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Importance of Liquid Alternatives Key Themes for Discussion

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Importance of Liquid Alternatives Key Themes for Discussion Importance of liquid alternatives Key themes for discussion Schroders’ capabilities Defining Dispelling liquid the myths alternatives Liquid alternatives Past and Use in future portfolios growth Source: Schroders 1 Schroders’ capabilities Defining Dispelling liquid the myths alternatives Liquid alternatives Past and Use in future portfolios growth Schroder GAIA and Schroder GAIA II Dedicated platforms for liquid alternative strategies n Access to leading hedge fund managers n Directly invested not master feeder/index approach n Subject to ‘gold standard’ regulation n Risk management by managers and Schroders n Schroders performs extensive due diligence n Strategies that complement Schroders’ existing funds Source: Schroders 3 07/03/17 9:29 AM Schroder GAIA and Schroder GAIA II Diverse product offering Global Credit Long Short Schroder GAIA Egerton Equity* Schroder GAIA BSP Credit US Schroder GAIA Sirios US Equity Catastrophe Bonds Schroder GAIA Cat Bond* Pan-Asian Schroder GAIA Indus PacifiChoice AUM of Merger Arbitrage $5.7bn Trend Following Schroder GAIA Paulson Schroder GAIA BlueTrend Merger Arbitrage Liquid Distressed Debt Equity Market Neutral & and Equity Systematic Macro Schroder GAIA II NGA Schroder GAIA Two Sigma Turnaround Diversified* Source: Schroders as at 28 February 2017, *Hard closed”. 4 07/03/17 9:29 AM Schroders Liquid Alternatives Diverse product offering with approximately $18bn AUM European Total Return ~ $31m EURO Credit L/S ~ $37m 3x European L/S ~ $1,174m, $438m, $159m Strategic Bond ~ $1,435m Sirios US Equity~ $1,056m Absolute Return Bond ~ $121m UK L/S ~ $92m EMD Absolute Return ~ $3,863m Asian Total Return ~ $2,589m Asian Bond Absolute Return ~ $387m Indus PacifiChoice~ $94m BSP Credit ~ $29m Global Market Neutral ~ $105m Egerton Equity ~ $1,286m $7,022m $5,872m $2,275m $3,255m Global Energy ~ $513m BlueTrend ~ $299m Global Gold ~ $113m Two Sigma Diversified ~ $1,499m Agriculture ~ $104m Paulson Merger Arbitrage ~ $310m Commodity ~ $856m Wealth Preservation ~ $38m Commodity Total Return ~ $10m Multi-Asset Total Return ~ $20m Global Cities Real Estate ~ $224m Global Target Return ~ $20m Asia Pacific Cities Real Estate ~ $128m NGA Turnaround ~ $16m Cat Bond ~ $1,247m Strategic Beta/ Alt Risk Premia ~ $73m Flexible Cat bond ~ $60m Estimated AUM data provided. Source: Schroders as at 28 February 2016. 5 Schroders’ capabilities Defining Dispelling liquid the myths alternatives Liquid alternatives Past and Use in future portfolios growth Liquid alternatives A powerful tool in the tool kit Liquid Alternatives § Access to alternative investment strategies in a regulated mutual fund format § Liquid alternatives offer Long only improved transparency and Passive Smart Beta Alternatives active liquidity § They can offer better risk adjusted returns § Interesting for portfolio construction due to reduced volatility and decorrelation characteristics § 12.7% growth in liquid alternative universe over the last 5 years 1 Source:1 Barclays Strategic Consulting survey results, Kepler Absolute UCITS Annual Review (Jan 2016), Eurekahedge data (Jan 2017) 7 Liquid alternatives defined Uncorrelated, liquid, transparent and diversified Liquid Alternative characteristics Reasons to allocate Typically benchmark unconstrained 1 2 3 4 Ability to take long and short positions Portfolio diversification benefits Use of leverage At least twice monthly dealing Greater transparency Strengthen Enhanced Access Reduce liquidity and unique directional the risk return transparency May offer protection in down sources of market risk compared to Alpha profile of a markets portfolio traditional alternatives Source: Schroders 8 Schroders’ capabilities Defining Dispelling liquid the myths alternatives Liquid alternatives Past and Use in future portfolios growth Hedge fund investing from European investors 3 main product groups available AUM from European Hedge Fund Vehicles Total AUM Investors 1. u Offshore, unregulated HF vehicle u Most popular pre-2008/9, but comparatively low Offshore demand in Europe in recent years $3.1tn $600bn Hedge Fund u AIFMD regulations have made the marketing of offshore HFs more challenging 2. u Liquid, regulated European onshore fund structure that can be used for alternatives UCITS u Harmonised format that can be ‘passported’ across $300bn $240bn Liquid Europe for distribution purposes Alternatives u Suitable for sale to retail as well as professional investors 3. u New onshore structures post-AIFMD implementation; less stringent regulation than UCITS funds Non-UCITS u Structures include QIAIF, RIAIF, PIF (Ireland); Part II, $60bn (est.) $60bn (est.) Onshore Fund SIF, SICAR (Lux); some formats (e.g. RIAIF) may be suitable for sale to retail investors u Still largely unproven as a concept for HF managers Source: HFR, HFI, Central Bank of Ireland, McKinsey “The Mainstreaming of Alternative Investments” (2011), Barclays Strategic Consulting estimates and analysis, Preqin Hedge Fund Spotlight November 2016 10 Recent growth of the liquid alternatives in UCITS Significant growth since 2009 Growth of UCITS AUM, 2009 – 2016 $300bn $280bn Pre-AIFMD growth phase Initial $217bn $220bn post-crisis growth $175bn Development of UCITS vs. phase $167bn $165bn Offshore HFs Total AUM 2016 ($bn) $122bn 3055 $57bn 10x 300 Jan 09 Jan 10 Jan 11 Jan 12 Jan 13 Jan 14 Jan 15 Jan 16 Jan 17 UCITS Alternatives HFs n CAGR 23% for alternative UCITS, vs. 10% for offshore n 75% of the AUM from Asset Managers – but HFs are growing much faster Source: Barclays Strategic Consulting survey results, Kepler Absolute UCITS Annual Review (Jan 2016), Eurekahedge data (Jan 2017) 11 Schroders’ capabilities Defining Dispelling liquid the myths alternatives Liquid alternatives Past and Use in future portfolios growth Investor rationale for choosing UCITS funds 4 key reasons for hedge fund investors n Superior liquidity is most commonly cited Liquidity 43% n Many funds packaged into FOF structures offering daily liquidity Investor n Solvency II for insurance companies Regulations / Tax 30% n UCITS – CGT vs offshore funds - income tax Transparency / n Previously bad experiences e.g. Madoff Regulated Format 22% n Comfort with additional transparency and the regulatory oversight Ease of Investment n UCITS funds are substantially easier to offer to clients 4% Source: Barclays Strategic Consulting survey results only 13 Hedge funds: A proven source of diversification Adding hedge fund strategies can help improve return and reduce risk over the long term Return 5.4% 20% Alts 5.2% 5.0% 10% Alts 4.8% 4.6% 4.4% 100% Bond 50% Bond 4.2% 50% Equity 100% Equity 4.0% 0.00% 2.00% 4.00% 6.00% 8.00% 10.00% 12.00% 14.00% 16.00% Barclays Global Aggregate Bond Index HFRI MSCI World Volatility Source: Schroders, as at 31 December 2016. Annualised returns and volatility calculated over a 21 year horizon. 14 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 31 December 2016 15 Schroders’ capabilities Defining Dispelling liquid the myths alternatives Liquid alternatives Past and Use in future portfolios growth Main reservations and typical alternative allocations Fees, liquidity, education Top reasons to hesitate on alternatives Alternatives allocation % of advisors 0.6 25 ‘Knowledge 0.5 gap’ 20 Can retail 0.4 allocations to alternatives increase with the 15 0.3 introduction of Liquid 0.2 Alternatives? 10 0.1 5 0 Fees Lack of liquidity Lack of Benefits Unclear how transparency uncertain strategy works in portfolio framework 0 Institutional Retail Institutional Retail Source: Goldman Sachs, Morningstar/Barron’s, McKinsey, Simfund, November 2013 17 Myth 1: Liquid Alternatives don’t offer genuine hedge fund talent An increasing number of the largest hedge fund managers already offer 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 JANA Partners Avenue Capital Group Kayne Anderson Capital Advisors Bain Capital/Brookside Capital Partners King Street Capital Management Balyasny Asset Management Lone Pine Capital Baupost Group Luxor Capital Group Blue Ridge Capital Magnetar Capital BlueMountain Capital Management Marathon Asset Management Bracebridge Capital Mariner Investment Group Bridgewater Associates Mason Capital Management Carlson 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 Pine River Capital Management 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 Ellington Management Group Soroban Capital Partners Elliott Management Corporation Steadfast Capital Management UK Based Managers Emerging
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