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
Performance
Strategy
MSCI World
Relative Return
11.06%
11.75%
-0.68%
17.57%
20.19%
-2.63%
6.65%
6.86%
-0.21%
6.94%
11.78%
-4.83%
7.00%
10.88%
-3.88%
Performance by calendar years
Strategy
8.33%
-4.47%
13.6%
1.55%
21.37%
As at June 30, 2024
Inception date July 1, 2017
Past performance is not indicative of future results. Returns may increase or decrease as a result of currency fluctuations.
Please note that the performance data is not intended to represent actual past or simulated past performance of an investment product. The data is calculated in USD and is based on a composite that follow the strategy. An example fee load of 0.75% has been applied. * Annualized
Related content
Investment Solutions
Man offers a comprehensive suite of investment solutions and formats that can be tailored and optimised to meet specific client needs.
Our investment solutions offer optionality including: liquidity, control, investment restrictions, investor customisations and transparency.
UCITS
Alternative investment funds
US 40 ACT
Regional funds
Separate accounts
Advisory mandates
Managed accounts
Access to investment products and mandate solutions are subject applicable laws and regulations including selling restrictions and licensing requirements. Investment solutions listed above may not be compatible for all investment strategies and may be subject to minimum subscription requirements. Regional Funds: In additions to UCITS and AIFs registered across the EEA, a number of investment strategies are available in vehicles registered in Chile, Netherlands, Hong Kong, Japan, Singapore, South Korea and Switzerland.
Considerations
Investment Objective Risk - There is no guarantee that the Strategy will achieve its investment objective.
Market Risk - The Strategy is subject to normal market fluctuations and the risks associated with investing in international securities markets and therefore the value of your investment and the income from it may rise as well as fall and you may not get back the amount originally invested.
Counterparty Risk - The Strategy will be exposed to credit risk on counterparties with which it trades in relation to on-exchange traded instruments such as futures and options and where applicable, ‘over-the- counter’("OTC","non-exchange") transactions. OTC instruments may also be less liquid and are not afforded the same protections that may apply to participants trading instruments on an organised exchange.
Currency Risk - The value of investments designated in another currency may rise and fall due to exchange rate fluctuations. Adverse movements in currency exchange rates may result in a decrease in return and a loss of capital. It may not be possible or practicable to successfully hedge against the currency risk exposure in all circumstances.
Liquidity Risk - The Strategy may make investments or hold trading positions in markets that are volatile and which may become illiquid. Timely and cost efficient sale of trading positions can be impaired by decreased trading volume and/or increased price volatility..
Financial Derivatives - The Strategy may invest in financial derivative instruments ("FDI") (instruments whose prices are dependent on one or more underlying asset) typically for hedging purposes. The use of FDI involves additional risks such as high sensitivity to price movements of the asset on which it is based. The use of FDI may multiply the gains or losses.
Model and Data Risk - The Investment Manager relies on quantitative trading models and data supplied by third parties. If models or data prove to be incorrect or incomplete, the Strategy may be exposed to potential losses. Models can be affected by unforeseen market disruptions and/or government or regulatory intervention, leading to potential losses.
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