This document provides an overview of the Absolute Plus Fund managed by Marius Oberholzer and his team at STANLIB. It discusses the people and philosophy behind the fund, the aims and high-level process, performance comparisons, the current market environment, and concludes with a summary. The fund uses an absolute return strategy with a focus on capital preservation, diversification across lowly correlated asset classes, and disciplined risk management to aim for returns above inflation over the medium term while keeping volatility low.
On 1/26/2017, we hosted a webinar featuring Richard Lindsey, Managing Partner and Head of Liquid Alternative Strategies at Windham Capital Management. Rich discussed how to model portfolio returns, risk premia, and how to decompose portfolio risk.
Netwealth portfolio construction series - Why you should consider investing o...netwealthInvest
Julian Beaumont from Bennelong Australian Equity Partners presented a webinar session on how to invest outside of the top 20 ASX stocks, for Netwealth on May 26, 2016.
Asset Allocation in a Low Interest Rate WorldWindham Labs
Constructing a well-diversified portfolio has become increasingly difficult in recent years. Central Banks around the world have influenced asset prices and driven down interest rates. The Capital Asset Pricing Model (CAPM), Modern Portfolio Theory (MPT), and global diversification have been under attack. The distortion in interest rates and the instability of risk have made generating model inputs challenging.
In this presentation, we discuss an approach to constructing portfolios in this "New World."
Financial analysts are concerned with factors, or common sources of risk that contribute to changes in asset prices. Analysts may be able to control a portfolio’s risk more efficiently and perhaps even improve its returns by identifying such factors.
Factor analysis is a powerful tool for quantifying the risk profile of a portfolio, constructing a portfolio relative to a benchmark, and controlling risk.
Growing Money: Choosing Investments and Various StrategiesRavi Shikha
What we discuss :
How to allocate money in these 4 Assets Class : Domestic Equity, Global Equity, Gold and Debt
Mutual Fund Scheme Selection using Risk Reward Ratios, Rolling Returns etc.
Optimization of Portfolio based on HRP (Hierarchical Risk Parity) Model
Monitoring and Rebalancing of Portfolio
Netwealth portfolio construction series - Discover cost effective investment ...netwealthInvest
Part of Netwealth's portfolio construction webinar series - Tracey McNaughton, Head of Investment at UBS presented to an audience on 26th October 2016 about an evolved strategy for today's investment climate.
Combining unconstrained and tactical investment strategies to seek hedging, equity-like, and absolute-return style investment exposure.
Explores how to combine tactical equity, minimum volatility, managed futures, risk parity, and other approaches.
Asset Allocation for Specific Client GoalsWindham Labs
On Wednesday, January 24th, we heard from Senior Client Consultant Jon Kazarian on how to tailor a portfolio to meet the specific investment goals of a client.
How effective is your method of managing portfolio risk? We compare and contrast different approaches – including fixed income, managed futures, low volatility equities, and tactical – to explore the relative protection they can deliver versus the return drag they can create.
In a lower expected return environment, should we just accept lower withdrawal rates?
In this presentation, we outline 8 simple ideas that when used together can potentially help make up the return gap.
Windham hosts Research Director Cel Kulasekaran to discuss a unique approach to evaluating loss. By modifying exposure to loss and accounting for within-horizon losses as well as the regime-dependent nature of large draw downs, investors can achieve a more comprehensive understanding of value at risk.
Investment policy decisions are a vital part of a successful investment process for insurers. Related to this: Strategic asset allocation and how best to manage in a low interest rate environment.
We are a Quantitative investment group committed to revolutionize the fund management industry in the country. We are using pure quant technique to create a zero loss fund (the fund will always be positive) i.e; all of your losses (if any) will be insured.
On 1/26/2017, we hosted a webinar featuring Richard Lindsey, Managing Partner and Head of Liquid Alternative Strategies at Windham Capital Management. Rich discussed how to model portfolio returns, risk premia, and how to decompose portfolio risk.
Netwealth portfolio construction series - Why you should consider investing o...netwealthInvest
Julian Beaumont from Bennelong Australian Equity Partners presented a webinar session on how to invest outside of the top 20 ASX stocks, for Netwealth on May 26, 2016.
Asset Allocation in a Low Interest Rate WorldWindham Labs
Constructing a well-diversified portfolio has become increasingly difficult in recent years. Central Banks around the world have influenced asset prices and driven down interest rates. The Capital Asset Pricing Model (CAPM), Modern Portfolio Theory (MPT), and global diversification have been under attack. The distortion in interest rates and the instability of risk have made generating model inputs challenging.
In this presentation, we discuss an approach to constructing portfolios in this "New World."
Financial analysts are concerned with factors, or common sources of risk that contribute to changes in asset prices. Analysts may be able to control a portfolio’s risk more efficiently and perhaps even improve its returns by identifying such factors.
Factor analysis is a powerful tool for quantifying the risk profile of a portfolio, constructing a portfolio relative to a benchmark, and controlling risk.
Growing Money: Choosing Investments and Various StrategiesRavi Shikha
What we discuss :
How to allocate money in these 4 Assets Class : Domestic Equity, Global Equity, Gold and Debt
Mutual Fund Scheme Selection using Risk Reward Ratios, Rolling Returns etc.
Optimization of Portfolio based on HRP (Hierarchical Risk Parity) Model
Monitoring and Rebalancing of Portfolio
Netwealth portfolio construction series - Discover cost effective investment ...netwealthInvest
Part of Netwealth's portfolio construction webinar series - Tracey McNaughton, Head of Investment at UBS presented to an audience on 26th October 2016 about an evolved strategy for today's investment climate.
Combining unconstrained and tactical investment strategies to seek hedging, equity-like, and absolute-return style investment exposure.
Explores how to combine tactical equity, minimum volatility, managed futures, risk parity, and other approaches.
Asset Allocation for Specific Client GoalsWindham Labs
On Wednesday, January 24th, we heard from Senior Client Consultant Jon Kazarian on how to tailor a portfolio to meet the specific investment goals of a client.
How effective is your method of managing portfolio risk? We compare and contrast different approaches – including fixed income, managed futures, low volatility equities, and tactical – to explore the relative protection they can deliver versus the return drag they can create.
In a lower expected return environment, should we just accept lower withdrawal rates?
In this presentation, we outline 8 simple ideas that when used together can potentially help make up the return gap.
Windham hosts Research Director Cel Kulasekaran to discuss a unique approach to evaluating loss. By modifying exposure to loss and accounting for within-horizon losses as well as the regime-dependent nature of large draw downs, investors can achieve a more comprehensive understanding of value at risk.
Investment policy decisions are a vital part of a successful investment process for insurers. Related to this: Strategic asset allocation and how best to manage in a low interest rate environment.
We are a Quantitative investment group committed to revolutionize the fund management industry in the country. We are using pure quant technique to create a zero loss fund (the fund will always be positive) i.e; all of your losses (if any) will be insured.
Aikido Masterclass - Starting Your Algorithmic Investing Journey.pdfJamesForsyth21
A deep dive into quantitative investing.
- What is quantitative investing?
- Exploring factor investing? (what are they?)
- Types of quantitative strategies?
- Managing Risk
- Live demo: start quant investing with Aikido Finance.
Quantopian is Launching a Crowd-sourced Hedge Fundkelmstrom
Crowd-sourcing opens a fire hose of ideas.
Diversity of ideas will result in a diversified hedge fund portfolio.
Quantopian has unique access to tens of thousands of quants which allows for idea generation at an unprecedented scale.
Quantopian provides a platform for you to build, test, and execute trading algorithms. Live trading algorithms can become part of our crowd-sourced hedge fund where top quant talent is matched with outside investor capital.
https://www.quantopian.com/home
For more information contact: emailus@marcusevans.com
David Adkins the Chief Investment Officer at The Pensions Trust delivered his presentation titled "Devising Innovative Investment Strategies to Combat Your Pensions Deficit" at the UK Pensions & Investments Summit.
Join the 2015 Summit along with leading regional pension investors and global asset managers in an intimate environment for a focused discussion of key new drivers shaping institutional investment strategies today.
For more information contact: emailus@marcusevans.com
The Age of Alignment Part II: Getting Strategy-Driven Performance Measurement...Pearl Meyer
Our December webinar explored a fundamental question that was raised by the NACD Blue Ribbon Commission on Strategy Development: “Does your company’s incentive structure reinforce or unintentionally undermine its chosen strategy?”
During that webinar, I talked with my colleague on the Blue Ribbon Commission, Pearl Meyer and Partners’ Steve Van Putten, along with Michael Ng who is with us again today. We discussed the alignment of business strategy and compensation, the role of the Board, the hallmarks of a properly aligned program and examples of various approaches to design, monitoring and revision.
Today, we will build on that topic and take an in-depth look at how Boards can implement the right performance measures to ensure a compensation program that will be an effective tool for driving corporate strategy. With Pearl Meyer and Partners’ Managing Director Matt Turner taking the lead, we will look at measurement selection and mix, and practical concerns for measurement, goal setting and the on-going administration and governance of a winning program.
Proactive Alternatives strategies for the sophisticated HNW investor with actively managed accounts. A currency hedge works well against rising interest rate volatility.
1. Marius Oberholzer : Head Absolute Return Strategies
March 2017
Absolute Plus Fund
2. Contents
1. People and Philosophy
2. Absolute Plus Fund Aims
3. High Level Process
4. Performance and Peer Group Comparisons
5. Market Environment
6. Conclusion
4. 4
Absolute Return Franchise
Consistent performance through all business cycles
Degrees
MSc (Global Finance)
BSc (Hons) (Pure Mathematics)
BSc (Engineering)
BCom (Economics and
Commercial Law)
BBusSc
CFA
MSc (Operational Research)
Qualifications
Consistently growing
capital in absolute
terms (in excess of
inflation)
Wealth creation
R9.5bn
Franchise AUM
60+Years of collective investment
experience in the Absolute
Return team
Experience
Team
TACTICAL
ASSET
ALLOCATION
OVERLAY
Capital preservation using asset class diversification,
security selection and disciplined risk management
Focus
31 December 2016
Portfolio
Managers:
Bhekinkosi
Khuzwayo
Peter van der
Ross
Vaughan
Henkel
GLOBALand
DOMESTIC
asset classes with
LOW
or NEGATIVE
correlations
REGULATION
28/30
COMPLIANT
Pooled or segregated
mandates
Diversification
Marius Oberholzer
Head&PortfolioManager
Capabilities
5. 5
Benefit from wide range of insights, but not obliged to follow them
Dealing Desk
Fixed Income
Head : Henk Viljoen
Team: 9 inv. professionals
Listed Property
Head : Keillen Ndlovu
Team: 5 inv. professionals
Equities
Head : Herman van Velze
Team: 8 inv. professionals
Multi-Asset
Head : Robin Eagar
Team: 6 inv. professionals
Economics
Chief Economist: Kevin Lings
Team: 3 inv. professionals
Pan-Africa
Head : John Mackie
Team: 4 inv. professionals
Beta Quant and Passive
Head : Brian Kipps
Team: 5 inv. professionals
Portfolio Analytics
Risk and Implementations (PARI)
Head : Dr Gareth Witten
Team: 15 inv. support
ABSOLUTE RETURNS GROUP
Marius Oberholzer: Head of Absolute Return & Portfolio Manager
Peter van der Ross
Portfolio Manager
Bheki Khuzwayo
Portfolio Manager
• Average Investment Experience 15 Years
• Experienced in Absolute Return investing
• Specialists - only manage Absolute Return Mandates
• Draw on expertise across Stanlib Asset Management
• Boutique mentality - high degree of client alignment
Head : Alphonso Raats
Team: 3 inv. professionals
Vaughan Henkel
Portfolio Manager
9. 9
Absolute Return Investing: The Case and Philosophy
“Rule No.1: never lose money; Rule No. 2: don’t forget Rule No. 1”
Warren Buffett
“What if I am wrong? Any rationale investment plan has to start with that question”.
Peter L. Bernstein
11. What does Absolute Return investing mean to us?
Harness the power of compounding:
o Preserve capital : Risk = short term loss of capital (nominal)
o Expose clients’ capital to risk premia that are priced to deliver
long term rewards : beat inflation over time horizons > 3 years =
Sustainable Growth
Grow our clients’ real purchasing power
Diversify in many ways. We respect the markets.
Path dependency matters….
Deliver steady, consistent returns over time
“You can’t
eat relative returns.”
so
Narrow the range of
potential outcomes to
deliver a predictable
return profile
12. 25%
20%
15%
10%
5%
0%
-5%
-10%
-15%
-20%
-25%
-25% -20% -15% -10% -5% 0% 5% 10% 15% 20% 25%
Limited downside, with
upside participation
Asset Market STANLIB Absolute Return
12
What can you expect over the medium term?
Market Returns
Portfolioreturns
13. Absolute Plus Fund
Aims and Outcomes
“Significant long-term performance does not appear magically and
suddenly. Long-term profitability is a process, involving trial-and-
error”.
Peter Brandt.
Victory is built on small steps and good decisions
14. Absolute Plus Fund
• Primarily this is an Asset Allocation Strategy
• Reg 28 Unit Trust
• Broadened asset mix available, relative to its history
• Do use derivatives to protect against adverse outcomes, all on-exchange traded to ensure
transparent pricing.
• Risk Managed and governance
• Liquid and scalable
• Very flexible around Asset Allocation
• Mandated to protect capital over rolling 12 months
• Seek CPI+4% over medium term.
• Lower volatility of returns.
16. SAA in Risk Seeking mode: 1. Highest probability of meeting the return target,
2. lowest probability of incurring a shorter term drawdown along the way
“It is a mistake to try to look too far ahead. The chain of destiny can only be grasped one
link at a time”
Winston Churchill
17. Buying and holding an SAA designed to meet CPI hurdles will breach our
drawdown limits, even on conservative mandates.
17
18. What do we Actually do?
18
Focus on getting the
asset allocation right:
Identify mispricing's
Use hedging and
liquidity
Protect against adverse
outcomes at asset and
portfolio level
Spread exposure
across asset classes,
geographies and
strategies
We embrace active,
passive and hybrid
strategies
Add some asset selection alpha
• Duration and curve strategies
• Credit
• Stock or sector selection in Equity & Property
• Quant factors in Equity
• Instrument selection around expression of view.
19. 19
Identify mispricing across Asset Classes
• Exposed to risk-premia which deliver returns over time
• Seek to make sense of economic and macro environment and blend with our valuation framework
• We apply a Hurdle Rate to each investment
• Our liquidity profile allows us to adapt quickly to change
Deliberate about how we exploit opportunities:
• Where (asset class & geography)
• When (business cycle and valuations)
• Why (explicit rationale and reasoning)
• How (best way to express the investment view: beta, capital structure or derivative)
• Could we be wrong?
• What makes us wrong
Disciplined Risk Management:
• Constant, as well as formal, regular evaluation of positions and portfolio
• Position sizing and hedging
• Stress testing and scenario analysis
STANLIB Absolute Returns Process
20. 20
Risk Management in Absolute Returns Business
“Everyone has a plan until they get punched in the face” Mike Tyson
Risk Management Objectives:
• Proactive rather than reactive risk management to prepare for adverse outcomes
• Culture of risk management. Risk management is seen as part of the Absolute Return process
• Quantify, isolate and manage portfolio risks
• Truncate against losses and tail-risk
General Methodologies:
• Position level and asset class level risks aggregated for portfolio?
• Overlay hedges to bring systemic risks and portfolio volatility with desired limits
• Exposure and drawdown limits to manage more idiosyncratic exposures
• Liquid portfolio
Independent Insights:
• Independent Risk Team report to CEO and COO
• Scenario analysis and Stress testing
• Investment Governance functions
Tools:
• Franchises uses in-house tools, Bloomberg and 3rd party system “Risk 101”
• PARI* uses APT® and FactSet®.
* Portfolio Analytics Risk and Implementations.
54. Keep Calm – Equity Risk Premium
Earnings yield using TREND earnings, less 10 year Treasury yield
Source: Capital
54
55. Growth and Inflation
Risks to growth are symmetrical - inflation risks “might” be skewed to the upside
55
Growth
Inflation
“Fatter” Tails “Fatter” Tails
Base Case of Higher
Inflation
Left Tail Clipped
Meaningful Risks
to the Upside
56. Flatter Frontier
Risk return trade off – Four asset class portfolio
Source: Morgan Stanley
Expected Returns1990-2009 2010-2016 Best Return/Vol: 5.8%/3.1%
Best Return/Vol: 5.3%/4.3%
Best Return/Vol: 2.2%/3.5%
56
58. 58
• We believe that market inefficiencies can be exploited through active asset allocation, creating attractive risk-
adjusted and Absolute returns.
• We adjust asset allocation dynamically, based on a bottom up valuation-based process, top-down research and a
pragmatic view of what drives markets. We do not buy-and-hope
• We prepare for adverse outcomes and protect portfolios accordingly. Nimble, tactical and dynamic should
win the day
• We manage against downside volatility of returns. Patience to wait for risk-reward to be in our favour
• Core team members have a boutique mentality with combined investment experience of in excess of 60 years
with diverse, complementary and specialist skillsets.
• Proven True Absolute Return funds with strong track record of downside protection
• We love volatility.
“It is not the strongest of the species that survives.
It is the one that is most adaptable to change”
Why STANLIB Absolute Returns?
60. Collective Investment Schemes (CIS) in Securities are generally medium to long-term investments. An investment in the participations of
a collective investment scheme in securities is not the same as a deposit with a banking institution. The value of participatory interests
may go down as well as up and past performance is not necessarily a guide to the future. CIS are traded at ruling prices and can engage
in borrowing and scrip lending. A schedule of fees and charges and maximum commissions is available on request from STANLIB
Collective Investments (“the Manager”). Commission and incentives may be paid and if so, would be included in the overall costs.
Forward pricing is used. Fluctuations or movements in exchange rates may cause the value of underlying international investments to go
up or down. Liberty is a full member of the Association for Savings & Investment SA (ASISA). The Manager is a member of the Liberty
group of companies.
The information and content of this document are intended to be for information purposes only and STANLIB does not guarantee the
suitability or potential value of any information contained herein. STANLIB Wealth Management Limited does not expressly or by
implication propose that the products or services offered in this document are appropriate to the particular investment objectives or needs
of any existing or prospective client. Potential investors are advised to seek independent advice from an authorised financial adviser in
this regard. STANLIB Wealth Management Limited is an authorised Financial Services Provider in terms of the Financial Advisory and
Intermediary Services Act 37 of 2002 (Licence No. 26/10/590)
Disclaimer
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