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

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.