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SER Member Analyzes the Risks of Allianz Global Structured Alpha US Equity 250
July 30, 2020

MEMBER HIGHLIGHT SER member Gontran de Quillacq's newest article analyzes the recent losses at the Structured Alpha funds of Allianz Global Investors during the February-March 2020 market volatility. The author calculates the risk matrices of the portfolio of equities, index and VIX options, explaining why one of the “largest losses in the history of derivatives trading” is actually in line with the significant tail-risk taken by the portfolio managers. The analysis points out significant discrepancies with marketing material from the fund, who's institutional clients include the pensions of Blue Cross Blue Shield employees, Arkansas Teachers Retirement System, and San Diego City Employees. To read the full article, visit Navesink's website here.


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