“We don't want a black box that produce miraculous results”

Anselm Wagner, Head of Securities Management at Bayerische Versorgungskammer (Bavarian Chamber for Social Benefits and Pensions), feels compelled by regulation to make a third of his investments in investment grade assets. Nevertheless, “we try to be active managers,” Wagner said. He explained that 25% of assets are invested in equities, infrastructure and private equity. On Quant/AI, he said: “I need to be able to understand what the algorithm does,” while he addressed ESG by saying: “We take ESG criteria into account in all of our investments.”

 

Jörg Schmidt, Senior Portfolio Manager in Multi Asset at Union Investment explained that he is increasingly moving from multi-asset towards multi-strategy portfolios in the search for new sources of income and non-market-driven returns.  On Quant/AI, he said: “The forecasting models are difficult for investors to understand, partly because providers are very reticent to share their information.” On the subject of ESG, he added: “We also use external databases to enable us to rate funds with regard to their ESG standards.”

 

Prof. Dr. Uwe Krüger, Co-Head of the Portfolio Management Group at Temasek, emphasised the importance of liquidity: “We will end 2019 with more liquidity than we did in 2018.” On Quant/AI, he said: “We want to understand the models we use; we don't want black boxes that produce miraculous results.” On the subject of ESG, he said: “We urgently need standardised sustainable reporting, as we can only change what we can measure.”

 

Against the backdrop of persistently low interest rates, Alexander Raviol, CIO Alternative Solutions at Lupus alpha, questioned whether higher share valuations might not reflect reality. He explained that he also relies on genuinely alternative sources of returns within the asset mix. “There aren't many – but volatility is one of them.” Giving his view on Quant/AI, he said: “It's not my philosophy, but computers have now become indispensable for data analysis.” On the subject of ESG, he said with a smile: “Volatility strategies with ESG criteria don't yet exist, but changes in the underlying are possible.”