Thu, 14/11/2013 - 16:28
Deutsche Asset & Wealth Management (DeAWM) has launched an equity fund that provides investors with a diversified – smart beta – portfolio of risk factors.
The DB Platinum IV Equity Risk Premia fund provides exposure to five equity risk premia – specific performance risk factors such as value, quality, and momentum.
Each risk factor is accessed via a systematic and transparent strategy that combines long and short positions in order to single out the specific risk premia from other factors that drive market performance. This market-neutral approach differs from other smart beta approaches that involve taking long-only positions to provide a tilt towards a specific risk factor.
The factors chosen to form the portfolio have been selected on the basis of their low or negative correlation with each other and are weighted based on a risk parity allocation methodology, thereby seeking to avoid risk shifts in favour of certain premia in the portfolio. To further improve the long-term expected risk-adjusted returns of the fund, the portfolio makes use of a volatility control mechanism that currently targets volatility of six per cent.
Alex McKenna, head of systematic funds at DeAWM, says: “Our analysis suggests that a well put together, broadly diversified portfolio of risk premia offers an attractive risk return profile over the long-term compared to the broader equity market risk and reward. We feel this is one of the most complete smart beta offerings currently on the market as it combines the pure risk premia in a portfolio with additional systematic parameters designed to control portfolio risks.”
The launch of the UCITS-compliant fund comes on the back of a number of bespoke risk premia-based solutions that Deutsche Bank has put in place for institutional investors. Deutsche Bank’s in-house research and execution teams have successfully developed methods of tracking, and taking efficient exposure to, a series of equity risk factors.
Share classes are available for both retail and institutional investors.
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