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Main topic March 2020: Liquid Alternatives

04. March 2020

In order to inform industry, investors and the public in a more targeted and comprehensive way, we will be presenting a monthly changing topic with relevant articles, studies, market data, regulatory briefings and event notes. Non-members can send us their documents as well - please contact Christina Gaul.

Forthcoming topics:
Private Equity (April)
Co-Investments nd Secondaries (May)



New in March 2020:

Liquid Alternatives - Neue Vielvalt alternativer Anlagekonzepte (in German)
Absolut |alternative, 2019

Managed Futures - Diversifikationsvorteile in Krisenzeiten (in German)
Absolut |alternative, 2019

Haben Sie genug Risiko in Ihrem Portfolio? Wie lässt sich das feststellen? (in German)
Invesco, 2020

Nichts funktioniert immer (in German)
Diversifikation bei Liquid Alternatives
Metzler Asset Management, Dezember 2019

Supporting alternative investments

SimCorp 2019

The way forward for multi-asset front-to-back investment operations

SimCorp 2019

Bridging the GAAP with insurers and alternative investments
SimCorp 2019


Liquid Alternatives
Absolut|alternative 04/2018 (on request)

Liquid Alternatives - Marktentwicklung und Diversifikationspotenzial
Busack/Tille, Absolut|report 01/2018

Do Alternative UCITS Deliver What They Promise
Busack/Drobetz/Tille, published in Applied Financial Economics (November 2013)

Can Investors Benefit From The Performance Of Alternative UCITS
Busack/Drobetz/Tille, published in Financial Markets and Portfolio Management (issue 1/2017)

The Predictability of Alternative UCITS Fund Returns

Busack/Drobetz/Tille, Forthcoming Journal of Alternative Investments

The Case for Uncorrelated Strategies

Interview with Fred Ingham, Neuberger Berman (August 2017)

Beta Blockers
Why investors may need more exposure to uncorrelated hedge fund strategies.
Fred Ingham, Neuberger Berman (July 2017)

US High Yield
Interview mit Hannah Stasser, Sky Harbor (September 2018)

Interview Prime Capital - LuxHedge
Vincent Weber, Prime Capital (November 2017)

Alternative Risk Premiums: Advantages and practical considerations (in German)
Julien Malet/Dr. Florian Rehm, Unigestion, BAI Newsletter V/2018 (October 2018)



New in March 2020:

Innovative ESG-Initiative für Senior Secured Loans (in German)
Invesco, Januar 2020

Enttäuschende Rendite im ersten Halbjahr 2019
Im Langfristvergleich besser als Liquide Hedgefond
Lupus alpha, 2019

Volatilität als Anlageklasse
Lupus alpha, 2019

Consolidating with Alternative Investments Manager
SimCorp (2019)

Tackling the operational challenges of managing Alternatives
SimCorp (2019)


Beyond Beta - the role of Alternative Investments in a new light (in German)
AB Europe (April 2017)

Equity market neutral - the many facettes of a market neutral strategie (in German)
Aquila Gruppe (2018)

Artificial Intelligence - Chances and challenges in quantitative Aset Management (in German)
Aquila Gruppe (2018)

An integrated risk-budgeting approach for multi-strategy equity portfolios
BNP Paribas (January 2014)

Alternatives - Special Report
BNY Mellon (2018)

New Technologies Changing Asset Management: What Investors should Consider
BlackRock, July 2018

Volatility is back: Better to target returns or target risk?
Man Solutions (February 2018)
How to keep risk on in the good markets without having too much risk on in the bad markets, and keeping that balance right? This is a central problem for most asset allocators and CIOs, and it is a particularly pressing question when valuations are high and policy is changing. In this paper we discuss an approach to asset allocation which is based on actively targeting risk rather than forecasting returns. While by no means original in concept, advances in technology have made the implementation of such an approach significantly more practical in our view. Our simulations show that by applying techniques used by alternative managers to long only portfolios, the risk/return characteristics of the overall portfolio can potentially be improved by more than 500 basis points.

Brace for impact: Why this may be just the tip of the iceberg for an EM correction
Man GLG (February 2018)
We think that Emerging Markets debt should still experience a meaningful correction. Here, we attempt to explain the three key reasons for this view, namely: valuations, fundamentals, and positioning.

Is Value dead (again)?
Man Numeric (September 2018)
Is value dead? We believe the answer is no. There are certainly scenarios where we feel value could regain its mojo: namely, a rising inflationary and interest-rate environment that might reduce the attractiveness of longer duration (i.e., growth) assets. But whether or not that occurs, we believe value investors need to do a better job appreciating and valuing growth. The evidence we present in this paper does not suggest a once-in-a-generation opportunity in value, nor does it suggest that value is entirely broken and it is time to retreat.

How Risk Parity Can Cope with Rising Rates
Neuberger Berman (September 2018)

Chasing Your Tail
Neuberger Berman (May 2018)

Overview of Alternative Risk Premia (“ARP”) Strategies
Neuberger Berman (March 2018)

Utilizing Options to Mitigate the J Curve
Neuberger Berman (March 2018)

Liquid Alternatives explained
Prime Capital (2018)

Statistics/market performance data



New in March 2020

BAI Webinar mit Lupus alpha
(Oktober 2019)

Webinar Alternative Asset Support

SimCorp, 2019


UCITS versus Offshore Hedgefonds? Still David against Goliath? (in German)
Presentation 7. FERI Hedgefonds-Investmenttag (September 2018)

Liquid Alternatives (in German)
Absolut|alternative 04/2018


Further information about the topic is available here:

BAI Newsletter V/2018
Presentations of BAI Insight 43 "How 'smart' is Smart Beta?
Presentations of BAI Insight 41 "Alternative Solutions for uncorrelated returns"
Presentations of BAI Insight 37  "Liquid Alternatives -  Inside the Black Box of Quantitative Investing" - on request (