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Alternative Market Briefing

Allocators push back on risk parity criticisms, fund size at CAIS

Monday, February 12, 2018

Bailey McCann, Opalesque New York for New Managers:

Market commentators have been quick to blame "the machines" as a reason for the market's recent sell-off, prompting a harsh rebuttal from AQR's Cliff Asness earlier this week. Where Asness and others were effectively defending their books as much as quants can, today they got support from some of the world's biggest allocators at the Cayman Alternative Investment Summit. And, their thoughts could be good news for emerging managers.

"I don't think risk parity is a big enough part of the market to move the market in this way. We are invested in these managers - when I left the office this week we had $95.7billion. I checked the P&L this morning and we still have $95.7 billion," Alberta Investment Management Corporation's Eric Pedde said from the stage during the allocators panel.

AIMCO, as a pension, invests heavily in quant funds as part of its alternative and core equities allocations.

Pedde was supported by other panelists including Don Raymond, Managing Partner and Chief Investment Officer at Alignvest Investment Management who added that quant as a term refers to a range of......................

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