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Antoine Prudent : « InPact Advisory is currently conducting a mission for 5 large Swiss institutional investors willing to invest in an Alternative Risk Premia strategy »

According to Antoine Prudent, founding partner of InPact Advisory, the advantage of Risk Premia products is also to reduce costs compared to the usual pricing for alternative products…

Article also available in : English EN | français FR

Next-Finance : Could you describe your activities regarding Risk Premia ?

Antoine Prudent : InPact Advisory is currently conducting a mission for 5 large Swiss institutional investors (pension funds and insurers) willing to invest in an Alternative Risk Premia strategy (through a long/short approach in Value, Momentum, Carry, Quality and Low Volatility premia). The objective is to select an asset manager and launch a dedicated AIFM fund at the end of the year with at least an AUM of 250 million euros as a "pilot" allocation for these institutions that have more than 100 billion euros of aggregated assets under management.

The objective is to select an asset manager and launch a dedicated AIFM fund at the end of the year with at least an AUM of 250 million euros as a "pilot" allocation...
Antoine Prudent, founding partner of InPact Advisory

What are the benefits or constraints for investors ? What returns are you targeting? Which volatility target?

The objective is to get a 0.8 net Sharpe Ratio through different volatility levels for each investor (5 to 10 %) with a low correlation (+/- 0.2) to traditional asset classes (equities and bonds). The idea is also to drastically reduce costs ompared to the usual pricing for alternative products (greater than 1.5 % of total expense ratio - TER).

What are the most interesting strategies for you (Long / Short, Event Driven, M & A, Statistical arbitrage, Implicit assets arbitrage, Carry/Liquidity Premium, etc...)?

Initially, we will favour the traditional factors through asset managers (Value, Momentum, Carry, Quality and Low Volatility) and look in a second stage to more exotic factors (Volatility, M & A, etc….) rather offered by banks.

What changes need to be done to this management style?

The main interests for these strategies are the following:

  • Need for uncorrelated assets,
  • Transparency / Pedagogy,
  • Reduced fees compared to hedge funds,
  • Adaptability / ability to integrate these strategies in an overall asset allocation.

What criteria do you use to select Risk Premia or Alternative UCITS funds ?

The most important criteria in our selection are :

  • Reputation / Experience of the fund manager on this type of strategies,
  • R & D,
  • Portfolio management process,
  • Infrastructure (especially IT/data), which is key for these strategies),
  • Transparency and fees.

Paul Monthe , September 28

Article also available in : English EN | français FR

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