The Volatility & Risk Premia Awards 2019
Winners have now been announced for the Volatility & Risk Premia Awards! The awards recognize buyside institutional and hedge fund performance in 2018. It was a challenging year and a difficult selection process for this year’s awards. Thank you to everyone who helped by submitting nominations or offering feedback. Detail on the winners are below and there will be 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.
On the night of the awards gala, we will also announce and recognize the global alternative manager of the year.
Here are the 2019 Volatility & Risk Premia Award winners.
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
Nominees: AP3, ATP, Ilmarinen Mutual Pension Insurance Company, PKA, Suva
Throughout the tumult of 2018, PKA held investments across ten different indices which helped it better mitigate exposure to the large negative returns in the U.S. compared to benchmark strategies. The firm’s volatility portfolio is split into two buckets and its opportunistic allocations, through which PKA takes positions on the back of dislocations in volatility markets, boosted returns throughout the year. The firm’s approach does not include filters of any kind, but rather aims to target volatility risk premia efficiently.
U.S. Institutional Volatility Manager Of The Year
Winner: Koch Industries Employees’ Pension Plan
Nominees: Illinois State University Retirement System (SURS), Koch Industries Employees’ Pension Plan, State of Wisconsin Investment Board (SWIB), Utah Retirement Systems (URS)
A combination of management experience and an absolute-return focus helped Koch Industries’ pension plan to outperform in spite of a difficult 2018. After success timing the end of the U.S. equity market rally into the start of the year, the fund was well placed to play the return of volatility in February and shifted its focus to U.S. markets. A bit of luck – which runs alongside experience and good preparation – also helped the fund time the vol run into September, before closing out positions. Koch Industries’ plan wins because of its savvy use of all kinds of strategies as well as its openness to innovative risk-recycling trades.
Canadian Institutional Volatility Manager Of The Year
Winner: CN Investment Division
Nominees: 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)
CN Investment Division is just a year and a half into developing a systematic long volatility program, but it has an impressive performance record already. The fund is set to increase in size this year, as the plan ups its tail-risk allocation. The systematic fund trades VIX and Standard & Poor’s 500 futures and options using a variety of strategies ranging from the simple to the complex. Its models were primed perfectly for February, which set the fund up well for the year, even when conditions became more complicated in the final quarter. The fund’s managers, who designed different strategies to work in different market conditions, were pleased with how the portfolio fared in 2018’s challenging conditions.
European Institutional Risk Premia Manager Of The Year
Winner: Universities Superannuation Scheme (USS)
Nominees: Ilmarinen Mutual Pension Insurance Company, Nordea, RPMI Railpen, Universities Superannuation Scheme (USS), Varma Mutual Pension Insurance Company
Last year, USS produced positive returns in their systematic alternative risk premia strategies – continuing a trend of outperformance over recent years. The investor’s approach uses external signals to determine allocations, a key element which has aided the overall performance of the portfolio. USS manages everything in-house, from the design to the execution. Its peers and counterparties have lauded the investor for its performance in 2018 – not only in its dynamic allocation process, but also in the way it designs strategies, the way it constructs its portfolio and the risk management applied. During a period when many systematic strategies suffered from correlation issues and performance, USS was able to continue to outperform its peers across premia, asset classes and markets.
U.S. Institutional Risk Premia Manager Of The Year
Winner: Teacher Retirement System of Texas (TRS)
Nominees: 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)
TRS wins not just for its impressive performance but for leading the way for peers and for its commitment to building up a unique bench of talent and expertise. The plan’s management team has a deep understanding of alternative risk premia that allows them to pick and choose the best from the strategies they are pitched. This year the strength of their portfolio proved to be in its blending of bank-offered, managed and in-house built strategies. Although TRS was challenged, as were its peers, by market conditions at the end of the year, it still bested its benchmark thanks to its innovative and deeply quantitative approach. With one of the longest ARP track records in the U.S., the plan expects to increase its allocation significantly this year.
Canadian Institutional Risk Premia Manager Of The Year
Winner: Canada Pension Plan Investment Board (CPPIB)
Nominees: 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)
The Canadian behemoth underwent restructuring last year and now its quantitative strategies and risk premia unit sits alongside its discretionary team. The plan’s systematic and discretionary experts started sharing research and trading functions last year and the innovative structure helps to cross-pollinate ideas between the teams and put CPPIB’s quantitative teams ahead of peers when it comes to innovation. CPPIB, like other plans last year, showed that being able to blend managed risk premia with in-house strategies is a potent combination. The plan’s commitment to research and new strategies was lauded by peers as well as counterparties.
Academic Research Paper Of The Year – Alternative Risk Premia
Nick Baltas & Bernd Scherer: Tail Risk in the Cross Section of Alternative Risk Premium Strategies
Academic Research Paper Of The Year – Machine Learning & Big Data
Takahiro Sasaki, Hiroo Koizumi, Takao Tajiri, Hiroaki Kitano, Sony Laboratories and Government Pension Investment Fund: A Study On The Use Of Artificial Intelligence Within Government Pension Investment Fund’s Investment Management Practices
Innovation In Institutional Investment Award
Winner: OPSEU Pension Trust
Nominees: Abu Dhabi Investment Authority, OPSEU Pension Trust, SAS Trustee Corporation (State Super)
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.
APAC Institutional Manager Of The Year
Winner: SAS Trustees
Nominees: Future Fund, GIC, New Zealand Superannuation (NZ Super), Ping An Insurance Company of China, SAS Trustee Corporation (State Super)
State Super is one of Australia's largest superannuation funds, working directly for its members, many of which are headed for retirement and redemption of their savings. Because of their members' older demographic, this has forced the super fund to think strategically about diversification and the source of their returns making them one of the more sophisticated users of machine learning, data, and derivatives. The fund's governance structure allows it to use derivatives for hedging purposes in a streamlined manner, while it incorporates in-house built machine learning techniques to generate regime shifting signals. While the firm has a comparatively smaller allocation to alternative risk premia, it has shown the willingness to look at it critically and weigh its use within its portfolio.
APAC Alternatives Manager Of The Year
Winner: BFAM Partners
Nominees: BFAM Partners, CICC HK Asset Management, Conning Asia Pacific, Nine Masts Capital
This firm has not only grown its AUM over the last 12 months, but it continues to raise headcount and push into other areas of investment and regions. The firm has started trading interest rate volatility and credit volatility and is also investigating ways to trade options in India, despite regulatory restrictions around foreigners trading onshore. The firm recently added CSLA’s Liam Stephenson to manage its credit volatility trading business.
Investment Consultant of the Year
Winner: Pension Consulting Alliance (PCA)
Nominees: bFinance, Callan, Mercer, Pension Consulting Alliance (PCA), Willis Towers Watson
Time and again, when a North American plan starts putting into action an alternative-risk premia plan that proves to be perfectly tailored to their asset/liability needs, PCA is behind the scenes. The Portland, Oregon-based consultant is responsible for what seems like most of the West Coast plans’ success in recent years and it is constantly expanding into new territory with more clients. The firm’s small size and focus allows it to offer individualized consulting, to be creative and to really dig deep into volatility and alternative risk premia strategies. PCA punches above its weight and has orchestrated some of the biggest mandates’ entry into ARP.
Overlay Manager Of The Year
Winner: Headwaters Solutions
Nominees: Belmont Capital Group, Gladius Capital Management, Harvest Volatility Management, Headwaters Solutions, Neuberger Berman
2018 was a tough year for long and short volatility strategies alike, but one newcomer showed sometimes being in the right place at the right time, a commitment to investor education and acting nimbly could be great advantages in a tumultuous market. Headwaters Solutions, while only a young company, has attacked the market with vigor, explaining their volatility management strategy and attracting interest from investors across the spectrum. An innovative structure allows the firm to easily adapt its model portfolio to different investors’ needs and aligns management incentives with investors’. At the same time, the manager’s commitment to liquidity and the confidence to – when necessary – remain uninvested, helped the firm manage last year’s storms.
Annuity Innovator Of The Year
Nominees: Annexus, Axa Equitable Life Insurance, Allianz Life Financial Services, Transamerica
Transamerica and Annexus’ partnership has been a fruitful one this year, with both firms leveraging each other’s strengths in a bid to better serve the annuities market. Transamerica gained a distribution and design partner in Annexus, while Annexus gained access to one of the country’s largest insurers. To that end, both firms have jointly been working on a number of unique fixed indexed annuities, releasing to the public multi-asset FIAs for instance. Both firms are also currently working on releasing an FIA with an embedded option, a first for the market, to be launched sometime in 2019.
Alternative Risk Premia Fund Manager Of The Year
Winner: La Française Investment Solutions
Nominees: Goldman Sachs Asset Management, La Francaise Investment Solutions, Man Group, Stone Ridge, Two Sigma
Both in 2018 and since inception in 2014, LFIS has delivered a pattern of outperformance and has stood in its ability to deliver strong, market-neural risk-adjusted performance. Market participants told EQDerivatives’ that what the fund manager has done in such a short amount of time is truly impressive and enriches the alternative risk premia industry. LFIS’ premia funds are part of a new generation of multi-asset funds, combining the maximum number of uncorrelated premia strategies. The firms approach goes well beyond traditional, academic, premia to implement a full range of risk and style premia across the range of asset classes.
ARP Fund Launch Of The Year
Winner: Allianz GI - The Allianz Multi Asset Risk Premia fund
Nominees: 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
While ARP fund launches were somewhat thin on the ground last year with some postponed to the new year, Allianz GI made a strong entry onto the scene. The Allianz Multi Asset Risk Premia fund launched in the summer in response to investor demand for alternative, uncorrelated investments. The fund got off to a solid start and proved it was a cut above the crowd by turning in impressive performance in September. It finished the year down less than 2%. Launching in the summer and avoiding the first half of the year likely gave the fund a slight advantage but it also proved better prepared than peers for tests in October and December. The fund was structured internally and each underlying strategy is also managed in-house, allowing it to fine-tune risk levels.
Quant Fund Manager Of The Year
Winner: Two Sigma
Nominees: Element Capital Management, La Francaise Investment Solutions, Man Group, Two Sigma
Two Sigma continues to redefine the definition of a quantitative systematic investment manager as markets and asset management evolves. It has become a thought leader in not only markets, policy and investment research, but also in technology: machine learning and data science. Its Venn platform has enabled investors to comprehend risk and make asset allocations better and faster by allowing them to compare diversification, evaluate the way changes in investments can impact investments and ultimately identify sources of alpha. In data science, for example, pioneers of quantitative investing point to Two Sigma’s open source library Flint - for time-series analysis, complementing other functionality available in Spark SQL. In QIS, Two Sigma’s Risk Premia Enhanced Fund, for example, continues to find favor among global institutional investors while the outperformance of the investment manager overall, in relation to peers, has been praised by investors. The way in which Two Sigma strives to use data and technology not only internally but also for good in public service was also highlighted by institutional investors during the awards research process.
Risk Premia Customized Solutions Provider Of The Year
Nominees: Goldman Sachs Asset Management, J.P.Morgan Asset Management, Man Group, Risk Premium Investments (RPI), Two Sigma
RPI truly defines customization, allocators told us. The company takes the time to listen and dig into its deep reserves of experience and expertise to design structures that deliver regardless of whether the end user is an insurance company, a charitable foundation or a pension plan. The company’s attention to detail and vision of alternative risk premia as a tool for diversification within the context of existing investments sets it apart from others that sell just the building blocks. Last year’s market environment proved the value of RPI’s approach and in particular the importance of truly integrating ARP into an investment plan.
Volatility Fund Manager of The Year
Winner: BTG Pactual GDO
Nominees: Artemis Capital Management, Malachite Capital Management, Parallax Volatility Advisors, TPRV
BTG Pactual was lauded by its peers and institutional investors alike for its performance in 2018 amid a difficult environment for volatility funds. The fund’s GDO, which trades volatility, dividends and correlation, is a relative value strategy that provides investors with a long vol bias and positive carry through a quantitative and global macro approach. In 2018, the fund outperformed its peers significantly, delivering performance during a year that was characterized by volatility spikes, a higher realized vol environment as the year progressed, flattening skew and a breakdown in correlations. Market participants pointed to the expertise of BTG Pactual’s portfolio management team and its ability to identify dislocations across assets, such as in dividends, its best-in-practice risk management approach and its consistency in delivering positive returns for its clients across market environments.
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
EQDerivatives Awards 2019