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As dispersion haunts investors in alternatives and risk premia, selection is key - Nordic Roundtable

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The current low yield environment has increased the need for investors to look at alternative return sources. Being able to work in an unconstrained opportunity set does provide the possibility to generate good returns. This is especially relevant when we are in an environment with somewhat stretched valuations.

However, in alternative investments - also in risk premia products - investors can face significant return dispersions. For example, in 2016 the European equity long/short space had dispersion between the best and the worst manager of +24% and -50%. Over a 10 year period the dispersion between top and bottom quartile on annualized returns was 6% on the equity long/short space but only 1.6% on the long-only managers. This is why manager selection is key. Read on to learn how Nordic investors pick the winning funds (page 14, 16-18).

Risk Premia: Often sold on pro forma track records

Many investors focus on fees, and indeed risk premia type of strategies can offer alternative exposure at lower fees. However, many are often marketed on pro forma or simulated track records as they have short real track records. There are certainly rather high expectations, but it remains to be seen what will actually be delivered. Also, most practitioners don't think the risk premia strategies will replace the other, the more advanced or broader strategies, but they can be a complement.

The Opalesque 2017 Nordic Roundtable, sponsored by Eurex, took place in Stockholm with the following speakers:

  1. Laura Wickström, CEO, AIM Capital
  2. Stefan Nydahl, CEO, IPM
  3. Henri Österlund, Founder and Senior Partner, Accendo Capital
  4. Per Ivarsson, Head of Investment Management, RPM
  5. Johannes Asp, Head of Investor Relations, Madrague Capital Partners
  6. Markus Flesch, Global Head Sales Equity & Index Derivatives, Eurex
The group also discussed:
  • What are Nordic institutional investors looking for? (page 15, 17, 19)
  • Why is activism easier in the Nordic countries than in the US? (page 7) What is the overall opportunity set for activist investors in Europe? (page 8)
  • How market players use EUREX products for a pronounced sector rotation and the revival of ART (Artificial Risk Transfer) (page 8-9)
  • How do systematic funds deal with "far out" risks such as political risks? (page 11-12)
  • How over the past 11 years IPM's macro strategy has outperformed many other funds (page 12)
  • Which very small differences in a CTA's risk management framework and risk allocation make all the difference in performance? (page 12) Has momentum been commoditized? (page 16).
  • Are asset managers trying to do too many things? (page 13) Why managers can't succeed only by having the investment edge (page 14)
  • Should investors be buying a dip when a fund manager's performance gets behind his historical returns? (page 17-18)
  • Why are qualitative factors important in evaluating illiquid assets? (Page 18)
  • What is the right level of diversification for a manager? (page 18-19)
  • How has multi manager portfolio construction changed over the last 10-15 years? (page 19-20)
  • Regulation: From pain point to innovation (page 22-24) Is MiFID II creating competitive disadvantages for European asset managers? Can KYC create internal frictions? (page 24)

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