MPI’s September 2021 analysis of the Structured Alpha fund has again been at the forefront of investment reporting this week after Allianz’s recent admission of fraud and the sale of its U.S. asset management business to Voya. Illuminated sources of risk and alpha for investors.
On May 15th, 2022, AllianzGI pleaded guilty to securities fraud and agreed to pay about $6 billion in penalties and restitution to investors in the Structured Alpha funds. Many months earlier, MPI’s September 2021 quantitative research Should Institutional Investors be Selling Market Crash Insurance? Do they Know They Are? revealed that the funds were effectively selling market crash insurance and putting investors’ money at risk in the case of market collapse. Read entire press release here.
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.
“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.
We use Allianz Structured Alpha hedge fund as an illustration to demonstrate how investors could apply quantitative techniques to assess potential risks of complex volatility strategies.