Unigestion launches two multi-factor equity funds
Swiss institutional asset manager Unigestion has launched two multi-factor-allocated equity funds that have been developed with its client, RPMI Railpen.
Railpen is also seeding both funds.
Relying on a bunch of factors (value, momentum, quality, size) enhanced by Unigestion, the strategies will allocate to higher quality value stocks, less volatile momentum stocks, more diversified quality stocks and more stable small cap stocks.
The portfolio construction and allocation between these factors aim to be actively determined through Unigestion’s top-down macro as well as stock-level risk assessment.
|Factor||Industry’s usual definition||Unigestion’s enhanced factors|
|Value||Price/Book||Dividend yield, EV/EBITDA, Price/Book, Price/Earnings, Price/Sales, Price/FFO (ratios are sector dependent)|
|Momentum||1-year return||1-year return, excluding 1-month mean-reversal and adjusted to volatility|
|Quality||ROE||Profitability (ROE, EBITDA margin, Accruals) and Safety (Debt/EBITDA, Asset leverage)|
|Size||Market capitalisation||Market capitalisation, region-neutral|
Alexei Jourovski, managing director and head of Equities at Unigestion, commented : “We believe that factor allocation can be improved by better risk management, taking into account market and sector characteristics and actively assessing top-down and stock-level risk in the portfolio construction.
“Moreover, as equity factors tend to be cyclical, we can significantly improve the risk return profile of the strategy by allocating between factors at different points of the market cycle.”
Unigestion currently manages €15.3bn of assets under management, of which 94% come from 270 institutional investors and 6% from high net worth families.