Campbell Systematic Macro Fund Class I · NASDAQ:EBSIX
Campbell Systematic Macro Fund Class I — Investor Presentation (August 2024)
26 slides from Campbell Systematic Macro Fund Class I's investor presentation, August 2024
Slide 1: Campbell Systematic Macro Fund
collective intelligence Campbell Systematic Macro Fund August 2024 Overall ★★★★★ 3-year ★★★★★ 5-year ★★★★★ 10-year ★★★★★ EBSIX (I-Share) received an overall, a 3-year, a 5-year and a 10-year Morningstar Rating™ of 5-stars in the macro trading category. A rating out of 53 funds (overall and 3-year),
Slide 2: Disclosures: Morningstar Disclosures
Disclosures Morningstar Disclosures The Morningstar Rating™ for funds, or "star rating", is calculated for managed products (including mutual funds, variable annuity and variable life subaccounts, exchange-traded funds, closed- end funds, and separate accounts) with at least a three-year history. Ex
Slide 3: Disclosures: Principle Risk Factors
Disclosures Principle Risk Factors Alternative investments, such as managed futures, are speculative, involve a high degree of risk, have substantial charges and are suitable only for the investment of the risk capital portion of an investor’s portfolio. Some or all managed futures products may
Slide 4: Executive Summary
Executive Summary Campbell is a quantitative investment management firm based in Baltimore, MD specializing in absolute return strategies for institutional and individual clients for more than five decades. 50+ Years Investment Edge ▪ Experience: Campbell was founded in 1972 by Keith Campbell of inv
Slide 5: Monthly Performance
Monthly Performance Monthly & Annual Performance (Class I) | March 8, 2013 — August 31, 2024 Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD 2024 -0.11% 3.78% 1.61% 0.74% -1.47% 1.70% 2.40% -1.43% 7.33% 2023 0.86% 4.68% -1.62% 0.00% 1.24% -1.33% -2.38% 0.53% 3.79% -1.83% -2.86% -2.60% -1.83
Slide 6: Why Systematic Macro?
Why Systematic Macro? Systematic Macro (EBSIX) Performance Since Reallocation November 2018 – August 2024 240% Systematic Macro (EBSIX) Bloomberg US Aggregate Bond Index S&P 500 Index 210% HFRX Global Hedge Fund Index Potential Benefits 180% o Absolute returns regardless of market environment 150% o
Slide 7: What Is Systematic Macro?
What Is Systematic Macro? Systematic Macro Globally diversified o Adaptive: Employs rules- o Global: Allocates to over 100 based investment discipline markets across geographies o Quantitative: Utilizes data o Diverse: Spans asset classes Directional agnostic and computer models (commodities, curren
Slide 8: Where Does Systematic Macro Invest?
Where Does Systematic Macro Invest? Global Diversification in a Single Investment Portfolio spans more than 100 markets across North America, Asia, and Europe FIXED INCOME | 21 EQUITY INDICES | 25 COMMODITIES | 33 FOREIGN EXCHANGE1 | 24+ 3-Month SOFR Futures CAC 40 Index (France) Aluminum Australian
Slide 9: How Does Systematic Macro Work?
How Does Systematic Macro Work? Systematic Macro (EBSIX) Utilizes Three Investment Styles Campbell’s Edge Fund Features o 50+ years of research & trading history Momentum Quant Macro o Aims for a 10% annualized volatility (Trend Following) (Relative Value) o Utilizes proprietary, traditional, and o
Slide 10: The Impact of Lowly-Correlated Strategies
The Impact of Lowly-Correlated Strategies Complimentary Diversification Systematic Macro has shown little correlation to both traditional and alternative assets Correlation of Systematic Macro (EBSIX) to Traditional Investments 1.00 November 2018 – August 2024 1.00 0.80 0.60 0.40 0.20 0.00 -0.20 -0.
Slide 11: The Impact of Lowly-Correlated Strategies: Portfolio Optimizer
The Impact of Lowly-Correlated Strategies Portfolio Optimizer Historical impact of an allocation to Systematic Macro (EBSIX) Cumulative Performance Since Reallocation November 9, 2018 to August 31, 2024 80% 77.2% 74.0% 70% 60% 50% 40% 30% 20% Traditional Diversified 10% 60/40 55/35/10 Return 74.0% 7
Slide 12: The “Shock Absorber” Effect
The “Shock Absorber” Effect Return required to recover from a loss Diversification helps reduce portfolio losses The larger the loss, the larger the recovery The impact of Systematic Macro (EBSIX) during losing periods for stocks needed to break even 60/40 5% Allocation 10% Allocation 20% Allocation
Slide 13: An Alternative Unlike Any Other
An Alternative Unlike Any Other The Dual Mandate of Systematic Macro (EBSIX) November 9, 2018 – August 31, 2024 Annualized “Risk/Return” Correlation to Strategy Annualized Return Standard Deviation Max Drawdown (Sharpe ratio) S&P 500 Index Diversifying Systematic Macro 10.76% 9.53% -12.16% 0.85 -0.0
Slide 14: Best of Both Worlds (Trend and Macro)
Best of Both Worlds (Trend and Macro) Strong offense… Stronger defense… Systematic Macro vs. Trend Following (aka “Managed Futures”) Systematic Macro in worst losing periods for Trend Following (aka and Discretionary Macro1 (aka “Global Macro”) “Managed Futures”) and Discretionary Macro1 (aka “Globa
Slide 15: The Third Leg of the Stool
The Third Leg of the Stool EBSIX seeks to maximize the diversification impact of alternatives in your portfolio Diversification Impact Since Reallocation November 2018 – August 2024 10.8% 40% EBSIX +0.47 Sharpe 36% Equities improvement 24% Bonds 30% EBSIX 42% Equities 10.6% 28% Bonds Help stabilize
Slide 16: Gross and Net Expense Ratios
Gross and Net Expense Ratios Gross Net Ticker CUSIP Expense Ratio Expense Ratio Campbell Systematic Macro Fund, Class I EBSIX 74933W833 1.87% 1.75% Campbell Systematic Macro Fund, Class A1 EBSAX 74933W841 2.12% 2.00% Campbell Systematic Macro Fund, Class C EBSCX 74933W817 2.87% 2.75% 1For Class A th
Slide 17: Performance and Diversification
Performance and Diversification Monthly Cumulative Return (Class I) Since Inception 100% 80% 60% 40% 20% 0% -20% Mar-13 Mar-14 Mar-15 Mar-16 Mar-17 Mar-18 Mar-19 Mar-20 Mar-21 Mar-22 Mar-23 Mar-24 Key Statistics (Class I) Inception: March 8, 2013 Correlation of Monthly Returns Since Inception Campbe
Slide 18: Appendix
collective intelligence Appendix PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. FUTURES AND FORWARD CONTRACT TRADING IS 18 SPECULATIVE, INVOLVES SUBSTANTIAL RISK, AND IS NOT SUITABLE FOR ALL INVESTORS.
Slide 19: Experienced Investment Team
Experienced Investment Team Years of Years of Industry Campbell Name Role Experience1 Experience1 Education Ph.D. in Economics with a concentration in Finance from the University of Kevin Cole, Ph.D. Chief Executive Officer & Chief Investment Officer 26 21 California at Berkeley and a B.A. in Econom
Slide 20: Firm Management
Firm Management Kevin Cole Chief Executive Officer & Chief Investment Officer Business Services Investment Management Distribution Tom Lloyd John Radle Grace Lo Rick Durand Brian Meloon Darvin Sterner Joe Kelly General Counsel & Chief Risk Officer MD, Global Head of MD, Global Head of Chief Operatin
Slide 21: Investment Strategies
Investment Strategies Campbell’s Managed Futures strategy combines momentum combined with quant macro and short-term strategies to maximize diversification. Managed Futures Portfolio | 1972 | AUM1 $2.2 Billion STRATEGIES Momentum Quant Macro Short-Term Single-Market Macro Dynamics Regime Capture STY
Slide 22: Index Performance Returns
Index Performance Returns Index Performance | As of August 31, 2024 Annualized Annualized Annualized Returns 1-Year 3-Year 5-Year 10-Year Annualized Returns 1-Year 3-Year 5-Year 10-Year Bloomberg Commodity Index TR -4.38% 3.71% 7.02% -1.08% HFRX Global Hedge Fund Index 5.75% 0.71% 3.17% 1.61% Annual
Slide 23: Disclosures: Performance Disclosures
Disclosures Performance Disclosures PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. While Campbell & Company believes that the information set forth in the in this material is relevant to evaluating your investment, the performance shown is not necessarily indicative of, and may have no bearin
Slide 24: Disclosures: Glossary
Disclosures Glossary Alpha Sources (systematic model): An alpha source (systematic model) is a clearly defined, rules-based approach that uses computer code and data to generate trading signals. Bloomberg Global Aggregate Bond Index: Bloomberg Global Aggregate Bond Index is a measure of global inves
Slide 25: Disclosures: Glossary cont’d
Disclosures Glossary cont’d MSCI World Total Return Index: The MSCI World Total Return Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets. As of May 27, 2010 the Index consisted of the following 24 develo
Slide 26: Contact Information
Contact Information CAMPBELL 2850 Quarry Lake Drive Baltimore, Maryland 21209 410•413•2600 www.campbell.com PRIVATE WEALTH DARVIN STERNER DUSTIN GROSE Managing Director, Global Head of Executive Director, Private Wealth Distribution Key Accounts 410•413•2640 410•413•2680 darvin.sterner@campbell.com
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