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RPM Risk and Portfolio Management - In Search of Crisis Alpha
Founded in 1993, RPM Risk and Portfolio Management AB is a specialized investment manager focusing on directional strategies, specifically Managed Futures and Global Macro. Based in Stockholm, Sweden, RPM has approximately USD 6bn assets under management. Clients are primarily banks and financial institutions in Europe and Asia.
Senior Investment Analyst,
RPM Investments, Stockholm
RPM together with Alceda have recently launched a UCITS-compliant investment vehicle called the “RPM Directional Fund”. The fund gives access to a unique selection of directional Managed Futures strategies aimed at capturing medium-term market trends typically associated with equity market crisis periods. This is what RPM refers to as capturing Crisis Alpha.
In Search of Crisis Alpha: Most investment strategies are susceptible to suffering devastating losses during equity market crisis. Given this, for almost any investor, the key to finding true diversification is to find an investment which is able to deliver performance during these turbulent periods. The recent losses of the credit crisis have also reinforced to investors the importance of understanding why a particular investment strategy makes sense. For any new or current investor in Managed Futures, it is well known that these strategies tend to perform well when equity markets incur losses, thereby making them an excellent candidate for diversifying a portfolio.
By taking a closer look into what really happens during equity market crisis events (often called tail risk events), this presentation will take a new approach to explaining Managed Futures and explain why they can deliver “crisis alpha” opportunities for investors. Crisis alpha opportunities are gains generated by exploiting the persistent trends that occur across markets during times of crisis. By gaining an understanding of why Managed Futures can deliver crisis alpha, the commonly cited benefits and characteristics which describe the strategy can be explained in simpler terms helping investors to more effectively use the investment strategy as part of a larger investment portfolio.
RPM Directional Fund: Directional investment strategies focus on capturing movements in prices. These price movements can be observed across different markets and in a wide array of asset classes including bonds, currencies, interest rates, equities, metals, soft commodities and energies. The universe of directional investment strategies can be divided into the following three groups: Trend following, Short-Term and Fundamental.
The Fund aims to select directional strategies with different inherent characteristics. It aims to capture medium-term market trends while controlling for downside risk through a robust risk management framework. With trend following strategies serving as the core allocation; short-term and fundamental strategies will act as complementary performance drivers, giving the product a unique return over risk profile. Portfolio allocations will be adjusted dynamically in accordance with the perceived market opportunities as identified by the investment advisor.
Contact
Tel. +46-8-440 69 00
Email: info@rpm.se
Web: www.rpm.se
Dr. Alexander Mende, Senior Investment Analyst, RPM Investments, Stockholm:
Hedgework: Welche Idee steht hinter dem Konzept „Crisis Alpha“?
Alexander Mende: Es ist seit langem bekannt, dass Managed Futures (MF) in Zeiten von Aktien- und Finanzmarktkrisen ihre beste Performance zeigen. Dafür reicht eine einfache Korrelationsanalyse aus. Das „Crisis Alpha“-Konzept versucht, die Frage nach dem Warum zu beantworten. „Crisis Alpha Opportunities“ sind Handelsgewinne, die aufgrund der Ausnutzung persistenter Trends zu Krisenzeiten möglich sind.
Hedgework: Warum lässt sich die RPM-Strategie am besten mit Managed Futures umsetzen, und nicht z.B. mit einer Long/Short-Aktien-Strategie?
Mende: Managed Futures gehören zu den sogenannten direktionalen Handelsstrategien, können also negative wie positive Trends gleichermaßen ausnutzen. Long/Short-Strategien versuchen hingegen per Definition das direktionale Marktrisiko zu eliminieren, gehen also prinzipiell ganz andere Risiken ein, was sich in (Liquiditäts-)Krisen auch dementsprechend bemerkbar macht.
Hedgework: Nicht alle Managed-Futures-Strategien haben die Marktkrise 2011 positiv nutzen können. Wie ist es bei RPM gelaufen?
Mende: Wenn mit „Marktkrise 2011“ das Wiederaufflammen der Europäischen Schuldenkrise (die zu befürchtende Zahlungsunfähigkeit Griechenlands und eventuell weiterer Staaten) im 3. Quartal gemeint ist, dann ist es erstens zu früh für irgendwelche Schlussfolgerungen und zweitens hat sich die „Krise“ auf ein Abstürzen der Märkte im Juli beschränkt. Seitdem schwanken die Märkte hin und her, je nachdem was die Politik sagt und macht bzw. nicht macht. Im 3. Quartal des Jahres konnte RPM ein Plus von etwa 10 Prozent verbuchen, wenn man die gleiche Volatilität zugrunde legt wie beim DAX.
