Allianz Structured Alpha

Sharpe Ratio: a Blessing, a Curse or Both?

We argue that Sharpe Ratios could be hugely deceiving for derivative strategies – especially if they are in an outlier category as it was the case for the Allianz Structured Alpha funds.

How Did Investors End Up on the Other Side of This Trade?

“MPI deconstructs complex volatility strategies to find that many investors might have been doing the opposite of what they thought,” writes Julie Segal from Institutional Investor in her article about MPI’s analysis of the Structured Alpha hedge fund.