Many alternative investments actually have a high correlation with stocks
Short volatility strategies have low correlation to stocks and other alternatives
Many alternative investments hold equities and may be correlated with equity markets, but short volatility strategies provide exposure to market volatility. Short volatility strategies have low correlation to the broad equity market and also to other alternatives and may provide diversification to an alternatives allocation and a traditional portfolio.
Short volatility investments are not suitable for all investors. Past performance does not guarantee future results. Short volatility is represented by CBOE Eurekahedge Short Volatility Hedge Fund Index; stocks by S&P 500 Total Return Index; long-short equity by CISDM Equity Long/Short Index; hedge funds by CISDM Equal-Weighted Hedge Fund; real estate by FTSE NAREIT All Equity Index; master limited partnerships by Morningstar MLP Composite; commodities by Bloomberg Commodity Index; global macro by CISDM Global Macro (Total) Index; and bonds by Barclay US Aggregate Bond Index. An investor cannot invest directly in an index, and its performance does not reflect the performance of any LJM portfolio. Unmanaged index returns do not reflect any fees, expenses, or sales charges. The reference indexes are shown for general market comparisons and are not meant to represent the Fund. Source: Morningstar Direct. Data from Jan. 2005 through June 2017.
Volatility strategies may increase the risk-adjusted return of an alternative allocation
Allocating 25% of an alternatives portfolio to short volatility strategies may increase return without raising standard deviation.
25% SHORT VOL
*Data through June 2017. Past performance does not guarantee future results.
This material is provided for general market comparisons only and is not meant to represent Fund performance, nor should it be construed as investment advice or an offer or solicitation to buy or sell securities. Short volatility is represented by CBOE Eurekahedge Short Volatility Hedge Fund Index and Alternatives is represented by CISDM Equal-Weighted Hedge Fund Index.
Standard Deviation: A statistical measure of the historical volatility of an investment. A measure of the extent to which numbers are spread around their average. The greater the standard deviation, the greater the investment’s volatility.
Sharpe Ratio: A statistical measure of risk-adjusted returns. Calculated as (Portfolio Return-Risk Free Rate)/Standard Deviation.