NN Investment Partners Multi Asset Factor Opportunities
Peer Group Analysis
June 2019 Introduction and methodology
This document contains a peer group analysis of the NN Investment Partners’ Multi Asset Factor Opportunities strategy. NN Investment Partners has commissioned this report and has compensated AF Advisors for the efforts in compiling this analysis. AF Advisors has prepared this document independently without input or influence of NN Investment Partners on the content of the analysis. This document consists of 25 pages and, if distributed by NN Investment Partners should presented integrally.
Within this analysis two peer groups are used for comparison to NN Investment Partners’ Multi Asset Factor Opportunities strategy. The first peer group constitutes a narrowly defined set of peers taking long and short exposure based on factors within multiple asset classes, similar to NN Investment Partners’ Multi Asset Factor Opportunities. The second peer group consists of peers, employing a broader global macro strategy, that allocators may also consider an alternative to NN Investment Partners’ Multi Asset Factor Opportunities.
The majority of comparable strategies and the NN Investment Partners’ Multi Asset Factor Opportunities strategy do not yet have lengthier track records to compare. The analysis focuses on the risk return profile of these strategies without taking into account other possibly important characteristics of these strategies and their managers that are typically used in the manager selection of these types of strategies. This analysis only aims to provide insight into the risk and return profile of these strategies based on historical performance and fund terms and has no predictive power for telling the future.
In this document the following elements, including AF Advisors’ commentary, of alternative risk premia strategies are discussed: - Overview of the strategy: The objective and performance drivers of the strategies - Return profile: The historical returns of the strategies - Risk profile: The historical risk of the strategies - Risk/return profile: The ratio between risk and return - Correlations The correlations with other strategies and asset classes - Fee (model): The fee model and fee levels
AF Advisors is part of A-Fortiori Group 2 Contents
Methodology peer group analysis 4 Factor based strategies analysis 5 Peer group 6 Targets 7 Return & risk profile 8 Return distribution 9 Correlations 10 Fee models 11 Summary 12 Global Macro strategies analysis 13 Peer group 14 Return & risk profile 15 Return distribution 16 Correlations 17 Summary 18 Appendices Appendix A: historical excess returns analyzed strategies - factor based 19 Appendix B: historical excess returns analyzed strategies - Global Macro 20 Appendix C: mapping of monthly returns 21 Appendix D: correlations - alternative risk premia strategies - Global Macro 22 Appendix E: return distribution - alternative risk premia strategies - factor based 23 Appendix F: drawdown in worst months MSCI World 24
AF Advisors is part of A-Fortiori Group 3 Methodology peer group analysis
Peer group analysis Inclusion criteria Exclusion criteria
This document provides an overview of an The peer groups give an overview of The peer groups give an overview of alternative risk premia peer group. It alternative risk premia strategies that alternative risk premia strategies that includes an analysis of multi asset class adhere to the following inclusion criteria: adhere to the following exclusion criteria: alternative risk premia strategies
Two separate multi asset class alternative 1. Multi asset class 1. Minimum track record risk premia strategies peer groups are Only strategies applied to multiple asset Strategies that have a track record of less analyzed: classes are included. than 3 years are excluded. 1. Factor based strategies (7 peers) 2. Long/short & beta neutral 2. Minimum assets under management 2. Global Macro strategies (24 peers) Only strategies that can take both long and Strategies that have AuM of less than €100 These peer groups are based on Preqin and short positions and aim to have a limited million are excluded. Morningstar Direct fund databases. A set of beta are included. 3. Currency exclusion and inclusion criteria are used to 3. UCITS Strategies that are denominated in other narrow the peer group to comparable multi Only strategies that are managed currencies than EUR, USD or GBP are asset class alternative risk premia strategies. according to the UCITS regulatory excluded. framework are included.
AF Advisors is part of A-Fortiori Group 4 Alternative Risk Premia – Factor Based Strategies
AF Advisors is part of A-Fortiori Group 5 Peer group - alternative risk premia strategies - factor based
Strategies Asset class Factors Implementation
Equity Rates Credit Commodities FX Value Carry Momentum Flow Volatility Defensive Quality Mean Stocks or indices reversion
AQR Style Premia ✓ ✓ ✓ ✓ ✓ ✓ ✓ ✓ Stocks
BlackRock Style Advantage ✓ ✓ ✓ ✓ ✓ ✓ ✓ Both
ERAAM Premia ✓ ✓ ✓ ✓ ✓ ✓ ✓ ✓ ✓ ✓ Both
J.P. Morgan Diversified Risk ✓ ✓ ✓ ✓ ✓ ✓ ✓ ✓ ✓ Stocks
LFIS Vision UCITS Premia Opportunities ✓ ✓ ✓ ✓ ✓ ✓ ✓ ✓ ✓ Both
Lombard Odier Funds Alternative Risk Premia ✓ ✓ ✓ ✓ ✓ ✓ ✓ ✓ ✓ Stocks
NNIP Multi Asset Factor Opportunities ✓ ✓ ✓ ✓ ✓ ✓ ✓ ✓ ✓ Indices
Quoniam Funds Selection Global Risk Premia ✓ ✓ ✓ ✓ ✓ ✓ ✓ ✓ Stocks Source: Commercial materials listed managers (May 2019) Overview of factors Value factor: Performs when relatively cheap assets outperform relatively expensive ones. Carry factor: Performs when higher-yielding assets provide higher returns than lower-yielding assets. Momentum factor: Performs when an asset’s recent relative performance continues in the future. Flow factor: Performs when an imbalance in supply and demand requires liquidity provision. Volatility factor: Performs when implied volatility exceeds realized volatility. Defensive factor: Performs when low risk assets exhibit higher risk-adjusted returns than high risk assets. Quality factor: Performs when high quality assets exhibit higher risk-adjusted returns than lower quality assets. Mean reversion: Buying assets that have underperformed over a short-term horizon and simultaneously selling the assets that have outperformed over the same period. Typically not considered a factor.
Commentary AF Advisors - NNIP’s strategy covers a great number of asset class/factor combinations even compared to well-known quant managers like AQR. - The investment approach of NNIP differs from its competitors as it only focusses on academically verified factors and implements these factors without any proprietary security selection by investing in factor indices. - Many of the competitors either supplement the academic factors by proprietary risk premia or implement factors by selecting the underlying securities based on a proprietary security selection model.
AF Advisors is part of A-Fortiori Group 6 Targets - alternative risk premia strategies - factor based
Strategies Targeted return Benchmark Realized return Targeted Realized Expected Maximum (ann. 3y) volatility volatility Leverage drawdown
AQR Style Premia Positive returns NA 0.98% 8% - 12% 6.5% 900% - 2700% -11.5%
BlackRock Style Advantage Positive returns 3m Libor USD 4.57% 7% 8.1% 1000% -13.9%
ERAAM Premia Sharpe ratio > 1 EONIA + 1% 0.52% 8% 3.6% 400% -9.7%
J.P. Morgan Diversified Risk No target 1m Libor USD 2.80% Not applicable 6.5% Not available -13.7%
LFIS Vision UCITS Premia Opportunities No target NA 3.04% 5% - 10% 2.0% 500% -3.2%
Lombard Odier Funds Alternative Risk Premia Sharpe ratio > 0.9 NA 3.22% 6% - 8% 7.9% 600% -9.9%
NNIP Multi Asset Factor Opportunities 1m Libor USD + 6% 1m Libor USD 8.98% 10% 11.2% 800% -13.4%
Quoniam Funds Selection Global Risk Premia No target NA 1.99% Not applicable 5.0% 800% 9.1%
Source: Commercial materials listed managers and Morningstar Direct (May 2019)
Commentary AF Advisors - The majority of the factor based (alternative risk premia) strategies have yielded a limited but positive return over the last 3 years. - The NNIP strategy is the only factor based strategy that yielded substantial returns even given the relatively high volatility, but this is to some extent attributable to a higher risk appetite - The targeted volatility materially differs per strategy. ERAAM, LFIS and Quoniam have a substantially different risk profile compared to the other strategies. We stress though that targeted risk profiles are largely a function of risk appetite and to fairly compare peers one should assume equal targeted volatility. - Most managers have not realized the targeted volatility, whereas we would generally expect managers to increase leverage as realized volatility is significantly lagging target volatility. The 2% realized volatility of the Lombard Odier fund is particularly remarkable: a further assessment learned that their diversification benefits were materially larger than expected in combination with limited position sizing.
AF Advisors is part of A-Fortiori Group 7 Return & risk profile - alternative risk premia strategies - factor based
Gross return over relevant risk free rate Commentary AF Advisors 1,30 1,25 - All peers realized cumulative three-year 1,20 returns between 0% and 1,15 10%, whereas the NNIP 1,10 strategy is the only factor based strategy that 1,05 yielded substantial 1,00 returns even given its relatively high volatility. 0,95 0,90 - NNIP and LFIS have the 1-5-2016 1-8-2016 1-11-2016 1-2-2017 1-5-2017 1-8-2017 1-11-2017 1-2-2018 1-5-2018 1-8-2018 1-11-2018 1-2-2019 1-5-2019 highest Sharpe ratios. The difference in return 12 months rolling Sharpe ratio 5 between these two can be explained by the limited 4 volatility of the LFIS strategy. 3 - The Sharpe ratios of all 2 strategies have declined over time. Only LFIS has 1 maintained a positive 0 Sharpe ratio over the full period. -1
-2
-3 Source: Morningstar Direct (3 year gross returns, May 2019)
AF Advisors is part of A-Fortiori Group 8 Return distribution - alternative risk premia strategies - factor based
Gross (monthly) return over relevant risk free rate
AQR BSF ERAAM JPM LFIS LO NNIP Quoniam Return distribution Return
-10% / -8% -8% / -6% -6% / -4% -4% / -2% -2% / 0% 0% / 2% 2% / 4% 4% / 6% 6% / 8%
Source: AF Advisors calculations based on Morningstar Direct data (3 year, May 2019)
AQR Style BSF Style ERAAM Premia JPM Diversified LFIS Vision LO Alt Risk NN Multi Asset Quonian Global Premia Advantage Risk UCITS Premia Premia Factor Opps Risk Premia
Sharpe ratio -0.09 0.66 0.44 0.47 2.03 0.28 0.75 0.63
Skewness -1.13 -0.21 -0.02 -0.19 0.08 -2.58 0.18 0.01
Risk return Excess kurtosis 1.44 -0.36 -0.29 0.18 -0.27 9.02 1.26 0.08 characteristics
Source: AF Advisors calculations based on Morningstar Direct data (3 year, May 2019)
Commentary AF Advisors - The Lombard Odier strategy has a strongly negatively skewed distribution while all other strategies are more or less normally distributed. - Typically these types of hedge funds strategies demonstrate high kurtosis and corresponding fat tails in the return distribution. Based on three years of returns most strategies have a low kurtosis (leptokurtic) distribution probably due to the specific markets over the last three years (i.e., equity markets mostly trending with decreasing realized volatility).
AF Advisors is part of A-Fortiori Group 9 Correlations - alternative risk premia strategies - factor based
1 2 3 4 5 6 7
1. NNIP Multi Asset Factor Opportunities 2. AQR Style Premia 0.23 3. BSF Style Advantage -0.23 0.44 4. ERAAM Premia 0.25 0.39 0.39 5. JPM Diversified Risk 0.23 0.56 0.48 0.38
Correlations 6. LFIS Vision UCITS Premia 0.24 0.35 0.10 0.30 0.53
7. LO Funds Alt Risk Premia 0.39 0.36 0.13 0.27 0.52 0.44 Factor based strategies based Factor 8.Quoniam Global Risk Premia 0.10 0.24 0.19 0.13 0.50 0.41 0.27 Source: AF Advisors calculations based on Morningstar Direct data (3 year, May 2019)
Index AQR Style BSF Style ERAAM JPM Diversified LFIS Vision LO Alt Risk NN Multi Asset Quonian Global Premia Advantage Premia Risk UCITS Premia Premia Factor Opps Risk Premia
MSCI World 0.22 0.11 0.34 0.58 0.55 0.56 0.05 0.64
Markit iBoxx EUR Sov 0.19 0.18 0.00 0.23 0.11 0.23 -0.07 0.25
50% MSCI World, Correlations 0.37 0.11 0.23 0.57 0.44 0.60 0.07 0.53 50% Markit iBoxx EUR Sov
Strategies vs market vs Strategies Source: AF Advisors calculations based on Morningstar Direct data (3 year, May 2019)
Commentary AF Advisors - Despite executing similar strategies, hedge fund strategies typically have a relatively low correlation. In this peer group the AQR and ERAAM have relatively high reciprocal correlations. - The correlation with government bonds is low for all strategies, however the correlation of the JP Morgan, LFIS, Lombard Odier and Quoniam strategies with equity markets is relatively high. - In the worst performing months of the MSCI World over the last three years (October 2018 and December 2018) only Quoniam posted substandard returns.
AF Advisors is part of A-Fortiori Group 10 Fee models - alternative risk premia strategies - factor based
Strategies Management fee Non management Max performance fee Performance fee hurdle (lowest fee share class) expenses
0.50% 10% 3 month T Bill index AQR Style Premia 0.14% 0.95% NA NA
0.45% 8% 3 month LIBOR USD BlackRock Style Advantage 0.27% 0.75% NA NA
ERAAM Premia 0.60% NA 9% 3 month LIBOR USD + 1%
J.P. Morgan Diversified Risk 0.60% 0.15% NA NA
1.00% 0.10% 10% US Fed Funds + 1% LFIS Vision UCITS Premia 1.00% 0.10% NA NA
Lombard Odier Alternative Risk Premia 0.85% 0.25% NA NA
NNIP Multi Asset Factor Opportunities 0.60% 0.20% NA NA
Quoniam Global Risk Premia 0.40% 0.04% NA NA Source: Commercial materials listed managers (May 2019)
Commentary AF Advisors - There are different fee models used for these strategies. AQR, BlackRock and ERAAM offer their clients the choice (in selected markets) between management fee-only and a management plus performance fee model. - The fee models that include performance fee have a similar performance fee and similar hurdle rates. - The fee level of the lowest fee share class varies per manager. Quoniam offers the lowest fee, while LFIS has the highest fee.
AF Advisors is part of A-Fortiori Group 11 Summary - alternative risk premia strategies - factor based
Strategy Factors & asset classes Targets realized Risk / return profile Correlation other asset classes Fee (model)
AQR Style Premia Low volatility/return Negative Sharpe ratio Low correlations High fees
BlackRock Style Advantage Few asset classes Positive return Positive Sharpe ratio Low correlations
ERAAM Premia Many factors Low volatility Low correlations
J.P. Morgan Diversified Risk Many asset classes No targets High equity correlation
LFIS Vision UCITS Premia Low volatility Positive Sharpe ratio High equity correlation High fees
Lombard Odier Alternative Risk Premia Many asset classes Low Sharpe ratio High equity correlation High fees
NNIP Multi Asset Factor Opportunities Meets target return Positive Sharpe ratio Low correlations
Quoniam Global Risk Premia No targets Positive Sharpe ratio High equity correlation Low fees
Commentary AF Advisors - Across the board, NNIP compares favorably to all of its peers: - Only 3 out of 7 peers (ERAAM, JP Morgan, Lombard Odier) cover more factors and asset classes than NNIP - Alongside NNIP, of the peers that clearly define their targets, Blackrock is the only peer that also meets its target return and risk profile. - Alongside NNIP, surprisingly only 3 out of 7 peers (AQR, Blackrock, ERAAM) have low (<0.50) correlations to global equities and sovereign bonds. - NNIP has the lowest fees among its peers.
- In summary, NNIP’s relatively lean and mean approach towards alternative risk premia investing enables it to charge lower fees versus its peers, but at the same time NNIP is achieving attractive returns against an acceptable risk. As such, NNIP may be considered an attractive alternative within this segment.
AF Advisors is part of A-Fortiori Group 12 Alternative Risk Premia – Global Macro
AF Advisors is part of A-Fortiori Group 13 Peer group - alternative risk premia strategies - Global Macro
Strategies Target Equity Rates Credits FX Volatility Real Estate Commodities Inflation
Aberdeen Standard Global Focused Strategies Cash + 7.5% ✓ ✓ ✓ ✓ ✓
Amundi Absolute Return Multi Strategy Cash + 4% ✓ ✓ ✓ ✓ ✓ ✓
Aviva Multi Strategy Target Income Cash + 4% ✓ ✓ ✓ ✓ ✓ ✓ ✓
Aviva Multi Strategy Target Return Cash + 5% ✓ ✓ ✓ ✓ ✓ ✓ ✓
Bellevue Global Macro 7% at 6% vol ✓ ✓ ✓ ✓ ✓
Eurizon Flexible Multi Strategy NA ✓ ✓ ✓ ✓ ✓ ✓
H20 Moderato (Natixis) Cash + 2% ✓ ✓ ✓ ✓
H2o Multireturns (Natixis) Cash + 4% ✓ ✓ ✓ ✓
H20 Multistrategies (Natixis) Eq/FI + 2.5% ✓ ✓ ✓ ✓
H20 Vivaci (Natixis) NA ✓ ✓ ✓ ✓
InRis CFM Diversified NA ✓ ✓ ✓ ✓
Invesco Global Targeted Return Cash + 5% ✓ ✓ ✓ ✓ ✓ ✓ ✓
JP Morgan Systematic Alpha NA ✓ ✓ ✓ ✓ ✓
Jupiter Absolute Return NA ✓ ✓ ✓ ✓
Lemanik Global Strategy Cash + 3% ✓ ✓ ✓ ✓ ✓
M&G Episode Macro NA ✓ ✓ ✓ ✓ ✓
Nordea Alpha 10 Cash + 6% ✓ ✓ ✓ ✓
Nordea Alpha 15 Cash + 8.5% ✓ ✓ ✓ ✓
Parvest Cross Asset Absolute Return NA ✓ ✓ ✓ ✓ ✓ ✓ ✓
Pictet Diversified Alpha NA ✓ ✓ ✓ ✓
Planetarium Anthilia White NA ✓ ✓ ✓ ✓
SEB Asset Selection Cash +5% ✓ ✓ ✓ ✓ ✓
Veritas Global Real Return Cash +4% ✓ ✓ ✓ Source: Commercial materials listed managers (May 2019) Commentary AF Advisors - There is a large distribution of the number of asset classes covered, ranging from three to seven.
AF Advisors is part of A-Fortiori Group 14 Return & risk profile - alternative risk premia strategies - Global Macro
Gross return over relevant risk free rate 2,20
2,00
1,80
1,60
1,40
1,20
1,00
0,80 1-5-2016 1-9-2016 1-1-2017 1-5-2017 1-9-2017 1-1-2018 1-5-2018 1-9-2018 1-1-2019 1-5-2019
12 months rolling Sharpe ratio 7
5
3
1
-1
-3
-5 Source: AF Advisors calculations based on Morningstar Direct data (3 year, May 2019)
Commentary AF Advisors - Most strategies have not realized their targeted return over the last three years. Half of the Global Macro strategies have not realized a positive return over the last three years. Only four strategies have outperformed the NNIP strategy: three H2O strategies and Veritas Global Real Return. - Sharpe ratios have been decreasing. A substantial number of strategies have stable positive Sharpe ratios.
AF Advisors is part of A-Fortiori Group 15 Return distribution - alternative risk premia strategies - Global Macro
Aberdeen Amundi Aviva Multi Aviva Multi Bellevue Eurizon H2o H2o H2o H2o InRis CFM Invesco Standard Global Absolute Strategy Strategy Global Flexible Moderator Multireturns Multistrategies Vivaci Diversified Global Focussed Return Multi Target Target Macro Multi (Natixis) (Natixis) (Natixis) (Natixis) Targeted Strategies Strategy Income Return Strategy Return
Sharpe ratio 0.08 0.76 0.04 0.03 1.57 0.07 2.10 0.79 0.80 0.94 0.14 0.13
Skewness -0.27 0.52 0.28 0.21 -0.68 -0.39 -1.63 -1.56 -1.54 -1.52 0.02 -0.30
Excess kurtosis 0.02 0.52 1.53 1.60 0.45 0.46 3.02 2.65 2.86 2.84 0.55 0.14
Source: AF Advisors calculations based on Morningstar Direct data (3 year, May 2019)
JP Morgan Jupiter Lemanik M&G NNIP Multi Nordea Nordea Parvest Pictet Planetarium SEB Veritas Systematic Absolute Global Episode Asset Factor Alpha 10 Alpha 15 Cross Asset Diversified Anthilia Asset Global Alpha Return Strategy Macro Opportunities Absolute Alpha White Selection Real Return Return
Sharpe ratio -0.57 -0.20 -0.39 0.73 0.75 0.91 0.92 -0.11 0.99 1.99 0.04 1.33
Skewness -0.12 -0.07 -0.25 -0.12 0.18 -0.72 -0.84 -0.02 0.46 0.03 0.10 -0.69
Excess kurtosis -0.29 -0.69 -0.91 1.38 1.15 0.33 0.92 -0.13 -0.41 -0.32 0.63 1.52
Source: AF Advisors calculations based on Morningstar Direct data (3 year, May 2019)
Commentary AF Advisors - Next to high returns in absolute terms, H2O also ranks highly with regard to risk-adjusted measures: all H2O strategies have a Sharpe ratio significantly higher than its peers. - The H2O strategies also exhibit the most negative skew within this peer group. - Leaving H2O aside, NNIP falls within the group of best performing peers based on return distribution statistics with Bellevue, Nordea, Pictet, Planetarium as most notable competitors within the larger Global Macro peer group.
AF Advisors is part of A-Fortiori Group 16 Correlations - alternative risk premia strategies - Global Macro
Index Aberdeen Amundi Aviva Aviva Bellevue Eurizon H2o H2o H2o H2o InRis CFM Invesco Standard Absolute Multi Multi Global Flexible Moderator Multireturns Multistrategies Vivaci Diversified Global Global Return Strategy Strategy Macro Multi (Natixis) (Natixis) (Natixis) (Natixis) Targeted Focussed Multi Target Target Strategy Return Strategies Strategy Income Return
MSCI World 0.68 0.35 0.77 0.68 0.47 0.72 0.01 -0.10 0.06 0.04 -0.05 0.40
Markit Iboxx EUR Sov 0.03 0.01 0.19 0.06 0.51 0.22 -0.03 -0.04 -0.03 -0.06 0.31 0.21
50% MSCI World 0.56 0.28 0.65 0.55 0.52 0.68 0.00 -0.10 0.08 0.01 0.12 0.42 50% iBoxx EUR Sov
Source: AF Advisors calculations based on Morningstar Direct data (3 year, May 2019)
Index JP Morgan Jupiter Lemanik M&G NNIP Multi Nordea Nordea Parvest Pictet Planetarium SEB Veritas Systematic Absolute Global Episode Asset Factor Alpha Alpha Cross Asset Diversified Anthilia Asset Global Alpha Return Strategy Macro Opportunities 10 15 Absolute Alpha White Selection Real Return Return
MSCI World 0.45 -0.53 -0.64 0.68 0.05 0.51 0.48 0.00 0.14 0.69 0.17 0.40
Markit Iboxx EUR Sov -0.03 0.16 0.06 -0.28 -0.07 0.49 0.49 -0.11 -0.14 -0.18 0.42 0.05
50% MSCI World 0.27 -0.33 -0.46 0.46 0.07 0.60 0.59 -0.23 0.14 0.56 0.37 0.29 50% iBoxx EUR Sov
Source: AF Advisors calculations based on Morningstar Direct data (3 year, May 2019)
Commentary AF Advisors - About a third of the strategies has a substantial (>0.5) correlation with equity markets (MSCI World). Only one strategy has a substantial (>0.5) correlation with Euro government bonds.
AF Advisors is part of A-Fortiori Group 17 Summary - alternative risk premia strategies - Global Macro
Strategies Factors & asset classes Targets realized Risk / return profile Correlation other asset classes
Aberdeen Standard Global Focused Strategies Negative returns Low Sharpe ratio High correlation
Amundi Absolute Return Multi Strategy On target Low correlation
Aviva Multi Strategy Target Income Many asset classes Negative returns Low Sharpe ratio High correlation
Aviva Multi Strategy Target Return Many asset classes Negative returns Low Sharpe ratio High correlation
Bellevue Global Macro On target High Sharpe ratio High correlation
Eurizon Flexible Multi Strategy No target Low Sharpe ratio High correlation
H20 Moderato (Natixis) Few asset classes Positive returns High Sharpe ratio Low correlation
H2o Multireturns (Natixis) Few asset classes Positive returns Low correlation
H20 Multistrategies (Natixis) Few asset classes Positive returns Low correlation
H20 Vivaci (Natixis) Few asset classes No target Low correlation
InRis CFM Diversified Few asset classes No target Low correlation
Invesco Global Targeted Return Many asset classes Negative returns Low correlation
JP Morgan Systematic Alpha Few asset classes No target Negative Sharpe ratio Low correlation
Jupiter Absolute Return Few asset classes No target Negative Sharpe ratio Low correlation
Lemanik Global Strategy Negative returns Negative Sharpe ratio Low correlation
M&G Episode Macro No target High correlation
NNIP Multi Asset Factor Opportunities Positive returns Low correlation
Nordea Alpha 10 Few asset classes Positive returns High correlation
Nordea Alpha 15 Few asset classes Positive returns High correlation
Parvest Cross Asset Absolute Return Many asset classes No target Negative Sharpe ratio Low correlation
Pictet Diversified Alpha Few asset classes No target Low correlation
Planetarium Anthilia White Few asset classes No target High Sharpe ratio High correlation
SEB Asset Selection Negative returns Low Sharpe ratio Low correlation
Veritas Global Real Return Few asset classes Positive returns High Sharpe ratio Low correlation
AF Advisors is part of A-Fortiori Group 18 Appendix A: historical excess returns analyzed strategies - factor based (adjusted for risk free rate)
05/01/2016 - 04/30/2017 05/01/2017 - 04/30/2018 05/01/2018 - 04/30/2019 05/01/2016 - 04/30/2019 05/01/2016 - 04/30/2019
Return (base currency) Return (base currency) Return (base currency) Return (base currency) Standard deviation
AQR Style Premia 4.62 6.10 -11.22 -1.59 4.73
BlackRock Style Advantage 15.72 -1.08 -5.09 1.29 4.80
ERAAM Premia 7.04 1.56 -3.46 -0.18 3.74
J.P. Morgan Diversified Risk 7.77 0.20 -3.58 -0.20 2.93
LFIS Vision UCITS Premia Opportunities 4.89 4.25 3.34 2.85 2.05 Lombard Odier Funds Alternative Risk 4.90 0.59 -0.03 0.67 6.55 Premia NNIP Multi Asset Factor Opportunities 16.94 7.61 -1.21 6.75 10.13
Quoniam Funds Selection Global Risk Premia 9.05 2.85 -2.26 2.37 4.94
Source: AF Advisors calculations based on Morningstar Direct data (3 year, May 2019)
AF Advisors is part of A-Fortiori Group 19 Appendix B: historical excess returns analyzed strategies - Global Macro
05/01/2016 - 04/30/2017 05/01/2017 - 04/30/2018 05/01/2018 - 04/30/2019 05/01/2016 - 04/30/2019 05/01/2016 - 04/30/2019
Return (base currency) Return (base currency) Return (base currency) Return (base currency) Standard deviation
Aberdeen Standard Global Focused Strategies -0.23 -0.40 1.94 -1.67 5.03
Amundi Absolute Return Multi Strategy 4.94 2.19 -1.44 0.22 2.46
Aviva Multi Strategy Target Income 1.94 -1.08 -0.25 -0.90 5.66
Aviva Multi Strategy Target Return 2.36 0.74 -2.56 -0.94 5.16
Bellevue Global Macro 6.15 1.90 6.56 2.60 3.08
Eurizon Flexible Multi Strategy 1.01 1.79 -2.08 -0.78 3.29
H20 Moderato (Natixis) 16.45 18.45 7.87 10.89 13.33
H2o Multireturns (Natixis) 10.22 20.56 3.82 10.37 14.37
H20 Multistrategies (Natixis) 31.87 44.13 1.46 19.73 30.65
H20 Vivaci (Natixis) 35.36 41.34 11.91 21.14 28.97
InRis CFM Diversified 5.23 1.24 -3.69 -1.33 5.99
Invesco Global Targeted Return 4.42 -1.50 -1.46 -1.11 3.60
JP Morgan Systematic Alpha 5.27 -5.29 -4.26 -3.23 2.68
Jupiter Absolute Return 3.68 -0.22 -6.47 -2.53 5.31
Lemanik Global Strategy -1.00 -5.01 -1.27 -3.47 6.22
M&G Episode Macro 10.99 9.48 -1.81 4.04 8.26
Nordea Alpha 10 10.53 3.64 2.69 4.20 6.08
Nordea Alpha 15 16.32 5.92 4.11 7.02 9.38
Parvest Cross Asset Absolute Return 3.73 -2.09 -2.64 -1.20 3.58
Pictet Diversified Alpha 6.05 5.68 -3.95 0.53 2.50
Planetarium Anthilia White 3.59 2.82 2.60 1.42 1.51
SEB Asset Selection 3.48 -3.45 1.13 -0.93 7.94
Veritas Global Real Return 22.18 -0.12 13.45 9.56 8.63 Source: AF Advisors calculations based on Morningstar Direct data (3 year, May May 2019) (3 year, Directdata Morningstar on based AF calculationsAdvisors Source:
AF Advisors is part of A-Fortiori Group 20 Appendix C: mapping of monthly returns
AQR Style Premia BlackRock Style Advantage ERAAM Premia JP Morgan Diversified Risk
33% 8% 47% 31% 8% 50% 36% 8% 44% 19% 8% 61% MSCI World MSCI World MSCI World MSCI World
4% 4% 4% 4%
Strategy Strategy Strategy Strategy 0% 0% 0% 0% -8% -4% 0% 4% 8% -8% -4% 0% 4% 8% -8% -4% 0% 4% 8% -8% -4% 0% 4% 8%
-4% -4% -4% -4%
8% 11% 11% 8% 14% 6% 14% 6% -8% -8% -8% -8%
LFIS Vision UCITS Premia LO Funds Alternative Risk Premia NN Multi Asset Factor Opportunities Quoniam Selection Global Risk Premia
28% 8% 53% 22% 8% 58% 39% 8% 42% 33% 8% 47% MSCI World MSCI World MSCI World MSCI World
4% 4% 4% 4%
Strategy Strategy Strategy Strategy 0% 0% 0% 0% -8% -4% 0% 4% 8% -9% -6% -3% 0% 3% 6% -8% -4% 0% 4% 8% -8% -4% 0% 4% 8%
-4% -4% -4% -4%
11% 8% 14% 6% 6% 14% 14% 6% -8% -8% -8% -8%
Source: AF Advisors calculations based on Morningstar Direct data (3 year, May 2019)
AF Advisors is part of A-Fortiori Group 21 Appendix D: correlations - alternative risk premia strategies - Global Macro
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 1. NN (L) Multi Asset Facor Opportunities 2. Aberdeen Standard Global Focussed Strategies -0.26 3. Amundi Abs Ret Mlt Str 0.29 0.09 4. Aviva Investors Mlt-Strat Trgt Inc -0.15 0.72 0.11 5. Aviva Investors Mlt-Strat Trgt Ret -0.17 0.63 0.12 0.92 6. Bellevue(Lux) BB Global Macro -0.03 0.54 0.13 0.58 0.43 7. Eurizon Flexible Multistrategy -0.07 0.63 0.04 0.83 0.74 0.63 8. H2O Moderato -0.16 0.38 -0.38 0.20 0.28 0.26 0.34 9. H2O Multireturns -0.18 0.29 -0.38 0.16 0.27 0.18 0.28 0.96 10. H2O Multistrategies -0.14 0.41 -0.35 0.23 0.30 0.32 0.38 0.99 0.94 11. H2O Vivace -0.14 0.40 -0.36 0.23 0.31 0.29 0.36 0.99 0.96 0.99 12. InRIS CFM Diversified 0.19 0.27 0.23 -0.01 -0.06 0.27 -0.03 0.19 0.15 0.22 0.19 13. Invesco Global Targeted Ret -0.19 0.60 0.19 0.40 0.37 0.63 0.36 0.48 0.35 0.51 0.47 0.32 14. JPM Systematic Alpha 0.09 0.36 0.12 0.49 0.45 0.27 0.48 0.22 0.18 0.24 0.25 0.07 0.15 15. Jupiter Absolute Return 0.34 -0.40 0.09 -0.29 -0.26 -0.04 -0.33 -0.09 0.00 -0.10 -0.10 0.32 -0.13 -0.17 16. Lemanik SICAV Global Strat -0.06 -0.58 -0.21 -0.46 -0.38 -0.45 -0.49 -0.27 -0.20 -0.30 -0.30 -0.01 -0.46 -0.07 0.39 17. M&G Episode Macro -0.13 0.68 0.08 0.71 0.72 0.40 0.75 0.50 0.47 0.55 0.54 -0.03 0.36 0.58 -0.33 -0.46 18. Nordea 1 - Alpha 10 MA BI 0.14 0.23 0.18 0.53 0.40 0.61 0.59 -0.15 -0.23 -0.10 -0.15 0.06 0.25 0.17 -0.11 -0.33 0.18 19. Nordea 1 - Alpha 15 MA BI 0.13 0.21 0.19 0.51 0.38 0.62 0.57 -0.15 -0.23 -0.10 -0.16 0.06 0.26 0.13 -0.07 -0.32 0.16 1.00 20. Parvest Cross Asset Abs Ret -0.16 0.37 -0.01 0.17 0.21 0.04 -0.04 0.35 0.34 0.34 0.38 0.25 0.33 0.33 -0.06 -0.15 0.19 -0.32 -0.34 21. Pictet TR - Div Alpha 0.15 -0.03 0.29 0.01 0.18 0.01 0.03 0.00 -0.01 0.04 0.01 -0.03 0.10 0.26 -0.01 0.00 0.18 0.06 0.06 0.02 22. Planetarium Anthilia White 0.09 0.61 0.16 0.52 0.49 0.53 0.49 0.26 0.17 0.31 0.29 0.02 0.56 0.23 -0.35 -0.61 0.55 0.28 0.27 0.12 0.25 23. SEB Asset Selection 0.25 0.07 0.46 0.11 0.12 0.09 0.01 -0.13 -0.14 -0.14 -0.16 0.47 0.14 0.09 0.08 -0.03 -0.22 0.24 0.23 -0.13 -0.09 -0.04 24. Veritas Global Real Return 0.18 0.11 0.36 0.40 0.41 0.30 0.25 -0.22 -0.22 -0.21 -0.20 -0.23 0.11 0.16 0.00 -0.20 0.18 0.49 0.49 -0.08 0.01 0.30 0.17
Source: AF Advisors calculations based on Morningstar Direct data (3 year, May 2019)
AF Advisors is part of A-Fortiori Group 22 Appendix E: return distribution - alternative risk premia strategies - factor based (adjusted for risk free rate)
30
25
20
15 Frequency
10
5
0 -10% / -8% -8% / -6% -6% / -4% -4% / -2% -2% / 0% 0% / 2% 2% / 4% 4% / 6% 6% / 8% Bin
AQR BSF ERAAM JPM LFIS LO NNIP Quoniam
AF Advisors is part of A-Fortiori Group 23 Appendix F: drawdown in worst months MSCI World (adjusted for risk free rate)
Strategies Worst month Second worst month
MSCI World -7.80% -7.55%
AQR Style Premia -0.13% -1.10%
BlackRock Style Advantage 0.65% -0.22%
ERAAM Premia -0.27% 0.51%
J.P. Morgan Diversified Risk -0.12% -1.47%
LFIS Vision UCITS Premia Opportunities -0.66% -0.18%
Lombard Odier Funds Alternative Risk Premia -1.82% -1.73%
NNIP Multi Asset Factor Opportunities 1.15% -1.14%
Quoniam Funds Selection Global Risk Premia -3.06% -3.28%
AF Advisors is part of A-Fortiori Group 24 Disclaimer
The information in this publication is derived from sources considered to be reliable. AF Advisors expressly disclaim any and all liability for representations, expressed or implied, contained in, or for omissions from, this document or any other written or oral communication transmitted to any interested party in connection with this document so far as is permitted by law.
This report does not constitute advice and you should not rely on the content of this document to make (or refrain from making) any decision or take (or refrain from making) any action.
AF Advisors has prepared this document independently without input or influence of NN Investment Partners on the content of the analysis. This document consists of 25 pages and, if distributed by NN Investment Partners should be presented integrally.
AF Advisors is part of A-Fortiori Group 25