's returns were down 5 percent last year.

Ford’s Novel Way of Paying Pensions
Last week Ford (F) announced plans to shift their pension fund even more heavily towards bonds. At a time when interest rates are ruinously low and equities should appear attractively priced to a long-term investor such as a pension fund this represents quite a radical move.
http://jlne.ws/xhca41
**DA: I think Ford is saying, "Why overweight equities? As the stock market rises, so does Ford's balance sheet." Interesting read.

FSA in £20bn crackdown on 'pensions transfers'
eFinancial News
The Financial Services Authority is the latest UK body to come out against "pensions transfer" deals, which offer to swap workers' defined benefit entitlements for a one-off lump sum. It has set out a crackdown that it reckons will cost business - and save workers - £20bn.
http://jlne.ws/wkqwDc

Regulation

CFTC Final Rule: Registration and Compliance Obligations for Commodity Pool Operators and Commodity Trading Advisors
MarketsReformWiki
On February 9, 2012, the CFTC published its final rule on compliance obligations for commodity pool operators (CPOs) and commodity trading advisors (CTAs). CPOs and CTAs that are registered with both the CFTC and SEC ("dual registrants") will be required to file reports to the SEC similar to Form PF, the systemic risk reporting requirement, mandated by the Dodd-Frank Act, and to be used by the Financial Stability Oversight Council. Mutual funds that use futures and swaps tied to commodities will be required to register with the CFTC, just as they had been prior to the granting of the exemption by executive order in 2003. The National Futures Association (NFA) sought the change to improve protection of retail investors
http://jlne.ws/wNQp7I
**DA: This rule, plus the proposed rule below, should clear the air considerably on managed futures funds.

CFTC Proposed Rule: Harmonization of Compliance Obligations for Registered Investment Companies Required to Register as Commodity Pool Operators
MarketsReformWiki
On February 9, 2012, the CFTC unanimously approved a proposed rulemaking regarding certain compliance obligations for commodity pool operators who register with the SEC under the Investment Act of 1940. Under the rule, the CPO of any pool whose units of participation will be offered and sold pursuant to an effective registration statement under the Securities Act of 1933 (for example a commodity-linked mutual fund) may claim the relief from certain requirements.
http://jlne.ws/znv1Bf

Regulators likely to delay start date of Volcker rule
FT.com
US bank regulators will probably delay implementation of the so-called “Volcker rule”, a small victory for bankers who have objected to a provision that will most likely crimp their trading profits.
http://jlne.ws/AlLeqG

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Managed Futures Newsletter, February 14, 2012

March 6, 2012 by Ron Sebonia   Comments (0)

Observations - Statistics - Commentary

CTA EXPO New York, April 19, 2012 CTA EXPO in New York provides CTA’s and professional asset managers the opportunity to network with capital raisers and allocators looking to identify trading talent. The EXPO also offers sessions on how managers can grow their business and how allocators can more effectively manage their portfolios. This is the 8th conference organized by CTAEXPO LLC and the third one in New York. All previous events have been sold out and anticipate a repeat in New York.
http://jlne.ws/yvUzxk
**DA: Note from Frank and Bucky: Already 60% of spots reserved; should sell out soon. Register by March 26 in order to be listed in the directory.

AlphaMetrix Survey: Majority of Investors in Hedge Funds, CTAs and Private Equity Plan to Increase Allocations in 2012
MarketWatch
AlphaMetrix LLC, founder and operator of the AlphaMetrix Global Marketplace (AGM), the leading secure online marketplace for private investments, today released results of a survey that found a majority of investors in hedge funds, commodity trading advisors and private equity funds expect to increase their allocations to those private investments in 2012.
http://jlne.ws/ABcgs9

What Were They Thinking? From MF Global to Raj & Bernie to LTCM
AllAboutAlpha
As investigators continue their search through the ashes of yet another billion-dollar bonfire and as the CFTC calls for still another regulatory revamp, we find ourselves asking the virtually perennial question: “What were they thinking?” Given that about the best we ever come up with is “greed,” could it be that as the parades of trades gone wrong marches on, it’s time to ask a different question, or maybe two questions.
http://jlne.ws/zRKQxq

Lead Stories

Attain Capital's Semi-Annual CTA Rankings
Attain Capital Management
It’s that time of year again, when we have the data for all of the CTAs we track through the end of 2011, allowing us to try and answer the question we get on a daily basis: What’s your BEST managed futures program? That question is always a tricky one, as depending on who is asking it, they may want to know any one of several variations on who is best. Best last year? Best for all time? Best risk adjusted return? Best in terms of lowest drawdowns? This time around, we're mixing things up- with an exciting new ranking algorithm, and a breakdown designed to be more useful to investors attempting to gain insight into the industry.
http://jlne.ws/wY21IC
**Top Large firms include: Briarwood Capital, Winton Capital, P/E Investments and Blackwater Capital.

A Secretive Hedge Fund Legend Prepares to Surface
CNBC
It's a humbling time for Louis Moore Bacon. The 55-year-old founder of the $15 billion Moore Capital Management -- and one of the premier hedge fund investors of the past two decades -- just weathered his second down year in the past four after a particularly ragged run in the markets.
http://jlne.ws/w2gPJQ
**JK - Best name in hedge funds.

Managed Futures Case Study – 2100 Xenon
High Frequency Trading Review
In this interview for the High Frequency Trading Review, Mike O’Hara talks to Jay R.Feuerstein and Bruce Mumford. Jay and Bruce are respectively Chief Executive Officer/Chief Investment Officer and Director of Marketing/Investor Relations at 2100 Xenon Group, a managed futures systematic hedge fund.
http://jlne.ws/zkDz7L

Managed Futures/Managed Funds

‘Crisis Alpha’ With Risk Management: a ’40 Act Managed Futures Mutual Fund
Advisors are always looking for alpha on behalf of their clients, but they’re also–especially since the 2008-2009 crisis–focused more on risk management since at a minimum they don’t want their clients to lose money.
http://jlne.ws/yOfOhP
**DA: Altegris CEO Jon Sundt defines crisis alpha as "the ability to generate returns in a time of crisis." He points out that the Altegris 40 index was up 40 percent during the dotcom bust of 2000-01, outperformed during the '07-'08 credit crisis, and held its own during last summer's downturn.

Direxion Launches Managed Futures Strategy Mutual Fund Tied to Next Generation Index

Press release
The Fund seeks to replicate the Auspice Managed Futures ER Index. This index is a completely quantitative, rules-based managed futures index made up of 21 futures markets (containing both physical commodities and financials), whose methodology is repeatable and verifiable.

http://jlne.ws/xub2wq

Claymore launches managed futures ETF
Financial Post
Claymore Investments Inc. launched a new managed futures exchange traded fund on Monday, adding to the growing list of alternative hedging strategies now available to Canadian retail investors. The Claymore Managed Futures ETF tracks the performance of the Guggenheim Managed Futures Index and trades under the ticker symbol “CMF.” One unit is worth $20.10 in early trading Monday.
http://jlne.ws/z3QJGc

Credit Suisse Launches CS Multi-Asset Futures Strategy Index
MarketWatch
Credit Suisse today launched the CS Multi-Asset Futures Strategy Index (CSMF), a dynamic, rules-based index designed to generate positive absolute returns in all market cycles with low correlation to any one specific asset class. CSMF aims to provide many of the advantages of managed, quantitative strategies, with the simplicity of investing in an index product
http://jlne.ws/zjylyS

SAC, KLS Turn To Morgan Stanley For Fundraising FINalternatives
Even the biggest names in the hedge fund industry occasionally need help raising money.
http://jlne.ws/xyZO2K

Managed Futures Scorecard 2/13/2012
Newedge Indices MTD Return YTD Return
Newedge CTA Index -0.30% 0.46
Newedge CTA Trend Sub-Index -0.48% 0.54%
Newedge Trend Indicator -0.40% -2.14%
Newedge Short-Term Traders Index -1.24% -1.47%
Newedge Macro Trading Index 0.64%
Newedge Commodity Trading Index 1.45%
Barclay Indices MTD Return YTD Return
Barclay CTA Index 0.04%
Barclay UCITS Index 3.29%
Barclay Hedge Fund Index 2.99%
BTOP FX Index 0.86% 0.17%
Morningstar Long/Short Com. Index 1.52% 1.77%

Pensions & Institutions

Texas County & District reaches hedge fund target
Pensions & Investments
Texas County & District Retirement System, Austin, finished the buildout of its hedge fund portfolio with a $175 million allocation to hedge fund manager Graham Capital Management for investment in the firm's managed futures flagship, Graham Global Investment Fund.
http://jlne.ws/wNzgJh
**DA: In December, TCDRS put $175 million into Winton Capital's managed futures fund.

Average College Endowment Performance Improves and Size Matters

AllAboutAlpha
The National Association of College and University Business Officers (NACUBO), in collaboration with the education and research arm of Commonfund, have released their annual study of the performance of college and university endowments. This study, which draws on a database supplied by 823 U.S. institutions of higher learning, reports that endowments’ average return for the 2011 fiscal year (the twelve months beginning July 1, 2010) was significantly improved over the year preceding, but that returns remain below the average inflation-adjusted spending rates for such institutions. This indicates that endowments continue to suffer from the damage inflicted by the crisis of 2008.
http://jlne.ws/AzGzSJ

Top 200 pension funds still carrying torch for alternatives
Pensions & Investments
U.S. pension fund investors' love affair with alternatives is still alive, with investments in everything from private equity to real estate skyrocketing, Pensions & Investments' annual survey of the 200 largest retirement plans shows.
http://jlne.ws/zC8Llg

CalPERS reviewing its investment forecast
Sacramento Bee
CalPERS is about to take another look at its investment forecast, just weeks after California's other big pension fund reduced its outlook. A lowered forecast puts more pressure on taxpayers and employees to support a public pension fund.
http://jlne.ws/xtPqQE
**DA: Hmm. The state may not be able to afford an "official" change in forecast. Didn't we just go through this with ratings agencies and subprime debt? Just asking.

Institutional investors set to dump poor hedge fund performers
Pensions & Investments
Institutional investors will be sharpening their scalpels in 2012, cutting managers that failed to provide what they promised: absolute return. Last year was the second-worst year for hedge fund performance in the 22 years that Hedge Fund Research Inc. has been tracking industry returns, and the patience that institutional investors had for subpar hedge fund performance is evaporating fast, said industry sources.
http://jlne.ws/xc8IPK

Pension Funds Get Queasy over Private Equity
Businessweek
Mitt Romney’s campaign for the Republican Presidential nomination may be creating funding headaches for his former colleagues in the private equity industry. Romney’s opponents have characterized Bain Capital—the firm he helped found in 1984 and left in 1999—and other buyout managers as corporate looters who enrich themselves at the expense of ordinary workers.
http://jlne.ws/x9lICl

Regulation

CFTC Final Rule: Registration and Compliance Obligations for Commodity Pool Operators and Commodity Trading Advisors

MarketsReformWiki
On February 9, 2012, the CFTC published its final rule on compliance obligations for commodity pool operators (CPOs) and commodity trading advisors (CTAs). CPOs and CTAs that are registered with both the CFTC and SEC ("dual registrants") will be required to file reports to the SEC similar to Form PF, the systemic risk reporting requirement, mandated by the Dodd-Frank Act, and to be used by the Financial Stability Oversight Council. Mutual funds that use futures and swaps tied to commodities will be required to register with the CFTC, just as they had been prior to the granting of the exemption by executive order in 2003. The National Futures Association (NFA) sought the change to improve protection of retail investors.
http://jlne.ws/wNQp7I

Fight Over Commodities in Funds
by Jeff Benjamin, Investment News
There is a growing regulatory movement afoot aimed at reducing commodities exposure within mutual funds dramatically just as this alternative strategy is gaining popularity. While this is something financial advisers will want to watch, it is not a reason to cash out of commodities- or managed-futures-based mutual funds just yet. http://jlne.ws/wk4A0y
**DA: The offshore model is in place because current mutual fund rules limit commodity investments to 10 percent. Not everything is a conspiracy, Sen. Levin.

Goldman’s Rogers Says Volcker Rule Could Increase Risk
Bloomberg
Goldman Sachs Group Inc. (GS) said a proposed U.S. ban on banks’ proprietary trading and limits on their investments in private equity and hedge funds may boost financial-system risks the measure was designed to curtail. “Without substantial revisions, the proposed rule will define permitted market making-related, underwriting and hedging activities so narrowly that it will significantly limit our ability to help our clients,” John F.W. Rogers, the firm’s chief of staff, said in one of two comment letters on proposed Volcker rule restrictions. The rule would stifle Goldman’s ability to help clients “raise capital, manage their risks, invest their wealth and generate liquidity,” he wrote.
http://jlne.ws/x4FLGj

Volcker Rule Faces Critics as Effective Date Nears
Bloomberg
The world’s largest banks demanded a wish list of changes to a proposed U.S. ban on proprietary trading, seeking to escalate the lobbying effort against the Volcker rule five months before it takes effect. In scores of comment letters filed yesterday, bankers and their trade associations said the so-called Volcker rule would increase risk, raise investor costs, hurt U.S. competitiveness and be vulnerable to legal challenge.
http://jlne.ws/xoMTFb

Bill to end carried interest deduction introduced in House
Pensions & Investments
Legislation to end the carried interest deduction for private equity general partners, requiring them to pay ordinary income tax rates up to 35%, was introduced in the House Tuesday. Rep. Sander Levin, D-Mich., ranking member of the House Ways and Means Committee, introduced the bill. President Barack Obama's fiscal 2013 federal budget contains a similar proposal. “There is absolutely no reason why income earned for managing other people's money shouldn't be taxed in the same way as income earned teaching or working in a factory.”
http://jlne.ws/y8w1hA
**DA: And Congressmen should not be allowed to trade on inside information.

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