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This product, launched in 2012, uses a long-only investment strategy applied to a multi-asset universe, including equities, sovereign and corporate bonds (in both emerging and developed markets) and commodities through liquid instruments. Implementation of the strategy increases diversification by building exposures to traditional and alternative risk premia...
Article also available in : English | français
This multi-asset fund managed by Lombard Odier Asset Management uses a systematic methods to generate a steady performance while preserving capital.
This product, launched in 2012, uses a long-only investment strategy applied to a multi-asset universe, including equities, sovereign and corporate bonds (in both emerging and developed markets) and commodities through liquid instruments. Implementation of the strategy increases diversification by building exposures to traditional and alternative risk premia in a systematic, liquid and transparent manner such as carry trades on bonds or currencies for example.
But its originality is coming from an allocation process based on risk and not on capital.
To do that, Aurèle Storno, the fund manager, uses systematic methods with the following three principles:
These three elements, applied in a systematic way, define the risk process allocation.
For the time being, the results seem to be there with an annualized return of 3,55 % and a volatility level of 4, 79 % from inception, giving a Sharpe ratio of 0,74 [1].
RF , January 2017
Article also available in : English | français
[1] 2016 end of year
Using its expertise in systematic asset management, in 2013, Ossiam has set up an ETF offering a long only exposure to a risk weighted enhanced commodity index, based on S&P Goldman Sachs Commodity Index constituents, excluding (...)
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