The role of an absolute returns’ portfolio is unique to each asset owner with each portfolio having a unique composition of idiosyncratic returns uncorrelated to traditional asset classes. However, blending too many manager styles can destroy alpha, so how are investors balancing this challenge?

Anastassia Juventin, portfolio manager, hedge funds and alternative strategies, AMP Capital
Bruce Tomlinson, head of alternative strategies, Sunsuper
Moderator: Laurence Parker-Brown, institutional content producer, Conexus Financial

Key takeaways

  • The managers that chose to override systematic processes to act with a more discretionary approach avoided some of the declines in March but also risked missing out on the rally.
  • More than just being a defensive part of the portfolio – the absolute return strategies should be identifying alternate betas (not equity beta) and alpha — with preferably steady streams of returns.
  • There is still a while to go before asset owners can comfortably internalise the absolute returns portion of the portfolio.

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