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Hedge Fund Universe

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Hedge Fund Universe The New World of Retirement: Alternative Thinking for DC Speakers: Dan Basile, Director, BlackRock Bryan White, CIO, BlackRock Alternative Advisors Discussion Outline When: A Brief History of Hedge Funds What: The Spectrum of Alternatives Why: The Case for Hedge Funds How: Overcoming Implementation Challenges Open Discussion For professional clients / qualified investors only 2 When: A Brief History of Hedge Funds What: The Spectrum of Alternatives Why: The Case for Hedge Funds How: Overcoming Implementation Challenges Hedge Fund Origins When were hedge fund strategies first implemented? 1.600 BC: Thales’ purchase of options on olive presses? 2.1880s: Robber Baron’s distressed investment in bankrupt railroads? 3.1929: Ben Graham’s launch of his long-short fund with incentive fees? 4.1949: Alfred Wilfred Jones’ launch of market neutral fund of funds? For use with institutional and professional investors only — proprietary and confidential 4 Institutional Adoption of Hedge Funds 1990 - Endowments 2000 - Defined Benefit Endowment 2010s - Defined Contribution? (97%) Defined Benefit (76%) Early Adoption Broader Acceptance Maturation Early Adopters Endowments (1990s) Defined Benefit (2000s) Defined Contribution (2010s?) • Duke • Eli Lilly • Goldman Sachs • Harvard • Eastman Kodak • Intel • Yale • Weyerhaeuser • McKinsey Percentages represent the portion of each type of investor (endowments, pensions, and defined contribution plans) with some portion of assets allocated to hedge funds as of the labeled dates. Source: McKinsey, CitiGroup, Barclays, BlackRock, (as of 1 Mar 2015) For use with institutional and professional investors only — proprietary and confidential 5 Meaningful Hedge Fund Allocations Today Institutional Hedge Fund Allocations 24% 19% Endowments & Foundations Pensions Percentages represent the average portfolio allocation to hedge funds for endowments & foundations and pension funds as of 12/31/2014. Source: Barclays Capital Solutions, Preqin January 2015. For use with institutional and professional investors only — proprietary and confidential 6 When: A Brief History of Hedge Funds What: The Spectrum of Alternatives Why: The Case for Hedge Funds How: Overcoming Implementation Challenges Not All Hedge Funds are Equal Liquid Alternatives Marketable Alternatives Illiquid Alternatives (Daily(Daily liquidity)liquidity) (Monthly to annual liquidity) (Multi-year liquidity profiles) •. 19401940 Act Act hedge hedge • Long. Long equity equity and and Daily Valued fundsfunds . Investments in a wide variety debtdebt investments investments in in Hedge Fund of investment strategies PrivatePrivate Equity Equity privateprivate companies companies •. 130/30130/30 funds funds focused on inefficient sectors InvestmentsInvestments • Strategies. Strategies include include of the capital markets ventureventure capital capital and and buy outsbuy outs . Strategies include long/short •. RealReal Estate Estate Bona equity and credit, risk • Long. Long exposure exposure to to InvestmentInvestment Trust Trust fide arbitrage, statistical PrivatePrivate Real Real residentialresidential and and REITS ownsowns and and often often Hedge arbitrage, convertible commercialcommercial real real operatesoperates income income EstateEstate Funds arbitrage, global macro, estateestate producingproducing real real direct lending, and distressed estateestate securities investments among others •. LongLong exposureexposure toto • Investments. Investments in in physical systems of goodsgoods tradedtraded onon . Significant universe of physical systems of Commodities InfrastructureInfrastructure a business or commoditycommodity managers (active HFs a business or nation nation exchangesexchanges >8,000) For use with institutional and professional investors only — proprietary and confidential 8 Liquid vs. Marketable Alternatives How does the size of the opportunity set of liquid alternatives compare to traditional hedge funds (for those funds with 5-year track records)? 1.About the same number 2.About ½ 3.About 1/10th 4.About 1/75th For use with institutional and professional investors only — proprietary and confidential 9 An Important Distinction Investment Universe Investment Universe with 5-year Track Record As of July 31, 2014 As of July 31, 2014 $2,845.1 Billion 98.7% $308 Billion 1.3% Liquid Alternatives Traditional Hedge Funds Liquid Alternatives Traditional Hedge Funds Source: Morningstar, BAA, HFR, Inc., Preqin Alternative Assets, SEC. As of July 2014. Alternative Beta Funds include "liquid" alternatives, Commodity Funds, Real Estate funds, TIPS, and Ultrashort Bond Funds and other Alternative Funds. The Investment Universe (with 5-year track record) graphic shows the percentage of funds that were active in January 2014 and reporting historical performance under the intervals above. For use with institutional and professional investors only — proprietary and confidential 10 An Important Distinction Investment Universe Investment Universe with 5-year Track Record As of July 31, 2014 As of July 31, 2014 $2,845.1 Billion 98.7% $308 Billion 1.3% Liquid Alternatives Traditional Hedge Funds Liquid Alternatives Traditional Hedge Funds Source: Morningstar, BAA, HFR, Inc., Preqin Alternative Assets, SEC. As of July 2014. Alternative Beta Funds include "liquid" alternatives, Commodity Funds, Real Estate funds, TIPS, and Ultrashort Bond Funds and other Alternative Funds. The Investment Universe (with 5-year track record) graphic shows the percentage of funds that were active in January 2014 and reporting historical performance under the intervals above. For use with institutional and professional investors only — proprietary and confidential 11 A Big Difference in Results InvestmentInvestment Returns Returns Five years ended July 31, 2014 Five years ended July 31, 2014 Traditional Hedge Fund Composite 7.5% Double the return Liquid Alternative Composite 2.9% InvestmentInvestment Risk Risk (Standard (Standard Deviation)Deviation) FiveFive years years endedended July July 31, 2014 31, 2014 Traditional Hedge Fund Composite 2.7% Half the risk Liquid Alternative Composite 6.5% Q-BLK Appreciation Composite Morningstar US Open End Liquid Alternatives Equally-Weighted Aggregate1 Source: Morningstar, BlackRock, Wilshire. The Wilshire Liquid Alternative IndexSM is unmanaged and used for illustrative purposes only and is not intended to be indicative of any fund’s performance. It is not possible to invest directly in an index. Q-BLK Appreciation Composite is used as a proxy for Marketable Alternatives. See the definitions and disclosures appearing at the end of the document for source and other information related to the Dispersion of Hedge Fund Strategies. There are significant differences between the S&P 500 Index and QAC. The S&P 500 Index is unmanaged and represents a fixed group of equity securities. The figures for the index reflect the reinvestment of dividends but do not reflect the deduction of any fees or expenses. QAC does not invest in all or necessarily any of the securities that comprise the index. In addition, QAC may have different and higher levels of risk, including through the use of leverage and concentrated positions, and volatility. Reference to the index does not imply similarities in returns, volatility or other results between QAC and the index.1 Morningstar US Open End "liquid" alternatives Equally-Weighted Aggregate is composed of the entire Morningstar US Open End Alternatives universes of managed futures, long/short equity, multialternative and market neutral disciplines. The returns are calculated as an equally-weighted average of the funds’ returns during the monthly period. Funds that do not have at least 6 months of performance were not included. Past performance is not an indication of future results. For use with institutional and professional investors only — proprietary and confidential 12 When: A Brief History of Hedge Funds What: The Spectrum of Alternatives Why: The Case for Hedge Funds How: Overcoming Implementation Challenges How Risky are Hedge Funds? A portfolio of hedge funds is approximately of a portfolio of stocks. 1.Twice the risk 2.Equivalent the risk 3.Half the risk 4.One-third the risk For use with institutional and professional investors only — proprietary and confidential 14 Protecting in Down Markets Can Help Participants Stay the Course Portfolio of Hedge Funds vs. Equities1 Average monthly return during 148 positive Average monthly return during 82 negative months months 4.0% 3.4% Extremely low participation 3.0% in down equity markets 2.0% 1.1% 1.0% 0.0% 0.0% -1.0% -2.0% -3.0% -4.0% -3.9% BAA Equity 19 years ended December 31, 2014. As of 1/1/2015 1 BAA refers to BAA’s Q-BLK Appreciation Composite (“QAC”) vs. S&P 500 Index and HFRI FoF Conservative Index. QAC is a proxy for BAA’s record investing in hedge funds, the S&P 500 is a proxy for equity markets and the HFRI a proxy for FoFs. The underlying risks may differ substantially. Past performance is not an indication of future results. The definitions and disclosures appearing at the end of this document are an integral part of this presentation and should be read in their entirety for a complete understanding of the information contained herein. For use with institutional and professional investors only — proprietary and confidential 15 Protecting in Down Markets Can Help Participants Stay the Course Portfolio of Hedge Funds vs. Equities1 Average monthly return during 148 positive Average monthly return during 82 negative months months 4.0% 3.4% Extremely low
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