Factor investing will unleash a revolution
New Frontier of portfolio Management
- According to the traditional financial theory known as CAPM (capital asset pricing model), developed by Sharpe and Treynor in the 1960s, there is a single risk premium called “beta”. The performance of a portfolio unexplained by its beta is consequently called the “alpha”.
- Subsequent academic work has revealed other risk factors that are systematic sources of market returns. The main ones are “value”, “carry”, momentum”, “quality”, “low risk”. Risk premia are a new frontier between alpha and beta.
- Absolute Return portfolios can be designed with ‘cheap-to-execute’ risk premia – optimising diversification and liquidity targets
- Risk Premia selection via Open Architecture
- Minimising drawdown through cross asset allocation
- Low rebalancing and selection of purest factors to build a robust cross asset risk premia portfolio.
Style, regional and asset class diversification, access to most known sources of alpha within a transparent, cost effective and liquid mutual fund format (UCITS).