Investment Philosophy and Process
Our multi-alpha global equity risk allocation strategy blends together the four factors used by our Guru and low-volatility strategies – value, profitability, momentum and low volatility – with the aim of maximising the strategy’s diversification and risk-adjusted return potential. Using four factors helps diversify away some of the risks associated with each individual factor.
Our investment process begins with systematic analysis of the volatility, profitability, price momentum and valuation of each stock in the investment universe using official public data. We give a score to every stock for each of these four factors.
We assign an equal weight to the scores for each factor to calculate an overall score, and based on these we go on to construct a well-diversified portfolio of 150–400 stocks. We increase the number of holdings when the model goes against the market in order to reduce tracking error, and reduce the number of holdings when the model goes along with the market to increase tracking error. We monitor risk closely, analysing the strategy’s risk budgets, tracking error and beta on an ongoing basis.
Multi-Alpha Global Equity Risk Allocation
Managed by quantitative experts specialising in protected, indexed and model-driven investment, the strategy is fully quantitative and blends together the factors used by our low-volatility and Guru strategies.
As well as offering the strategy in a UCITS-compliant fund, we can also tailor mandates to meet your individual needs.
At a glance:
- Actively managed diversified portfolio of 150-400 highly liquid large-cap stocks
- Aims to outperform the MSCI World over the long term within an ex-posting tracking error of 3.5% against the index.
- Aims to keep turnover below 100% per year and an ex-ante beta of 1
- 4-year track record
- Well-diversified quantitative global developed market equities strategy
- Blend of our proven low-volatility and Guru quantitative equities strategies
- Proprietary quantitative model selects companies based on four fundamental factors
- Minimal human intervention in the investment process
- Limited reference to market-capitalisation-based indices
- Constant risk monitoring