The Volatility & Risk Premia Awards 2019

Nominees have now been announced for this year’s premier volatility and risk premia awards. The categories focus on buyside institutional and hedge fund performance over 2018. Winners will be announced next month online, with a follow-up in the first quarter edition of EQD Magazine, which will be out in March. The award winners, as well as our new class of Hall of Fame inductees, will be celebrated at a gala ceremony at the Yale Club on March 11. For bookings, contact Dennis Kesolitz.

To learn more about how we will be selecting the winners, read our awards methodology. We welcome submissions of support from clients and counterparties to the nominees below. Please email Elinor Comlay with brief details of any innovative trades, structures and products or any particular outperformance that you think we should be aware of when considering these categories. 

On the night of the awards gala, we will also announce and recognize the global alternative manager of the year.

These are the nominees for the Volatility & Risk Premia Awards 2019:

Outstanding Contribution Award: Pav Sethi, Founder & CIO, Gladius Capital Management

Fund Manager of the Year: Ross Stevens, Founder & CEO, Stone Ridge Asset Management

Investor Platform of the Year: Two Sigma – Venn

European Institutional Volatility Manager of the Year

AP3

ATP

Ilmarinen Mutual Pension Insurance Company

PKA

Suva

U.S. Institutional Volatility Manager Of The Year

Illinois State University Retirement System (SURS)

Koch Industries Employees’ Pension Plan

State of Wisconsin Investment Board (SWIB)

Texas Tech University System (TTU)

Utah Retirement Systems (URS)

Canadian Institutional Volatility Manager Of The Year

Air Canada Pension Plan

Caisse de dépôt et placement du Québec

Canada Pension Plan Investment Board (CPPIB)

CN Investment Division (CNID)

The Public Sector Pension Investment Board (PSP Investments)

European Institutional Risk Premia Manager Of The Year

Ilmarinen Mutual Pension Insurance Company

Nordea

RPMI Railpen

Universities Superannuation Scheme (USS)

Varma Mutual Pension Insurance Company

U.S. Institutional Risk Premia Manager Of The Year

Employees' Retirement System of the State of Hawaii

MassPRIM

Oregon Public Employees Retirement Fund

Illinois State University Retirement System (SURS)

Teacher Retirement System of Texas (TRS)

Canadian Institutional Risk Premia Manager Of The Year

Alberta Investment Management Corporation (AIMCo)

Canada Pension Plan Investment Board (CPPIB)

OPSEU Pension Trust (OPTrust)

The Public Sector Pension Investment Board (PSP Investments)

Healthcare of Ontario Pension Plan (HOOPP)

Academic Research Paper Of The Year – Alternative Risk Premia

Nick Baltas & Bernd Scherer: Tail Risk in the Cross Section of Alternative Risk Premium Strategies

Marco Aiolfi & Yasim Tokat-Acikel, Don’t Get Carried Away: Uncovering Macro Characteristics in Carry Portfolios

Olivier Blin, Florian Ielpo, Joan Lee & Jerome Teiletche: Factor Timing Revisited: Alternative Risk Premia Allocation Based on Nowcasting and Valuation Signals

Jordan Brooks, Diogo Palhares & Scott A. Richardson: Style Investing In Fixed Income

Academic Research Paper Of The Year – Machine Learning & Big Data

Tony Guida & Guillaume Coqueret: Ensemble Learning Applied to Quant Equity: Gradient Boosting in a Multi-Factor Framework

Shihao Gu, Bryan Kelly & Dacheng Xiu: Empirical Asset Pricing via Machine Learning

Takahiro Sasaki, Hiroo Koizumi, Takao Tajiri, Hiroaki Kitano: A Study On The Use Of Artificial Intelligence Within Government Pension Investment Fund’s Investment Management Practices

Hadi Elzayn, Shahin Jabbari, Christopher Jung, Michael Kearns Seth Neel, Aaron Roth, Zachary Schutzman: Fair Algorithms for Learning in Allocation Problems

Renato Faccini, Eirini Konstantinidi, George S. Skiadopoulos, Sylvia Sarantopoulou-Chiourea: A New Predictor of U.S. Real Economic Activity: The S&P 500 Option Implied Risk Aversion

Innovation In Institutional Investment Award

The ‘Innovation in Institutional Investment Award’ recognizes investors focused on innovations with long-term potential as well as those working to improve the efficiency of investment practices.

Abu Dhabi Investment Authority

ADIA’s Internal Equities Department conducted a study and peer-review process to investigate how big data, machine learning and artificial intelligence are investments. From the findings, ADIA has adopted several initiatives relating to data capture and storage, stock analysis and factor exposures, making the institutional investor more efficient and improving its ability to identify opportunities.

Government Pension Investment Fund

In 2017, Government Pension Investment Fund (GPIF) partnered with Sony Computer Science Laboratories to study the impact of artificial intelligence on asset management. In early 2018, the resulting study was released. The report focused on manager structure development and maintenance as well as where artificial intelligence could be applied. A resulting proof-of-concept prototype Style Detector Array, developed using deep learning neural networks, was found to be effective in detecting differences of style among fund managers, and how they can change over time. The study is already being referenced by institutional investors globally who are increasingly considering applying artificial intelligence when evaluating asset managers.

OPSEU Pension Trust

OPTrust is holding the standard for modern institutional investors, according to peers. Its team develops novel algorithms to inform decision makers where and when to shift risk in the total fund portfolio. Peers view OPTrust employees as leaders in the space when it comes to considering artificial intelligence as a tool to enhance an asset allocation strategy.

SAS Trustee Corporation (State Super)

State Super, one of the largest Australian superannuation funds, has developed an in-house machine learning program to find new correlations. State Super’s in-house machine learning has provided better informed investment decisions and ultimately allowed it to take on more risk. Its team is widely viewed in the Asia Pacific region as thought leaders in machine learning when it comes to identifying alpha signals.

APAC Institutional Manager Of The Year

Future Fund

GIC

New Zealand Superannuation (NZ Super)

Ping An Insurance Company of China

SAS Trustee Corporation (State Super)

APAC Alternatives Manager Of The Year

BFAM Partners

CICC HK Asset Management

Conning Asia Pacific

Nine Masts Capital

Investment Consultant of the Year

bFinance

Callan

Mercer

Pension Consulting Alliance (PCA)

Willis Towers Watson

Overlay Manager Of The Year

Belmont Capital Group

Gladius Capital Management

Harvest Volatility Management

Headwaters Solutions

Neuberger Berman

Annuity Innovator Of The Year

Annexus

Axa Equitable Life Insurance

Allianz Life Financial Services

Transamerica

Alternative Risk Premia Fund Manager Of The Year

Goldman Sachs Asset Management

La Francaise Investment Solutions

Man Group

Stone Ridge

Two Sigma

ARP Fund Launch Of The Year

AllianceBernstein - AB Alternative Risk Premia Portfolio

Allianz GI - The Allianz Multi Asset Risk Premia fund

AQR - The AQR Volatility Risk Premium Fund

Parametric Portfolio Associates – Systematic Alternative Risk Premia Fund

Volatility Fund Of The Year

Artemis Capital Management

BTG Pactual

Malachite Capital Management

Parallax Volatility Advisers

TPRV Capital

Quant Fund Manager Of The Year

Element Capital Management

La Francaise Investment Solutions

Man Group

Quadratic Capital Management

Two Sigma

Risk Premia Customized Solutions Provider Of The Year

Goldman Sachs Asset Management

J.P.Morgan Asset Management

Man Group

RPIMCO

Two Sigma

Global Alternatives Manager Of The Year

To Be Announced On The Evening Of The Awards Ceremony

The Hall Of Fame

The EQDerivatives Investing Hall Of Fame recognizes those individuals that have led the line in volatility and alternative risk premia thought leadership. EQD staff congratulates this year's Hall of Fame inductees. 

Volatility & Alternative Risk Premia Investing Hall Of Fame's 2019 inductees

  • Mohan Balachandran, Teacher Retirement System of Texas
  • Buck Betten, Macarthur Foundation
  • Rishabh Bhandari, Capstone Investment Advisors
  • Bill Chengyu Li, Massachusetts Pension Reserves Investment Management Board
  • Benjamin Clerget, BTG Pactual
  • Tashil Fakir, JPMorgan
  • Alexandre Fleury, Société Générale
  • Claire Follezou-Coureau, Credit Suisse
  • Timothy Hendricks, XFA
  • Chiente Hsu, Morgan Stanley
  • Wai Lee, Wells Fargo Asset Management
  • Nicolas Lenoir, PSP Investments
  • Imene Moussa, UBS
  • John Mark Piampiano, Seaport Global Securities
  • Natalie Reska, Bank of America Merrill Lynch
  • Siddhartha Sinha, Deutsche Bank
  • Heather Shemilt, Goldman Sachs
  • Nathalie Texier, BNP Paribas

To view previous Hall Of Fame Inductees, click here

2019 Table Sponsors

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EQDerivatives Awards 2018

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