Customized Liquidity Solutions for Alternatives

To help meet these growing institutional liquidity needs, BlackRock created and launched its Liquid Policy Portfolio (LPP) strategy in 2011. LPP strategies are designed to reflect the median asset allocation of pensions, foundations, and endowments. An LPP strategy consists of a portfolio of exchange-traded funds (ETFs) and seeks to deliver a typical policy benchmark allocation with exchange-traded flexibility and liquidity.

贝莱德的垂直距离策略是一个早期的例子setting the pace for what would become (and remains) a growing trend of institutional investors using cost-efficient ETFs to help meet liquidity demand. According to 2019 Greenwich Associates research, 81% of asset owners cited liquidity as a primary reason for using ETFs, and overall allocations to ETFs increased to 25% of total assets in 2018, a jump of 6% from one year earlier.

Potential benefits and considerations of LPP strategies

作为现货发行，LPP策略旨在应对许多机构投资者共同面临的挑战，并提供一系列由etf特性支撑的核心收益。亚博赞助欧冠¹

For starters, LPP strategies offer operational efficiency.ETFs offer intra-day liquidity, with the possibility of T+1 settlement.²In addition, using a liquidity sleeve to help meet cash needs can reduce disruption to actively managed mandates.

They also offer cost and investment efficiency.与持有过剩现金相比，LPP策略有可能减少相对于政策基准的跟踪误差。

LPP strategies use median allocations. For pensions, the median allocation data is provided by养老金和投资,while Greenwich Associates provides the median allocation for foundations and endowments.

在执行LPP策略时，资产类别风险被映射到最相关的指数，并分配到相关的iShares ETF。这种映射是由替代资产类别（例如，私人房地产）到其最相关指数对应项（例如，私人房地产，可能是调整杠杆率的房地产投资信托基金）的额外映射补充的。其结果是iShares ETF的组合。

LPP strategies may also raise certain considerations related to risks and exposure. LPP strategies hold non-cash vehicles and therefore are more volatile than cash. Also, a client’s long-term investment policy may have a different risk/return profile than the LPP allocations.

No two institutions have the exact same needs, nor does any one institution have unaltering challenges. In short, things change, and investors want to know they can customize strategies to meet their current requirements, and that they have the flexibility to meet future challenges as they evolve.

Prior to the widespread adoption of ETFs, liquidity strategies were typically constructed using cash or other liquid asset classes that could have non-trivial tracking error to policy benchmarks. While this approach may still be sufficient for some investors, it may result in unintended overweights or underweights relative to their benchmark or policy statement.

为此,贝莱德已与客户that seek more tailored liquidity allocations to reflect their full investment policies, subcomponents of the allocation on the public or private side, or other portfolios – and to seek to avoid unintended consequences of investment strategy decisions.

Precision liquidity management and factors

Among the many new and innovative uses of ETFs that have accompanied their growth and development is increasingly precise liquidity management. This is possible thanks to the growing number of sizeable and sufficiently liquid ETFs in multiple asset classes. Transacting in ETFs may offer a reduction in implementation time and transaction costs relative to individually trading in the underlying assets.

当一个定制的投资组合正在构建中时，各种权衡被认为有助于确定一个投资者的有效契合度，包括政策基准的主动风险、交易成本、管理费用和etf的流动性。

Factor-weighted exposures have been increasingly important in numerous customized liquidity solutions. The solutions utilize either the bottom-up or the top-down factor investing approach. Each approach has a distinct effect worth consideration by investors.

Making allocations to individual factors typically requires strong investment beliefs, as factor returns have been cyclical in nature. In one study, MSCI used a bottom-up approach to build a multifactor index from stocks that are favorably exposed to the value, size, quality and momentum factors, and compared it to an alternative top-down approach combining single factor indexes. The two approaches were compared in terms of their level of exposure to the target factors as well as their capacity and investability profiles.

摩根士丹利资本国际（MSCI）的分析（包括假设的回测表现）显示，在研究期间，这两种方法都会表现出优于市值加权母指数的表现。在多因素指数构建的背景下，自上而下的配置具有简单、容量相对较高、主动风险较低的优点。然而，由于在一定程度上抵消了单因素投资组合中的股票权重而产生的稀释效应，对目标因素的敞口减弱。

On the other hand, the bottom-up approach, which used optimization, did not have this same dilution effect. Instead, it showed higher and more persistent overall exposure to the target factors. As a result, both risk and return were attributed more to the target factors as desired. However, the level of active risk may be higher in the bottom-up approach and relative capacity may be lower. The choice between these approaches may depend most on the particular needs of the institutional investor.

如本报告导言中所述，机构投资者通常对替代品的敞口显著增加，尤其是对冲基金、私人股本、私人信亚博赞助欧冠贷和私人房地产。这种分配有可能使投资组合多样化并提高投资回报，但它们往往缺乏流动性（更不用说成本高昂）。

因此，另类投资给投资者带来了一个难题。投资者欣赏“传统”低价竞标的潜在回报溢价，但也承认，在流动性需求压得他们喘不过气来的时候，这些低价竞标可能会严重缺乏流动性。因此，机构投资者对流动性解决方案的需求与日俱增，这种解决方案旨在模仿标准替代配置在其投资组合中的作用，这是有道理的。这一需求正在得到满足。亚博赞助欧冠

液体alt代理

大多数机构定期对其资产管理人进行审查，结果往往决定reallocate among various alt strategies, resulting in disruption of exposures and benchmarking risks.It is in this scenario that a new use for ETFs has emerged, namely as liquid alternative proxies for short-term exposures to equitize cash during alternative manager transitions. ETFs are being similarly used for longer-term strategies where institutions are looking to reduce cash positions while maintaining liquid exposures.

To create liquid alternative proxies, BlackRock assesses the risk and return profiles of hedge funds, private equity buyout, venture capital, and private real estate, and maps each of these asset classes to the combination of iShares ETFs that efficiently approximates these characteristics. The methodology used adjusts for the effects of private asset class autocorrelation to better estimate risk profiles.

These liquid public proxies can complement the allocations of four private asset classes, allowing institutions to gain flexibility in meeting liquidity needs while helping to mitigate the performance drag that can result from holding excess cash.

To proxy buyout private equity, a three-pronged approach combined academic research, returns-based regressions, and holdings-based analysis of buyout targets.All three approaches identify the value factor as a strong (though not identical) public-market proxy for the private equity return premium. Buyoutprivate equity cannot be fully replicated through public markets, but factor-weighted strategies are attractive alternatives to market cap-weighted strategies.

To proxy venture capital,research has shown the presence of the momentum factor in the regressions.与收购中的价值因素一样，这是一种公开市场异常现象，可以通过摩根士丹利资本国际指数（MSCI）来弥补风险资本回报溢价缺口。

• 75% of CIOs consider liquidity an ongoing priority, according to Greenwich Research.
• Liquidity is a priority due to funding shortfalls, ongoing obligations, capital calls, asset manager review, and rebalancing.
• At the same time, allocations to alternative investments are on the rise – but “traditional” alts do not provide liquidity. In addition, commitments to alts are not immediately invested, resulting in cash drag from dry powder waiting for capital calls
• ETFs are widely used by institutional investors, and can play a major and innovative role in answering the liquidity challenge.
• Among the ETF-based solutions is the off-the-shelf Liquid Policy Portfolio (LPP) strategy, through which investors can potentially achieve operational efficiency, cost efficiency, and investment efficiency.
• Customized strategies allow for precise liquidity solutions using ETFs.
• Liquid public proxies can help investors mimic “traditional” alternative investments, but with the potential for liquidity, ease of use, and low costs – all through using ETFs.

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仔细考虑基金的投资目标s, risk factors, and charges and expenses before investing. This and other information can be found in the Funds' prospectuses or, if available, the summary prospectuses which may be obtained by visiting www.iShares.com or www.blackrock.com. Read the prospectus carefully before investing. Investing involves risk, including possible loss of principal.

This material is not intended to be relied upon as a forecast, research or investment advice, and is not a recommendation, offer or solicitation to buy or sell any securities or to adopt any investment strategy. The information and opinions contained in this material are derived from proprietary and nonproprietary sources deemed by BlackRock to be reliable, are not necessarily all inclusive and are not guaranteed as to accuracy. Past performance is no guarantee of future results. There is no guarantee that any of these views will come to pass. Reliance upon information in this material is at the sole discretion of the reader.

无法保证本协议所述任何策略的投资目标能够实现。对本文提及的任何策略的投资都涉及高度风险，包括可能损失全部投资金额的风险。贝莱德或其附属公司不保证这些战略。

An investment in ETFs is not equivalent to and involves risks not associated with an investment in cash.

T+1结算取决于做空与经纪人结算ETF交易订单的能力。如果短期结算不可用，结算将恢复为标准T+2结算。T+1结算的两天融资成本将由交易客户承担。

There can be no assurance that an active trading market for shares of an ETF will develop or be maintained. The information provided is not intended to be a complete analysis of every material fact respecting any strategy and has been presented for educational purposes only. Asset allocation models and diversification do not promise any level of performance or guarantee against loss of principal.

Shares of ETFs are bought and sold at market price (not NAV) and are not individually redeemed from the LPP strategy.

Strategy availability may be limited to certain investment vehicles; not all investment vehicles may be available to all investors. Please contact your BlackRock representative for more information.

The iShares Funds are distributed by BlackRock Investments, LLC (together with its affiliates, “BlackRock”).

© 2019 BlackRock, Inc. All rights reserved.贝莱德and伊莎雷斯are registered trademarks of BlackRock, Inc. or its subsidiaries in the United States and elsewhere. All other trademarks are the property of their respective owners.

FOR INSTITUTIONAL USE ONLY – NOT FOR PUBLIC DISTRIBUTION

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