Open Protocol Template Update Following the Addition of Real Estate to GICS

The Standards Board for Alternative Investments (SBAI) has published updates to the Insurance Open Protocol (“IOP”). The IOP forms part of the Open Protocol (“OP”) risk aggregation templates that were first launched in 2011, which standardise the collection and representation of risk information of investment funds for investors, and which is currently used by funds representing over $1.85tn in assets under management. [1] IOP provides a risk reporting template for funds that have a significant exposure to property catastrophe insurance risk. It has been developed to cater for the unique characteristics of property catastrophe exposure, including risk types, sources of leverage, stress tests results and side pocketing. Michael Hamer, Partner and Senior Investment Analyst at Albourne Partners said: “IOP’s risk reporting has been expanded to include information at the manager, fund, and share class level, and at intervals that are better aligned with the insurance cycle. The increased reporting of stress test results and the flexibility to add new stress events to the template in the future should materially improve the ability to see how funds interact from an overall Insurance Linked Securities portfolio risk perspective.”

Open Protocol data provides a window into how managers across the Hedge Fund strategies have responded to the macro-economic and geopolitical turbulence that has characterized 2022. Below, we have highlighted some key insights from the latest strategy-level data. Clients can contact their Client Account Manager or Portfolio Analyst for more information. Managers, at large, have maintained a cautious and defensive approach to positioning, as recessionary and inflationary woes continue to weigh on financial markets and volatility. Directional strategies have all turned to a net short equity exposure. CTA net exposures are shown below. Source: Albourne