Alternatives Risk Premia - Jigsaw falling into place - DWS

Alternatives Risk Premia - Jigsaw falling into place - DWS
Deutsche                                                                                                           Q4 2016
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Asset Management
                                                                                                     Hedge Fund Advisory

    Risk Premia
    Jigsaw falling into place

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    Due to various risks, uncertainties and assumptions made in our analysis, actual events or
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Why risk premia?


                   Explainable                                                                               Persistence
                                                                Trend towards full look through
           Risk premia are built upon                            of underlying positions. Glass       Risk premia may be observed
            empirical observations                                box not black box approach            over a long period of time

                                                                          Absolute returns                     Low fees
     Can be accessed through a number of
     different instruments and customised                      Portfolios aim to generate returns     Low fee implementations with
       to meet an investors requirements                       regardless of the market direction      typically no performance fee

    Portfolio diversification

     Traditional asset class portfolio construction may give a false sense of diversification due to the correlations between asset
     classes. By viewing the exposure through a factor lens, a more robust diversification can be targeted by constructing the
     portfolio using risk premia. The below example illustrates how a multi-strategy portfolio which may look diversified at an
     asset class level, in fact has around 50% exposure to equity premia which may imply under-diversification.

     Traditional portfolio view                                                    Risk factor view
                                                       US Equities
                                                       Europe Equities
                                                       Japanese Equities
                                                       EM Asia ex Japan Equities
                                                                                                                  Commodity Momentum
                                                       Latin America Equities
                                                                                                                  Equity Emerging Markets
                                                       Europe IG Credit
                                                                                                                  Equity Liquidity
                                                       US IG Credit
                                                                                                                  Equity Momentum
                                                       Europe High Yield
                                                                                                                  FX Carry EM
                                                       US High Yield
                                                                                                                  Rates Carry
                                                       US Soverigns
                                                                                                                  Rates Value
                                                       FI EM

Hypothetical example, for illustrative purposes only

2          Risk Premia | Q4 2016
2016: The rise of the risk premia?

Will 2016 be remembered as a turning point in time for risk premia                                 Tim Gascoigne
investing? The growth in risk premia has indeed been impressive this                               Global Head of Hedge Funds
year and this approach to investing has increasingly been viewed                                   Deutsche Asset Management
as a differentiator to other liquid alternative investment techniques
and appears to assert itself as an asset class in its own right – both
in terms of investor appetite but also with regards to the number
of vehicles and solutions on offer. This deepening of the investible
universe has coincided with a significant increase in estimated AUM
allocated to risk premia over the course of this year. For example                                 Nicolas Laporte
a survey* carried out mid-year revealed that more than 80% of                                      Head of European
respondents were currently investing in, or looking to invest in, risk                             Portfolio Management
premia solutions. According to the same research, AUM in risk premia                               Deutsche Asset Management
related strategies is projected to rise from around 250 billion USD in
2014 to more than 1 trillion USD by the end of 2019, which if true
would make this the fastest growing investment product in asset
management history*.
                                                                                                   Ben Arnold
Risk premia providers have been (and still are) expanding their                                    Portfolio Analyst
investment universe to meet a growing level of investor sophistication                             Deutsche Asset Management
and demand with customisation and unique factor exposures to
make it an attractive solution for investors. As this investment universe
becomes less of a niche approach, the level of transparency has
increased and a full daily look through to the underlying holdings
for the investor is becoming the norm. Finally another key reason
for the growth in popularity of risk premia is the increased overall
understanding of the asset class by investors in terms of what can
be achieved and how they can be integrated into their portfolios.

In the light of this our paper serves to break down and further
                                                                                              AUM in risk premia
demystify the increasingly complex and esoteric world of risk                             related strategies is
premia so it may be better understood by all investors. We share
our definitions followed by our understanding of the risk premia                          projected to rise from
universe and how it can be best classified. Insights are then provided
into how portfolios can be constructed. Finally we touch upon some                        around 250 billion
of our work on criteria for selecting providers and give our view on
the often controversial topic on whether risk premia can be timed.                        USD in 2014 to more
                                                                                          than 1 trillion USD by
                                                                                          the end of 2019.

*Source: Citi Prime Finance survey, Risk Premia, the 3rd Generation of Asset Allocation

                                                                                                         Risk Premia | Q4 2016   3
What are risk premia?
An intuitive but complex world

The risk premia definition is intuitive but what is behind this          Academic risk premia
definition is complex. It is intuitive in the way that investing in
risk premia is like selling insurance contracts. Like an insurance
                                                                       One of the main drivers of academic risk premia is the existence
seller, the investor in risk premia is expected to get paid (premia)
                                                                       of sustained behavioural biases by market participants. As
for the specific risk he/she is willing to take. These premia exist
                                                                       a consequence, an investor who is able to understand these
due to specific market structures which in turn are driven by
                                                                       biases can harvest these by accessing the relevant premia.
persistent investor behaviours and different types of investment
                                                                       For example in the case of market underreaction: the investor
constraints. These anomalies can be harvested but they come
                                                                       is compensated for reacting faster to price changes, news,
with specific risks and hence their name: risk premia.
                                                                       analysis and fundamentals when compared to the marginal
                                                                       investor. In this vein, momentum-based risk premia aim to
Unlike traditional assets, these premia can be captured by
                                                                       capture the phenomenon of assets with higher (lower) recent
combining multiple instruments, taking long and short positions
                                                                       past returns outperforming (underperforming) over time.
as well as using specific trading rules in order to isolate the
premia as precisely as possible from market noise. Allocating
                                                                       In the case of market overreaction, the investor is compensated
to a risk premia would not generically be characterised as
                                                                       for assessing recent price changes, news, and fundamentals
allocating to a particular asset class but rather as creating a
                                                                       into the future. Equity value investing illustrates an example
strategy that will provide a stream of returns related to a
                                                                       of market overreaction as assets below (above) fair value tend
specific risk borne by the investor.
                                                                       to outperform (underperform). From a risk perspective, the
                                                                       market overreaction is explained by fact that investors tend to
Moreover, even for the most simple risk premia, there is no such
                                                                       overreact to value stocks’ embedded risks such as distress risk
thing as a universal truth to define the most efficient way to
                                                                       (companies with undervalued stocks are more likely to be in
harvest it. Each provider relies on its own research and findings,
                                                                       financial distress), cash-flow risk and liquidity risk.
making cross-provider comparison a complex and delicate
task; however research, construction and execution can give an
individual provider an edge in the delivery of a particular premia.     Behavioral explanations rely on investor under/over-reaction
Furthermore, the range of risk premia is large and expanding
with new research pushing the current boundaries of the
                                                                                Initial under-reaction and
available strategies. This means any attempt to precisely qualify               subsequent over-reaction
and quantify the risk premia universe represents an ongoing

Our analysis of the risk premia universe has led us to segregate
it in two main families; each family enclosing a broad range of                                              Trend-following works
                                                                                                             during this period
risk premia which themselves can be classified by asset class
and style.

                                                                                Event causes revision                     Time
                                                                                in fair value
                                                                                                                                     Fair value   Market price

                                                                       Source: Deutsche Asset Management, Nomura as of November 16
                                                                       For illustrative purposes only

                                                                       Note that in the case of value investing in the risk premia space,
      Academic                       Implied                           a key parameter to determine is the fair value of an asset - a
                                                                       subjective number which naturally leads to some dispersion
                                                                       from different providers in this space.
The first family is the academic risk premia, a name referencing
                                                                       The other main characteristic behind academic risk premia is
the number of research papers that have been written by
                                                                       the fact that some investors are constrained in their behaviour.
academics on them for decades in some cases. Generally
                                                                       As a premia investor, positive yield can be generated by holding
speaking they are relatively simple in nature. The other family
                                                                       assets or taking risks that marginal investors cannot (or do not
are the implied risk premia. These tend to be more complex and
                                                                       want to) hold. This is called carry. While carry can be derived
have been developed more recently.
                                                                       from all asset classes, it is with commodities that the concept is
                                                                       best expressed. Under normal market conditions, commodities
                                                                       exhibit backwardation along the futures curve, stating that
                                                                       commodity producers have been selling long-dated contracts at
                                                                       a discount in order to hedge their output, whereas consumers

4       Risk Premia | Q4 2016
have been buying short-dated contracts at a premium in order                      imbalance between supply and demand in the volatility
to secure near-time consumption. Therefore an investor who                        market; a trend especially observable since 2008 as there is
buys from producers and sells to consumers can capture a                          more demand for protection and less ability to warehouse
“risk premium” in the form of a roll yield – assuming, of course,                 it. In the equity space, the volatility premium is captured by
all else being equal during the invested period.                                  systematically selling volatility through variance swaps where
                                                                                  one would receive implied and pay realized volatility. A more
                                                                                  elegant way to exploit this risk premium is to run dispersion
 Source of the carry premia on the commodity curve                                trading. Dispersion trading exploits the phenomena that the
                                                                                  difference between implied and realized volatility is greater
                                                                                  between index options than between individual stock options.
                                                                                  Investors therefore could sell options on the relevant index
                                                    Hedging of
                                                                                  and buy individual stock options. This strategy tends to be
                                                                                  profitable during a period when individual stocks are not

                                                                                  significantly correlated and loses money during stress periods
                                                                                  when correlations rise.

           Buying from consumers
                                                                                  In the case of the merger arbitrage premium, the investor
                                                                                  receives a spread that rewards them for the risk of a deal
                                                                                  collapse. The larger the uncertainty on the outcome of that
                  One-month                    12-month                Futures    potential deal, the larger the spread is and as a consequence
                                                                                  the larger the premium to be harvested.

Source: Deutsche Asset Management, Nomura as of November 16
                                                                                  Finally another implied related risk premium strategy involves
For illustrative purposes only                                                    trading dividend futures. Over the past few years dividends have
                                                                                  ceased to be considered a side product of equity investments,
                                                                                  and the assertion that they constitute an asset class in their own
 Implied risk premia                                                              right has become more and more common. Dividends can be
                                                                                  traded using futures, opening a new door to possible premia to
                                                                                  be harvested. About five quarters before expiry, dividend futures
Implied premia is our second family of risk premia. This family
                                                                                  usually undergo a profound change in their risk dynamics as the
encompasses all implied parameters which can lead to arbitrage
                                                                                  stock tends to trade at a discount to the expected dividends. As
situations such as volatility, dispersion, dividends or liquidity.
                                                                                  time passes, the discount falls. This “pull-to-realized” behaviour
The existence of these premia is derived from specific market
                                                                                  can be harvested.
flows which sometimes have common ground with the
academic risk premia family such as investor patterns,
                                                                                  Once divided in two broad families, risk premia can then be
hedging needs or regulatory constraints.
                                                                                  classified per asset class and styles, creating a two dimensional
                                                                                  matrix as shown below, where peer group analysis and more
Volatility risk premia investing across asset classes relies on the
                                                                                  in-depth analysis can be run at the bucket level.
historical acknowledgement that implied volatility tends to be
higher than realized volatility and is explained by a structural

 Risk premia matrix

                                Carry          Curve             Liquidity       Mom.         Quality         Size         Value              Volatility




Fixed Income


         Academic risk premia           Implied risk premia

Source: Deutsche Asset Management as of November 16

                                                                                                                             Risk Premia | Q4 2016         5
Choosing providers                                                      Portfolio construction
A broad and ever expanding universe                                     Building bridges

When it comes to providers of risk premia, there is a plethora          From an investor’s perspective, the risk premia story is a
of choice. Most investment banks offer a range of off-the-shelf         fascinating on-going development. Within a couple of years,
strategies. These strategies, if one invests in a particular size,      a new investment toolbox has been developed and made
can be more or less customized to match a client’s needs.               available at a relatively low cost for investors. This toolbox
It provides an almost overwhelming choice and as each                   is extensive: available premia range from classic academic
provider has their own views on how and what information                strategies to strategies which are much more complex that
for each strategy is disclosed, it makes any comparison                 have been used by hedge fund managers for decades.
exercise a difficult process. For this reason, it is advisable to
use filtering methods to reduce the size of the universe to a           Assuming that an investor has defined a clear methodology
more manageable size, allowing one to carry out a deep-dive             to assess, filter and select a sample of candidates to allocate
on the relevant risk premia remaining.                                  capital to, the next step is to define a portfolio construction
                                                                        process. In the active space (excluding the case of fixed
One can develop a range of quantitative methods (for example            allocations), we outline two ways to tackle this challenge,
principle component analysis) and measures that rank strategies         both of them with their own advantages and drawbacks:
across variables but also take the decision to explore each group       a systematic approach and a discretionary approach.
of risk premia available to investors from a bottom up view.
Such an approach is preferable due to the fact that even for the        The systematic approach relies on a portfolio optimisation
most simple risk premia, the implementation and trading by              model that rebalances the allocation on a regular basis
each provider is different. This results in a broad range of data       without human intervention. Typically, the optimisation aims at
matrices where risk premia are sliced and diced not only from           maximizing returns while minimizing a user defined risk metric.
a statistical and cost perspective but also from a qualitative          A classic approach is to run a variant of the risk parity model.
standpoint where key construction elements are detailed across          The systematic approach ensures adequate diversification and
each risk premia within a style and an asset class. Further, the        the absence of hidden biases in the portfolio - it is disciplined.
statistical perspective is easier to grasp when combined with the       The discretionary approach consists of building a portfolio based
analytical work done on a qualitative basis, facilitating decision      on a qualitative decision making process. In contrast, it has
making when it comes to selecting which are the risk premia             more tactical positioning and can implement allocations with a
one wishes to consider as inputs to the portfolio construction.         more forward looking perspective than systematic approaches.

                                                                        The main downside of the systematic approach is that the
Risk Premia selection process                                           models rely on historical data while the main downside of
                                                                        discretionary approach is that the allocation can build up
                                                                        unexpected biases in terms of sensitivities to some factors
                                 Risk premia providers                  and can be subject to weaknesses of human investor
                                                                        behaviour such as loss aversion, anchoring and herding.
               A          B           C        D         E          F
                                                                        One suggested approach works on a compromise, building
                                                                        a bridge between the two portfolio construction methods.
                                                                        First, one can use a panel of quantitative approaches to define
                                                                        weight ranges where each weight corresponds to an optimal
                                 Risk premia universe           200+    solution from a risk/return perspective. One can employ different
                                                                        approaches to assess risk with a focus on correlation analysis as
                                                                        historically correlation has had a dominant role in the success or
                                                                        failure of any risk premia allocation.
                                      candidates        Around 50       The next stage is based upon one’s understanding of the
                                                                        behaviour of each risk premia, namely how cheap or rich one
                                                                        perceives them to be, as well as macro considerations and
                                                                        on-going tactical opportunities. From this a discretionary
                                                                        allocation for each risk premia is made within each of the
Source: Deutsche Asset Management as of November 16                     bands resulting in a final allocation. In this vein, quantitative
                                                                        methodologies are useful tools to define allocation boundaries,
                                                                        and when combined with what can be seen as a macro overlay
                                                                        can yield a portfolio that is more robust than either a purely
                                                                        discretionary approach or a purely systematic approach.

6        Risk Premia | Q4 2016
Timing risk premia
Adding value through discretion

One of the most intensely debated and arguably the most               Current carry vs 18 month average carry for selected currencies
controversial of topics in the risk premia space is whether
they can be timed or not. It is a debate which has traditionally      12%
                                                                                                                                Current Carry
polarised investors. As transparency has improved as well as          10%
the expansion of the investible universe, the discussion has           8%
                                                                                                                                18m Average

continued to evolve.                                                   6%

Let’s return to our previous definition of risk premia from before:
systematic ways of exploiting persistent inefficiencies that arise     2%

in the market generally stemming from structural imbalances.           0%
While in the long run these inefficiencies allow the investor to       -2%
generate a positive return, looking back through history, it is        -4%
clear that there are periods that favour one risk premium over



                                                                        ZA SD

                                                                          XN D

                                                                       AU SD


                                                                          O D
                                                                       CA SD

                                                                       SG SD

                                                                        GB D

                                                                        SE D
                                                                       TW SD


                                                                       KR SD


another and in extreme cases, there are periods when certain




























risk premia will underperform for a significant amount of time.


Determining the drivers of this under/outperformance can be a         Source: Deutsche Asset Management, Bloomberg as of November 16
difficult task and harder yet is the prediction of when the change
in these drivers will occur. Certainly for some risk premia such
as momentum, determining when a trend will start or break
would be the Holy Grail for investing. As such timing certain
risk premia can be a very difficult task and many risk premia
investors will choose to accept this and instead implement a
purely passive or risk parity approach to investing.                  The move from a black box to a glass box
However, this may not be the case for all risk premia. Premia
that aim to capture an arbitrage or carry spread can be
monitored on a historical basis and if one accepts that over          The recent spark in interest for risk premia has led to a
time, asset prices will tend to mean revert to their historical       proliferation of products and solutions on offer for investors.
norms then it is possible to build a framework for determining        The approaches in some cases vary significantly and
whether a risk premia is currently “cheap” or “expensive”.            understanding their different nuances and behaviours is
This is perhaps best illustrated by looking at a carry strategy –     crucial for successfully investing in the asset class. Our belief
if we look at the chart on the right we can see the current FX        is that careful provider selection is paramount and that while
carry being compared to historical averages for a number of           portfolio construction can be enacted on a largely systematic
currencies. In this example, it would indicate that we should         basis, there is value to be added employing discretion in order
allocate more to emerging market vs developed market FX carry         to tactically position the portfolio and to time certain premia.
premia as the former looks much cheaper through this lens.
The same idea can be applied to other asset classes such as           This recent growth is understandable as investors look more
equities, commodities and fixed income.                               for a low cost alternative to investing in traditional hedge
                                                                      funds as they become increasingly more discerning about
Another take on timing risk premia is to use them as a tool           their investments with regards to transparency, costs and
to implement more directional tactical investment decisions           flexibility and we believe risk premia investment solutions
– in a similar way to how a macro hedge fund may invest.              offer a very compelling response to this problem. However,
For example, if we consider more traditional risk premia in the       only time will tell which approaches will be successful and
equity space; an investor might go long the S&P and short             which may lack substance when it comes to performance.
the risk free rate if they want to take a directional view on the
US stock market. The same can be applied to fixed income or
commodity instruments if an investor also has a directional
view on those markets and wants to take on the corresponding
risk for investing in them. Certain risk premia may also lend
themselves to trading on a risk on/off basis such as liquidity or
emerging market bias premia (for example long the MSCI EM
index/Short S&P 500) and if an investor has an opinion on the
market direction or regime for these, they can implement their
risk premia investments accordingly. This approach allows a risk
premia investor to take on a more tactical approach to investing
in the strategy using their own discretion.

                                                                                                                      Risk Premia | Q4 2016     7
Risk considerations
The hedge fund strategies are not capital protected nor are they capital guaranteed. Investors in the hedge fund strategies should be prepared and able
to sustain losses of the capital invested, up to a total loss. The value of an investment may go down as well as up and past performance is not a reliable
indicator of future performance. Hedge fund strategies are complex and may not be suitable for all investors and no assurance can be given that the
investment objective will be achieved. Investments in hedge fund strategies are speculative and involve a high degree of risk. Investors should be aware
of the attendant risks including, but not limited to the potential for higher fees and lack of strategy transparency. Hedge fund strategies may employ
a single strategy, which may result in a lack of diversification, and consequently higher risk. Hedge fund strategies may also use leverage, which may
increase profits, but may also magnify losses. The hedge fund strategies are intended for professional investors who, based on their own investment
expertise or that of their financial advisor, understand its strategy, characteristics and risks. Past performance is no guarantee of future results; nothing
contained herein shall constitute any representation or warranty as to future performance. Further information is available upon investor’s request.

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