By way of example, from March 2 to March 16, approximately two-thirds of the losses in the Structured Alpha 1000 fund were caused by S&P 500 put options. Past results are not necessarily indicative of future performance and performance may be volatile. ESG is going mainstream because it’s business-critical, AllianzGI receives highest possible ESG Strategy & Governance score from PRI for third year in a row. While the losses suffered within the Structured Alpha Portfolio are of course deeply disappointing, our analysis to date of the Portfolio’s March 2020 performance confirms that those losses were not the result of any failure in the Portfolio’s investment strategy or risk management processes. You currently DO NOT have javascript enabled, to view our site this must be enabled, *  Les performances passées d'un titre peuvent ou non se confirmer et ne préjugent pas des performances futures. Consistent with its obligations to investors to pursue returns in accordance with the funds’ respective alpha-seeking mandates, the Portfolio continued to be managed in accordance with its design (rather than being converted to cash) as markets declined in the first half of March. With respect to portfolio risk, the Enterprise Risk Management function seeks to define, with input from the Portfolio Management team, a risk level that is informed by various considerations. Throughout February and into March 2020, the Portfolio maintained all three core strategies described above using options struck on the S&P 500 index. The investment policy is geared towards generating appropriate annualised returns while taking into account the opportunities and risks on the global equity options markets (absolute return approach). As market conditions deteriorated during March 2020, the Enterprise Risk Management team adapted its stress tests to replicate the events experienced during a particularly challenging day in March in order to independently assess the Portfolio Management team’s de-risking actions relative to newly observed stresses. Allianz Global Investors Fund - Allianz Structured Alpha Strateg P13 EUR, Allianz Global Investors Fund - Allianz Structured Alpha Strateg P13 EUR. The deep out-of-the-money Hedging Positions (purple and green) are designed to act as a protective back-stop against sudden market shocks with volatility spikes. Le départ de Frank Hansen affaiblit sensiblement les ressources d'Allianz dans l'univers des petites et moyennes valeurs européennes. Management has no ownership stake in the fund. By using proprietary statistical analysis to select strike prices based on analysis of historical market movements, the portfolio managers endeavor to earn excess returns to achieve the Portfolio’s alpha targets while managing risk. La note maximale de 5 étoiles reflète l'opininon/hypothèse que l'action est actuellement valorisée à sa juste valeur, la note minimale de 1 indiquant l'inverse. The Sub-Fund seeks to generate superior risk adjusted returns through a complete market cycle. Past performance is not indicative of future results. It depicts an illustrative example of the payoffs at expiration of the S&P 500 options (“SPX”) positions held by the Structured Alpha 1000 fund in 2020¹. Que détient ce fonds ? Quatre composantes conditionnent cette notation à base d’étoiles : (1) notre évaluation de l'avantage concurrentiel de l’entreprise, (2) notre estimation de la juste valeur de l'action, (3) le degré d’incertitude entourant cette estimation de la juste valeur et (4) le cours actuel de l'action sur les marchés. Over the years, restructuring has served as a vital component of the Portfolio Management team’s risk mitigation process, allowing the Portfolio to dynamically manage risk while still pursuing its funds’ respective stated alpha targets – a process that has been explained at length to all investors. Il s'agit d'une prévision/opinion et non pas d’une affirmation. This site and all the information contained herein is general and/or educational in nature. An investor’s allocation to the Structured Alpha strategy will typically be made as a part of the investor’s overall risk budget and appetite. The Portfolio strives to generate excess returns (or alpha) primarily by selling out-of-the-money options on various indices. The review revealed that the Portfolio was at all times managed to its alpha targets and in accordance with its design, having in place protections and processes designed to offset certain of the risk inherent in earning alpha by selling options. For example, as markets declined the Portfolio Management team replaced near-to-the-money short S&P 500 puts and short NASDAQ puts with new short puts struck at prices further away from then-current market levels. Given that the market decline coupled with the surge in volatility was a multi-week move as opposed to a one-day shock, the hedges in the form of S&P 500 long puts did not appreciate in value nearly enough to offset the losses in the core alpha-generating positions. Allianz Structured Alpha Strategy | Isin LU1046808363 | Fonds d'options sur indices d'actions avec une approche de rendement absolu | Role Investisseurs particuliers Morningstar attribue des notations à base d'étoiles en fonction de l'estimation de la juste valeur d'une action réalisée par nos analystes. Objectif d’Investissement: Allianz Global Investors Fund - Allianz Structured Alpha Strateg WT14 EUR The Sub-Fund seeks to generate superior risk adjusted returns through a complete market cycle. No part of this material may be reproduced in any form, or referred to in any other publication, without express written permission. What is Options Trading? In defining a risk appetite, it is acknowledged that not all risk can be removed subject to the risk-reward profile of a particular strategy. If you are a non-U.S. resident, please visit www.allianzgi.com. Cela nous aide à offrir un contenu, des données et des outils de qualité à l'ensemble des investisseurs. Les performances sont calculées en Euro. Regarding the Structured Alpha Portfolio, the first line of defense is primarily provided by the Portfolio Management team. Therefore, these puts did not appreciate as quickly in value as they might in the case of a sudden market crash. Ce fonds bénéficie d’une approche bien définie et éprouvée. The lawsuit is reportedly one of several lawsuits pension funds have brought against Allianz over $4 billion lost by the Structured Alpha funds. vary based on factors such as changes to the time to expiration, the value of the underlying index, market volatility, and the risk-free rate. Certains aspects de ce fonds nous plaisent encore, mais les risques potentiels pour le process d'investissement nous conduisent à plus de prude... Ces fonds populaires ne nous convainquent pas. Until their orderly liquidation at the end of March 2020, two funds sought to achieve 1000 basis points of alpha per annum, representing the funds with the greatest risk and greatest reward potential among the Portfolio’s individual funds. The information provided herein is not directed at any investor or category of investors and is provided solely as general information about our products and services and to otherwise provide general investment education. Allianz Structured Alpha Strategy | Isin LU0527948110 | Wkn A1C2H3 | Fund following an absolute return approach through equity index options | Professional Investor Restructuring is a process of risk mitigation by which the Portfolio Management team adjusts the Portfolio to market moves by closing out a portion of the options that serve as the Portfolio’s core alpha generators and replacing them with new positions with strike prices further out of the money, for example. The Fund seeks to generate superior risk adjusted returns through a complete market cycle. Pour diffuser une publicité adéquate, nous avons besoin de connaître le profil de l'audience sur nos sites Internet. In selectively exposing the Portfolio to the short option positions, the Portfolio acts like an insurer, taking on measured risk in exchange for the receipt of premiums. Since its inception in 2005, the funds in the AllianzGI Structured Alpha Portfolio (the “Portfolio”) have offered investors access to structured products that seek to generate returns by harvesting premiums from liquid traded options, most significantly on the S&P 500. These ad hoc assessments were in addition to the standard “worst case” scenario stress testing, as the portfolios could still be subject to such market movements. Infrastructure debt: Much-needed resilience in times of market stress. As reflected in the chart, the Portfolio is designed to produce returns in certain “profit zones” through a combination of Range-Bound Spreads (blue) and Directional Spreads (orange). Rather, AllianzGI’s normal portfolio restructuring was overtaken by the combined market decline and volatility increase. In an effort to be fully transparent with investors, AllianzGI has subsequently conducted an analysis to better understand the sources of fund losses and to address several of the common questions posed by investors and their consultants. Allianzgi Structured Alpha 1000 LLC Allianzgi Structured Alpha 1000 LLC is a hedge fund operated by Allianz Global Investors U.S. Llc and has approximately $8.8 billion in assets. This Twitter component is loaded through Twitter . As noted above, the Hedging Positions are designed to provide protection to the Portfolio against a sudden market crash and volatility increase. This document is being provided for informational purposes only and should not be considered investment advice or recommendations of any particular security, strategy or investment product. The Allianz Structured Alpha 1000 plus seeks to generate returns of 10% to 14% annually, net of fees, on top of the 90-day Treasury bill. Participating in 9,532 (2018: 8,535) shareholder meetings over the course of 2019, AllianzGI voted against, withheld or abstained from at least one agenda item at 77% (2018: 75%) of all meetings globally. These tests focus on predictive indicators that assess how the Portfolio is positioned for defined, single-day stresses, which are based on historically-viewed worst case scenarios. Predictions, opinions, and other information contained in this article are subject to change continually and without notice of any kind and may no longer be true after the date indicated. Approximately one-fourth of the losses in the fund were caused by short VIX and VXX options. If presented, any reference to specific securities, issuers and market sectors are for illustrative purposes only. Allianz Global Investors Distributors LLC is a broker-dealer registered with the SEC and member of, This site and all the information contained herein is general and/or educational in nature. Your institution is likely to have its unique investing DNA – a singular combination of desired investment outcomes, constraints and risk tolerance... Companies that recognise the importance of ESG factors – and manage them well – are increasingly attractive to investors, while companies that fail to pay attention to ESG can be perceived as higher risk. Investment Products: NOT FDIC INSURED | MAY LOSE VALUE | NOT BANK GUARANTEED. We hope the above helps provide additional clarity regarding the recent losses suffered by the Structured Alpha Portfolio and their causes. Due to the nature of these positions, there remains at all times a possibility that market movements cause certain written options to increase in value, to the economic detriment of the Portfolio. Investment funds may not be available for sale in all jurisdictions or to certain categories of investors. So are risklab's solutions. The Portfolio losses were the direct result of the speed, duration and severity of the market decline and attendant increase in volatility, which overtook the Portfolio Management team’s portfolio restructuring process. Voir 'Acceptation des cookies' pour plus de détails. The current minimum investment for Allianzgi Structured Alpha 1000 LLC is $1000000. When collateral is used to implement option positions, it is possible that a decline in market value of the option positions could force the portfolio to cover any shortfall by liquidating non-cash assets. Son code ISIN est LU1685827732. Despite these steps, the Portfolio ultimately could not be restructured quickly enough to keep pace with the market decline, resulting in additional losses. The information presented in this article has been developed internally and/ or obtained from sources believed to be reliable; however, Allianz Global Investors does not guarantee the accuracy, adequacy or completeness of such information. You are now leaving the Allianz Global Investors’ website and being redirected to, United States | Institutional Investor, The information on this web site is intended for U.S. residents only. While the losses suffered in the Portfolio are deeply disappointing, our analysis to date confirms that those losses were not the result of any failure in the Portfolio’s investment strategy or risk management processes. While re-establishing alpha-generating positions at lower strike prices, this resulted in realized losses on the near-to-the-money short puts. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of AllianzGI nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. Any forward looking statements speak only as of the date they are made, and Allianz Global Investors assumes no duty to and does not undertake to update forward-looking statements. Allianzgi Structured Alpha Global Equity 350 LLC is a hedge fund operated by Allianz Global Investors U.S. Llc and has approximately $204.8 million in assets. Les performances passées d'un titre peuvent ou non se confirmer et ne préjugent pas des performances futures. Past performance is not a reliable indicator of future results. Ce site a uniquement pour objet de fournir des informations sur ALLIANZ GLOBAL INVESTORS et les produits autorisés à la commercialisation en France. AllianzGI’s review revealed that even during the most turbulent days of this period, the Portfolio was at all times managed to its alpha targets and in accordance with its design, and as disclosed to and evaluated by our investors and their consultants. ALLIANZ STRUCTURED ALPHA STRAT WT25 EUR : Prospectus, cours et cotation du fonds ALLIANZ STRUCTURED ALPHA STRAT WT25 EUR géré par pour la société de gestion Allianz … This category encompasses ESG policies, objectives, memberships and considers how the firm promotes ESG efforts internally and externally. In order to continue to meet our selective disclosure obligations and to treat all investors fairly, we have prepared this summary, which we will make broadly available to prior and current investors including through posting on our website. Consequently, an adverse change in the relative price level can result in a loss of capital that is more exaggerated than would have resulted from an investment that did not involve the use of leverage inherent in the derivative contract. The strategies described herein are based on a proprietary model that is designed to take into account the historical behavior of options. The account may be required to sell investments at times it would not otherwise choose to do so in order to settle written options. Mais nos analystes sont sceptiques sur leur capacité &a... La note du fonds Allianz Europe Small Cap Equity abaissée à Neutre. Investing involves risk. The below graphic provides an example of the restructuring efforts in the Portfolio for a set of SPX short put options expiring on March 20, 2020 that were held by the Structured Alpha 1000 fund. … In addition, to the extent that the market behavior of options changes, the proprietary model may not be able to effectively optimize option selection and the investment objective of given transactions may not be achieved and may result in losses. Strategies described herein are dependent on the smooth functioning of the markets for the particular instruments being purchased or sold. Such transactions may not achieve their objectives and may result in (or add to) losses to the account. Google is collecting information about your interaction with this Twitter by using cookies and may use this for targeting their offers. This restructuring process, which has been a cornerstone of the Structured Alpha products’ investment strategy since its inception in 2005, operated as described to investors and was implemented during this period as it was in past market downturns. An analogous process occurred for short VXX calls. The tests confirm the Portfolio’s robustness against such scenarios, confirm that the long-put hedging positions are in place, and establish an escalation threshold for follow-up interactions with the Portfolio Management team where needed. Allianz said it was fully cooperating with SEC’s request for information about the Structured Alpha funds. ¹ A payoff diagram reflects the value of an option as if it expired immediately. Options, which are essentially a contract, allow you to trade on the future value of an underlying market. There are two types of Options — puts and calls. ALLIANZ STRUCTURED ALPHA STRAT P24 EUR : Prospectus, cours et cotation du fonds ALLIANZ STRUCTURED ALPHA STRAT P24 EUR géré par pour la société de gestion Allianz Global Investors GmbH Synthèse : Allianz Global Investors Fund - Allianz Structured Alpha US Equity 250 PT14 USD par la société Allianz Global Investors GmbH. AGIF – Fusion en Allianz Structured Return – 07.10.2019 ; AGIF – Fusion de Allianz Structured Alpha 250 – 07.10.2019 ; AGIF – Mise à jour du Prospectus – Octobre 2019 ; AGIO – Assemblée générale annuelle – 26.09.2019 ; AGIF VII – Allianz Emerging Markets Bond Fund – notification of outcome of EGM – … Structured Alpha 1000 and 1000 Plus were the most aggressive of those funds. Ce processus aboutit ensuite à l'attribution d'une seule notation, qui est mise à jour quotidiennement. Such sales may result in losses on such investments and will, in addition, involve transaction costs. This presentation describes certain structured product capabilities of Allianz Global Investors U.S. LLC (“AllianzGI US”). The current minimum investment for Allianzgi Structured Alpha Global Equity 350 LLC is $1000000. Année difficile pour Carmignac Gestion et son fonds vedette. Further analyses will focus on other factors that were not the focus of the current review, including the particular contribution of liquidity constraints. Further analyses will focus on other factors that were not the focus of the current review, including the particular contribution of liquidity constraints. (Reporting by Tom Sims and Alexander Huebner, editing by Thomas Seythal) Allianz Global Investors (“AllianzGI”) has conducted an analysis to better understand how the Portfolio’s investment and risk management processes operated in the face of the market volatility sparked by the COVID-19 pandemic in February and March 2020, during which the Portfolio sustained substantial losses. Allianz’s departures from the Structured Alpha Funds’ investment mandate directly contradicted the warnings of Allianz SE's own chief economist, Mohamed El-Erian. The Portfolio Management team implemented these procedures and intervened on short puts in advance of their typical default restructuring protocols due to the severity of the market declines. Allianz Global Investors GmbH has established a branch in Luxembourg, Allianz Global Investors GmbH Luxembourg Branch, which is subject to limited regulation by Commission de Surveillance du Secteur Financier (www.cssf.lu). Allianz Structured Alpha Strateg - The Sub-Fund seeks to generate superior risk adjusted returns through a complete market cycle. © Copyright 2020 Morningstar, Inc. Tous droits réservés. The opinions expressed herein represent the current, good faith views of the author(s) at the time of publication and are provided for limited purposes, are not definitive investment advice, and should not be relied on as such. 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