Customised index, smart beta and more complex quantitative investment strategies executed as a segregated mandate for large institutions.

Investment process

Understanding our clients’ needs

Our process starts with understanding the clients’ investment objectives and using that to formulate the most suitable and cost effective index based solutions to meet their needs. The development of the solutions takes account of client constraints such as turnover, universe and liquidity constraints.

Choice of benchmark/index

The choice of benchmark is an important aspect of our process. The team has spent a considerable amount of time in understanding the liquidity, risk and return characteristics of the different indices. Based on this knowledge the team is able to work with clients to match their investment needs to products that track the most suitable benchmark(s). In the event that a suitable benchmark does not exist we collaborate with index providers to construct the most appropriate benchmark. Additionally, the team has extensive experience in blending different indices together covering multiple asset classes and style factors to create low cost multi-asset and multifactor solutions.

Portfolio construction

Central to how we construct portfolios is the replication methodology we follow. Our preferred approach in replicating the performance of the different indices is full replication. This is the simplest and most transparent way of generating performance that is as close to the index as possible.

It does however make sense to use optimisation to replicate the performance of the indices with less liquid constituents. This is done by holding a representative sample of liquid securities that closely match the risk and return characteristics of the index.

Portfolio management

The team rebalances the portfolios at pre-set intervals to ensure close alignment to the indices. Portfolios are also revised on an ongoing basis for corporate actions, adhoc index changes and client cash flows whilst ensuring that trading cost are kept as low as possible.

Trading and execution

Trades are executed as efficiently as possible and at minimal trading costs making use of netting opportunities where possible.

Risk management

Risk management is a key pillar and is present throughout the process. Measurement and monitoring of risk by the team happens daily ensuring that the portfolios tracking errors are kept to a minimum at all times. Another crucial aspect of our process is independent risk monitoring by a separate risk function which prodCustomised index, smart beta and more complex quantitative investment strategies executed as a segregated mandate for large institutions.