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The Importance of Liquid Alternatives in a Portfolio Context

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This presentation is only for qualified investors attending the Liquid Alternative event. The importance of liquid alternatives in a portfolio context Industry Overview – Schroder GAIA & GAIA II Update Andrew Dreaneen | Head of Schroder GAIA Product & Business Development For professional investors and advisers only. Agenda Global hedge fund landscape Drivers for hedge fund allocations and common misconceptions Available strategies & setting a framework Thoughts and considerations for choosing UCITS hedge funds Schroders capabilities in liquid alternatives Conclusions 1 Global hedge fund landscape Global hedge fund assets Source: HFI Global Autumn Review 2016 3 Global hedge fund assets Source: HFI Global Autumn Review 2016 4 Drivers for hedge fund allocations and common misconceptions Demand for Alternatives Substantial growth forecasted over the next five years Global alternative assets Global alternative assets Global alternative assets (US$ in trillions) by asset class type (US$ in trillions) by sector (US$ in trillions) by region 20,0 20,0 20,0 18.1 18.1 18.1 Middle East 18,0 18,0 Sovereign 18,0 Commodities and Africa wealth funds 1.0 Latin America 2.1 Liquid Insurers 16,0 16,0 16,0 14.6 alternatives 14.6 14.6 Institutional High-net-worth 14,0 14,0 2,5 14,0 Asia-Pacific loans 12,0 12,0 12,0 10.8 10.8 10.8 Real estate 10,0 0.9 10,0 5,6 Mass affluent 10,0 Europe 0.5 8.1 8.1 8.1 8,0 8,0 1,5 8,0 4,8 Hedge funds 6,0 6,0 2,8 6,0 3,2 4,0 4,0 Pension funds 4,0 North America Private equity 2,0 2,0 2,0 0,0 0,0 0,0 2012 2015F 2018F 2020F 2012 2015F 2018F 2020F 2012 2015F 2018F 2020F Source: Strategy and PWC 2015 6 $Bn Club of UCITS Absolute Return Investors Reasons for Allocating Investment considerations for Allocating MSCI AC ML High MSCI Reduced S&P 500 Asia Yield HFRI duration risk; World Providing Pacific index 2% uncorrelated Simply look for returns to Egerton 0.47 0.50 - - 0.68 outperformance overall ; 22% portfolio; 55% Sirios 0.42 0.47 - - 0.60 Indus - 0.66 0.79 - 0.74 Paulson 0.24 0.28 - - 0.39 Managing cash BSP - - - 0.03 0.08 to offset illiquid instruments; 7% NGA 0.54 - - 0.71 0.65 Substitute for BlueTrend 0.00 0.03 - 0.03 0.14 fix income exposure; 8% Two -0.23 -0.23 - -0.18 -0.16 Reduce equity Sigma* beta; 6% Cat Bond -0.08 -0.02 - 0.09 -0.02 Source: Morgan Stanley Absolute Return UCITS Survey Results November 2015. 155 Respondents with Absolute Return UCITS AUM: $91bn Source: Schroders as at 30 September 2016 (strategy inception for each manager). *Please not Two Sigma is based on simulated returns, please refer to the full simulated performance disclaimers at the back of the presentation 7 Who are the main providers of liquid alternatives today? AUM dominated by Asset Managers 75%: but Hedge Fund Managers now 25% Long Only Asset Managers Convergence Asset Managers Hedge Fund Managers Using distribution capabilities to build alternatives businesses Marketing HF expertise to UCITS investor base les p m a x E ) 93.2 60.1 50.6 USDbn AUM( 58 207 185 oducts Pr # 45.7% 29.5% 24.8% % AUM % Source: HFR, HFI, Strategic Consulting analysis, as at 30 September 2015. 8 The $5 billion dollar hedge fund club Many of the largest hedge fund managers now available in UCITS US Based Managers Abrams Capital Management GMT Capital Adage Capital Management GoldenTree Asset Management Anchorage Capital Group Greenlight Capital Angelo, Gordon & Co.. HBK Capital Management Apollo Management Highfields Capital Management Appaloosa Management JANAJANA Partners Avenue Capital Group Kayne Anderson Capital Advisors BainBain Capital/Brookside Capital/Brookside CapitalCapital Partners Partners King Street Capital Management BalyasnyBalyasny Asset ManagementManagement Lone Pine Capital Baupost Group Luxor Capital Group Blue Ridge Capital Magnetar Capital BlueMountain Capital Management Marathon Asset Management Bracebridge Capital MarinerMariner Investment Group Group Bridgewater Associates Mason Capital Management CarlsonCarlson Capital Millennium Management Caxton Associates Monarch Alternative Capital Centerbridge Partners Moore Capital Management Cerberus Capital Management MSD Capital Citadel Pennant Capital Management Coatue Capital Perry Capital Convexity Capital Management Pershing Square Capital Management Corvex Management PinePine RiverRiver Capital ManagementManagement D.E. Shaw Group PointState Capital Davidson Kempner Capital Management Renaissance Technologies Discovery Capital Management Samlyn Capital DW Partners Scopia Capital EJF Capital Senator Investment Group Element Capital Silver Point Capital EllingtonEllington Management Group Group Soroban Capital Partners Elliott Management Corporation Steadfast Capital Management UK Based Managers EmergingEmerging Sovereign Group Group Taconic Capital Advisors Capula Investment Management LLP Eton Park Capital Management Third Point Lansdowne Partners Farallon Capital Management Tiger Global Management The Children's Investment Fund Fir Tree Partners Trian Fund Management 75% AKO First Quadrant ValueAct Capital Management Brevan Howard Asset Management LLP Glenview Capital Management Viking Global Investors Cheyne Capital Management AQR Capital Management Maverick Capital AQR Capital Management Maverick Capital 20% CQS (UK) LLP Beach Point Capital Management MKP Capital Management Beach Point Capital Management MKP Capital Management Egerton Capital Blackstone Group/GSO Capital Partners Och-Ziff Capital Management Group Blackstone Group/GSO Capital Partners Och-Ziff Capital Management Group Marshall Wace LLP Canyon Capital Advisors Omega Advisors Odey Asset Management Fortress Investment Group Paulson & Co.. Winton Capital Management Limited Graham Capital Management Tudor Investment Corp Man GLG Grantham, Mayo, Van Otterloo Two Sigma Investments Halcyon Asset Management Visium Asset Management IndusIndus CapitalCapital PartnersPartners York Capital Management Source: Schroders analysis and HFI data based on US and UK headquartered hedge fund centric managers with $5bn+ AUM data as at 01 January 2015. Those launched UCITS funds in blue as at 31 May 2016. 9 Despite limitations, liquid alts can provide similar benefits to hedge funds Performance comparison UCITS vs. offshore hedge funds Opportunity set 30% HFRI HFRU 20% Number of 2,200 500 10% funds 0% Regulatory Flexible UCITS regime -10% -20% -30% 2008 2009 2010 2011 2012 2013 2014 2015 2016 HFRI Fund Weighted Composite Index HFRU Hedge Fund Composite Index Industry performance Correlation Annualised Annualised Index YTD 2016 F/Y2015 F/Y 2014 Drawdown Months to Recover to S&P 500 (5 Return Volatility years) Traditional Hedge Fund HFRI Offshore Hedge Fund 4.2% -1.1% 3.0% 2.6% 6.4% -20.1% 14 0.85 Weighted Composite Index Liquid Alternatives HFRU UCITS Hedge Fund 0.5% 1.5% 4.7% 1.9% 3.3% -6.3% 10 0.68 Composite Index Source: HFR as of 30 September 2016 10 Available strategies & setting a framework A broad range of liquid alternatives strategies are now available Main constraints: liquidity, leverage and eligible assets Morningstar – 443 Funds, 19 Categories Citywire – 675 Funds, 13 categories 4 2 1 1 8 6 11 Multi-Strategy 13 11 Long / Short Debt Long / Short Equity Fund of Funds Multi-Strat 20 14 88 31 Bond Strategies 15 Long / Short Equity Global Long / Short Equity Europe 31 189 Fund of Funds 16 Global Macro Market Neutral 16 Market Neutral Equity 41 Multi-Strategy Systematic Futures 18 Long / Short Equity US Global Macro Long / Short Equity Emerging Markets 55 Managed Futures 57 Long / Short Equity UK 27 Event Driven Currency Event Driven Currency Voltatilty 28 Debt Arbitrage 57 90 Volatility Emerging Market Equity 39 Fund of Funds Equity 28 60 Commodities Diversified Arbitrage 74 30 37 Fund of Funds (other) Convertibles Long / Short Equity (other) Alix Capital – 756 Funds, 11 Categories Kepler – 417 Funds, 13 Categories 2 14 1 1 Equity Long / Short 24 25 11 7 Credit 32 Long / Short Equity 20 Global Macro Global Macro 41 233 26 Fixed Income Managed futures Equity Market Neutral 154 Market Neutral 49 CTA 30 Multi-Strategy Emerging Markets Event Driven 59 Multi-Strategy 30 Multi-Asset Event-Driven Currency Currency 61 Volatility Volatility 112 32 Commodities Commodities 106 Replication Strategies 46 57 Statistical Arbitrage Source: Morningstar, Citywire, Alix Capital, Kepler. As at 31 July 2015. 12 Evolution of portfolio construction with liquid alternatives A simple but effective approach to diversification Equity Fixed Income Other Sovereign Small/Mid/Large Cap Investment Grade Core Growth/Value/Blend Cash High Yield Sector Specific Aggregate Equity diversifiers: Bond diversifiers: Portfolio diversifiers: Liquid Alternatives Equity Long Short Absolute Return Event Driven Market Neutral Credit Long Short CTA/Macro Relative Value Catastrophe Bonds Source: Schroders as at 30 September 2016 13 Liquid alternatives Equity Diversifiers Return 6,00% Long equity index with Sirios 5,00% 4,00% Long equity index with equity long short 3,00% 2,00% Long equity index 1,00% 0,00% 4,00% 6,00% 8,00% 10,00% 12,00% 14,00% 16,00% 18,00% Volatility Annualised Annualised Sharpe Maximum Correlation* Return Volatility Ratio Drawdown 100% World Stocks 1.71% 15.67% -0.04 -55.37% - 50% World Stocks, 50% Equity Hedge Fund Index 3.82% 11.87% 0.13 -44.08% 0.84 50% World Stocks, 50% Schroder GAIA Sirios US Equity 5.32% 10.72% 0.29 -37.07% 0.47 Schroders, as at 31 March 2016 * Correlation given between World Stocks and Equity Hedge Fund Index, and World Stocks and Schroder GAIA Sirios US Equity. Source: World Stocks: MSCI World, Equity Hedge Fund Index :HFRI
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