Groupama to launch a fund based on risk premiums

Groupama Risk Premium distinguishes itself in the French market with its reliance on risk premiums to allocate its portfolio between the three main asset classes (equities, bonds, currencies).

Article also available in : English EN | français FR

As a first result of the exclusive partnership formed with DPA Invest and announced last September, Groupama AM is offering a new expertise in its new fund, Groupama Risk Premium.

Groupama Risk Premium distinguishes itself in the French market with its reliance on risk premiums to allocate its portfolio between the three main asset classes (equities, bonds, currencies). The lynchpin of the fund’s strategy is to adjust dynamically the portfolio allocation as the value embedded in these asset classes, gauged by their risk premiums, vary.

Therefore, the management process revolves around three key principles: the estimation of the risk premiums of the different asset classes, reflecting their expected long-term returns; a regular review of the allocation, adjusted for changes in market prices or macro-economic scenarios; the diversification of investments (U.S. and European equities, U.S., European and Japanese bonds, Euro/USD and Yen/USD exchange rates) through highly liquid financial instruments.

Against a backdrop of sovereign debt crisis, Groupama Risk Premium is tailored to the needs of investors seeking to take advantage of the climatic levels reached by the risk premiums of these asset classes [1] . The fund is aimed at medium to long-term investors seeking to benefit from a highly reactive management strategy to optimise the return on their investments.

“Our objective is to outperform a benchmarked management style over the medium terms by adjusting the profolio to market cycles”, explain Olivier Davanne and Thierry Pujol, co-managers (DPA Invest) of Groupama Risk Premium.

At the end of October, since its creation in December 2006, the fund had largely outperformed [2] the Lipper and Europerformance diversified fund indices over 5 years

Next Finance , November 2011

Article also available in : English EN | français FR

Footnotes

[1] As at 31 October 2011, the analysis of European equities risk premiums, with the methodology developed by DPA Invest, shows that:
- Risk premiums reached an historical peak over the recent period: +14% compared with an average of +8% over the past 5 years.
- European equities are clearly undervalued and constitute a particularly attractive asset class for medium-term investors. For the same period, the analysis of German government bond risk premiums shows that:
- The risk premiums reached a trough over the recent period: -1.3% recorded at the end of September compared with an average of 0.2% over the past 5 years.
- Despite easing off in October, the Bund has confirmed its safe-haven par excellence status during a massive “flight to quality” and remains very expensive.

[2] Past performances are not an indication of future performances. They are not constant over time

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