Numeric Global Active Low Volatility
Man Numeric’s Global Active Low Volatility strategy seeks to harvest the low volatility/low beta anomaly in order to provide equity marketing-beating returns, but with less volatility than the market.
This strategy is available in global, multi-regional and long/short varieties.
Approach
Investment process has two main drivers: stock selection and low volatility
- Stocks selected using quantitative, fundamentally-oriented models
- Portfolio construction incorporates low volatility characteristics
- Uses an integrated, single-step optimization process that aims to efficiently negotiate between risk, volatility, alpha and transaction costs
- Portfolios are re-balanced and traded weekly
- Robust approach to risk: uses proprietary Statistical Factor Risk Model (‘SFRM’) and a fundamental risk model (Barra)
Single-step portfolio construction offers differentiation
- Inclusion of our alpha models helps avoid historical biases found in generic low volatility (i.e., avoid anti-value bias)
- Proprietary transaction cost model helps measure appropriate turnover when needed
- Tracking error control attempts to minimize tracking error to the extent possible when building low volatility portfolios
- Multiple risk models for more robust risk control
- Volatility objective is to minimize total risk
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