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The main task for every fund manager is to deliver stable and positive returns. To generate positive returns, managers are
relying on methods such as fundamental and quantitative analysis, shareholder activism, technological edge, superior
understanding of macroeconomic or geopolitical developments and others. As most managers can apply leverage to
increase the return and risk of their strategies, the task of reducing portfolio correlations (and thus reducing portfolio risk)
has become equivalent to seeking new alpha opportunities. Strong growth in active assets under management over the past
two decades has therefore led to an unrelenting search both for alpha and pockets of weakly correlated assets. For
instance, in the 1990s, it was sufficient to include emerging market assets to lower portfolio correlations. An endowment
allocation model that included alternative assets (such as Commodities and Real Estate) easily outperformed traditional
bond-equity portfolios on a risk adjusted basis. However, the growth in active assets and increased use of leverage
depleted alpha, and increased correlation across all risky assets. The 2008 market crisis exposed the limited
diversification benefits of traditional assets, resulting in a sharp increase in portfolio risk and losses.
JPM_Systematic_Strategie_2013-12-11_1277971.pdf
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