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Michel Manteau : « We have mainly chosen minimum variance strategies because we seek to reduce the volatility of our equity portfolio »

Michel Manteau, head of portfolio management at CARMF (« Caisse Autonome de Retraite des Médecins de France »), the retirement institution for french doctors tells us more about Smart Beta strategies.

Article also available in : English EN | français FR

Michel Manteau, head of portfolio management at CARMF (« Caisse Autonome de Retraite des Médecins de France »), the retirement institution for french doctors tells us more about Smart Beta strategies.

Next-Finance : What is your view on new approaches called factor-based or Smart Beta strategies ?

Michel Manteau : For several years, CARMF has been interested in these new approaches called factor-based or Smart Beta strategies in order to reduce the level of volatility of its financial portfolio.

Do you have assets invested in Smart Beta or through a factor based approach? What proportion? To what extent do they replace active funds in your portfolio?

Yes, we have already invested in Smart Beta strategies :

  • for our equity portfolio, approximately 20 % of our allocation is dedicated to such strategies, using the concept of minimum variance.
  • for our bond portfolio, however, we have just started to introduce a small proportion of risk premia strategies.
  • Finally within our cross-asset allocation, we also introduced some fund managers specialized in Smart Beta.
For our bond portfolio, however, we have just started to introduce a small proportion of risk premia strategies
Michel Manteau, head of portfolio management at CARMF

What strategies are the most interesting for you (Low volatility, Sharpe ratio maximization, Approach by type of risk factor Small, Value, Growth, Quality or combinations of factors?

As I said, we have mainly chosen minimum variance strategies because we seek to reduce the volatility of our equity portfolio, without excessively damaging performance. Moreover, on this point, we realized that their performance has been higher than the index performance with a lower volatility.

What are the changes to be made to this management style (transparency, education, understanding the model evolution with the changing market environment, hidden costs, etc ...)?

It is true that this style of management is very technical and its requires reasonable efforts.to really understand how it manages to create value.

What are the key elements that you consider to select managers Smart Beta?

Usually, we walks around the smart beta asset managers after a first selection, taking into account their track record and the management team experience.

Paul Monthe , RF , October 19

Article also available in : English EN | français FR

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